{ "new_candidate_cases": 2688, "repeated_control_accounts": 1344, "reused_unique_native_sizing_cases": 2016, "generated_utc": "2026-09-08T18:40:11.548486+00:00", "comparisons": [ { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cases": 12, "wins_native": 12, "native_wins_btc": 11, "elapsed_wins_btc": 12, "native_wins_all_three": 11, "elapsed_wins_all_three": 12 }, { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 10, "elapsed_wins_btc": 6, "native_wins_all_three": 10, "elapsed_wins_all_three": 6 }, { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 0, "elapsed_wins_btc": 0, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cases": 12, "wins_native": 0, "native_wins_btc": 0, "elapsed_wins_btc": 0, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 12, "elapsed_wins_all_three": 12 }, { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cases": 12, "wins_native": 0, "native_wins_btc": 0, "elapsed_wins_btc": 0, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 12, "elapsed_wins_all_three": 12 }, { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 12, "elapsed_wins_all_three": 12 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cases": 12, "wins_native": 12, "native_wins_btc": 0, "elapsed_wins_btc": 0, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 10, "elapsed_wins_btc": 7, "native_wins_all_three": 8, "elapsed_wins_all_three": 1 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 6, "elapsed_wins_btc": 2, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cases": 12, "wins_native": 0, "native_wins_btc": 0, "elapsed_wins_btc": 0, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 9, "native_wins_all_three": 12, "elapsed_wins_all_three": 4 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cases": 12, "wins_native": 0, "native_wins_btc": 0, "elapsed_wins_btc": 0, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 9, "native_wins_all_three": 12, "elapsed_wins_all_three": 4 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 9, "native_wins_all_three": 12, "elapsed_wins_all_three": 4 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cases": 12, "wins_native": 12, "native_wins_btc": 0, "elapsed_wins_btc": 2, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 11, "elapsed_wins_all_three": 3 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 12, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cases": 12, "wins_native": 0, "native_wins_btc": 10, "elapsed_wins_btc": 10, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 10, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cases": 12, "wins_native": 0, "native_wins_btc": 0, "elapsed_wins_btc": 0, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 10, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 10, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cases": 12, "wins_native": 0, "native_wins_btc": 0, "elapsed_wins_btc": 0, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cases": 12, "wins_native": 12, "native_wins_btc": 0, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 12 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cases": 12, "wins_native": 12, "native_wins_btc": 5, "elapsed_wins_btc": 10, "native_wins_all_three": 5, "elapsed_wins_all_three": 10 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cases": 12, "wins_native": 6, "native_wins_btc": 0, "elapsed_wins_btc": 0, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cases": 12, "wins_native": 0, "native_wins_btc": 4, "elapsed_wins_btc": 2, "native_wins_all_three": 4, "elapsed_wins_all_three": 2 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cases": 12, "wins_native": 6, "native_wins_btc": 10, "elapsed_wins_btc": 11, "native_wins_all_three": 10, "elapsed_wins_all_three": 11 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cases": 12, "wins_native": 12, "native_wins_btc": 0, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 12 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cases": 12, "wins_native": 6, "native_wins_btc": 10, "elapsed_wins_btc": 11, "native_wins_all_three": 10, "elapsed_wins_all_three": 11 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cases": 12, "wins_native": 12, "native_wins_btc": 10, "elapsed_wins_btc": 12, "native_wins_all_three": 10, "elapsed_wins_all_three": 12 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cases": 12, "wins_native": 6, "native_wins_btc": 0, "elapsed_wins_btc": 0, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 10, "elapsed_wins_btc": 8, "native_wins_all_three": 5, "elapsed_wins_all_three": 2 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 6, "elapsed_wins_btc": 1, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cases": 12, "wins_native": 0, "native_wins_btc": 2, "elapsed_wins_btc": 0, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 9, "native_wins_all_three": 12, "elapsed_wins_all_three": 4 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cases": 12, "wins_native": 0, "native_wins_btc": 0, "elapsed_wins_btc": 0, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 9, "native_wins_all_three": 12, "elapsed_wins_all_three": 5 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 9, "native_wins_all_three": 12, "elapsed_wins_all_three": 4 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 2, "elapsed_wins_btc": 2, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 3, "elapsed_wins_all_three": 3 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cases": 12, "wins_native": 0, "native_wins_btc": 10, "elapsed_wins_btc": 10, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cases": 12, "wins_native": 0, "native_wins_btc": 0, "elapsed_wins_btc": 0, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cases": 12, "wins_native": 0, "native_wins_btc": 0, "elapsed_wins_btc": 0, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cases": 12, "wins_native": 0, "native_wins_btc": 12, "elapsed_wins_btc": 12, "native_wins_all_three": 0, "elapsed_wins_all_three": 0 } ], "availability": [ { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "daily_decisions": 3039, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 60, "max_available_window_days": 30.5 }, { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "daily_decisions": 3039, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 60, "max_available_window_days": 30.5 }, { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "daily_decisions": 3039, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 60, "max_available_window_days": 30.5 }, { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "daily_decisions": 3039, "native_missing": 28, "elapsed_missing": 0, "changed_targets": 28, "max_available_window_days": 14.5 }, { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "daily_decisions": 3039, "native_missing": 120, "elapsed_missing": 0, "changed_targets": 120, "max_available_window_days": 60.5 }, { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 3039, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 24, "max_available_window_days": 30.5 }, { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 3039, "native_missing": 120, "elapsed_missing": 60, "changed_targets": 60, "max_available_window_days": 60.166666666666664 }, { "source": "reference", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 3039, "native_missing": 120, "elapsed_missing": 0, "changed_targets": 120, "max_available_window_days": 60.5 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "daily_decisions": 3038, "native_missing": 519, "elapsed_missing": 30, "changed_targets": 489, "max_available_window_days": 30.833333333333332 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "daily_decisions": 3038, "native_missing": 519, "elapsed_missing": 30, "changed_targets": 489, "max_available_window_days": 30.833333333333332 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "daily_decisions": 3038, "native_missing": 519, "elapsed_missing": 30, "changed_targets": 489, "max_available_window_days": 30.833333333333332 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "daily_decisions": 3038, "native_missing": 251, "elapsed_missing": 20, "changed_targets": 231, "max_available_window_days": 14.5 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "daily_decisions": 3038, "native_missing": 953, "elapsed_missing": 60, "changed_targets": 893, "max_available_window_days": 60.833333333333336 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 3038, "native_missing": 519, "elapsed_missing": 30, "changed_targets": 333, "max_available_window_days": 30.833333333333332 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 3038, "native_missing": 953, "elapsed_missing": 180, "changed_targets": 773, "max_available_window_days": 60.5 }, { "source": "binance", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 3038, "native_missing": 953, "elapsed_missing": 0, "changed_targets": 953, "max_available_window_days": 61.333333333333336 }, { "source": "reference", "window": "2019_2022", "model": "elapsed_vol40_30d", "daily_decisions": 1461, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2019_2022", "model": "elapsed_vol60_30d", "daily_decisions": 1461, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2019_2022", "model": "elapsed_vol80_30d", "daily_decisions": 1461, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2019_2022", "model": "elapsed_vol60_14d", "daily_decisions": 1461, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "reference", "window": "2019_2022", "model": "elapsed_vol60_60d", "daily_decisions": 1461, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 1461, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 1461, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 1461, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2019_2022", "model": "elapsed_vol40_30d", "daily_decisions": 1461, "native_missing": 365, "elapsed_missing": 0, "changed_targets": 365, "max_available_window_days": 30.5 }, { "source": "binance", "window": "2019_2022", "model": "elapsed_vol60_30d", "daily_decisions": 1461, "native_missing": 365, "elapsed_missing": 0, "changed_targets": 365, "max_available_window_days": 30.5 }, { "source": "binance", "window": "2019_2022", "model": "elapsed_vol80_30d", "daily_decisions": 1461, "native_missing": 365, "elapsed_missing": 0, "changed_targets": 365, "max_available_window_days": 30.5 }, { "source": "binance", "window": "2019_2022", "model": "elapsed_vol60_14d", "daily_decisions": 1461, "native_missing": 173, "elapsed_missing": 0, "changed_targets": 173, "max_available_window_days": 14.5 }, { "source": "binance", "window": "2019_2022", "model": "elapsed_vol60_60d", "daily_decisions": 1461, "native_missing": 716, "elapsed_missing": 0, "changed_targets": 716, "max_available_window_days": 60.5 }, { "source": "binance", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 1461, "native_missing": 365, "elapsed_missing": 0, "changed_targets": 253, "max_available_window_days": 30.5 }, { "source": "binance", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 1461, "native_missing": 716, "elapsed_missing": 60, "changed_targets": 656, "max_available_window_days": 60.333333333333336 }, { "source": "binance", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 1461, "native_missing": 716, "elapsed_missing": 0, "changed_targets": 716, "max_available_window_days": 60.5 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "daily_decisions": 1213, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 30, "max_available_window_days": 30.166666666666668 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "daily_decisions": 1213, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 30, "max_available_window_days": 30.166666666666668 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "daily_decisions": 1213, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 30, "max_available_window_days": 30.166666666666668 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "daily_decisions": 1213, "native_missing": 14, "elapsed_missing": 0, "changed_targets": 14, "max_available_window_days": 14.166666666666666 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "daily_decisions": 1213, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 60, "max_available_window_days": 60.166666666666664 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 1213, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.166666666666668 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 1213, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 60, "max_available_window_days": 60.166666666666664 }, { "source": "reference", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 1213, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 60, "max_available_window_days": 60.166666666666664 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "daily_decisions": 1213, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "daily_decisions": 1213, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "daily_decisions": 1213, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "daily_decisions": 1213, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "daily_decisions": 1213, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 1213, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 1213, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 1213, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2018", "model": "elapsed_vol40_30d", "daily_decisions": 365, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 30, "max_available_window_days": 30.5 }, { "source": "reference", "window": "2018", "model": "elapsed_vol60_30d", "daily_decisions": 365, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 30, "max_available_window_days": 30.5 }, { "source": "reference", "window": "2018", "model": "elapsed_vol80_30d", "daily_decisions": 365, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 30, "max_available_window_days": 30.5 }, { "source": "reference", "window": "2018", "model": "elapsed_vol60_14d", "daily_decisions": 365, "native_missing": 14, "elapsed_missing": 0, "changed_targets": 14, "max_available_window_days": 14.5 }, { "source": "reference", "window": "2018", "model": "elapsed_vol60_60d", "daily_decisions": 365, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 60, "max_available_window_days": 60.5 }, { "source": "reference", "window": "2018", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 365, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 24, "max_available_window_days": 30.5 }, { "source": "reference", "window": "2018", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 365, "native_missing": 60, "elapsed_missing": 60, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2018", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 365, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 60, "max_available_window_days": 60.5 }, { "source": "binance", "window": "2018", "model": "elapsed_vol40_30d", "daily_decisions": 364, "native_missing": 154, "elapsed_missing": 30, "changed_targets": 124, "max_available_window_days": 30.833333333333332 }, { "source": "binance", "window": "2018", "model": "elapsed_vol60_30d", "daily_decisions": 364, "native_missing": 154, "elapsed_missing": 30, "changed_targets": 124, "max_available_window_days": 30.833333333333332 }, { "source": "binance", "window": "2018", "model": "elapsed_vol80_30d", "daily_decisions": 364, "native_missing": 154, "elapsed_missing": 30, "changed_targets": 124, "max_available_window_days": 30.833333333333332 }, { "source": "binance", "window": "2018", "model": "elapsed_vol60_14d", "daily_decisions": 364, "native_missing": 78, "elapsed_missing": 20, "changed_targets": 58, "max_available_window_days": 14.5 }, { "source": "binance", "window": "2018", "model": "elapsed_vol60_60d", "daily_decisions": 364, "native_missing": 237, "elapsed_missing": 60, "changed_targets": 177, "max_available_window_days": 60.833333333333336 }, { "source": "binance", "window": "2018", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 364, "native_missing": 154, "elapsed_missing": 30, "changed_targets": 80, "max_available_window_days": 30.833333333333332 }, { "source": "binance", "window": "2018", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 364, "native_missing": 237, "elapsed_missing": 120, "changed_targets": 117, "max_available_window_days": 60.5 }, { "source": "binance", "window": "2018", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 364, "native_missing": 237, "elapsed_missing": 0, "changed_targets": 237, "max_available_window_days": 61.333333333333336 }, { "source": "reference", "window": "2019", "model": "elapsed_vol40_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2019", "model": "elapsed_vol60_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2019", "model": "elapsed_vol80_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2019", "model": "elapsed_vol60_14d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "reference", "window": "2019", "model": "elapsed_vol60_60d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2019", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2019", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2019", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2019", "model": "elapsed_vol40_30d", "daily_decisions": 365, "native_missing": 120, "elapsed_missing": 0, "changed_targets": 120, "max_available_window_days": 30.5 }, { "source": "binance", "window": "2019", "model": "elapsed_vol60_30d", "daily_decisions": 365, "native_missing": 120, "elapsed_missing": 0, "changed_targets": 120, "max_available_window_days": 30.5 }, { "source": "binance", "window": "2019", "model": "elapsed_vol80_30d", "daily_decisions": 365, "native_missing": 120, "elapsed_missing": 0, "changed_targets": 120, "max_available_window_days": 30.5 }, { "source": "binance", "window": "2019", "model": "elapsed_vol60_14d", "daily_decisions": 365, "native_missing": 56, "elapsed_missing": 0, "changed_targets": 56, "max_available_window_days": 14.5 }, { "source": "binance", "window": "2019", "model": "elapsed_vol60_60d", "daily_decisions": 365, "native_missing": 241, "elapsed_missing": 0, "changed_targets": 241, "max_available_window_days": 60.5 }, { "source": "binance", "window": "2019", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 365, "native_missing": 120, "elapsed_missing": 0, "changed_targets": 63, "max_available_window_days": 30.5 }, { "source": "binance", "window": "2019", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 365, "native_missing": 241, "elapsed_missing": 60, "changed_targets": 181, "max_available_window_days": 60.333333333333336 }, { "source": "binance", "window": "2019", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 365, "native_missing": 241, "elapsed_missing": 0, "changed_targets": 241, "max_available_window_days": 60.5 }, { "source": "reference", "window": "2020", "model": "elapsed_vol40_30d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2020", "model": "elapsed_vol60_30d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2020", "model": "elapsed_vol80_30d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2020", "model": "elapsed_vol60_14d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "reference", "window": "2020", "model": "elapsed_vol60_60d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2020", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2020", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2020", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2020", "model": "elapsed_vol40_30d", "daily_decisions": 366, "native_missing": 101, "elapsed_missing": 0, "changed_targets": 101, "max_available_window_days": 30.333333333333332 }, { "source": "binance", "window": "2020", "model": "elapsed_vol60_30d", "daily_decisions": 366, "native_missing": 101, "elapsed_missing": 0, "changed_targets": 101, "max_available_window_days": 30.333333333333332 }, { "source": "binance", "window": "2020", "model": "elapsed_vol80_30d", "daily_decisions": 366, "native_missing": 101, "elapsed_missing": 0, "changed_targets": 101, "max_available_window_days": 30.333333333333332 }, { "source": "binance", "window": "2020", "model": "elapsed_vol60_14d", "daily_decisions": 366, "native_missing": 53, "elapsed_missing": 0, "changed_targets": 53, "max_available_window_days": 14.333333333333334 }, { "source": "binance", "window": "2020", "model": "elapsed_vol60_60d", "daily_decisions": 366, "native_missing": 202, "elapsed_missing": 0, "changed_targets": 202, "max_available_window_days": 60.333333333333336 }, { "source": "binance", "window": "2020", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 366, "native_missing": 101, "elapsed_missing": 0, "changed_targets": 49, "max_available_window_days": 30.333333333333332 }, { "source": "binance", "window": "2020", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 366, "native_missing": 202, "elapsed_missing": 0, "changed_targets": 202, "max_available_window_days": 60.333333333333336 }, { "source": "binance", "window": "2020", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 366, "native_missing": 202, "elapsed_missing": 0, "changed_targets": 202, "max_available_window_days": 60.333333333333336 }, { "source": "reference", "window": "2021", "model": "elapsed_vol40_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2021", "model": "elapsed_vol60_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2021", "model": "elapsed_vol80_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2021", "model": "elapsed_vol60_14d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "reference", "window": "2021", "model": "elapsed_vol60_60d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2021", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2021", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2021", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2021", "model": "elapsed_vol40_30d", "daily_decisions": 365, "native_missing": 144, "elapsed_missing": 0, "changed_targets": 144, "max_available_window_days": 30.333333333333332 }, { "source": "binance", "window": "2021", "model": "elapsed_vol60_30d", "daily_decisions": 365, "native_missing": 144, "elapsed_missing": 0, "changed_targets": 144, "max_available_window_days": 30.333333333333332 }, { "source": "binance", "window": "2021", "model": "elapsed_vol80_30d", "daily_decisions": 365, "native_missing": 144, "elapsed_missing": 0, "changed_targets": 144, "max_available_window_days": 30.333333333333332 }, { "source": "binance", "window": "2021", "model": "elapsed_vol60_14d", "daily_decisions": 365, "native_missing": 64, "elapsed_missing": 0, "changed_targets": 64, "max_available_window_days": 14.333333333333334 }, { "source": "binance", "window": "2021", "model": "elapsed_vol60_60d", "daily_decisions": 365, "native_missing": 273, "elapsed_missing": 0, "changed_targets": 273, "max_available_window_days": 60.333333333333336 }, { "source": "binance", "window": "2021", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 365, "native_missing": 144, "elapsed_missing": 0, "changed_targets": 141, "max_available_window_days": 30.333333333333332 }, { "source": "binance", "window": "2021", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 365, "native_missing": 273, "elapsed_missing": 0, "changed_targets": 273, "max_available_window_days": 60.333333333333336 }, { "source": "binance", "window": "2021", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 365, "native_missing": 273, "elapsed_missing": 0, "changed_targets": 273, "max_available_window_days": 60.333333333333336 }, { "source": "reference", "window": "2022", "model": "elapsed_vol40_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2022", "model": "elapsed_vol60_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2022", "model": "elapsed_vol80_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2022", "model": "elapsed_vol60_14d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "reference", "window": "2022", "model": "elapsed_vol60_60d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2022", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2022", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2022", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2022", "model": "elapsed_vol40_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2022", "model": "elapsed_vol60_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2022", "model": "elapsed_vol80_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2022", "model": "elapsed_vol60_14d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "binance", "window": "2022", "model": "elapsed_vol60_60d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2022", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2022", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2022", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2023", "model": "elapsed_vol40_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2023", "model": "elapsed_vol60_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2023", "model": "elapsed_vol80_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2023", "model": "elapsed_vol60_14d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "reference", "window": "2023", "model": "elapsed_vol60_60d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2023", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2023", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2023", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2023", "model": "elapsed_vol40_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2023", "model": "elapsed_vol60_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2023", "model": "elapsed_vol80_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2023", "model": "elapsed_vol60_14d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "binance", "window": "2023", "model": "elapsed_vol60_60d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2023", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2023", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2023", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2024", "model": "elapsed_vol40_30d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2024", "model": "elapsed_vol60_30d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2024", "model": "elapsed_vol80_30d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2024", "model": "elapsed_vol60_14d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "reference", "window": "2024", "model": "elapsed_vol60_60d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2024", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2024", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2024", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2024", "model": "elapsed_vol40_30d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2024", "model": "elapsed_vol60_30d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2024", "model": "elapsed_vol80_30d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2024", "model": "elapsed_vol60_14d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "binance", "window": "2024", "model": "elapsed_vol60_60d", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2024", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2024", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2024", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 366, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2025", "model": "elapsed_vol40_30d", "daily_decisions": 365, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 30, "max_available_window_days": 30.166666666666668 }, { "source": "reference", "window": "2025", "model": "elapsed_vol60_30d", "daily_decisions": 365, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 30, "max_available_window_days": 30.166666666666668 }, { "source": "reference", "window": "2025", "model": "elapsed_vol80_30d", "daily_decisions": 365, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 30, "max_available_window_days": 30.166666666666668 }, { "source": "reference", "window": "2025", "model": "elapsed_vol60_14d", "daily_decisions": 365, "native_missing": 14, "elapsed_missing": 0, "changed_targets": 14, "max_available_window_days": 14.166666666666666 }, { "source": "reference", "window": "2025", "model": "elapsed_vol60_60d", "daily_decisions": 365, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 60, "max_available_window_days": 60.166666666666664 }, { "source": "reference", "window": "2025", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 365, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.166666666666668 }, { "source": "reference", "window": "2025", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 365, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 60, "max_available_window_days": 60.166666666666664 }, { "source": "reference", "window": "2025", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 365, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 60, "max_available_window_days": 60.166666666666664 }, { "source": "binance", "window": "2025", "model": "elapsed_vol40_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2025", "model": "elapsed_vol60_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2025", "model": "elapsed_vol80_30d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2025", "model": "elapsed_vol60_14d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "binance", "window": "2025", "model": "elapsed_vol60_60d", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2025", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2025", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2025", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 365, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2026_partial", "model": "elapsed_vol40_30d", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2026_partial", "model": "elapsed_vol60_30d", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2026_partial", "model": "elapsed_vol80_30d", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2026_partial", "model": "elapsed_vol60_14d", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "reference", "window": "2026_partial", "model": "elapsed_vol60_60d", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2026_partial", "model": "elapsed_vol40_30d", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2026_partial", "model": "elapsed_vol60_30d", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2026_partial", "model": "elapsed_vol80_30d", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2026_partial", "model": "elapsed_vol60_14d", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "binance", "window": "2026_partial", "model": "elapsed_vol60_60d", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 117, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol40_30d", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol60_30d", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol80_30d", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol60_14d", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol60_60d", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol40_30d", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol60_30d", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol80_30d", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol60_14d", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 14.0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol60_60d", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "binance", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 89, "native_missing": 0, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 60.0 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "daily_decisions": 2674, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 30, "max_available_window_days": 30.166666666666668 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "daily_decisions": 2674, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 30, "max_available_window_days": 30.166666666666668 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "daily_decisions": 2674, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 30, "max_available_window_days": 30.166666666666668 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "daily_decisions": 2674, "native_missing": 14, "elapsed_missing": 0, "changed_targets": 14, "max_available_window_days": 14.166666666666666 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "daily_decisions": 2674, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 60, "max_available_window_days": 60.166666666666664 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 2674, "native_missing": 30, "elapsed_missing": 0, "changed_targets": 0, "max_available_window_days": 30.166666666666668 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 2674, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 60, "max_available_window_days": 60.166666666666664 }, { "source": "reference", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 2674, "native_missing": 60, "elapsed_missing": 0, "changed_targets": 60, "max_available_window_days": 60.166666666666664 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "daily_decisions": 2674, "native_missing": 365, "elapsed_missing": 0, "changed_targets": 365, "max_available_window_days": 30.5 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "daily_decisions": 2674, "native_missing": 365, "elapsed_missing": 0, "changed_targets": 365, "max_available_window_days": 30.5 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "daily_decisions": 2674, "native_missing": 365, "elapsed_missing": 0, "changed_targets": 365, "max_available_window_days": 30.5 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "daily_decisions": 2674, "native_missing": 173, "elapsed_missing": 0, "changed_targets": 173, "max_available_window_days": 14.5 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "daily_decisions": 2674, "native_missing": 716, "elapsed_missing": 0, "changed_targets": 716, "max_available_window_days": 60.5 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "daily_decisions": 2674, "native_missing": 365, "elapsed_missing": 0, "changed_targets": 253, "max_available_window_days": 30.5 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "daily_decisions": 2674, "native_missing": 716, "elapsed_missing": 60, "changed_targets": 656, "max_available_window_days": 60.333333333333336 }, { "source": "binance", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "daily_decisions": 2674, "native_missing": 716, "elapsed_missing": 0, "changed_targets": 716, "max_available_window_days": 60.5 } ], "original_windows": [ { "source": "reference", "name": "2018_frozen_end", "requested_first_open": 1514764800, "requested_last_open": 1777320000, "actual_first_open": 1514764800, "actual_last_open": 1777320000, "rows": 18230, "missing_slots": 4, "internal_missing_slots": 4, "covers_both_endpoints": true }, { "source": "binance", "name": "2018_frozen_end", "requested_first_open": 1514764800, "requested_last_open": 1777320000, "actual_first_open": 1514764800, "actual_last_open": 1777320000, "rows": 18200, "missing_slots": 34, "internal_missing_slots": 34, "covers_both_endpoints": true }, { "source": "reference", "name": "2019_2022", "requested_first_open": 1546300800, "requested_last_open": 1672516800, "actual_first_open": 1546300800, "actual_last_open": 1672516800, "rows": 8766, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "binance", "name": "2019_2022", "requested_first_open": 1546300800, "requested_last_open": 1672516800, "actual_first_open": 1546300800, "actual_last_open": 1672516800, "rows": 8748, "missing_slots": 18, "internal_missing_slots": 18, "covers_both_endpoints": true }, { "source": "reference", "name": "2023_frozen_end", "requested_first_open": 1672531200, "requested_last_open": 1777320000, "actual_first_open": 1672531200, "actual_last_open": 1777320000, "rows": 7277, "missing_slots": 1, "internal_missing_slots": 1, "covers_both_endpoints": true }, { "source": "binance", "name": "2023_frozen_end", "requested_first_open": 1672531200, "requested_last_open": 1777320000, "actual_first_open": 1672531200, "actual_last_open": 1777320000, "rows": 7278, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "reference", "name": "2018", "requested_first_open": 1514764800, "requested_last_open": 1546286400, "actual_first_open": 1514764800, "actual_last_open": 1546286400, "rows": 2187, "missing_slots": 3, "internal_missing_slots": 3, "covers_both_endpoints": true }, { "source": "binance", "name": "2018", "requested_first_open": 1514764800, "requested_last_open": 1546286400, "actual_first_open": 1514764800, "actual_last_open": 1546286400, "rows": 2174, "missing_slots": 16, "internal_missing_slots": 16, "covers_both_endpoints": true }, { "source": "reference", "name": "2019", "requested_first_open": 1546300800, "requested_last_open": 1577822400, "actual_first_open": 1546300800, "actual_last_open": 1577822400, "rows": 2190, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "binance", "name": "2019", "requested_first_open": 1546300800, "requested_last_open": 1577822400, "actual_first_open": 1546300800, "actual_last_open": 1577822400, "rows": 2182, "missing_slots": 8, "internal_missing_slots": 8, "covers_both_endpoints": true }, { "source": "reference", "name": "2020", "requested_first_open": 1577836800, "requested_last_open": 1609444800, "actual_first_open": 1577836800, "actual_last_open": 1609444800, "rows": 2196, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "binance", "name": "2020", "requested_first_open": 1577836800, "requested_last_open": 1609444800, "actual_first_open": 1577836800, "actual_last_open": 1609444800, "rows": 2191, "missing_slots": 5, "internal_missing_slots": 5, "covers_both_endpoints": true }, { "source": "reference", "name": "2021", "requested_first_open": 1609459200, "requested_last_open": 1640980800, "actual_first_open": 1609459200, "actual_last_open": 1640980800, "rows": 2190, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "binance", "name": "2021", "requested_first_open": 1609459200, "requested_last_open": 1640980800, "actual_first_open": 1609459200, "actual_last_open": 1640980800, "rows": 2185, "missing_slots": 5, "internal_missing_slots": 5, "covers_both_endpoints": true }, { "source": "reference", "name": "2022", "requested_first_open": 1640995200, "requested_last_open": 1672516800, "actual_first_open": 1640995200, "actual_last_open": 1672516800, "rows": 2190, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "binance", "name": "2022", "requested_first_open": 1640995200, "requested_last_open": 1672516800, "actual_first_open": 1640995200, "actual_last_open": 1672516800, "rows": 2190, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "reference", "name": "2023", "requested_first_open": 1672531200, "requested_last_open": 1704052800, "actual_first_open": 1672531200, "actual_last_open": 1704052800, "rows": 2190, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "binance", "name": "2023", "requested_first_open": 1672531200, "requested_last_open": 1704052800, "actual_first_open": 1672531200, "actual_last_open": 1704052800, "rows": 2190, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "reference", "name": "2024", "requested_first_open": 1704067200, "requested_last_open": 1735675200, "actual_first_open": 1704067200, "actual_last_open": 1735675200, "rows": 2196, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "binance", "name": "2024", "requested_first_open": 1704067200, "requested_last_open": 1735675200, "actual_first_open": 1704067200, "actual_last_open": 1735675200, "rows": 2196, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "reference", "name": "2025", "requested_first_open": 1735689600, "requested_last_open": 1767211200, "actual_first_open": 1735689600, "actual_last_open": 1767211200, "rows": 2189, "missing_slots": 1, "internal_missing_slots": 1, "covers_both_endpoints": true }, { "source": "binance", "name": "2025", "requested_first_open": 1735689600, "requested_last_open": 1767211200, "actual_first_open": 1735689600, "actual_last_open": 1767211200, "rows": 2190, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "reference", "name": "2026_partial", "requested_first_open": 1767225600, "requested_last_open": 1777320000, "actual_first_open": 1767225600, "actual_last_open": 1777320000, "rows": 702, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "binance", "name": "2026_partial", "requested_first_open": 1767225600, "requested_last_open": 1777320000, "actual_first_open": 1767225600, "actual_last_open": 1777320000, "rows": 702, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "reference", "name": "recent_June_September", "requested_first_open": 1781136000, "requested_last_open": 1788811200, "actual_first_open": 1781136000, "actual_last_open": 1788811200, "rows": 534, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "binance", "name": "recent_June_September", "requested_first_open": 1781136000, "requested_last_open": 1788811200, "actual_first_open": 1781136000, "actual_last_open": 1788811200, "rows": 534, "missing_slots": 0, "internal_missing_slots": 0, "covers_both_endpoints": true }, { "source": "reference", "name": "2019_frozen_end", "requested_first_open": 1546300800, "requested_last_open": 1777320000, "actual_first_open": 1546300800, "actual_last_open": 1777320000, "rows": 16043, "missing_slots": 1, "internal_missing_slots": 1, "covers_both_endpoints": true }, { "source": "binance", "name": "2019_frozen_end", "requested_first_open": 1546300800, "requested_last_open": 1777320000, "actual_first_open": 1546300800, "actual_last_open": 1777320000, "rows": 16026, "missing_slots": 18, "internal_missing_slots": 18, "covers_both_endpoints": true } ], "checks": { "baseline": { "records": 23600, "worst_numeric_difference": 0.0 }, "fixed_control_curves_exact": 1344, "previous_traces_hash_verified": 3363, "frozen_dependencies_verified": 6037, "invariants": [ { "source_input": "old", "models": 12, "future_feature_and_account_prefix_exact": true, "scale_targets_exact": true, "worst_scaled_account_difference": 0.0, "cutoff_index": 11800 }, { "source_input": "recent", "models": 12, "future_feature_and_account_prefix_exact": true, "scale_targets_exact": true, "worst_scaled_account_difference": 0.0, "cutoff_index": 24131 }, { "source_input": "binance", "models": 12, "future_feature_and_account_prefix_exact": true, "scale_targets_exact": true, "worst_scaled_account_difference": 0.0, "cutoff_index": 9908 } ] }, "report_sha256": "fd526e13f745d51b2f35fccbf6b5dc464f368b3dbc3821f3d29503a495a5750d", "results": [ { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 70151.17966648345, "return_pct": 601.5117966648345, "cagr_pct": 26.382941182555612, "max_drawdown_pct": 66.74064762109246, "mean_exposure_while_solvent": 0.7685730393211324, "realized_annual_volatility_pct": 43.06264262100401, "trading_costs_quote_units": 1200.7513114430035, "borrowing_costs_quote_units": 904.8076630977324, "price_pnl_quote_units": 62256.73864102466, "turnover_quote_units": 2001252.1857383414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 69557.72695464175, "return_pct": 595.5772695464175, "cagr_pct": 26.25395454590208, "max_drawdown_pct": 66.74064762109253, "mean_exposure_while_solvent": 0.7731621343430062, "realized_annual_volatility_pct": 43.344284594857825, "trading_costs_quote_units": 1209.61481283572, "borrowing_costs_quote_units": 920.563094948795, "price_pnl_quote_units": 61687.904862426585, "turnover_quote_units": 2016024.688059534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 5.934527118417009 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 68423.97563573215, "return_pct": 584.2397563573215, "cagr_pct": 26.004819076999112, "max_drawdown_pct": 81.5212438146767, "mean_exposure_while_solvent": 1.086150712446904, "realized_annual_volatility_pct": 61.830198795088556, "trading_costs_quote_units": 1222.9065257797645, "borrowing_costs_quote_units": 3523.698933604871, "price_pnl_quote_units": 63170.58109511696, "turnover_quote_units": 2038177.5429662718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 76009.66774965757, "return_pct": 660.0966774965757, "cagr_pct": 27.60723070240943, "max_drawdown_pct": 81.52124381467671, "mean_exposure_while_solvent": 1.0831321690939433, "realized_annual_volatility_pct": 61.68734225645879, "trading_costs_quote_units": 1253.8976112291168, "borrowing_costs_quote_units": 3490.725483300555, "price_pnl_quote_units": 70754.29084418726, "turnover_quote_units": 2089829.3520485326, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -75.85692113925415 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43052.935281031656, "return_pct": 330.52935281031654, "cagr_pct": 19.180012266090813, "max_drawdown_pct": 89.1736526331106, "mean_exposure_while_solvent": 1.291458155056653, "realized_annual_volatility_pct": 76.4637321346632, "trading_costs_quote_units": 804.496406990112, "borrowing_costs_quote_units": 3890.9358927766175, "price_pnl_quote_units": 37748.36758079824, "turnover_quote_units": 1340827.3449835167, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 50327.55406706129, "return_pct": 403.2755406706129, "cagr_pct": 21.437538859724093, "max_drawdown_pct": 89.1736526331106, "mean_exposure_while_solvent": 1.2835371777396243, "realized_annual_volatility_pct": 76.09448728058692, "trading_costs_quote_units": 860.1597823548507, "borrowing_costs_quote_units": 3915.885507977028, "price_pnl_quote_units": 45103.599357393025, "turnover_quote_units": 1433599.6372580805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -72.74618786029635 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 49724.70723365415, "return_pct": 397.2470723365415, "cagr_pct": 21.261771940273793, "max_drawdown_pct": 81.631119617246, "mean_exposure_while_solvent": 1.1122870256497999, "realized_annual_volatility_pct": 62.32484824960818, "trading_costs_quote_units": 1583.5196883295926, "borrowing_costs_quote_units": 2950.2045349737186, "price_pnl_quote_units": 44258.43145695748, "turnover_quote_units": 2639199.4805493257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 52158.77672916686, "return_pct": 421.58776729166857, "cagr_pct": 21.96032114726166, "max_drawdown_pct": 81.63111961724603, "mean_exposure_while_solvent": 1.1109734978851584, "realized_annual_volatility_pct": 62.28491354725081, "trading_costs_quote_units": 1607.4139090507751, "borrowing_costs_quote_units": 2933.3629304244746, "price_pnl_quote_units": 46699.55356864241, "turnover_quote_units": 2679023.1817512913, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3013, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -24.34069495512705 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 80423.33506252097, "return_pct": 704.2333506252097, "cagr_pct": 28.475889300321477, "max_drawdown_pct": 78.10924023781517, "mean_exposure_while_solvent": 1.0652962524649874, "realized_annual_volatility_pct": 61.7921731036297, "trading_costs_quote_units": 947.4010262610236, "borrowing_costs_quote_units": 4157.654001713529, "price_pnl_quote_units": 75528.39009049544, "turnover_quote_units": 1579001.7104350405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 91981.15252333008, "return_pct": 819.8115252333007, "cagr_pct": 30.566260884201803, "max_drawdown_pct": 78.10924023781516, "mean_exposure_while_solvent": 1.0573736986676632, "realized_annual_volatility_pct": 61.46145577332284, "trading_costs_quote_units": 972.471298831736, "borrowing_costs_quote_units": 3886.9708598852517, "price_pnl_quote_units": 86840.59468204583, "turnover_quote_units": 1620785.4980528934, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -115.57817460809099 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 54447.51586544543, "return_pct": 444.4751586544543, "cagr_pct": 22.591472365929384, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.9042092823561967, "realized_annual_volatility_pct": 53.79595716444585, "trading_costs_quote_units": 250.9071192508079, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 44698.42298469654, "turnover_quote_units": 418178.53208467993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 54836.92234678091, "return_pct": 448.36922346780915, "cagr_pct": 22.696524844470368, "max_drawdown_pct": 77.23462005993007, "mean_exposure_while_solvent": 0.904523666013071, "realized_annual_volatility_pct": 53.81451349757672, "trading_costs_quote_units": 251.39584818301748, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 45088.31819496389, "turnover_quote_units": 418993.08030502935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1261, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -3.8940648133548734 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 81389.0020588244, "return_pct": 713.8900205882439, "cagr_pct": 28.6603345371319, "max_drawdown_pct": 78.10924023781516, "mean_exposure_while_solvent": 1.0644874111029188, "realized_annual_volatility_pct": 61.782786573841165, "trading_costs_quote_units": 957.3173579041286, "borrowing_costs_quote_units": 4204.525410212519, "price_pnl_quote_units": 76550.84482694049, "turnover_quote_units": 1595528.929840215, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 91981.15252333008, "return_pct": 819.8115252333007, "cagr_pct": 30.566260884201803, "max_drawdown_pct": 78.10924023781516, "mean_exposure_while_solvent": 1.0573736986676632, "realized_annual_volatility_pct": 61.46145577332284, "trading_costs_quote_units": 972.471298831736, "borrowing_costs_quote_units": 3886.9708598852517, "price_pnl_quote_units": 86840.59468204583, "turnover_quote_units": 1620785.4980528934, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -105.92150464505676 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 80423.33506252097, "return_pct": 704.2333506252097, "cagr_pct": 28.475889300321477, "max_drawdown_pct": 78.10924023781517, "mean_exposure_while_solvent": 1.0652962524649874, "realized_annual_volatility_pct": 61.7921731036297, "trading_costs_quote_units": 947.4010262610236, "borrowing_costs_quote_units": 4157.654001713529, "price_pnl_quote_units": 75528.39009049544, "turnover_quote_units": 1579001.7104350405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 91981.15252333008, "return_pct": 819.8115252333007, "cagr_pct": 30.566260884201803, "max_drawdown_pct": 78.10924023781516, "mean_exposure_while_solvent": 1.0573736986676632, "realized_annual_volatility_pct": 61.46145577332284, "trading_costs_quote_units": 972.471298831736, "borrowing_costs_quote_units": 3886.9708598852517, "price_pnl_quote_units": 86840.59468204583, "turnover_quote_units": 1620785.4980528934, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -115.57817460809099 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 51458.78172600418, "return_pct": 414.5878172600418, "cagr_pct": 21.762420372620113, "max_drawdown_pct": 69.8887657745692, "mean_exposure_while_solvent": 0.7500069274772029, "realized_annual_volatility_pct": 48.8927018347182, "trading_costs_quote_units": 194.36823729854157, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41653.14996330291, "turnover_quote_units": 323947.06216423656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 51458.78172600418, "return_pct": 414.5878172600418, "cagr_pct": 21.762420372620113, "max_drawdown_pct": 69.8887657745692, "mean_exposure_while_solvent": 0.7500069274772029, "realized_annual_volatility_pct": 48.8927018347182, "trading_costs_quote_units": 194.36823729854157, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41653.14996330291, "turnover_quote_units": 323947.06216423656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 56487.72630127437, "return_pct": 464.87726301274375, "cagr_pct": 23.134708269540575, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9999451453647833, "realized_annual_volatility_pct": 65.38621440451088, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46493.72270343314, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 56487.72630127437, "return_pct": 464.87726301274375, "cagr_pct": 23.134708269540575, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9999451453647833, "realized_annual_volatility_pct": 65.38621440451088, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46493.72270343314, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43171.80883975598, "return_pct": 331.7180883975598, "cagr_pct": 19.21951638290116, "max_drawdown_pct": 89.51719576390053, "mean_exposure_while_solvent": 1.2499449690285087, "realized_annual_volatility_pct": 82.06623548629844, "trading_costs_quote_units": 277.32889076579266, "borrowing_costs_quote_units": 2398.0529373396857, "price_pnl_quote_units": 35847.19066786149, "turnover_quote_units": 462214.8179429869, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43171.80883975598, "return_pct": 331.7180883975598, "cagr_pct": 19.21951638290116, "max_drawdown_pct": 89.51719576390053, "mean_exposure_while_solvent": 1.2499449690285087, "realized_annual_volatility_pct": 82.06623548629844, "trading_costs_quote_units": 277.32889076579266, "borrowing_costs_quote_units": 2398.0529373396857, "price_pnl_quote_units": 35847.19066786149, "turnover_quote_units": 462214.8179429869, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25761.705352552934, "return_pct": 157.61705352552931, "cagr_pct": 12.046100150988085, "max_drawdown_pct": 94.32929124664147, "mean_exposure_while_solvent": 1.5000444928219363, "realized_annual_volatility_pct": 99.02206853215209, "trading_costs_quote_units": 449.9594796258348, "borrowing_costs_quote_units": 3205.406798488378, "price_pnl_quote_units": 19417.071630667087, "turnover_quote_units": 749932.4660430582, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25761.705352552934, "return_pct": 157.61705352552931, "cagr_pct": 12.046100150988085, "max_drawdown_pct": 94.32929124664147, "mean_exposure_while_solvent": 1.5000444928219363, "realized_annual_volatility_pct": 99.02206853215209, "trading_costs_quote_units": 449.9594796258348, "borrowing_costs_quote_units": 3205.406798488378, "price_pnl_quote_units": 19417.071630667087, "turnover_quote_units": 749932.4660430582, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68870.05215378571, "return_pct": 588.7005215378571, "cagr_pct": 26.103272166596685, "max_drawdown_pct": 66.75542076800834, "mean_exposure_while_solvent": 0.7685764043146656, "realized_annual_volatility_pct": 43.062715939425736, "trading_costs_quote_units": 1187.720018476976, "borrowing_costs_quote_units": 1785.8347274477724, "price_pnl_quote_units": 61843.60689971049, "turnover_quote_units": 1979533.3641282995, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68287.4373009831, "return_pct": 582.8743730098311, "cagr_pct": 25.974570960598736, "max_drawdown_pct": 66.75542076800838, "mean_exposure_while_solvent": 0.7731654993365393, "realized_annual_volatility_pct": 43.344357198558264, "trading_costs_quote_units": 1196.598886600733, "borrowing_costs_quote_units": 1816.945205706132, "price_pnl_quote_units": 61300.98139328966, "turnover_quote_units": 1994331.477667886, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 5.82614852802601 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 63440.669396505305, "return_pct": 534.406693965053, "cagr_pct": 24.864767629031576, "max_drawdown_pct": 81.58572462814418, "mean_exposure_while_solvent": 1.086165366714631, "realized_annual_volatility_pct": 61.83105307716512, "trading_costs_quote_units": 1169.611373854885, "borrowing_costs_quote_units": 6672.290110647066, "price_pnl_quote_units": 61282.5708810072, "turnover_quote_units": 1949352.2897581393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 70572.1998065043, "return_pct": 605.721998065043, "cagr_pct": 26.473868816418044, "max_drawdown_pct": 81.58572462814419, "mean_exposure_while_solvent": 1.0831465680104477, "realized_annual_volatility_pct": 61.688130409722866, "trading_costs_quote_units": 1199.1573621820255, "borrowing_costs_quote_units": 6613.867872080443, "price_pnl_quote_units": 68385.22504076715, "turnover_quote_units": 1998595.6036367079, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -71.31530409998993 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37540.24517148627, "return_pct": 275.4024517148627, "cagr_pct": 17.23335480905793, "max_drawdown_pct": 89.32276074217846, "mean_exposure_while_solvent": 1.2914853276978666, "realized_annual_volatility_pct": 76.46609709568386, "trading_costs_quote_units": 744.7184875884544, "borrowing_costs_quote_units": 7065.256216552017, "price_pnl_quote_units": 35350.21987562694, "turnover_quote_units": 1241197.4793140911, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44028.9437626951, "return_pct": 340.289437626951, "cagr_pct": 19.50156037307778, "max_drawdown_pct": 89.3227607421785, "mean_exposure_while_solvent": 1.2835637006863443, "realized_annual_volatility_pct": 76.09674184042626, "trading_costs_quote_units": 795.6587462574693, "borrowing_costs_quote_units": 7123.641938059299, "price_pnl_quote_units": 41948.24444701225, "turnover_quote_units": 1326097.9104291126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -64.88698591208828 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45606.84700956307, "return_pct": 356.06847009563063, "cagr_pct": 20.00837601723936, "max_drawdown_pct": 81.72701565399248, "mean_exposure_while_solvent": 1.112303972256653, "realized_annual_volatility_pct": 62.325987963914606, "trading_costs_quote_units": 1508.3631151724614, "borrowing_costs_quote_units": 5549.056637739004, "price_pnl_quote_units": 42664.26676247477, "turnover_quote_units": 2513938.5252874405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 47875.07070527862, "return_pct": 378.75070705278614, "cagr_pct": 20.710535623386683, "max_drawdown_pct": 81.72701565399245, "mean_exposure_while_solvent": 1.110990301173847, "realized_annual_volatility_pct": 62.28602614644011, "trading_costs_quote_units": 1530.8909955344448, "borrowing_costs_quote_units": 5519.301385152371, "price_pnl_quote_units": 44925.26308596532, "turnover_quote_units": 2551484.992557405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3013, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -22.68223695715551 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 75121.82486979887, "return_pct": 651.2182486979888, "cagr_pct": 27.427149599580254, "max_drawdown_pct": 78.1398989716848, "mean_exposure_while_solvent": 1.065309325715405, "realized_annual_volatility_pct": 61.79300011100829, "trading_costs_quote_units": 909.1243382551996, "borrowing_costs_quote_units": 7917.1593041632705, "price_pnl_quote_units": 73948.10851221808, "turnover_quote_units": 1515207.2304253352, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 86209.90113856652, "return_pct": 762.0990113856653, "cagr_pct": 29.55330579605475, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 1.057386136850555, "realized_annual_volatility_pct": 61.462164477219126, "trading_costs_quote_units": 933.4133031628845, "borrowing_costs_quote_units": 7414.545921982052, "price_pnl_quote_units": 84557.86036371106, "turnover_quote_units": 1555688.8386048086, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -110.88076268767657 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 54447.51586544543, "return_pct": 444.4751586544543, "cagr_pct": 22.591472365929384, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.9042092823561967, "realized_annual_volatility_pct": 53.79595716444585, "trading_costs_quote_units": 250.9071192508079, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 44698.42298469654, "turnover_quote_units": 418178.53208467993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 54836.92234678091, "return_pct": 448.36922346780915, "cagr_pct": 22.696524844470368, "max_drawdown_pct": 77.23462005993007, "mean_exposure_while_solvent": 0.904523666013071, "realized_annual_volatility_pct": 53.81451349757672, "trading_costs_quote_units": 251.39584818301748, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 45088.31819496389, "turnover_quote_units": 418993.08030502935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1261, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -3.8940648133548734 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 76056.11768201314, "return_pct": 660.5611768201313, "cagr_pct": 27.61660110299501, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 1.0645004186206175, "realized_annual_volatility_pct": 61.78360828854886, "trading_costs_quote_units": 918.965335436564, "borrowing_costs_quote_units": 8009.522029099508, "price_pnl_quote_units": 74984.60504654895, "turnover_quote_units": 1531608.8923942726, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 86209.90113856652, "return_pct": 762.0990113856653, "cagr_pct": 29.55330579605475, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 1.057386136850555, "realized_annual_volatility_pct": 61.462164477219126, "trading_costs_quote_units": 933.4133031628845, "borrowing_costs_quote_units": 7414.545921982052, "price_pnl_quote_units": 84557.86036371106, "turnover_quote_units": 1555688.8386048086, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -101.53783456553401 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 75121.82486979887, "return_pct": 651.2182486979888, "cagr_pct": 27.427149599580254, "max_drawdown_pct": 78.1398989716848, "mean_exposure_while_solvent": 1.065309325715405, "realized_annual_volatility_pct": 61.79300011100829, "trading_costs_quote_units": 909.1243382551996, "borrowing_costs_quote_units": 7917.1593041632705, "price_pnl_quote_units": 73948.10851221808, "turnover_quote_units": 1515207.2304253352, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 86209.90113856652, "return_pct": 762.0990113856653, "cagr_pct": 29.55330579605475, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 1.057386136850555, "realized_annual_volatility_pct": 61.462164477219126, "trading_costs_quote_units": 933.4133031628845, "borrowing_costs_quote_units": 7414.545921982052, "price_pnl_quote_units": 84557.86036371106, "turnover_quote_units": 1555688.8386048086, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -110.88076268767657 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 51458.78172600418, "return_pct": 414.5878172600418, "cagr_pct": 21.762420372620113, "max_drawdown_pct": 69.8887657745692, "mean_exposure_while_solvent": 0.7500069274772029, "realized_annual_volatility_pct": 48.8927018347182, "trading_costs_quote_units": 194.36823729854157, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41653.14996330291, "turnover_quote_units": 323947.06216423656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 51458.78172600418, "return_pct": 414.5878172600418, "cagr_pct": 21.762420372620113, "max_drawdown_pct": 69.8887657745692, "mean_exposure_while_solvent": 0.7500069274772029, "realized_annual_volatility_pct": 48.8927018347182, "trading_costs_quote_units": 194.36823729854157, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41653.14996330291, "turnover_quote_units": 323947.06216423656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56487.72630127437, "return_pct": 464.87726301274375, "cagr_pct": 23.134708269540575, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9999451453647833, "realized_annual_volatility_pct": 65.38621440451088, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46493.72270343314, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56487.72630127437, "return_pct": 464.87726301274375, "cagr_pct": 23.134708269540575, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9999451453647833, "realized_annual_volatility_pct": 65.38621440451088, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46493.72270343314, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 38905.108685785235, "return_pct": 289.0510868578524, "cagr_pct": 17.73764581723814, "max_drawdown_pct": 89.64044983807263, "mean_exposure_while_solvent": 1.2499627971670815, "realized_annual_volatility_pct": 82.06799310776955, "trading_costs_quote_units": 259.9715102273822, "borrowing_costs_quote_units": 4458.142993047513, "price_pnl_quote_units": 33623.22318906027, "turnover_quote_units": 433285.8503789709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 38905.108685785235, "return_pct": 289.0510868578524, "cagr_pct": 17.73764581723814, "max_drawdown_pct": 89.64044983807263, "mean_exposure_while_solvent": 1.2499627971670815, "realized_annual_volatility_pct": 82.06799310776955, "trading_costs_quote_units": 259.9715102273822, "borrowing_costs_quote_units": 4458.142993047513, "price_pnl_quote_units": 33623.22318906027, "turnover_quote_units": 433285.8503789709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20918.471432450377, "return_pct": 109.18471432450376, "cagr_pct": 9.276260697483119, "max_drawdown_pct": 94.46220503959763, "mean_exposure_while_solvent": 1.5000873135817285, "realized_annual_volatility_pct": 99.02639884972969, "trading_costs_quote_units": 396.6757635463221, "borrowing_costs_quote_units": 5554.750517859901, "price_pnl_quote_units": 16869.897713856764, "turnover_quote_units": 661126.2725772054, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20918.471432450377, "return_pct": 109.18471432450376, "cagr_pct": 9.276260697483119, "max_drawdown_pct": 94.46220503959763, "mean_exposure_while_solvent": 1.5000873135817285, "realized_annual_volatility_pct": 99.02639884972969, "trading_costs_quote_units": 396.6757635463221, "borrowing_costs_quote_units": 5554.750517859901, "price_pnl_quote_units": 16869.897713856764, "turnover_quote_units": 661126.2725772054, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 66376.95179910664, "return_pct": 563.7695179910664, "cagr_pct": 25.54565130287315, "max_drawdown_pct": 66.78495399663761, "mean_exposure_while_solvent": 0.7685831354986908, "realized_annual_volatility_pct": 43.062872627753094, "trading_costs_quote_units": 1162.1655263695304, "borrowing_costs_quote_units": 3478.552597879666, "price_pnl_quote_units": 61017.66992335569, "turnover_quote_units": 1936942.5439492199, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 65815.42764176172, "return_pct": 558.1542764176172, "cagr_pct": 25.417519205641398, "max_drawdown_pct": 66.78495399663764, "mean_exposure_while_solvent": 0.7731722305205646, "realized_annual_volatility_pct": 43.34451239202041, "trading_costs_quote_units": 1171.0710329495314, "borrowing_costs_quote_units": 3539.2046757445764, "price_pnl_quote_units": 60525.70335045563, "turnover_quote_units": 1951785.0549158903, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 5.615241573449225 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 54534.2338420358, "return_pct": 445.342338420358, "cagr_pct": 22.61492386384192, "max_drawdown_pct": 81.71404197539496, "mean_exposure_while_solvent": 1.0861946810405665, "realized_annual_volatility_pct": 61.83278514217244, "trading_costs_quote_units": 1071.2887483169436, "borrowing_costs_quote_units": 11970.41095448581, "price_pnl_quote_units": 57575.933544838736, "turnover_quote_units": 1785481.2471949088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 60833.967659423266, "return_pct": 508.3396765942327, "cagr_pct": 24.23666416603679, "max_drawdown_pct": 81.7140419753949, "mean_exposure_while_solvent": 1.083175371543314, "realized_annual_volatility_pct": 61.6897302959419, "trading_costs_quote_units": 1098.1482979445602, "borrowing_costs_quote_units": 11879.855791973503, "price_pnl_quote_units": 63811.97174934137, "turnover_quote_units": 1830247.1632409296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -62.99733817387471 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28539.962186986806, "return_pct": 185.39962186986804, "cagr_pct": 13.43389245877685, "max_drawdown_pct": 89.61491629188332, "mean_exposure_while_solvent": 1.2915396841390694, "realized_annual_volatility_pct": 76.47084564028933, "trading_costs_quote_units": 640.8691958321796, "borrowing_costs_quote_units": 11683.328785768417, "price_pnl_quote_units": 30864.160168587725, "turnover_quote_units": 1068115.3263869644, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33695.46969891482, "return_pct": 236.9546969891482, "cagr_pct": 15.720689217899464, "max_drawdown_pct": 89.61491629188332, "mean_exposure_while_solvent": 1.2836167574753445, "realized_annual_volatility_pct": 76.10127040470053, "trading_costs_quote_units": 683.7146250897388, "borrowing_costs_quote_units": 11822.311820488945, "price_pnl_quote_units": 36201.49614449355, "turnover_quote_units": 1139524.375149566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -51.55507511928016 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 38364.1221286431, "return_pct": 283.641221286431, "cagr_pct": 17.53965263034232, "max_drawdown_pct": 81.91735332374087, "mean_exposure_while_solvent": 1.1123378723013144, "realized_annual_volatility_pct": 62.328293140803396, "trading_costs_quote_units": 1370.940812253588, "borrowing_costs_quote_units": 9826.193940992678, "price_pnl_quote_units": 39561.2568818893, "turnover_quote_units": 2284901.3537559775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 40332.32363686493, "return_pct": 303.3232363686493, "cagr_pct": 18.248592173525726, "max_drawdown_pct": 81.91735332374088, "mean_exposure_while_solvent": 1.1110239145266794, "realized_annual_volatility_pct": 62.28827711120146, "trading_costs_quote_units": 1390.9763291206668, "borrowing_costs_quote_units": 9780.228587184663, "price_pnl_quote_units": 41503.52855317031, "turnover_quote_units": 2318293.8818677766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3013, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -19.6820150822183 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 65541.8486037146, "return_pct": 555.4184860371461, "cagr_pct": 25.35474342183549, "max_drawdown_pct": 78.20110014162199, "mean_exposure_while_solvent": 1.065335477290226, "realized_annual_volatility_pct": 61.79467571903802, "trading_costs_quote_units": 838.0151718065256, "borrowing_costs_quote_units": 14362.024078452698, "price_pnl_quote_units": 70741.88785397334, "turnover_quote_units": 1396691.9530108774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 75728.42594165723, "return_pct": 657.2842594165724, "cagr_pct": 27.550387618665884, "max_drawdown_pct": 78.20110014162202, "mean_exposure_while_solvent": 1.0574110180525709, "realized_annual_volatility_pct": 61.463603342922745, "trading_costs_quote_units": 860.8039127999167, "borrowing_costs_quote_units": 13496.49570115698, "price_pnl_quote_units": 80085.7255556143, "turnover_quote_units": 1434673.1879998622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -101.86577337942629 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 54447.51586544543, "return_pct": 444.4751586544543, "cagr_pct": 22.591472365929384, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.9042092823561967, "realized_annual_volatility_pct": 53.79595716444585, "trading_costs_quote_units": 250.9071192508079, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 44698.42298469654, "turnover_quote_units": 418178.53208467993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 54836.92234678091, "return_pct": 448.36922346780915, "cagr_pct": 22.696524844470368, "max_drawdown_pct": 77.23462005993007, "mean_exposure_while_solvent": 0.904523666013071, "realized_annual_volatility_pct": 53.81451349757672, "trading_costs_quote_units": 251.39584818301748, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 45088.31819496389, "turnover_quote_units": 418993.08030502935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1261, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -3.8940648133548734 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 66413.37349229102, "return_pct": 564.1337349229102, "cagr_pct": 25.55392925742724, "max_drawdown_pct": 78.20110014162202, "mean_exposure_while_solvent": 1.0645264387135553, "realized_annual_volatility_pct": 61.78527342258335, "trading_costs_quote_units": 847.6797860190208, "borrowing_costs_quote_units": 14540.78585058159, "price_pnl_quote_units": 71801.83912889172, "turnover_quote_units": 1412799.6433650362, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 75728.42594165723, "return_pct": 657.2842594165724, "cagr_pct": 27.550387618665884, "max_drawdown_pct": 78.20110014162202, "mean_exposure_while_solvent": 1.0574110180525709, "realized_annual_volatility_pct": 61.463603342922745, "trading_costs_quote_units": 860.8039127999167, "borrowing_costs_quote_units": 13496.49570115698, "price_pnl_quote_units": 80085.7255556143, "turnover_quote_units": 1434673.1879998622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -93.15052449366215 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 65541.8486037146, "return_pct": 555.4184860371461, "cagr_pct": 25.35474342183549, "max_drawdown_pct": 78.20110014162199, "mean_exposure_while_solvent": 1.065335477290226, "realized_annual_volatility_pct": 61.79467571903802, "trading_costs_quote_units": 838.0151718065256, "borrowing_costs_quote_units": 14362.024078452698, "price_pnl_quote_units": 70741.88785397334, "turnover_quote_units": 1396691.9530108774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 75728.42594165723, "return_pct": 657.2842594165724, "cagr_pct": 27.550387618665884, "max_drawdown_pct": 78.20110014162202, "mean_exposure_while_solvent": 1.0574110180525709, "realized_annual_volatility_pct": 61.463603342922745, "trading_costs_quote_units": 860.8039127999167, "borrowing_costs_quote_units": 13496.49570115698, "price_pnl_quote_units": 80085.7255556143, "turnover_quote_units": 1434673.1879998622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -101.86577337942629 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51458.78172600418, "return_pct": 414.5878172600418, "cagr_pct": 21.762420372620113, "max_drawdown_pct": 69.8887657745692, "mean_exposure_while_solvent": 0.7500069274772029, "realized_annual_volatility_pct": 48.8927018347182, "trading_costs_quote_units": 194.36823729854157, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41653.14996330291, "turnover_quote_units": 323947.06216423656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51458.78172600418, "return_pct": 414.5878172600418, "cagr_pct": 21.762420372620113, "max_drawdown_pct": 69.8887657745692, "mean_exposure_while_solvent": 0.7500069274772029, "realized_annual_volatility_pct": 48.8927018347182, "trading_costs_quote_units": 194.36823729854157, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41653.14996330291, "turnover_quote_units": 323947.06216423656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56487.72630127437, "return_pct": 464.87726301274375, "cagr_pct": 23.134708269540575, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9999451453647833, "realized_annual_volatility_pct": 65.38621440451088, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46493.72270343314, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56487.72630127437, "return_pct": 464.87726301274375, "cagr_pct": 23.134708269540575, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9999451453647833, "realized_annual_volatility_pct": 65.38621440451088, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46493.72270343314, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31593.55769788117, "return_pct": 215.9355769788117, "cagr_pct": 14.828270274881671, "max_drawdown_pct": 89.88268188259606, "mean_exposure_while_solvent": 1.2499984589390531, "realized_annual_volatility_pct": 82.07150913093022, "trading_costs_quote_units": 229.03970531643253, "borrowing_costs_quote_units": 7718.29085884611, "price_pnl_quote_units": 29540.888262043765, "turnover_quote_units": 381732.8421940549, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31593.55769788117, "return_pct": 215.9355769788117, "cagr_pct": 14.828270274881671, "max_drawdown_pct": 89.88268188259606, "mean_exposure_while_solvent": 1.2499984589390531, "realized_annual_volatility_pct": 82.07150913093022, "trading_costs_quote_units": 229.03970531643253, "borrowing_costs_quote_units": 7718.29085884611, "price_pnl_quote_units": 29540.888262043765, "turnover_quote_units": 381732.8421940549, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13790.791750490129, "return_pct": 37.90791750490128, "cagr_pct": 3.9388256797301855, "max_drawdown_pct": 94.7188300164184, "mean_exposure_while_solvent": 1.5001729737019303, "realized_annual_volatility_pct": 99.03506226607234, "trading_costs_quote_units": 311.4606357835257, "borrowing_costs_quote_units": 8408.66580991464, "price_pnl_quote_units": 12510.918196188315, "turnover_quote_units": 519101.0596392095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13790.791750490129, "return_pct": 37.90791750490128, "cagr_pct": 3.9388256797301855, "max_drawdown_pct": 94.7188300164184, "mean_exposure_while_solvent": 1.5001729737019303, "realized_annual_volatility_pct": 99.03506226607234, "trading_costs_quote_units": 311.4606357835257, "borrowing_costs_quote_units": 8408.66580991464, "price_pnl_quote_units": 12510.918196188315, "turnover_quote_units": 519101.0596392095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 70484.43332064638, "return_pct": 604.8443332064638, "cagr_pct": 26.454953356033073, "max_drawdown_pct": 66.71761075746286, "mean_exposure_while_solvent": 0.768416058722672, "realized_annual_volatility_pct": 43.23440622888429, "trading_costs_quote_units": 1191.846572277465, "borrowing_costs_quote_units": 901.9620656469691, "price_pnl_quote_units": 62578.24195857104, "turnover_quote_units": 1986410.9537957702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 69577.86994884795, "return_pct": 595.7786994884794, "cagr_pct": 26.25834846100203, "max_drawdown_pct": 66.7176107574629, "mean_exposure_while_solvent": 0.7730087511702469, "realized_annual_volatility_pct": 43.5163354161553, "trading_costs_quote_units": 1197.2167665775894, "borrowing_costs_quote_units": 915.7551897970937, "price_pnl_quote_units": 61690.84190522243, "turnover_quote_units": 1995361.2776293135, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 9.065633717984383 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 72057.25694410868, "return_pct": 620.5725694410869, "cagr_pct": 26.790830969313266, "max_drawdown_pct": 81.40734506194914, "mean_exposure_while_solvent": 1.0858576454257487, "realized_annual_volatility_pct": 61.93745264346069, "trading_costs_quote_units": 1264.9047144953538, "borrowing_costs_quote_units": 3677.0078123244293, "price_pnl_quote_units": 66999.16947092791, "turnover_quote_units": 2108174.524158925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 80470.4753421861, "return_pct": 704.704753421861, "cagr_pct": 28.48493835255981, "max_drawdown_pct": 81.40734506194914, "mean_exposure_while_solvent": 1.0828369726043088, "realized_annual_volatility_pct": 61.79953133754085, "trading_costs_quote_units": 1293.3176919842936, "borrowing_costs_quote_units": 3630.3279285431227, "price_pnl_quote_units": 75394.12096271302, "turnover_quote_units": 2155529.486640491, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -84.13218398077413 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 47395.74497269038, "return_pct": 373.95744972690375, "cagr_pct": 20.564630534638454, "max_drawdown_pct": 89.21001624995581, "mean_exposure_while_solvent": 1.2911763893467358, "realized_annual_volatility_pct": 76.20365002336779, "trading_costs_quote_units": 864.4986717988883, "borrowing_costs_quote_units": 4256.286045824872, "price_pnl_quote_units": 42516.529690314266, "turnover_quote_units": 1440831.1196648173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 55702.22032212325, "return_pct": 457.0222032212325, "cagr_pct": 22.927631662374125, "max_drawdown_pct": 89.21001624995579, "mean_exposure_while_solvent": 1.2832497413030848, "realized_annual_volatility_pct": 75.84144827829992, "trading_costs_quote_units": 917.1213170469642, "borrowing_costs_quote_units": 4251.7224735889795, "price_pnl_quote_units": 50871.06411275872, "turnover_quote_units": 1528535.5284116038, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -83.06475349432873 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 52277.925901184164, "return_pct": 422.77925901184165, "cagr_pct": 21.993773719587224, "max_drawdown_pct": 82.03472179538629, "mean_exposure_while_solvent": 1.111988122953963, "realized_annual_volatility_pct": 62.522426558121055, "trading_costs_quote_units": 1640.8822154628497, "borrowing_costs_quote_units": 3084.0159121799898, "price_pnl_quote_units": 47002.824028827126, "turnover_quote_units": 2734803.6924380884, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 55004.26978621023, "return_pct": 450.0426978621023, "cagr_pct": 22.741469628888954, "max_drawdown_pct": 82.03472179538632, "mean_exposure_while_solvent": 1.1106755426289172, "realized_annual_volatility_pct": 62.48221258024653, "trading_costs_quote_units": 1662.5775911178255, "borrowing_costs_quote_units": 3061.7367329178005, "price_pnl_quote_units": 49728.58411024568, "turnover_quote_units": 2770962.6518630483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3012, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -27.263438850260627 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 86027.23068833708, "return_pct": 760.2723068833708, "cagr_pct": 29.520280390865068, "max_drawdown_pct": 77.96388300449172, "mean_exposure_while_solvent": 1.0650444999554434, "realized_annual_volatility_pct": 61.76248319812881, "trading_costs_quote_units": 987.9395785764859, "borrowing_costs_quote_units": 4406.352949756851, "price_pnl_quote_units": 81421.52321667026, "turnover_quote_units": 1646565.96429414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 99858.58994836101, "return_pct": 898.5858994836102, "cagr_pct": 31.862190399714812, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 1.0571162591110423, "realized_annual_volatility_pct": 61.43160303716566, "trading_costs_quote_units": 1014.4050994967598, "borrowing_costs_quote_units": 4126.96399916857, "price_pnl_quote_units": 94999.95904702568, "turnover_quote_units": 1690675.165827933, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -138.31359260023942 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 56362.523957564976, "return_pct": 463.62523957564974, "cagr_pct": 23.101872588914276, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.9040629785203544, "realized_annual_volatility_pct": 53.854698621437706, "trading_costs_quote_units": 259.8006181907825, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46622.32457575544, "turnover_quote_units": 433001.030317971, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 56746.12481392025, "return_pct": 467.46124813920244, "cagr_pct": 23.202274149077176, "max_drawdown_pct": 77.15760716028328, "mean_exposure_while_solvent": 0.9043786950181217, "realized_annual_volatility_pct": 53.87307185566191, "trading_costs_quote_units": 260.37394474253665, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47006.498758662776, "turnover_quote_units": 433956.5745708945, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1260, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -3.8360085635526957 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 87084.14272594711, "return_pct": 770.8414272594711, "cagr_pct": 29.71051454660038, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 1.064237137333674, "realized_annual_volatility_pct": 61.75359629280172, "trading_costs_quote_units": 998.6808443706416, "borrowing_costs_quote_units": 4457.3959933844935, "price_pnl_quote_units": 82540.21956370166, "turnover_quote_units": 1664468.0739510693, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2979, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 99858.58994836101, "return_pct": 898.5858994836102, "cagr_pct": 31.862190399714812, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 1.0571162591110423, "realized_annual_volatility_pct": 61.43160303716566, "trading_costs_quote_units": 1014.4050994967598, "borrowing_costs_quote_units": 4126.96399916857, "price_pnl_quote_units": 94999.95904702568, "turnover_quote_units": 1690675.165827933, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -127.74447222413914 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 86027.23068833708, "return_pct": 760.2723068833708, "cagr_pct": 29.520280390865068, "max_drawdown_pct": 77.96388300449172, "mean_exposure_while_solvent": 1.0650444999554434, "realized_annual_volatility_pct": 61.76248319812881, "trading_costs_quote_units": 987.9395785764859, "borrowing_costs_quote_units": 4406.352949756851, "price_pnl_quote_units": 81421.52321667026, "turnover_quote_units": 1646565.96429414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 99858.58994836101, "return_pct": 898.5858994836102, "cagr_pct": 31.862190399714812, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 1.0571162591110423, "realized_annual_volatility_pct": 61.43160303716566, "trading_costs_quote_units": 1014.4050994967598, "borrowing_costs_quote_units": 4126.96399916857, "price_pnl_quote_units": 94999.95904702568, "turnover_quote_units": 1690675.165827933, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -138.31359260023942 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 51959.40834925463, "return_pct": 419.59408349254625, "cagr_pct": 21.904195395677316, "max_drawdown_pct": 70.01783714728853, "mean_exposure_while_solvent": 0.7499201773877829, "realized_annual_volatility_pct": 48.94699102898192, "trading_costs_quote_units": 193.68188838396162, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42153.09023763851, "turnover_quote_units": 322803.14730660233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 51959.40834925463, "return_pct": 419.59408349254625, "cagr_pct": 21.904195395677316, "max_drawdown_pct": 70.01783714728853, "mean_exposure_while_solvent": 0.7499201773877829, "realized_annual_volatility_pct": 48.94699102898192, "trading_costs_quote_units": 193.68188838396162, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42153.09023763851, "turnover_quote_units": 322803.14730660233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 57962.128109587495, "return_pct": 479.62128109587496, "cagr_pct": 23.516644744163496, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9998354360943499, "realized_annual_volatility_pct": 65.38088224334234, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47968.12451174634, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 57962.128109587495, "return_pct": 479.62128109587496, "cagr_pct": 23.516644744163496, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9998354360943499, "realized_annual_volatility_pct": 65.38088224334234, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47968.12451174634, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45421.1797993165, "return_pct": 354.21179799316496, "cagr_pct": 19.94954869000897, "max_drawdown_pct": 89.425441351889, "mean_exposure_while_solvent": 1.249824452854843, "realized_annual_volatility_pct": 81.921882324859, "trading_costs_quote_units": 290.32533504255554, "borrowing_costs_quote_units": 2525.5938263857306, "price_pnl_quote_units": 38237.0989607447, "turnover_quote_units": 483875.55840425944, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45421.1797993165, "return_pct": 354.21179799316496, "cagr_pct": 19.94954869000897, "max_drawdown_pct": 89.425441351889, "mean_exposure_while_solvent": 1.249824452854843, "realized_annual_volatility_pct": 81.921882324859, "trading_costs_quote_units": 290.32533504255554, "borrowing_costs_quote_units": 2525.5938263857306, "price_pnl_quote_units": 38237.0989607447, "turnover_quote_units": 483875.55840425944, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28071.99937138555, "return_pct": 180.7199937138555, "cagr_pct": 13.208708329070049, "max_drawdown_pct": 94.20004875573156, "mean_exposure_while_solvent": 1.499928731967777, "realized_annual_volatility_pct": 98.60070028586762, "trading_costs_quote_units": 491.05168358271237, "borrowing_costs_quote_units": 3502.4328106954304, "price_pnl_quote_units": 22065.48386566389, "turnover_quote_units": 818419.4726378535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28071.99937138555, "return_pct": 180.7199937138555, "cagr_pct": 13.208708329070049, "max_drawdown_pct": 94.20004875573156, "mean_exposure_while_solvent": 1.499928731967777, "realized_annual_volatility_pct": 98.60070028586762, "trading_costs_quote_units": 491.05168358271237, "borrowing_costs_quote_units": 3502.4328106954304, "price_pnl_quote_units": 22065.48386566389, "turnover_quote_units": 818419.4726378535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 69197.19378388014, "return_pct": 591.9719378388014, "cagr_pct": 26.175119284047632, "max_drawdown_pct": 66.73244057089238, "mean_exposure_while_solvent": 0.7684194227769802, "realized_annual_volatility_pct": 43.23446205011963, "trading_costs_quote_units": 1178.9000950466984, "borrowing_costs_quote_units": 1780.1656396496949, "price_pnl_quote_units": 62156.259518576764, "turnover_quote_units": 1964833.4917444917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 68307.18675168439, "return_pct": 583.0718675168439, "cagr_pct": 25.97894945895167, "max_drawdown_pct": 66.73244057089236, "mean_exposure_while_solvent": 0.773012115224555, "realized_annual_volatility_pct": 43.51639051403479, "trading_costs_quote_units": 1184.3293024527036, "borrowing_costs_quote_units": 1807.40337774107, "price_pnl_quote_units": 61298.9194318782, "turnover_quote_units": 1973882.1707545044, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 8.900070321957514 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 66810.94432260192, "return_pct": 568.1094432260192, "cagr_pct": 25.644030696901364, "max_drawdown_pct": 81.47179469716191, "mean_exposure_while_solvent": 1.085872281537914, "realized_annual_volatility_pct": 61.93812431796667, "trading_costs_quote_units": 1209.5874224198076, "borrowing_costs_quote_units": 6961.759714142359, "price_pnl_quote_units": 64982.29145916447, "turnover_quote_units": 2015979.037366342, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 74715.80422888267, "return_pct": 647.1580422888267, "cagr_pct": 27.344171754890333, "max_drawdown_pct": 81.47179469716187, "mean_exposure_while_solvent": 1.0828513534271473, "realized_annual_volatility_pct": 61.80013634768837, "trading_costs_quote_units": 1236.598540247708, "borrowing_costs_quote_units": 6877.365264605342, "price_pnl_quote_units": 72829.76803373564, "turnover_quote_units": 2060997.567079513, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -79.04859906280751 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 41328.439339746794, "return_pct": 313.2843933974679, "cagr_pct": 18.595859675076948, "max_drawdown_pct": 89.3586939637238, "mean_exposure_while_solvent": 1.291203554380942, "realized_annual_volatility_pct": 76.20555745650832, "trading_costs_quote_units": 799.8188235610382, "borrowing_costs_quote_units": 7726.196342897896, "price_pnl_quote_units": 39854.45450620622, "turnover_quote_units": 1333031.3726017312, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 48732.72271448419, "return_pct": 387.3272271448419, "cagr_pct": 20.968424362025427, "max_drawdown_pct": 89.3586939637238, "mean_exposure_while_solvent": 1.283276257300179, "realized_annual_volatility_pct": 75.8432503453126, "trading_costs_quote_units": 847.9002901620598, "borrowing_costs_quote_units": 7731.651416758429, "price_pnl_quote_units": 47312.274421404785, "turnover_quote_units": 1413167.1502700993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -74.042833747374 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 47949.61159055956, "return_pct": 379.49611590559556, "cagr_pct": 20.73311003126602, "max_drawdown_pct": 82.1284313778874, "mean_exposure_while_solvent": 1.1120050519739562, "realized_annual_volatility_pct": 62.52338341827486, "trading_costs_quote_units": 1562.6368048847, "borrowing_costs_quote_units": 5799.088748027008, "price_pnl_quote_units": 45311.33714347086, "turnover_quote_units": 2604394.674807835, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 50487.96028411848, "return_pct": 404.8796028411848, "cagr_pct": 21.48399504504893, "max_drawdown_pct": 82.1284313778874, "mean_exposure_while_solvent": 1.1106923284665273, "realized_annual_volatility_pct": 62.48314042934043, "trading_costs_quote_units": 1583.0526296788805, "borrowing_costs_quote_units": 5759.108309139026, "price_pnl_quote_units": 47830.12122293694, "turnover_quote_units": 2638421.049464802, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3012, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -25.383486935589247 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 80358.26549031142, "return_pct": 703.5826549031142, "cagr_pct": 28.463390870000797, "max_drawdown_pct": 77.99461074922954, "mean_exposure_while_solvent": 1.0650575600779473, "realized_annual_volatility_pct": 61.763122914205496, "trading_costs_quote_units": 947.9120089856493, "borrowing_costs_quote_units": 8389.981836397397, "price_pnl_quote_units": 79696.15933569384, "turnover_quote_units": 1579853.3483094163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 93595.64358071084, "return_pct": 835.9564358071083, "cagr_pct": 30.839612379729193, "max_drawdown_pct": 77.99461074922948, "mean_exposure_while_solvent": 1.057128684325471, "realized_annual_volatility_pct": 61.43212383904421, "trading_costs_quote_units": 973.5765736965305, "borrowing_costs_quote_units": 7871.405661168908, "price_pnl_quote_units": 92440.62581557638, "turnover_quote_units": 1622627.6228275492, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -132.3737809039941 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 56362.523957564976, "return_pct": 463.62523957564974, "cagr_pct": 23.101872588914276, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.9040629785203544, "realized_annual_volatility_pct": 53.854698621437706, "trading_costs_quote_units": 259.8006181907825, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46622.32457575544, "turnover_quote_units": 433001.030317971, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 56746.12481392025, "return_pct": 467.46124813920244, "cagr_pct": 23.202274149077176, "max_drawdown_pct": 77.15760716028328, "mean_exposure_while_solvent": 0.9043786950181217, "realized_annual_volatility_pct": 53.87307185566191, "trading_costs_quote_units": 260.37394474253665, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47006.498758662776, "turnover_quote_units": 433956.5745708945, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1260, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -3.8360085635526957 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 81380.0836142828, "return_pct": 713.8008361428281, "cagr_pct": 28.658639917054806, "max_drawdown_pct": 77.99461074922948, "mean_exposure_while_solvent": 1.0642501317072603, "realized_annual_volatility_pct": 61.75423031577236, "trading_costs_quote_units": 958.5625570253046, "borrowing_costs_quote_units": 8490.480368010412, "price_pnl_quote_units": 80829.12653931824, "turnover_quote_units": 1597604.2617088365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2979, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 93595.64358071084, "return_pct": 835.9564358071083, "cagr_pct": 30.839612379729193, "max_drawdown_pct": 77.99461074922948, "mean_exposure_while_solvent": 1.057128684325471, "realized_annual_volatility_pct": 61.43212383904421, "trading_costs_quote_units": 973.5765736965305, "borrowing_costs_quote_units": 7871.405661168908, "price_pnl_quote_units": 92440.62581557638, "turnover_quote_units": 1622627.6228275492, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -122.1555996642802 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 80358.26549031142, "return_pct": 703.5826549031142, "cagr_pct": 28.463390870000797, "max_drawdown_pct": 77.99461074922954, "mean_exposure_while_solvent": 1.0650575600779473, "realized_annual_volatility_pct": 61.763122914205496, "trading_costs_quote_units": 947.9120089856493, "borrowing_costs_quote_units": 8389.981836397397, "price_pnl_quote_units": 79696.15933569384, "turnover_quote_units": 1579853.3483094163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 93595.64358071084, "return_pct": 835.9564358071083, "cagr_pct": 30.839612379729193, "max_drawdown_pct": 77.99461074922948, "mean_exposure_while_solvent": 1.057128684325471, "realized_annual_volatility_pct": 61.43212383904421, "trading_costs_quote_units": 973.5765736965305, "borrowing_costs_quote_units": 7871.405661168908, "price_pnl_quote_units": 92440.62581557638, "turnover_quote_units": 1622627.6228275492, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -132.3737809039941 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 51959.40834925463, "return_pct": 419.59408349254625, "cagr_pct": 21.904195395677316, "max_drawdown_pct": 70.01783714728853, "mean_exposure_while_solvent": 0.7499201773877829, "realized_annual_volatility_pct": 48.94699102898192, "trading_costs_quote_units": 193.68188838396162, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42153.09023763851, "turnover_quote_units": 322803.14730660233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 51959.40834925463, "return_pct": 419.59408349254625, "cagr_pct": 21.904195395677316, "max_drawdown_pct": 70.01783714728853, "mean_exposure_while_solvent": 0.7499201773877829, "realized_annual_volatility_pct": 48.94699102898192, "trading_costs_quote_units": 193.68188838396162, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42153.09023763851, "turnover_quote_units": 322803.14730660233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57962.128109587495, "return_pct": 479.62128109587496, "cagr_pct": 23.516644744163496, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9998354360943499, "realized_annual_volatility_pct": 65.38088224334234, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47968.12451174634, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57962.128109587495, "return_pct": 479.62128109587496, "cagr_pct": 23.516644744163496, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9998354360943499, "realized_annual_volatility_pct": 65.38088224334234, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47968.12451174634, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40932.73661129443, "return_pct": 309.3273661129443, "cagr_pct": 18.45880013430816, "max_drawdown_pct": 89.54977536768607, "mean_exposure_while_solvent": 1.2498422925416104, "realized_annual_volatility_pct": 81.92342470946905, "trading_costs_quote_units": 272.148491521525, "borrowing_costs_quote_units": 4695.481169066622, "price_pnl_quote_units": 35900.3662718829, "turnover_quote_units": 453580.8192025401, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40932.73661129443, "return_pct": 309.3273661129443, "cagr_pct": 18.45880013430816, "max_drawdown_pct": 89.54977536768607, "mean_exposure_while_solvent": 1.2498422925416104, "realized_annual_volatility_pct": 81.92342470946905, "trading_costs_quote_units": 272.148491521525, "borrowing_costs_quote_units": 4695.481169066622, "price_pnl_quote_units": 35900.3662718829, "turnover_quote_units": 453580.8192025401, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22795.180878563373, "return_pct": 127.95180878563373, "cagr_pct": 10.410567363753728, "max_drawdown_pct": 94.33598063017182, "mean_exposure_while_solvent": 1.4999715844000359, "realized_annual_volatility_pct": 98.6044532352771, "trading_costs_quote_units": 433.00967660346976, "borrowing_costs_quote_units": 6070.709704183605, "price_pnl_quote_units": 19298.90025935046, "turnover_quote_units": 721682.7943391157, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22795.180878563373, "return_pct": 127.95180878563373, "cagr_pct": 10.410567363753728, "max_drawdown_pct": 94.33598063017182, "mean_exposure_while_solvent": 1.4999715844000359, "realized_annual_volatility_pct": 98.6044532352771, "trading_costs_quote_units": 433.00967660346976, "borrowing_costs_quote_units": 6070.709704183605, "price_pnl_quote_units": 19298.90025935046, "turnover_quote_units": 721682.7943391157, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 66692.20664110324, "return_pct": 566.9220664110325, "cagr_pct": 25.617170701356045, "max_drawdown_pct": 66.76208702858698, "mean_exposure_while_solvent": 0.7684261520824919, "realized_annual_volatility_pct": 43.23458365591004, "trading_costs_quote_units": 1153.5213248899195, "borrowing_costs_quote_units": 3467.304104056956, "price_pnl_quote_units": 61313.03207005031, "turnover_quote_units": 1922535.5414831964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 65834.41849020484, "return_pct": 558.3441849020485, "cagr_pct": 25.421868342655213, "max_drawdown_pct": 66.76208702858698, "mean_exposure_while_solvent": 0.7730188445300668, "realized_annual_volatility_pct": 43.51651060839262, "trading_costs_quote_units": 1159.0626915976015, "borrowing_costs_quote_units": 3520.4137834846483, "price_pnl_quote_units": 60513.894965287545, "turnover_quote_units": 1931771.1526626702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 8.577881508983978 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57434.114184669845, "return_pct": 474.34114184669846, "cagr_pct": 23.38085819955295, "max_drawdown_pct": 81.60005560670024, "mean_exposure_while_solvent": 1.0859015595431674, "realized_annual_volatility_pct": 61.939491138020905, "trading_costs_quote_units": 1107.5685100237993, "borrowing_costs_quote_units": 12486.61031508662, "price_pnl_quote_units": 61028.29300978106, "turnover_quote_units": 1845947.5167063316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 64409.08543192519, "return_pct": 544.0908543192519, "cagr_pct": 25.092339768183976, "max_drawdown_pct": 81.60005560670025, "mean_exposure_while_solvent": 1.0828801207632686, "realized_annual_volatility_pct": 61.80136991681287, "trading_costs_quote_units": 1131.9831793206972, "borrowing_costs_quote_units": 12349.38683079234, "price_pnl_quote_units": 67890.4554420383, "turnover_quote_units": 1886638.6322011647, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -69.74971247255343 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31422.1352195998, "return_pct": 214.221352195998, "cagr_pct": 14.75320479002514, "max_drawdown_pct": 89.65000353564407, "mean_exposure_while_solvent": 1.2912578956099898, "realized_annual_volatility_pct": 76.20939083509964, "trading_costs_quote_units": 687.532405175842, "borrowing_costs_quote_units": 12767.353821303002, "price_pnl_quote_units": 34877.02144607851, "turnover_quote_units": 1145887.3419597347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37297.96605419782, "return_pct": 272.9796605419782, "cagr_pct": 17.142155897751863, "max_drawdown_pct": 89.65000353564407, "mean_exposure_while_solvent": 1.2833293001927608, "realized_annual_volatility_pct": 75.84687382150088, "trading_costs_quote_units": 727.8501773697204, "borrowing_costs_quote_units": 12820.93364004141, "price_pnl_quote_units": 40846.749871609165, "turnover_quote_units": 1213083.6289495337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -58.7583083459802 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 40336.511904559884, "return_pct": 303.3651190455989, "cagr_pct": 18.250068018267214, "max_drawdown_pct": 82.31443074780233, "mean_exposure_while_solvent": 1.1120389168351519, "realized_annual_volatility_pct": 62.5253227318783, "trading_costs_quote_units": 1419.6227412253645, "borrowing_costs_quote_units": 10262.881448581693, "price_pnl_quote_units": 42019.01609436729, "turnover_quote_units": 2366037.9020422758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 42535.406886532786, "return_pct": 325.35406886532786, "cagr_pct": 19.00690072452599, "max_drawdown_pct": 82.31443074780236, "mean_exposure_while_solvent": 1.1107259069076014, "realized_annual_volatility_pct": 62.48502173614082, "trading_costs_quote_units": 1437.706689169816, "borrowing_costs_quote_units": 10198.814312909848, "price_pnl_quote_units": 44171.9278886125, "turnover_quote_units": 2396177.815283029, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3012, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -21.988949819728987 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 70113.91533266105, "return_pct": 601.1391533266105, "cagr_pct": 26.374870101838432, "max_drawdown_pct": 78.05595024482476, "mean_exposure_while_solvent": 1.0650836853901273, "realized_annual_volatility_pct": 61.764423878721445, "trading_costs_quote_units": 873.6338666316319, "borrowing_costs_quote_units": 15216.86089182485, "price_pnl_quote_units": 76204.41009111809, "turnover_quote_units": 1456056.4443860548, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 82220.70888924586, "return_pct": 722.2070888924586, "cagr_pct": 28.817656128951896, "max_drawdown_pct": 78.05595024482479, "mean_exposure_while_solvent": 1.0571535395842389, "realized_annual_volatility_pct": 61.43318683942566, "trading_costs_quote_units": 897.7539305871668, "borrowing_costs_quote_units": 14324.586673242773, "price_pnl_quote_units": 87443.04949307592, "turnover_quote_units": 1496256.5509786103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -121.06793556584807 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 56362.523957564976, "return_pct": 463.62523957564974, "cagr_pct": 23.101872588914276, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.9040629785203544, "realized_annual_volatility_pct": 53.854698621437706, "trading_costs_quote_units": 259.8006181907825, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46622.32457575544, "turnover_quote_units": 433001.030317971, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 56746.12481392025, "return_pct": 467.46124813920244, "cagr_pct": 23.202274149077176, "max_drawdown_pct": 77.15760716028328, "mean_exposure_while_solvent": 0.9043786950181217, "realized_annual_volatility_pct": 53.87307185566191, "trading_costs_quote_units": 260.37394474253665, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47006.498758662776, "turnover_quote_units": 433956.5745708945, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1260, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -3.8360085635526957 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 71065.81640640639, "return_pct": 610.6581640640638, "cagr_pct": 26.579869277357815, "max_drawdown_pct": 78.05595024482479, "mean_exposure_while_solvent": 1.064276125505126, "realized_annual_volatility_pct": 61.75552000393042, "trading_costs_quote_units": 884.0787524775386, "borrowing_costs_quote_units": 15411.072320968424, "price_pnl_quote_units": 77360.96747985232, "turnover_quote_units": 1473464.5874625659, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2979, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 82220.70888924586, "return_pct": 722.2070888924586, "cagr_pct": 28.817656128951896, "max_drawdown_pct": 78.05595024482479, "mean_exposure_while_solvent": 1.0571535395842389, "realized_annual_volatility_pct": 61.43318683942566, "trading_costs_quote_units": 897.7539305871668, "borrowing_costs_quote_units": 14324.586673242773, "price_pnl_quote_units": 87443.04949307592, "turnover_quote_units": 1496256.5509786103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -111.54892482839477 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 70113.91533266105, "return_pct": 601.1391533266105, "cagr_pct": 26.374870101838432, "max_drawdown_pct": 78.05595024482476, "mean_exposure_while_solvent": 1.0650836853901273, "realized_annual_volatility_pct": 61.764423878721445, "trading_costs_quote_units": 873.6338666316319, "borrowing_costs_quote_units": 15216.86089182485, "price_pnl_quote_units": 76204.41009111809, "turnover_quote_units": 1456056.4443860548, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 82220.70888924586, "return_pct": 722.2070888924586, "cagr_pct": 28.817656128951896, "max_drawdown_pct": 78.05595024482479, "mean_exposure_while_solvent": 1.0571535395842389, "realized_annual_volatility_pct": 61.43318683942566, "trading_costs_quote_units": 897.7539305871668, "borrowing_costs_quote_units": 14324.586673242773, "price_pnl_quote_units": 87443.04949307592, "turnover_quote_units": 1496256.5509786103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -121.06793556584807 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51959.40834925463, "return_pct": 419.59408349254625, "cagr_pct": 21.904195395677316, "max_drawdown_pct": 70.01783714728853, "mean_exposure_while_solvent": 0.7499201773877829, "realized_annual_volatility_pct": 48.94699102898192, "trading_costs_quote_units": 193.68188838396162, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42153.09023763851, "turnover_quote_units": 322803.14730660233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51959.40834925463, "return_pct": 419.59408349254625, "cagr_pct": 21.904195395677316, "max_drawdown_pct": 70.01783714728853, "mean_exposure_while_solvent": 0.7499201773877829, "realized_annual_volatility_pct": 48.94699102898192, "trading_costs_quote_units": 193.68188838396162, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42153.09023763851, "turnover_quote_units": 322803.14730660233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57962.128109587495, "return_pct": 479.62128109587496, "cagr_pct": 23.516644744163496, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9998354360943499, "realized_annual_volatility_pct": 65.38088224334234, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47968.12451174634, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57962.128109587495, "return_pct": 479.62128109587496, "cagr_pct": 23.516644744163496, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9998354360943499, "realized_annual_volatility_pct": 65.38088224334234, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47968.12451174634, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33241.040672087416, "return_pct": 232.41040672087414, "cagr_pct": 15.53198583705596, "max_drawdown_pct": 89.79412961646625, "mean_exposure_while_solvent": 1.2498779774231947, "realized_annual_volatility_pct": 81.92651020114158, "trading_costs_quote_units": 239.76142305971595, "borrowing_costs_quote_units": 8129.9673265265255, "price_pnl_quote_units": 31610.7694216735, "turnover_quote_units": 399602.3717661931, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33241.040672087416, "return_pct": 232.41040672087414, "cagr_pct": 15.53198583705596, "max_drawdown_pct": 89.79412961646625, "mean_exposure_while_solvent": 1.2498779774231947, "realized_annual_volatility_pct": 81.92651020114158, "trading_costs_quote_units": 239.76142305971595, "borrowing_costs_quote_units": 8129.9673265265255, "price_pnl_quote_units": 31610.7694216735, "turnover_quote_units": 399602.3717661931, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15029.029384195044, "return_pct": 50.29029384195045, "cagr_pct": 5.018561154620939, "max_drawdown_pct": 94.59843335696227, "mean_exposure_while_solvent": 1.5000573079114834, "realized_annual_volatility_pct": 98.61196159282044, "trading_costs_quote_units": 340.079170285593, "borrowing_costs_quote_units": 9193.043238820117, "price_pnl_quote_units": 14562.151793300707, "turnover_quote_units": 566798.6171426544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15029.029384195044, "return_pct": 50.29029384195045, "cagr_pct": 5.018561154620939, "max_drawdown_pct": 94.59843335696227, "mean_exposure_while_solvent": 1.5000573079114834, "realized_annual_volatility_pct": 98.61196159282044, "trading_costs_quote_units": 340.079170285593, "borrowing_costs_quote_units": 9193.043238820117, "price_pnl_quote_units": 14562.151793300707, "turnover_quote_units": 566798.6171426544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61437.581941749246, "return_pct": 514.3758194174924, "cagr_pct": 24.38418673261116, "max_drawdown_pct": 67.18142604094976, "mean_exposure_while_solvent": 0.7685730393211324, "realized_annual_volatility_pct": 43.06061924795536, "trading_costs_quote_units": 5459.872942701298, "borrowing_costs_quote_units": 810.8692648464937, "price_pnl_quote_units": 57708.32414929707, "turnover_quote_units": 1819957.647567098, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 60898.7424024176, "return_pct": 508.987424024176, "cagr_pct": 24.252556560843928, "max_drawdown_pct": 67.18142604094976, "mean_exposure_while_solvent": 0.7731621343430062, "realized_annual_volatility_pct": 43.34226193912114, "trading_costs_quote_units": 5498.839494539604, "borrowing_costs_quote_units": 824.4181388787399, "price_pnl_quote_units": 57222.000035836274, "turnover_quote_units": 1832946.4981798688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 5.388395393316387 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59181.05489366247, "return_pct": 491.8105489366247, "cagr_pct": 23.82600063647884, "max_drawdown_pct": 81.82221332199101, "mean_exposure_while_solvent": 1.086150712446904, "realized_annual_volatility_pct": 61.825578508341735, "trading_costs_quote_units": 5503.808374952628, "borrowing_costs_quote_units": 3120.775404428547, "price_pnl_quote_units": 57805.6386730435, "turnover_quote_units": 1834602.7916508755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 65843.78360745942, "return_pct": 558.4378360745942, "cagr_pct": 25.42401266291551, "max_drawdown_pct": 81.82221332199103, "mean_exposure_while_solvent": 1.0831321690939433, "realized_annual_volatility_pct": 61.68283493506323, "trading_costs_quote_units": 5648.226373654627, "borrowing_costs_quote_units": 3096.928738282951, "price_pnl_quote_units": 64588.938719397076, "turnover_quote_units": 1882742.1245515423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -66.62728713796952 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37378.253955167325, "return_pct": 273.78253955167327, "cagr_pct": 17.172435531622007, "max_drawdown_pct": 89.3969306477196, "mean_exposure_while_solvent": 1.291458155056653, "realized_annual_volatility_pct": 76.45953564256888, "trading_costs_quote_units": 3647.760749122175, "borrowing_costs_quote_units": 3468.1981255024607, "price_pnl_quote_units": 34494.21282979197, "turnover_quote_units": 1215920.2497073906, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43666.62325510326, "return_pct": 336.66623255103264, "cagr_pct": 19.382931880587698, "max_drawdown_pct": 89.39693064771961, "mean_exposure_while_solvent": 1.2835371777396243, "realized_annual_volatility_pct": 76.0899399774549, "trading_costs_quote_units": 3895.7304736375904, "borrowing_costs_quote_units": 3492.9125841067957, "price_pnl_quote_units": 41055.26631284754, "turnover_quote_units": 1298576.824545864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -62.88369299935937 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 38909.516613273925, "return_pct": 289.0951661327393, "cagr_pct": 17.739249080551662, "max_drawdown_pct": 82.20524463104411, "mean_exposure_while_solvent": 1.1122870256497999, "realized_annual_volatility_pct": 62.32148205887572, "trading_costs_quote_units": 6677.908015256311, "borrowing_costs_quote_units": 2411.448489294459, "price_pnl_quote_units": 37998.873117824674, "turnover_quote_units": 2225969.3384187683, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40837.12276145859, "return_pct": 308.37122761458585, "cagr_pct": 18.42550755948984, "max_drawdown_pct": 82.20524463104407, "mean_exposure_while_solvent": 1.1109734978851584, "realized_annual_volatility_pct": 62.281831382684935, "trading_costs_quote_units": 6779.648851873158, "borrowing_costs_quote_units": 2400.2947722699364, "price_pnl_quote_units": 40017.06638560197, "turnover_quote_units": 2259882.9506243826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3013, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -19.27606148184657 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 73262.23409837809, "return_pct": 632.6223409837809, "cagr_pct": 27.04381843381106, "max_drawdown_pct": 78.3119196603408, "mean_exposure_while_solvent": 1.0652962524649874, "realized_annual_volatility_pct": 61.788152380226435, "trading_costs_quote_units": 4418.282841715517, "borrowing_costs_quote_units": 3844.1578068136155, "price_pnl_quote_units": 71524.67474690775, "turnover_quote_units": 1472760.947238504, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 83866.28956667575, "return_pct": 738.6628956667575, "cagr_pct": 29.12484381091408, "max_drawdown_pct": 78.31191966034076, "mean_exposure_while_solvent": 1.0573736986676632, "realized_annual_volatility_pct": 61.45752038479825, "trading_costs_quote_units": 4536.448280733919, "borrowing_costs_quote_units": 3598.904370122449, "price_pnl_quote_units": 82001.64221753179, "turnover_quote_units": 1512149.426911303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -106.04055468297668 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 51755.177098515866, "return_pct": 417.55177098515867, "cagr_pct": 21.846503856248823, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.9042092823561967, "realized_annual_volatility_pct": 53.79493315166863, "trading_costs_quote_units": 1213.298742705865, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42968.47584122146, "turnover_quote_units": 404432.9142352882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 52165.41662581284, "return_pct": 421.6541662581283, "cagr_pct": 21.962187146683593, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.904523666013071, "realized_annual_volatility_pct": 53.81349270538873, "trading_costs_quote_units": 1216.370566069636, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 43381.78719188272, "turnover_quote_units": 405456.85535654565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1261, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -4.102395272969659 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 74193.18480778947, "return_pct": 641.9318480778946, "cagr_pct": 27.236778839179298, "max_drawdown_pct": 78.31191966034076, "mean_exposure_while_solvent": 1.0644874111029188, "realized_annual_volatility_pct": 61.77876813799506, "trading_costs_quote_units": 4467.1218321674705, "borrowing_costs_quote_units": 3889.9787651964507, "price_pnl_quote_units": 72550.28540515313, "turnover_quote_units": 1489040.6107224869, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 83866.28956667575, "return_pct": 738.6628956667575, "cagr_pct": 29.12484381091408, "max_drawdown_pct": 78.31191966034076, "mean_exposure_while_solvent": 1.0573736986676632, "realized_annual_volatility_pct": 61.45752038479825, "trading_costs_quote_units": 4536.448280733919, "borrowing_costs_quote_units": 3598.904370122449, "price_pnl_quote_units": 82001.64221753179, "turnover_quote_units": 1512149.426911303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -96.7310475888629 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 73262.23409837809, "return_pct": 632.6223409837809, "cagr_pct": 27.04381843381106, "max_drawdown_pct": 78.3119196603408, "mean_exposure_while_solvent": 1.0652962524649874, "realized_annual_volatility_pct": 61.788152380226435, "trading_costs_quote_units": 4418.282841715517, "borrowing_costs_quote_units": 3844.1578068136155, "price_pnl_quote_units": 71524.67474690775, "turnover_quote_units": 1472760.947238504, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 83866.28956667575, "return_pct": 738.6628956667575, "cagr_pct": 29.12484381091408, "max_drawdown_pct": 78.31191966034076, "mean_exposure_while_solvent": 1.0573736986676632, "realized_annual_volatility_pct": 61.45752038479825, "trading_costs_quote_units": 4536.448280733919, "borrowing_costs_quote_units": 3598.904370122449, "price_pnl_quote_units": 82001.64221753179, "turnover_quote_units": 1512149.426911303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -106.04055468297668 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 49749.4536940986, "return_pct": 397.494536940986, "cagr_pct": 21.269023861007977, "max_drawdown_pct": 70.0411825079089, "mean_exposure_while_solvent": 0.7500069274772029, "realized_annual_volatility_pct": 48.89357956687257, "trading_costs_quote_units": 949.6633030134585, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 40699.116997111996, "turnover_quote_units": 316554.4343378188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 49749.4536940986, "return_pct": 397.494536940986, "cagr_pct": 21.269023861007977, "max_drawdown_pct": 70.0411825079089, "mean_exposure_while_solvent": 0.7500069274772029, "realized_annual_volatility_pct": 48.89357956687257, "trading_costs_quote_units": 949.6633030134585, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 40699.116997111996, "turnover_quote_units": 316554.4343378188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 56352.56125329525, "return_pct": 463.52561253295255, "cagr_pct": 23.099257005464654, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9999451453647833, "realized_annual_volatility_pct": 65.38629783545213, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46382.47152248738, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 56352.56125329525, "return_pct": 463.52561253295255, "cagr_pct": 23.099257005464654, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9999451453647833, "realized_annual_volatility_pct": 65.38629783545213, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46382.47152248738, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40800.57630743942, "return_pct": 308.00576307439417, "cagr_pct": 18.412764029538, "max_drawdown_pct": 89.60697977488223, "mean_exposure_while_solvent": 1.2499449690285087, "realized_annual_volatility_pct": 82.06809259700287, "trading_costs_quote_units": 1332.8429232591498, "borrowing_costs_quote_units": 2295.4882073428194, "price_pnl_quote_units": 34428.90743804105, "turnover_quote_units": 444280.9744197158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40800.57630743942, "return_pct": 308.00576307439417, "cagr_pct": 18.412764029538, "max_drawdown_pct": 89.60697977488223, "mean_exposure_while_solvent": 1.2499449690285087, "realized_annual_volatility_pct": 82.06809259700287, "trading_costs_quote_units": 1332.8429232591498, "borrowing_costs_quote_units": 2295.4882073428194, "price_pnl_quote_units": 34428.90743804105, "turnover_quote_units": 444280.9744197158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22567.52433801994, "return_pct": 125.67524338019939, "cagr_pct": 10.277446272740159, "max_drawdown_pct": 94.4462701836604, "mean_exposure_while_solvent": 1.5000444928219363, "realized_annual_volatility_pct": 99.02665227896644, "trading_costs_quote_units": 2056.393579182562, "borrowing_costs_quote_units": 2900.249061045011, "price_pnl_quote_units": 17524.166978247536, "turnover_quote_units": 685464.526394189, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22567.52433801994, "return_pct": 125.67524338019939, "cagr_pct": 10.277446272740159, "max_drawdown_pct": 94.4462701836604, "mean_exposure_while_solvent": 1.5000444928219363, "realized_annual_volatility_pct": 99.02665227896644, "trading_costs_quote_units": 2056.393579182562, "borrowing_costs_quote_units": 2900.249061045011, "price_pnl_quote_units": 17524.166978247536, "turnover_quote_units": 685464.526394189, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 60315.737440788165, "return_pct": 503.1573744078816, "cagr_pct": 24.10897828716825, "max_drawdown_pct": 67.19599325749972, "mean_exposure_while_solvent": 0.7685764043146656, "realized_annual_volatility_pct": 43.06069757233155, "trading_costs_quote_units": 5401.457298221839, "borrowing_costs_quote_units": 1600.5666168111252, "price_pnl_quote_units": 57317.76135582156, "turnover_quote_units": 1800485.766073943, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 59786.73706105572, "return_pct": 497.8673706105572, "cagr_pct": 23.97763935607964, "max_drawdown_pct": 67.19599325749977, "mean_exposure_while_solvent": 0.7731654993365393, "realized_annual_volatility_pct": 43.342339507448926, "trading_costs_quote_units": 5440.511701007176, "borrowing_costs_quote_units": 1627.3226666481246, "price_pnl_quote_units": 56854.571428710726, "turnover_quote_units": 1813503.900335726, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 5.2900037973244025 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 54871.029043361035, "return_pct": 448.7102904336104, "cagr_pct": 22.705694719045546, "max_drawdown_pct": 81.88563982801038, "mean_exposure_while_solvent": 1.086165366714631, "realized_annual_volatility_pct": 61.826444103713364, "trading_costs_quote_units": 5267.592441698406, "borrowing_costs_quote_units": 5911.408325448439, "price_pnl_quote_units": 56050.02981050798, "turnover_quote_units": 1755864.1472328028, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 61133.73495795859, "return_pct": 511.337349579586, "cagr_pct": 24.310087095183334, "max_drawdown_pct": 81.88563982801035, "mean_exposure_while_solvent": 1.0831465680104477, "realized_annual_volatility_pct": 61.68363445481177, "trading_costs_quote_units": 5405.319634325573, "borrowing_costs_quote_units": 5869.803762309865, "price_pnl_quote_units": 62408.85835459458, "turnover_quote_units": 1801773.2114418612, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -62.62705914597558 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32592.249738542574, "return_pct": 225.92249738542574, "cagr_pct": 15.258600950543123, "max_drawdown_pct": 89.54299108330127, "mean_exposure_while_solvent": 1.2914853276978668, "realized_annual_volatility_pct": 76.46192310139651, "trading_costs_quote_units": 3381.1302278327203, "borrowing_costs_quote_units": 6303.055430969526, "price_pnl_quote_units": 32276.43539734527, "turnover_quote_units": 1127043.409277573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 38201.79011001144, "return_pct": 282.0179011001144, "cagr_pct": 17.479762335221118, "max_drawdown_pct": 89.54299108330126, "mean_exposure_while_solvent": 1.2835637006863443, "realized_annual_volatility_pct": 76.09221667154459, "trading_costs_quote_units": 3608.333272728658, "borrowing_costs_quote_units": 6359.589506987935, "price_pnl_quote_units": 38169.71288972823, "turnover_quote_units": 1202777.757576216, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -56.09540371468864 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 35686.947899664934, "return_pct": 256.8694789966493, "cagr_pct": 16.52212613399417, "max_drawdown_pct": 82.29815728551597, "mean_exposure_while_solvent": 1.112303972256653, "realized_annual_volatility_pct": 62.32263235230482, "trading_costs_quote_units": 6369.965210640512, "borrowing_costs_quote_units": 4539.369320334904, "price_pnl_quote_units": 36596.28243064038, "turnover_quote_units": 2123321.7368801706, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37482.88438086251, "return_pct": 274.8288438086251, "cagr_pct": 17.21180990032548, "max_drawdown_pct": 82.29815728551594, "mean_exposure_while_solvent": 1.110990301173847, "realized_annual_volatility_pct": 62.28295452028292, "trading_costs_quote_units": 6465.989144482259, "borrowing_costs_quote_units": 4519.956584365412, "price_pnl_quote_units": 38468.83010971017, "turnover_quote_units": 2155329.714827423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3013, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -17.959364811975775 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68433.43339996843, "return_pct": 584.3343339996843, "cagr_pct": 26.006912342287407, "max_drawdown_pct": 78.34227437977111, "mean_exposure_while_solvent": 1.065309325715405, "realized_annual_volatility_pct": 61.78899052616528, "trading_costs_quote_units": 4241.415145366773, "borrowing_costs_quote_units": 7321.560236749627, "price_pnl_quote_units": 69996.40878208478, "turnover_quote_units": 1413805.0484555915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 78605.21786477164, "return_pct": 686.0521786477163, "cagr_pct": 28.123271694773244, "max_drawdown_pct": 78.3422743797711, "mean_exposure_while_solvent": 1.057386136850555, "realized_annual_volatility_pct": 61.45824046933627, "trading_costs_quote_units": 4355.889960037472, "borrowing_costs_quote_units": 6866.312150862617, "price_pnl_quote_units": 79827.41997567168, "turnover_quote_units": 1451963.3200124875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -101.71784464803204 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 51755.177098515866, "return_pct": 417.55177098515867, "cagr_pct": 21.846503856248823, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.9042092823561967, "realized_annual_volatility_pct": 53.79493315166863, "trading_costs_quote_units": 1213.298742705865, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42968.47584122146, "turnover_quote_units": 404432.9142352882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 52165.41662581284, "return_pct": 421.6541662581283, "cagr_pct": 21.962187146683593, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.904523666013071, "realized_annual_volatility_pct": 53.81349270538873, "trading_costs_quote_units": 1216.370566069636, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 43381.78719188272, "turnover_quote_units": 405456.85535654565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1261, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -4.102395272969659 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 69332.4035707354, "return_pct": 593.324035707354, "cagr_pct": 26.204726918254757, "max_drawdown_pct": 78.3422743797711, "mean_exposure_while_solvent": 1.0645004186206175, "realized_annual_volatility_pct": 61.77960101908728, "trading_costs_quote_units": 4289.79559879235, "borrowing_costs_quote_units": 7411.683331626737, "price_pnl_quote_units": 71033.88250115451, "turnover_quote_units": 1429931.866264116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 78605.21786477164, "return_pct": 686.0521786477163, "cagr_pct": 28.123271694773244, "max_drawdown_pct": 78.3422743797711, "mean_exposure_while_solvent": 1.057386136850555, "realized_annual_volatility_pct": 61.45824046933627, "trading_costs_quote_units": 4355.889960037472, "borrowing_costs_quote_units": 6866.312150862617, "price_pnl_quote_units": 79827.41997567168, "turnover_quote_units": 1451963.3200124875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -92.72814294036232 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68433.43339996843, "return_pct": 584.3343339996843, "cagr_pct": 26.006912342287407, "max_drawdown_pct": 78.34227437977111, "mean_exposure_while_solvent": 1.065309325715405, "realized_annual_volatility_pct": 61.78899052616528, "trading_costs_quote_units": 4241.415145366773, "borrowing_costs_quote_units": 7321.560236749627, "price_pnl_quote_units": 69996.40878208478, "turnover_quote_units": 1413805.0484555915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 78605.21786477164, "return_pct": 686.0521786477163, "cagr_pct": 28.123271694773244, "max_drawdown_pct": 78.3422743797711, "mean_exposure_while_solvent": 1.057386136850555, "realized_annual_volatility_pct": 61.45824046933627, "trading_costs_quote_units": 4355.889960037472, "borrowing_costs_quote_units": 6866.312150862617, "price_pnl_quote_units": 79827.41997567168, "turnover_quote_units": 1451963.3200124875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -101.71784464803204 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 49749.4536940986, "return_pct": 397.494536940986, "cagr_pct": 21.269023861007977, "max_drawdown_pct": 70.0411825079089, "mean_exposure_while_solvent": 0.7500069274772029, "realized_annual_volatility_pct": 48.89357956687257, "trading_costs_quote_units": 949.6633030134585, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 40699.116997111996, "turnover_quote_units": 316554.4343378188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 49749.4536940986, "return_pct": 397.494536940986, "cagr_pct": 21.269023861007977, "max_drawdown_pct": 70.0411825079089, "mean_exposure_while_solvent": 0.7500069274772029, "realized_annual_volatility_pct": 48.89357956687257, "trading_costs_quote_units": 949.6633030134585, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 40699.116997111996, "turnover_quote_units": 316554.4343378188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56352.56125329525, "return_pct": 463.52561253295255, "cagr_pct": 23.099257005464654, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9999451453647833, "realized_annual_volatility_pct": 65.38629783545213, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46382.47152248738, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56352.56125329525, "return_pct": 463.52561253295255, "cagr_pct": 23.099257005464654, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9999451453647833, "realized_annual_volatility_pct": 65.38629783545213, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46382.47152248738, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36768.15228068869, "return_pct": 267.68152280688696, "cagr_pct": 16.940892746493194, "max_drawdown_pct": 89.72919657417337, "mean_exposure_while_solvent": 1.2499627971670815, "realized_annual_volatility_pct": 82.06987078620237, "trading_costs_quote_units": 1249.9551051206552, "borrowing_costs_quote_units": 4268.712114095581, "price_pnl_quote_units": 32286.819499905178, "turnover_quote_units": 416651.7017068852, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36768.15228068869, "return_pct": 267.68152280688696, "cagr_pct": 16.940892746493194, "max_drawdown_pct": 89.72919657417337, "mean_exposure_while_solvent": 1.2499627971670815, "realized_annual_volatility_pct": 82.06987078620237, "trading_costs_quote_units": 1249.9551051206552, "borrowing_costs_quote_units": 4268.712114095581, "price_pnl_quote_units": 32286.819499905178, "turnover_quote_units": 416651.7017068852, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18324.53385921206, "return_pct": 83.2453385921206, "cagr_pct": 7.551140731893952, "max_drawdown_pct": 94.57647412151611, "mean_exposure_while_solvent": 1.5000873135817285, "realized_annual_volatility_pct": 99.03103251772505, "trading_costs_quote_units": 1816.5253328908077, "borrowing_costs_quote_units": 5033.547124955576, "price_pnl_quote_units": 15174.60631705855, "turnover_quote_units": 605508.4442969372, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18324.53385921206, "return_pct": 83.2453385921206, "cagr_pct": 7.551140731893952, "max_drawdown_pct": 94.57647412151611, "mean_exposure_while_solvent": 1.5000873135817285, "realized_annual_volatility_pct": 99.03103251772505, "trading_costs_quote_units": 1816.5253328908077, "borrowing_costs_quote_units": 5033.547124955576, "price_pnl_quote_units": 15174.60631705855, "turnover_quote_units": 605508.4442969372, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 58132.51555118489, "return_pct": 481.3251555118489, "cagr_pct": 23.560230155506222, "max_drawdown_pct": 67.22721743230116, "mean_exposure_while_solvent": 0.7685831354986908, "realized_annual_volatility_pct": 43.060864268276795, "trading_costs_quote_units": 5286.884170766569, "borrowing_costs_quote_units": 3118.221836609057, "price_pnl_quote_units": 56537.6215585604, "turnover_quote_units": 1762294.7235888524, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57622.663162633864, "return_pct": 476.22663162633864, "cagr_pct": 23.429471939802042, "max_drawdown_pct": 67.22721743230112, "mean_exposure_while_solvent": 0.7731722305205646, "realized_annual_volatility_pct": 43.342504625877275, "trading_costs_quote_units": 5326.095262137722, "borrowing_costs_quote_units": 3170.394844262741, "price_pnl_quote_units": 56119.1532690342, "turnover_quote_units": 1775365.0873792402, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 5.098523885510247 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 47167.609386533826, "return_pct": 371.67609386533826, "cagr_pct": 20.494730347273467, "max_drawdown_pct": 82.01185913880553, "mean_exposure_while_solvent": 1.0861946810405665, "realized_annual_volatility_pct": 61.828198845609805, "trading_costs_quote_units": 4831.558134200706, "borrowing_costs_quote_units": 10613.008465182493, "price_pnl_quote_units": 52612.17598591678, "turnover_quote_units": 1610519.3780669023, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52697.92046502348, "return_pct": 426.97920465023486, "cagr_pct": 22.111159763904944, "max_drawdown_pct": 82.01185913880552, "mean_exposure_while_solvent": 1.083175371543314, "realized_annual_volatility_pct": 61.68525712447466, "trading_costs_quote_units": 4956.847553270937, "borrowing_costs_quote_units": 10550.984617156579, "price_pnl_quote_units": 58205.75263545071, "turnover_quote_units": 1652282.517756979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -55.3031107848966 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24778.112027487838, "return_pct": 147.7811202748784, "cagr_pct": 11.523064611381315, "max_drawdown_pct": 89.82917404941655, "mean_exposure_while_solvent": 1.2915396841390694, "realized_annual_volatility_pct": 76.46671687753394, "trading_costs_quote_units": 2917.3664064911, "borrowing_costs_quote_units": 10441.854254373811, "price_pnl_quote_units": 28137.33268835276, "turnover_quote_units": 972455.4688303667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29235.861025805047, "return_pct": 192.35861025805048, "cagr_pct": 13.762824411997274, "max_drawdown_pct": 89.82917404941654, "mean_exposure_while_solvent": 1.2836167574753445, "realized_annual_volatility_pct": 76.09678974120388, "trading_costs_quote_units": 3108.9516372485045, "borrowing_costs_quote_units": 10573.206611858976, "price_pnl_quote_units": 32918.01927491229, "turnover_quote_units": 1036317.2124161664, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2981, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -44.577489983172086 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30018.731496258624, "return_pct": 200.18731496258627, "cagr_pct": 14.124731222226835, "max_drawdown_pct": 82.48257322519873, "mean_exposure_while_solvent": 1.1123378723013144, "realized_annual_volatility_pct": 62.324958861627344, "trading_costs_quote_units": 5806.2035116136985, "borrowing_costs_quote_units": 8051.722989827886, "price_pnl_quote_units": 33876.65799770015, "turnover_quote_units": 1935401.1705378979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31576.550888636197, "return_pct": 215.76550888636197, "cagr_pct": 14.820839068276845, "max_drawdown_pct": 82.48257322519873, "mean_exposure_while_solvent": 1.1110239145266794, "realized_annual_volatility_pct": 62.28522673591681, "trading_costs_quote_units": 5891.790264631885, "borrowing_costs_quote_units": 8022.834707896038, "price_pnl_quote_units": 35491.175861164054, "turnover_quote_units": 1963930.088210632, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3013, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -15.5781939237757 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 59707.21486518623, "return_pct": 497.0721486518623, "cagr_pct": 23.95780744954467, "max_drawdown_pct": 78.40286875795877, "mean_exposure_while_solvent": 1.065335477290226, "realized_annual_volatility_pct": 61.790688819551946, "trading_costs_quote_units": 3912.730418975183, "borrowing_costs_quote_units": 13286.646618578243, "price_pnl_quote_units": 66906.5919027395, "turnover_quote_units": 1304243.4729917278, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 69049.75418066361, "return_pct": 590.4975418066361, "cagr_pct": 26.14277554987105, "max_drawdown_pct": 78.40286875795874, "mean_exposure_while_solvent": 1.0574110180525709, "realized_annual_volatility_pct": 61.459702504145454, "trading_costs_quote_units": 4020.1254594019574, "borrowing_costs_quote_units": 12503.23372329328, "price_pnl_quote_units": 75573.11336335952, "turnover_quote_units": 1340041.819800653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -93.42539315477387 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51755.177098515866, "return_pct": 417.55177098515867, "cagr_pct": 21.846503856248823, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.9042092823561967, "realized_annual_volatility_pct": 53.79493315166863, "trading_costs_quote_units": 1213.298742705865, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42968.47584122146, "turnover_quote_units": 404432.9142352882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52165.41662581284, "return_pct": 421.6541662581283, "cagr_pct": 21.962187146683593, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.904523666013071, "realized_annual_volatility_pct": 53.81349270538873, "trading_costs_quote_units": 1216.370566069636, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 43381.78719188272, "turnover_quote_units": 405456.85535654565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1261, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -4.102395272969659 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 60542.86300730186, "return_pct": 505.4286300730186, "cagr_pct": 24.165057720168363, "max_drawdown_pct": 78.40286875795874, "mean_exposure_while_solvent": 1.0645264387135553, "realized_annual_volatility_pct": 61.78128889425809, "trading_costs_quote_units": 3960.0915382742437, "borrowing_costs_quote_units": 13460.484709219498, "price_pnl_quote_units": 67963.43925479629, "turnover_quote_units": 1320030.512758084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 69049.75418066361, "return_pct": 590.4975418066361, "cagr_pct": 26.14277554987105, "max_drawdown_pct": 78.40286875795874, "mean_exposure_while_solvent": 1.0574110180525709, "realized_annual_volatility_pct": 61.459702504145454, "trading_costs_quote_units": 4020.1254594019574, "borrowing_costs_quote_units": 12503.23372329328, "price_pnl_quote_units": 75573.11336335952, "turnover_quote_units": 1340041.819800653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -85.06891173361754 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 59707.21486518623, "return_pct": 497.0721486518623, "cagr_pct": 23.95780744954467, "max_drawdown_pct": 78.40286875795877, "mean_exposure_while_solvent": 1.065335477290226, "realized_annual_volatility_pct": 61.790688819551946, "trading_costs_quote_units": 3912.730418975183, "borrowing_costs_quote_units": 13286.646618578243, "price_pnl_quote_units": 66906.5919027395, "turnover_quote_units": 1304243.4729917278, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 69049.75418066361, "return_pct": 590.4975418066361, "cagr_pct": 26.14277554987105, "max_drawdown_pct": 78.40286875795874, "mean_exposure_while_solvent": 1.0574110180525709, "realized_annual_volatility_pct": 61.459702504145454, "trading_costs_quote_units": 4020.1254594019574, "borrowing_costs_quote_units": 12503.23372329328, "price_pnl_quote_units": 75573.11336335952, "turnover_quote_units": 1340041.819800653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2921, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -93.42539315477387 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 49749.4536940986, "return_pct": 397.494536940986, "cagr_pct": 21.269023861007977, "max_drawdown_pct": 70.0411825079089, "mean_exposure_while_solvent": 0.7500069274772029, "realized_annual_volatility_pct": 48.89357956687257, "trading_costs_quote_units": 949.6633030134585, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 40699.116997111996, "turnover_quote_units": 316554.4343378188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 49749.4536940986, "return_pct": 397.494536940986, "cagr_pct": 21.269023861007977, "max_drawdown_pct": 70.0411825079089, "mean_exposure_while_solvent": 0.7500069274772029, "realized_annual_volatility_pct": 48.89357956687257, "trading_costs_quote_units": 949.6633030134585, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 40699.116997111996, "turnover_quote_units": 316554.4343378188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56352.56125329525, "return_pct": 463.52561253295255, "cagr_pct": 23.099257005464654, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9999451453647833, "realized_annual_volatility_pct": 65.38629783545213, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46382.47152248738, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56352.56125329525, "return_pct": 463.52561253295255, "cagr_pct": 23.099257005464654, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9999451453647833, "realized_annual_volatility_pct": 65.38629783545213, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46382.47152248738, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29857.876465026297, "return_pct": 198.578764650263, "cagr_pct": 14.051054314995554, "max_drawdown_pct": 89.96939379236773, "mean_exposure_while_solvent": 1.2499984589390531, "realized_annual_volatility_pct": 82.07342800762298, "trading_costs_quote_units": 1102.1903462992202, "borrowing_costs_quote_units": 7394.759716421152, "price_pnl_quote_units": 28354.826527746653, "turnover_quote_units": 367396.78209974227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29857.876465026297, "return_pct": 198.578764650263, "cagr_pct": 14.051054314995554, "max_drawdown_pct": 89.96939379236773, "mean_exposure_while_solvent": 1.2499984589390531, "realized_annual_volatility_pct": 82.07342800762298, "trading_costs_quote_units": 1102.1903462992202, "borrowing_costs_quote_units": 7394.759716421152, "price_pnl_quote_units": 28354.826527746653, "turnover_quote_units": 367396.78209974227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12080.14829180707, "return_pct": 20.80148291807071, "cagr_pct": 2.2974025199121306, "max_drawdown_pct": 94.82787022811682, "mean_exposure_while_solvent": 1.5001729737019303, "realized_annual_volatility_pct": 99.03979595115237, "trading_costs_quote_units": 1432.277387881278, "borrowing_costs_quote_units": 7644.217154863984, "price_pnl_quote_units": 11156.64283455234, "turnover_quote_units": 477425.7959604259, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12080.14829180707, "return_pct": 20.80148291807071, "cagr_pct": 2.2974025199121306, "max_drawdown_pct": 94.82787022811682, "mean_exposure_while_solvent": 1.5001729737019303, "realized_annual_volatility_pct": 99.03979595115237, "trading_costs_quote_units": 1432.277387881278, "borrowing_costs_quote_units": 7644.217154863984, "price_pnl_quote_units": 11156.64283455234, "turnover_quote_units": 477425.7959604259, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3039, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 61630.88225806208, "return_pct": 516.3088225806208, "cagr_pct": 24.43115955347849, "max_drawdown_pct": 67.17083032910726, "mean_exposure_while_solvent": 0.768416058722672, "realized_annual_volatility_pct": 43.23662325406343, "trading_costs_quote_units": 5411.508430213536, "borrowing_costs_quote_units": 806.8605607118807, "price_pnl_quote_units": 57849.251248987624, "turnover_quote_units": 1803836.1434045192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60824.18167902388, "return_pct": 508.2418167902388, "cagr_pct": 24.234261894705597, "max_drawdown_pct": 67.17083032910729, "mean_exposure_while_solvent": 0.7730087511702469, "realized_annual_volatility_pct": 43.51833919683596, "trading_costs_quote_units": 5435.014642933294, "borrowing_costs_quote_units": 818.6775776825397, "price_pnl_quote_units": 57077.87389963974, "turnover_quote_units": 1811671.547644432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 8.06700579038204 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 62344.104147996615, "return_pct": 523.4410414799662, "cagr_pct": 24.603361562026784, "max_drawdown_pct": 81.71323681890938, "mean_exposure_while_solvent": 1.0858576454257487, "realized_annual_volatility_pct": 61.938732976527824, "trading_costs_quote_units": 5691.680232624342, "borrowing_costs_quote_units": 3256.1843446500143, "price_pnl_quote_units": 61291.968725270766, "turnover_quote_units": 1897226.7442081135, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 69724.15825933093, "return_pct": 597.2415825933093, "cagr_pct": 26.290225693187207, "max_drawdown_pct": 81.71323681890938, "mean_exposure_while_solvent": 1.0828369726043088, "realized_annual_volatility_pct": 61.80033330994949, "trading_costs_quote_units": 5823.864762141847, "borrowing_costs_quote_units": 3219.9829719775257, "price_pnl_quote_units": 68768.00599344989, "turnover_quote_units": 1941288.2540472832, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -73.80054111334312 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 41263.421793774425, "return_pct": 312.63421793774427, "cagr_pct": 18.573419037852148, "max_drawdown_pct": 89.43258267551441, "mean_exposure_while_solvent": 1.2911763893467358, "realized_annual_volatility_pct": 76.20620127769563, "trading_costs_quote_units": 3926.4371817265874, "borrowing_costs_quote_units": 3801.966040799059, "price_pnl_quote_units": 38991.825016299605, "turnover_quote_units": 1308812.39390886, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 48458.46742127193, "return_pct": 384.58467421271934, "cagr_pct": 20.886395375899326, "max_drawdown_pct": 89.43258267551444, "mean_exposure_while_solvent": 1.2832497413030848, "realized_annual_volatility_pct": 75.84334461944924, "trading_costs_quote_units": 4160.064790976871, "borrowing_costs_quote_units": 3799.5644541053107, "price_pnl_quote_units": 46418.09666635405, "turnover_quote_units": 1386688.2636589578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -71.95045627497507 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 40887.42492365655, "return_pct": 308.8742492365655, "cagr_pct": 18.443031223016686, "max_drawdown_pct": 82.59663119419639, "mean_exposure_while_solvent": 1.111988122953963, "realized_annual_volatility_pct": 62.5244101734736, "trading_costs_quote_units": 6911.2623889185825, "borrowing_costs_quote_units": 2517.4886192392946, "price_pnl_quote_units": 40316.17593181495, "turnover_quote_units": 2303754.129639533, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 43045.97433128435, "return_pct": 330.45974331284344, "cagr_pct": 19.17769602697129, "max_drawdown_pct": 82.59663119419635, "mean_exposure_while_solvent": 1.1106755426289172, "realized_annual_volatility_pct": 62.48396049593396, "trading_costs_quote_units": 7003.502058990991, "borrowing_costs_quote_units": 2501.899483312926, "price_pnl_quote_units": 42551.375873588186, "turnover_quote_units": 2334500.686330328, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3012, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -21.58549407627794 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 78392.78558960052, "return_pct": 683.9278558960052, "cagr_pct": 28.081604202281195, "max_drawdown_pct": 78.17315835790824, "mean_exposure_while_solvent": 1.0650444999554434, "realized_annual_volatility_pct": 61.76372279533344, "trading_costs_quote_units": 4607.389679273573, "borrowing_costs_quote_units": 4073.84312691521, "price_pnl_quote_units": 77074.0183957894, "turnover_quote_units": 1535796.5597578576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 91082.0330330428, "return_pct": 810.8203303304279, "cagr_pct": 30.412194518588226, "max_drawdown_pct": 78.17315835790822, "mean_exposure_while_solvent": 1.0571162591110423, "realized_annual_volatility_pct": 61.43226475631385, "trading_costs_quote_units": 4731.960204290192, "borrowing_costs_quote_units": 3820.5812545579925, "price_pnl_quote_units": 89634.57449189042, "turnover_quote_units": 1577320.0680967264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -126.89247443442264 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 53557.203828700505, "return_pct": 435.572038287005, "cagr_pct": 22.348781901180267, "max_drawdown_pct": 77.34572994732754, "mean_exposure_while_solvent": 0.9040629785203544, "realized_annual_volatility_pct": 53.85360820542855, "trading_costs_quote_units": 1255.9788501145663, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 44813.18267881509, "turnover_quote_units": 418659.6167048559, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 53958.63136528339, "return_pct": 439.5863136528339, "cagr_pct": 22.458643178798024, "max_drawdown_pct": 77.34572994732754, "mean_exposure_while_solvent": 0.9043786950181217, "realized_annual_volatility_pct": 53.87197550484266, "trading_costs_quote_units": 1259.4041550272927, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 45218.03552031091, "turnover_quote_units": 419801.38500909694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1260, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -4.014275365828894 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 79406.57293621672, "return_pct": 694.0657293621672, "cagr_pct": 28.27956678514607, "max_drawdown_pct": 78.17315835790822, "mean_exposure_while_solvent": 1.064237137333674, "realized_annual_volatility_pct": 61.75483723122631, "trading_costs_quote_units": 4659.985407429117, "borrowing_costs_quote_units": 4123.458071221593, "price_pnl_quote_units": 78190.01641486704, "turnover_quote_units": 1553328.4691430398, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2979, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 91082.0330330428, "return_pct": 810.8203303304279, "cagr_pct": 30.412194518588226, "max_drawdown_pct": 78.17315835790822, "mean_exposure_while_solvent": 1.0571162591110423, "realized_annual_volatility_pct": 61.43226475631385, "trading_costs_quote_units": 4731.960204290192, "borrowing_costs_quote_units": 3820.5812545579925, "price_pnl_quote_units": 89634.57449189042, "turnover_quote_units": 1577320.0680967264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -116.75460096826066 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 78392.78558960052, "return_pct": 683.9278558960052, "cagr_pct": 28.081604202281195, "max_drawdown_pct": 78.17315835790824, "mean_exposure_while_solvent": 1.0650444999554434, "realized_annual_volatility_pct": 61.76372279533344, "trading_costs_quote_units": 4607.389679273573, "borrowing_costs_quote_units": 4073.84312691521, "price_pnl_quote_units": 77074.0183957894, "turnover_quote_units": 1535796.5597578576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 91082.0330330428, "return_pct": 810.8203303304279, "cagr_pct": 30.412194518588226, "max_drawdown_pct": 78.17315835790822, "mean_exposure_while_solvent": 1.0571162591110423, "realized_annual_volatility_pct": 61.43226475631385, "trading_costs_quote_units": 4731.960204290192, "borrowing_costs_quote_units": 3820.5812545579925, "price_pnl_quote_units": 89634.57449189042, "turnover_quote_units": 1577320.0680967264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -126.89247443442264 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 50288.64003557628, "return_pct": 402.8864003557628, "cagr_pct": 21.426249105980247, "max_drawdown_pct": 70.16030629909197, "mean_exposure_while_solvent": 0.7499201773877829, "realized_annual_volatility_pct": 48.94770774682638, "trading_costs_quote_units": 947.1412738922141, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41235.781309468584, "turnover_quote_units": 315713.75796407205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 50288.64003557628, "return_pct": 402.8864003557628, "cagr_pct": 21.426249105980247, "max_drawdown_pct": 70.16030629909197, "mean_exposure_while_solvent": 0.7499201773877829, "realized_annual_volatility_pct": 48.94770774682638, "trading_costs_quote_units": 947.1412738922141, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41235.781309468584, "turnover_quote_units": 315713.75796407205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 57823.43508120962, "return_pct": 478.23435081209624, "cagr_pct": 23.4810835181523, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9998354360943499, "realized_annual_volatility_pct": 65.3809657433707, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47853.34535040205, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 57823.43508120962, "return_pct": 478.23435081209624, "cagr_pct": 23.4810835181523, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9998354360943499, "realized_annual_volatility_pct": 65.3809657433707, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47853.34535040205, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 43006.077279764875, "return_pct": 330.0607727976487, "cagr_pct": 19.16441401932095, "max_drawdown_pct": 89.51018022401956, "mean_exposure_while_solvent": 1.249824452854843, "realized_annual_volatility_pct": 81.9238338951249, "trading_costs_quote_units": 1397.5384313593133, "borrowing_costs_quote_units": 2421.606999740865, "price_pnl_quote_units": 36825.22271086457, "turnover_quote_units": 465846.1437864368, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 43006.077279764875, "return_pct": 330.0607727976487, "cagr_pct": 19.16441401932095, "max_drawdown_pct": 89.51018022401956, "mean_exposure_while_solvent": 1.249824452854843, "realized_annual_volatility_pct": 81.9238338951249, "trading_costs_quote_units": 1397.5384313593133, "borrowing_costs_quote_units": 2421.606999740865, "price_pnl_quote_units": 36825.22271086457, "turnover_quote_units": 465846.1437864368, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24702.387679585718, "return_pct": 147.02387679585715, "cagr_pct": 11.482044205358493, "max_drawdown_pct": 94.31181090649515, "mean_exposure_while_solvent": 1.499928731967777, "realized_annual_volatility_pct": 98.60625389881777, "trading_costs_quote_units": 2253.0072190517067, "borrowing_costs_quote_units": 3181.960123078472, "price_pnl_quote_units": 20137.35502171589, "turnover_quote_units": 751002.4063505671, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24702.387679585718, "return_pct": 147.02387679585715, "cagr_pct": 11.482044205358493, "max_drawdown_pct": 94.31181090649515, "mean_exposure_while_solvent": 1.499928731967777, "realized_annual_volatility_pct": 98.60625389881777, "trading_costs_quote_units": 2253.0072190517067, "borrowing_costs_quote_units": 3181.960123078472, "price_pnl_quote_units": 20137.35502171589, "turnover_quote_units": 751002.4063505671, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60505.459603811265, "return_pct": 505.0545960381126, "cagr_pct": 24.15583521378646, "max_drawdown_pct": 67.18545583302365, "mean_exposure_while_solvent": 0.7684194227769802, "realized_annual_volatility_pct": 43.23668288263608, "trading_costs_quote_units": 5353.564028354662, "borrowing_costs_quote_units": 1592.6039775676115, "price_pnl_quote_units": 57451.62760973357, "turnover_quote_units": 1784521.342784888, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 59713.489936835154, "return_pct": 497.13489936835157, "cagr_pct": 23.95937322336293, "max_drawdown_pct": 67.1854558330236, "mean_exposure_while_solvent": 0.773012115224555, "realized_annual_volatility_pct": 43.518398071319616, "trading_costs_quote_units": 5377.348350153923, "borrowing_costs_quote_units": 1615.941757247337, "price_pnl_quote_units": 56706.78004423627, "turnover_quote_units": 1792449.4500513126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 7.919696669761038 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57804.88241611511, "return_pct": 478.0488241611511, "cagr_pct": 23.4763208809805, "max_drawdown_pct": 81.77664795141038, "mean_exposure_while_solvent": 1.085872281537914, "realized_annual_volatility_pct": 61.939415484716875, "trading_costs_quote_units": 5446.4568257906185, "borrowing_costs_quote_units": 6167.0975022725615, "price_pnl_quote_units": 59418.43674417791, "turnover_quote_units": 1815485.6085968732, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 64737.98722715531, "return_pct": 547.3798722715532, "cagr_pct": 25.168945208981135, "max_drawdown_pct": 81.77664795141044, "mean_exposure_while_solvent": 1.0828513534271473, "realized_annual_volatility_pct": 61.80094914169314, "trading_costs_quote_units": 5572.170545592298, "borrowing_costs_quote_units": 6102.073397996359, "price_pnl_quote_units": 66412.23117074335, "turnover_quote_units": 1857390.1818640966, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -69.33104811040204 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35981.04231038414, "return_pct": 259.8104231038414, "cagr_pct": 16.637126691453105, "max_drawdown_pct": 89.57822763909235, "mean_exposure_while_solvent": 1.291203554380942, "realized_annual_volatility_pct": 76.20813054469376, "trading_costs_quote_units": 3637.239463773255, "borrowing_costs_quote_units": 6907.143396342948, "price_pnl_quote_units": 36525.425170500035, "turnover_quote_units": 1212413.1545910814, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 42395.276636247334, "return_pct": 323.95276636247337, "cagr_pct": 18.959708871250534, "max_drawdown_pct": 89.57822763909236, "mean_exposure_while_solvent": 1.283276257300179, "realized_annual_volatility_pct": 75.8451682746868, "trading_costs_quote_units": 3850.9568941224734, "borrowing_costs_quote_units": 6915.012953831804, "price_pnl_quote_units": 43161.24648420194, "turnover_quote_units": 1283652.298040828, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -64.14234325863197 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37501.780557504564, "return_pct": 275.0178055750456, "cagr_pct": 17.21891057081133, "max_drawdown_pct": 82.68744893248055, "mean_exposure_while_solvent": 1.1120050519739562, "realized_annual_volatility_pct": 62.52537886096474, "trading_costs_quote_units": 6590.965467216368, "borrowing_costs_quote_units": 4737.531253264804, "price_pnl_quote_units": 38830.277277985944, "turnover_quote_units": 2196988.489072124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 39511.1286376392, "return_pct": 295.111286376392, "cagr_pct": 17.956584115525708, "max_drawdown_pct": 82.68744893248056, "mean_exposure_while_solvent": 1.1106923284665273, "realized_annual_volatility_pct": 62.48490002377359, "trading_costs_quote_units": 6677.852497738364, "borrowing_costs_quote_units": 4709.768382994736, "price_pnl_quote_units": 40898.74951837216, "turnover_quote_units": 2225950.832579457, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3012, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -20.093480801346402 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 73227.61038901369, "return_pct": 632.2761038901369, "cagr_pct": 27.03660037156046, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 1.0650575600779473, "realized_annual_volatility_pct": 61.76437439520438, "trading_costs_quote_units": 4422.403566569454, "borrowing_costs_quote_units": 7758.251172739894, "price_pnl_quote_units": 75408.26512832327, "turnover_quote_units": 1474134.522189814, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 85370.57655374226, "return_pct": 753.7057655374225, "cagr_pct": 29.401050625398728, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 1.057128684325471, "realized_annual_volatility_pct": 61.43279708069122, "trading_costs_quote_units": 4543.194986469482, "borrowing_costs_quote_units": 7288.317375408094, "price_pnl_quote_units": 87202.0889156199, "turnover_quote_units": 1514398.3288231643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -121.42966164728557 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 53557.203828700505, "return_pct": 435.572038287005, "cagr_pct": 22.348781901180267, "max_drawdown_pct": 77.34572994732754, "mean_exposure_while_solvent": 0.9040629785203544, "realized_annual_volatility_pct": 53.85360820542855, "trading_costs_quote_units": 1255.9788501145663, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 44813.18267881509, "turnover_quote_units": 418659.6167048559, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 53958.63136528339, "return_pct": 439.5863136528339, "cagr_pct": 22.458643178798024, "max_drawdown_pct": 77.34572994732754, "mean_exposure_while_solvent": 0.9043786950181217, "realized_annual_volatility_pct": 53.87197550484266, "trading_costs_quote_units": 1259.4041550272927, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 45218.03552031091, "turnover_quote_units": 419801.38500909694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1260, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -4.014275365828894 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 74206.06124008728, "return_pct": 642.0606124008727, "cagr_pct": 27.239432799278436, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 1.0642501317072603, "realized_annual_volatility_pct": 61.755483192179305, "trading_costs_quote_units": 4474.474393147499, "borrowing_costs_quote_units": 7855.776252583176, "price_pnl_quote_units": 76536.31188581807, "turnover_quote_units": 1491491.4643825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2979, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 85370.57655374226, "return_pct": 753.7057655374225, "cagr_pct": 29.401050625398728, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 1.057128684325471, "realized_annual_volatility_pct": 61.43279708069122, "trading_costs_quote_units": 4543.194986469482, "borrowing_costs_quote_units": 7288.317375408094, "price_pnl_quote_units": 87202.0889156199, "turnover_quote_units": 1514398.3288231643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -111.64515313654977 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 73227.61038901369, "return_pct": 632.2761038901369, "cagr_pct": 27.03660037156046, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 1.0650575600779473, "realized_annual_volatility_pct": 61.76437439520438, "trading_costs_quote_units": 4422.403566569454, "borrowing_costs_quote_units": 7758.251172739894, "price_pnl_quote_units": 75408.26512832327, "turnover_quote_units": 1474134.522189814, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 85370.57655374226, "return_pct": 753.7057655374225, "cagr_pct": 29.401050625398728, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 1.057128684325471, "realized_annual_volatility_pct": 61.43279708069122, "trading_costs_quote_units": 4543.194986469482, "borrowing_costs_quote_units": 7288.317375408094, "price_pnl_quote_units": 87202.0889156199, "turnover_quote_units": 1514398.3288231643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -121.42966164728557 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 50288.64003557628, "return_pct": 402.8864003557628, "cagr_pct": 21.426249105980247, "max_drawdown_pct": 70.16030629909197, "mean_exposure_while_solvent": 0.7499201773877829, "realized_annual_volatility_pct": 48.94770774682638, "trading_costs_quote_units": 947.1412738922141, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41235.781309468584, "turnover_quote_units": 315713.75796407205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 50288.64003557628, "return_pct": 402.8864003557628, "cagr_pct": 21.426249105980247, "max_drawdown_pct": 70.16030629909197, "mean_exposure_while_solvent": 0.7499201773877829, "realized_annual_volatility_pct": 48.94770774682638, "trading_costs_quote_units": 947.1412738922141, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41235.781309468584, "turnover_quote_units": 315713.75796407205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57823.43508120962, "return_pct": 478.23435081209624, "cagr_pct": 23.4810835181523, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9998354360943499, "realized_annual_volatility_pct": 65.3809657433707, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47853.34535040205, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57823.43508120962, "return_pct": 478.23435081209624, "cagr_pct": 23.4810835181523, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9998354360943499, "realized_annual_volatility_pct": 65.3809657433707, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47853.34535040205, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 38756.0772694193, "return_pct": 287.560772694193, "cagr_pct": 17.683345437966207, "max_drawdown_pct": 89.63356768969271, "mean_exposure_while_solvent": 1.2498422925416104, "realized_annual_volatility_pct": 81.92539568756234, "trading_costs_quote_units": 1310.5700438878396, "borrowing_costs_quote_units": 4503.411433924809, "price_pnl_quote_units": 34570.058747231946, "turnover_quote_units": 436856.681295946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 38756.0772694193, "return_pct": 287.560772694193, "cagr_pct": 17.683345437966207, "max_drawdown_pct": 89.63356768969271, "mean_exposure_while_solvent": 1.2498422925416104, "realized_annual_volatility_pct": 81.92539568756234, "trading_costs_quote_units": 1310.5700438878396, "borrowing_costs_quote_units": 4503.411433924809, "price_pnl_quote_units": 34570.058747231946, "turnover_quote_units": 436856.681295946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20058.51754888698, "return_pct": 100.58517548886981, "cagr_pct": 8.72628578737633, "max_drawdown_pct": 94.4451957335661, "mean_exposure_while_solvent": 1.4999715844000359, "realized_annual_volatility_pct": 98.61005456156477, "trading_costs_quote_units": 1990.45237384786, "borrowing_costs_quote_units": 5523.292382652991, "price_pnl_quote_units": 17572.262305387947, "turnover_quote_units": 663484.1246159533, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20058.51754888698, "return_pct": 100.58517548886981, "cagr_pct": 8.72628578737633, "max_drawdown_pct": 94.4451957335661, "mean_exposure_while_solvent": 1.4999715844000359, "realized_annual_volatility_pct": 98.61005456156477, "trading_costs_quote_units": 1990.45237384786, "borrowing_costs_quote_units": 5523.292382652991, "price_pnl_quote_units": 17572.262305387947, "turnover_quote_units": 663484.1246159533, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58315.30290675712, "return_pct": 483.1530290675712, "cagr_pct": 23.60686270255438, "max_drawdown_pct": 67.21469385684044, "mean_exposure_while_solvent": 0.7684261520824919, "realized_annual_volatility_pct": 43.236811938837214, "trading_costs_quote_units": 5239.959364490729, "borrowing_costs_quote_units": 3102.5159894022836, "price_pnl_quote_units": 56657.77826064989, "turnover_quote_units": 1746653.1214969086, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57552.0006969215, "return_pct": 475.520006969215, "cagr_pct": 23.411269396490635, "max_drawdown_pct": 67.21469385684048, "mean_exposure_while_solvent": 0.7730188445300668, "realized_annual_volatility_pct": 43.51852555571372, "trading_costs_quote_units": 5264.273231449169, "borrowing_costs_quote_units": 3148.030414963586, "price_pnl_quote_units": 55964.30434333431, "turnover_quote_units": 1754757.7438163913, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 7.633022098356207 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 49691.56558924868, "return_pct": 396.9156558924868, "cagr_pct": 21.252054845475566, "max_drawdown_pct": 81.90284700895845, "mean_exposure_while_solvent": 1.0859015595431674, "realized_annual_volatility_pct": 61.94080391667934, "trading_costs_quote_units": 4993.954560076361, "borrowing_costs_quote_units": 11069.033688871827, "price_pnl_quote_units": 55754.55383819736, "turnover_quote_units": 1664651.520025448, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 55807.32438698774, "return_pct": 458.07324386987744, "cagr_pct": 22.955487720105857, "max_drawdown_pct": 81.90284700895846, "mean_exposure_while_solvent": 1.0828801207632686, "realized_annual_volatility_pct": 61.802204298327624, "trading_costs_quote_units": 5107.68214746159, "borrowing_costs_quote_units": 10964.89617441487, "price_pnl_quote_units": 61879.90270886437, "turnover_quote_units": 1702560.7158205272, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -61.15758797739062 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27356.015840209402, "return_pct": 173.560158402094, "cagr_pct": 12.857700428604723, "max_drawdown_pct": 89.8635941198284, "mean_exposure_while_solvent": 1.2912578956099898, "realized_annual_volatility_pct": 76.21200793973874, "trading_costs_quote_units": 3134.5869803311266, "borrowing_costs_quote_units": 11433.60434944581, "price_pnl_quote_units": 31924.207169986235, "turnover_quote_units": 1044862.3267770426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32447.102929205277, "return_pct": 224.47102929205278, "cagr_pct": 15.19678476554594, "max_drawdown_pct": 89.86359411982842, "mean_exposure_while_solvent": 1.2833293001927608, "realized_annual_volatility_pct": 75.84883527813085, "trading_costs_quote_units": 3314.2457912421914, "borrowing_costs_quote_units": 11486.320981846093, "price_pnl_quote_units": 37247.66970229332, "turnover_quote_units": 1104748.5970807285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2980, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -50.91087088995877 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31546.614097635516, "return_pct": 215.46614097635515, "cagr_pct": 14.807749485295579, "max_drawdown_pct": 82.86770861729681, "mean_exposure_while_solvent": 1.1120389168351519, "realized_annual_volatility_pct": 62.52734167077661, "trading_costs_quote_units": 6004.832337898639, "borrowing_costs_quote_units": 8397.911346671988, "price_pnl_quote_units": 35949.357782206105, "turnover_quote_units": 2001610.7792995404, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33286.64275145781, "return_pct": 232.8664275145781, "cagr_pct": 15.55102437839944, "max_drawdown_pct": 82.86770861729681, "mean_exposure_while_solvent": 1.1107259069076014, "realized_annual_volatility_pct": 62.48680452929184, "trading_costs_quote_units": 6081.957113979065, "borrowing_costs_quote_units": 8354.206218898787, "price_pnl_quote_units": 37722.80608433592, "turnover_quote_units": 2027319.0379930246, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3012, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -17.400286538222957 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 63893.17063567121, "return_pct": 538.9317063567121, "cagr_pct": 24.971480432743817, "max_drawdown_pct": 78.26432016547564, "mean_exposure_while_solvent": 1.0650836853901273, "realized_annual_volatility_pct": 61.765699294142195, "trading_costs_quote_units": 4079.0211829483396, "borrowing_costs_quote_units": 14076.22497786055, "price_pnl_quote_units": 72048.4167964803, "turnover_quote_units": 1359673.7276494456, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 74996.67120776893, "return_pct": 649.9667120776893, "cagr_pct": 27.401614282996434, "max_drawdown_pct": 78.26432016547567, "mean_exposure_while_solvent": 1.0571535395842389, "realized_annual_volatility_pct": 61.43388329150824, "trading_costs_quote_units": 4192.53315644123, "borrowing_costs_quote_units": 13268.201193505252, "price_pnl_quote_units": 82457.40555771544, "turnover_quote_units": 1397511.0521470772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -111.03500572097721 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53557.203828700505, "return_pct": 435.572038287005, "cagr_pct": 22.348781901180267, "max_drawdown_pct": 77.34572994732754, "mean_exposure_while_solvent": 0.9040629785203544, "realized_annual_volatility_pct": 53.85360820542855, "trading_costs_quote_units": 1255.9788501145663, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 44813.18267881509, "turnover_quote_units": 418659.6167048559, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53958.63136528339, "return_pct": 439.5863136528339, "cagr_pct": 22.458643178798024, "max_drawdown_pct": 77.34572994732754, "mean_exposure_while_solvent": 0.9043786950181217, "realized_annual_volatility_pct": 53.87197550484266, "trading_costs_quote_units": 1259.4041550272927, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 45218.03552031091, "turnover_quote_units": 419801.38500909694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1260, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -4.014275365828894 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 64801.84269054684, "return_pct": 548.0184269054683, "cagr_pct": 25.18377825814866, "max_drawdown_pct": 78.26432016547567, "mean_exposure_while_solvent": 1.064276125505126, "realized_annual_volatility_pct": 61.75679692324147, "trading_costs_quote_units": 4129.946362751872, "borrowing_costs_quote_units": 14264.12870916535, "price_pnl_quote_units": 73195.91776246394, "turnover_quote_units": 1376648.7875839565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2979, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 74996.67120776893, "return_pct": 649.9667120776893, "cagr_pct": 27.401614282996434, "max_drawdown_pct": 78.26432016547567, "mean_exposure_while_solvent": 1.0571535395842389, "realized_annual_volatility_pct": 61.43388329150824, "trading_costs_quote_units": 4192.53315644123, "borrowing_costs_quote_units": 13268.201193505252, "price_pnl_quote_units": 82457.40555771544, "turnover_quote_units": 1397511.0521470772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -101.94828517222095 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 63893.17063567121, "return_pct": 538.9317063567121, "cagr_pct": 24.971480432743817, "max_drawdown_pct": 78.26432016547564, "mean_exposure_while_solvent": 1.0650836853901273, "realized_annual_volatility_pct": 61.765699294142195, "trading_costs_quote_units": 4079.0211829483396, "borrowing_costs_quote_units": 14076.22497786055, "price_pnl_quote_units": 72048.4167964803, "turnover_quote_units": 1359673.7276494456, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 74996.67120776893, "return_pct": 649.9667120776893, "cagr_pct": 27.401614282996434, "max_drawdown_pct": 78.26432016547567, "mean_exposure_while_solvent": 1.0571535395842389, "realized_annual_volatility_pct": 61.43388329150824, "trading_costs_quote_units": 4192.53315644123, "borrowing_costs_quote_units": 13268.201193505252, "price_pnl_quote_units": 82457.40555771544, "turnover_quote_units": 1397511.0521470772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2920, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": -111.03500572097721 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 50288.64003557628, "return_pct": 402.8864003557628, "cagr_pct": 21.426249105980247, "max_drawdown_pct": 70.16030629909197, "mean_exposure_while_solvent": 0.7499201773877829, "realized_annual_volatility_pct": 48.94770774682638, "trading_costs_quote_units": 947.1412738922141, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41235.781309468584, "turnover_quote_units": 315713.75796407205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 50288.64003557628, "return_pct": 402.8864003557628, "cagr_pct": 21.426249105980247, "max_drawdown_pct": 70.16030629909197, "mean_exposure_while_solvent": 0.7499201773877829, "realized_annual_volatility_pct": 48.94770774682638, "trading_costs_quote_units": 947.1412738922141, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41235.781309468584, "turnover_quote_units": 315713.75796407205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57823.43508120962, "return_pct": 478.23435081209624, "cagr_pct": 23.4810835181523, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9998354360943499, "realized_annual_volatility_pct": 65.3809657433707, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47853.34535040205, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57823.43508120962, "return_pct": 478.23435081209624, "cagr_pct": 23.4810835181523, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9998354360943499, "realized_annual_volatility_pct": 65.3809657433707, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 47853.34535040205, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31472.82610716066, "return_pct": 214.72826107160662, "cagr_pct": 14.77543964845189, "max_drawdown_pct": 89.8760620229338, "mean_exposure_while_solvent": 1.2498779774231947, "realized_annual_volatility_pct": 81.9285202405725, "trading_costs_quote_units": 1155.5554170518292, "borrowing_costs_quote_units": 7801.886536859494, "price_pnl_quote_units": 30430.268061072, "turnover_quote_units": 385185.13901727594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31472.82610716066, "return_pct": 214.72826107160662, "cagr_pct": 14.77543964845189, "max_drawdown_pct": 89.8760620229338, "mean_exposure_while_solvent": 1.2498779774231947, "realized_annual_volatility_pct": 81.9285202405725, "trading_costs_quote_units": 1155.5554170518292, "borrowing_costs_quote_units": 7801.886536859494, "price_pnl_quote_units": 30430.268061072, "turnover_quote_units": 385185.13901727594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13223.901925568607, "return_pct": 32.23901925568606, "cagr_pct": 3.415757339402059, "max_drawdown_pct": 94.70272833432392, "mean_exposure_while_solvent": 1.5000573079114834, "realized_annual_volatility_pct": 98.6176589585536, "trading_costs_quote_units": 1569.3835902411959, "borrowing_costs_quote_units": 8389.987230975425, "price_pnl_quote_units": 13183.272746785213, "turnover_quote_units": 523127.8634137322, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "native": { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13223.901925568607, "return_pct": 32.23901925568606, "cagr_pct": 3.415757339402059, "max_drawdown_pct": 94.70272833432392, "mean_exposure_while_solvent": 1.5000573079114834, "realized_annual_volatility_pct": 98.6176589585536, "trading_costs_quote_units": 1569.3835902411959, "borrowing_costs_quote_units": 8389.987230975425, "price_pnl_quote_units": 13183.272746785213, "turnover_quote_units": 523127.8634137322, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3038, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 78131.1546452606, "return_pct": 681.311546452606, "cagr_pct": 28.030149912383813, "max_drawdown_pct": 66.67573049035542, "mean_exposure_while_solvent": 0.7786078048703347, "realized_annual_volatility_pct": 44.22824316020898, "trading_costs_quote_units": 1338.1473570817486, "borrowing_costs_quote_units": 1027.2738318722784, "price_pnl_quote_units": 70496.57583421501, "turnover_quote_units": 2230245.5951362383, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 52150.00404242411, "return_pct": 421.5000404242411, "cagr_pct": 21.95785545278979, "max_drawdown_pct": 75.80991348886128, "mean_exposure_while_solvent": 0.8353928015892098, "realized_annual_volatility_pct": 53.24440686083628, "trading_costs_quote_units": 929.0855048007153, "borrowing_costs_quote_units": 671.154972100976, "price_pnl_quote_units": 43750.24451932587, "turnover_quote_units": 1548475.8413345297, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 259.8115060283649 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 74705.50351452277, "return_pct": 647.0550351452277, "cagr_pct": 27.34206145767813, "max_drawdown_pct": 81.45800113270654, "mean_exposure_while_solvent": 1.0980064091118478, "realized_annual_volatility_pct": 62.71826439874807, "trading_costs_quote_units": 1329.2061134069004, "borrowing_costs_quote_units": 3881.2122219323705, "price_pnl_quote_units": 69915.92184986212, "turnover_quote_units": 2215343.522344836, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 67333.03742353388, "return_pct": 573.3303742353388, "cagr_pct": 25.761638823690514, "max_drawdown_pct": 81.45800113270651, "mean_exposure_while_solvent": 1.1108076295887825, "realized_annual_volatility_pct": 66.08646504049155, "trading_costs_quote_units": 1175.447461088804, "borrowing_costs_quote_units": 3445.813771043241, "price_pnl_quote_units": 61954.29865566559, "turnover_quote_units": 1959079.1018146726, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 73.72466090988894 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 47301.23641894593, "return_pct": 373.01236418945933, "cagr_pct": 20.53570933591977, "max_drawdown_pct": 89.19350276749904, "mean_exposure_while_solvent": 1.3001598371859702, "realized_annual_volatility_pct": 76.95239768576617, "trading_costs_quote_units": 859.5972642805723, "borrowing_costs_quote_units": 4258.544549077218, "price_pnl_quote_units": 42419.37823230396, "turnover_quote_units": 1432662.107134288, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 53682.17255638137, "return_pct": 436.8217255638137, "cagr_pct": 22.383060343981988, "max_drawdown_pct": 89.19350276749906, "mean_exposure_while_solvent": 1.2775984094565391, "realized_annual_volatility_pct": 75.71671613135653, "trading_costs_quote_units": 926.5995471103255, "borrowing_costs_quote_units": 4650.631740167913, "price_pnl_quote_units": 49259.4038436595, "turnover_quote_units": 1544332.5785172125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -63.80936137435435 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58467.83107571844, "return_pct": 484.6783107571844, "cagr_pct": 23.64567722784567, "max_drawdown_pct": 81.55635351573909, "mean_exposure_while_solvent": 1.1207579270853478, "realized_annual_volatility_pct": 62.87820622771109, "trading_costs_quote_units": 1835.0991810016726, "borrowing_costs_quote_units": 3473.557572550536, "price_pnl_quote_units": 53776.48782927026, "turnover_quote_units": 3058498.6350027896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3007, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 62300.56827765235, "return_pct": 523.0056827765235, "cagr_pct": 24.592899955213436, "max_drawdown_pct": 81.55635351573903, "mean_exposure_while_solvent": 1.1239651259656884, "realized_annual_volatility_pct": 64.43188221295007, "trading_costs_quote_units": 1904.02003055041, "borrowing_costs_quote_units": 3638.7285960298555, "price_pnl_quote_units": 57843.316904232415, "turnover_quote_units": 3173366.717584015, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2792, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -38.327372019339066 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 71234.02993556458, "return_pct": 612.3402993556458, "cagr_pct": 26.615843911194432, "max_drawdown_pct": 78.30621541442133, "mean_exposure_while_solvent": 1.082976832349988, "realized_annual_volatility_pct": 63.11380368880347, "trading_costs_quote_units": 835.2546101714504, "borrowing_costs_quote_units": 3727.250912352702, "price_pnl_quote_units": 65796.5354580889, "turnover_quote_units": 1392091.0169524164, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 72280.3136985587, "return_pct": 622.803136985587, "cagr_pct": 26.837941521098568, "max_drawdown_pct": 82.46997928781103, "mean_exposure_while_solvent": 1.1159523765185655, "realized_annual_volatility_pct": 68.32837385481729, "trading_costs_quote_units": 790.6022228410668, "borrowing_costs_quote_units": 3713.055191297928, "price_pnl_quote_units": 66783.97111269807, "turnover_quote_units": 1317670.3714017738, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -10.462837629941191 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59989.6070474107, "return_pct": 499.8960704741069, "cagr_pct": 24.02812783413116, "max_drawdown_pct": 77.2418292860772, "mean_exposure_while_solvent": 0.9121258428812081, "realized_annual_volatility_pct": 54.34823390003689, "trading_costs_quote_units": 268.93945361323784, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 50258.54650102385, "turnover_quote_units": 448232.4226887296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 47386.12393673474, "return_pct": 373.8612393673474, "cagr_pct": 20.56168865750245, "max_drawdown_pct": 79.73790555985265, "mean_exposure_while_solvent": 0.9408863001244111, "realized_annual_volatility_pct": 59.4724653921333, "trading_costs_quote_units": 208.68128130527126, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 37594.805218040085, "turnover_quote_units": 347802.135508786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 904, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 126.0348311067595 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 70951.60481203228, "return_pct": 609.5160481203228, "cagr_pct": 26.55540092824903, "max_drawdown_pct": 78.45566067790219, "mean_exposure_while_solvent": 1.0874414536227286, "realized_annual_volatility_pct": 63.627640325374756, "trading_costs_quote_units": 828.4787888143421, "borrowing_costs_quote_units": 3712.340875804521, "price_pnl_quote_units": 65492.424476651104, "turnover_quote_units": 1380797.9813572345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2849, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 72280.3136985587, "return_pct": 622.803136985587, "cagr_pct": 26.837941521098568, "max_drawdown_pct": 82.46997928781103, "mean_exposure_while_solvent": 1.1159523765185655, "realized_annual_volatility_pct": 68.32837385481729, "trading_costs_quote_units": 790.6022228410668, "borrowing_costs_quote_units": 3713.055191297928, "price_pnl_quote_units": 66783.97111269807, "turnover_quote_units": 1317670.3714017738, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -13.287088865264195 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 82901.88173829646, "return_pct": 729.0188173829646, "cagr_pct": 28.945463936923133, "max_drawdown_pct": 78.19157351163494, "mean_exposure_while_solvent": 1.0715861870924468, "realized_annual_volatility_pct": 61.70825442265166, "trading_costs_quote_units": 969.3794134771554, "borrowing_costs_quote_units": 4337.759840687478, "price_pnl_quote_units": 78209.02099246085, "turnover_quote_units": 1615632.355795257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 72280.3136985587, "return_pct": 622.803136985587, "cagr_pct": 26.837941521098568, "max_drawdown_pct": 82.46997928781103, "mean_exposure_while_solvent": 1.1159523765185655, "realized_annual_volatility_pct": 68.32837385481729, "trading_costs_quote_units": 790.6022228410668, "borrowing_costs_quote_units": 3713.055191297928, "price_pnl_quote_units": 66783.97111269807, "turnover_quote_units": 1317670.3714017738, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 106.21568039737758 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 51774.829506406306, "return_pct": 417.7482950640631, "cagr_pct": 21.85206399786115, "max_drawdown_pct": 69.54769342619214, "mean_exposure_while_solvent": 0.7500031169154988, "realized_annual_volatility_pct": 48.610929425459645, "trading_costs_quote_units": 193.5813374076569, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41968.4108438142, "turnover_quote_units": 322635.5623460936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 51774.829506406306, "return_pct": 417.7482950640631, "cagr_pct": 21.85206399786115, "max_drawdown_pct": 69.54769342619214, "mean_exposure_while_solvent": 0.7500031169154988, "realized_annual_volatility_pct": 48.610929425459645, "trading_costs_quote_units": 193.5813374076569, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41968.4108438142, "turnover_quote_units": 322635.5623460936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 56980.789032687455, "return_pct": 469.8078903268746, "cagr_pct": 23.26339987262201, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9999450549450549, "realized_annual_volatility_pct": 65.0117809682482, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46986.78543484617, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 56980.789032687455, "return_pct": 469.8078903268746, "cagr_pct": 23.26339987262201, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9999450549450549, "realized_annual_volatility_pct": 65.0117809682482, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46986.78543484617, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43613.549022425126, "return_pct": 336.1354902242512, "cagr_pct": 19.36548201764941, "max_drawdown_pct": 89.40363417410484, "mean_exposure_while_solvent": 1.2499505527366588, "realized_annual_volatility_pct": 81.60044129460272, "trading_costs_quote_units": 276.30276866567425, "borrowing_costs_quote_units": 2401.6931584023537, "price_pnl_quote_units": 36291.54494949326, "turnover_quote_units": 460504.6144427906, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43613.549022425126, "return_pct": 336.1354902242512, "cagr_pct": 19.36548201764941, "max_drawdown_pct": 89.40363417410484, "mean_exposure_while_solvent": 1.2499505527366588, "realized_annual_volatility_pct": 81.60044129460272, "trading_costs_quote_units": 276.30276866567425, "borrowing_costs_quote_units": 2401.6931584023537, "price_pnl_quote_units": 36291.54494949326, "turnover_quote_units": 460504.6144427906, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25987.984136890962, "return_pct": 159.87984136890964, "cagr_pct": 12.163935938347752, "max_drawdown_pct": 94.28556929402454, "mean_exposure_while_solvent": 1.500057435215913, "realized_annual_volatility_pct": 98.46901512789354, "trading_costs_quote_units": 446.70533843974675, "borrowing_costs_quote_units": 3197.887180007518, "price_pnl_quote_units": 19632.576655338224, "turnover_quote_units": 744508.8973995772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25987.984136890962, "return_pct": 159.87984136890964, "cagr_pct": 12.163935938347752, "max_drawdown_pct": 94.28556929402454, "mean_exposure_while_solvent": 1.500057435215913, "realized_annual_volatility_pct": 98.46901512789354, "trading_costs_quote_units": 446.70533843974675, "borrowing_costs_quote_units": 3197.887180007518, "price_pnl_quote_units": 19632.576655338224, "turnover_quote_units": 744508.8973995772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 76747.11137432122, "return_pct": 667.4711137432122, "cagr_pct": 27.755404821076162, "max_drawdown_pct": 66.69072582004989, "mean_exposure_while_solvent": 0.7786110578991408, "realized_annual_volatility_pct": 44.228268394959436, "trading_costs_quote_units": 1324.6748979237664, "borrowing_costs_quote_units": 2028.7682719540542, "price_pnl_quote_units": 70100.55454419923, "turnover_quote_units": 2207791.496539614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 51338.17883315626, "return_pct": 413.3817883315626, "cagr_pct": 21.7280849006455, "max_drawdown_pct": 75.8142950694999, "mean_exposure_while_solvent": 0.8353956327937785, "realized_annual_volatility_pct": 53.24448694893531, "trading_costs_quote_units": 921.8879223937599, "borrowing_costs_quote_units": 1328.0426468365044, "price_pnl_quote_units": 43588.109402386464, "turnover_quote_units": 1536479.870656266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 254.0893254116496 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 69154.65914986085, "return_pct": 591.5465914986084, "cagr_pct": 26.165794715441397, "max_drawdown_pct": 81.52338990337871, "mean_exposure_while_solvent": 1.0980214432280935, "realized_annual_volatility_pct": 62.7191826127023, "trading_costs_quote_units": 1269.8968626876517, "borrowing_costs_quote_units": 7340.43123895691, "price_pnl_quote_units": 67764.98725150606, "turnover_quote_units": 2116494.7711460884, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62747.37952804279, "return_pct": 527.4737952804279, "cagr_pct": 24.6999637276919, "max_drawdown_pct": 81.5233899033787, "mean_exposure_while_solvent": 1.1108213381402285, "realized_annual_volatility_pct": 66.08711713237986, "trading_costs_quote_units": 1129.4622358699078, "borrowing_costs_quote_units": 6555.56007831023, "price_pnl_quote_units": 60432.401842223, "turnover_quote_units": 1882437.0597831788, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 64.07279621818054 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 41192.46639463963, "return_pct": 311.9246639463963, "cagr_pct": 18.54889343769906, "max_drawdown_pct": 89.34476982698386, "mean_exposure_while_solvent": 1.3001874439317564, "realized_annual_volatility_pct": 76.95488920161972, "trading_costs_quote_units": 795.2136570399405, "borrowing_costs_quote_units": 7725.748070351458, "price_pnl_quote_units": 39713.428122030455, "turnover_quote_units": 1325356.0950665674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 47422.90973283011, "return_pct": 374.229097328301, "cagr_pct": 20.57293401782178, "max_drawdown_pct": 89.34476982698388, "mean_exposure_while_solvent": 1.2776232353839931, "realized_annual_volatility_pct": 75.71842998983908, "trading_costs_quote_units": 866.4753333343081, "borrowing_costs_quote_units": 8532.118473633003, "price_pnl_quote_units": 46821.503539798054, "turnover_quote_units": 1444125.555557181, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -62.30443338190469 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 53548.437310027875, "return_pct": 435.4843731002788, "cagr_pct": 22.3463746382176, "max_drawdown_pct": 81.65361620948616, "mean_exposure_while_solvent": 1.1207752913049946, "realized_annual_volatility_pct": 62.879391964794564, "trading_costs_quote_units": 1746.293756597752, "borrowing_costs_quote_units": 6526.410402114476, "price_pnl_quote_units": 51821.14146874061, "turnover_quote_units": 2910489.5943295755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3007, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 57290.23916605199, "return_pct": 472.9023916605199, "cagr_pct": 23.34366824343937, "max_drawdown_pct": 81.65361620948612, "mean_exposure_while_solvent": 1.1239816950556478, "realized_annual_volatility_pct": 64.43294532696183, "trading_costs_quote_units": 1817.1025688956609, "borrowing_costs_quote_units": 6858.0609466635005, "price_pnl_quote_units": 55965.4026816117, "turnover_quote_units": 3028504.281492766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2792, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -37.41801856024114 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 66426.39572798989, "return_pct": 564.2639572798988, "cagr_pct": 25.556887993353357, "max_drawdown_pct": 78.37012863626886, "mean_exposure_while_solvent": 1.0829902845940604, "realized_annual_volatility_pct": 63.11464285316127, "trading_costs_quote_units": 800.6644234671784, "borrowing_costs_quote_units": 7088.658557714407, "price_pnl_quote_units": 64315.71870917119, "turnover_quote_units": 1334440.7057786305, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68007.02516756827, "return_pct": 580.0702516756827, "cagr_pct": 25.912282436789276, "max_drawdown_pct": 82.4844561151636, "mean_exposure_while_solvent": 1.1159640883219029, "realized_annual_volatility_pct": 68.32888022168073, "trading_costs_quote_units": 762.7251119030376, "borrowing_costs_quote_units": 7119.112686930634, "price_pnl_quote_units": 65888.8629664016, "turnover_quote_units": 1271208.5198383986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -15.80629439578388 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 59989.6070474107, "return_pct": 499.8960704741069, "cagr_pct": 24.02812783413116, "max_drawdown_pct": 77.2418292860772, "mean_exposure_while_solvent": 0.9121258428812081, "realized_annual_volatility_pct": 54.34823390003689, "trading_costs_quote_units": 268.93945361323784, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 50258.54650102385, "turnover_quote_units": 448232.4226887296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 47386.12393673474, "return_pct": 373.8612393673474, "cagr_pct": 20.56168865750245, "max_drawdown_pct": 79.73790555985265, "mean_exposure_while_solvent": 0.9408863001244111, "realized_annual_volatility_pct": 59.4724653921333, "trading_costs_quote_units": 208.68128130527126, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 37594.805218040085, "turnover_quote_units": 347802.135508786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 904, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 126.0348311067595 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 66163.4738499206, "return_pct": 561.6347384992059, "cagr_pct": 25.497051335699283, "max_drawdown_pct": 78.51899005117883, "mean_exposure_while_solvent": 1.0874549049080027, "realized_annual_volatility_pct": 63.62847366379557, "trading_costs_quote_units": 794.0435278413313, "borrowing_costs_quote_units": 7060.3366582806875, "price_pnl_quote_units": 64017.85403604262, "turnover_quote_units": 1323405.8797355515, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2849, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68007.02516756827, "return_pct": 580.0702516756827, "cagr_pct": 25.912282436789276, "max_drawdown_pct": 82.4844561151636, "mean_exposure_while_solvent": 1.1159640883219029, "realized_annual_volatility_pct": 68.32888022168073, "trading_costs_quote_units": 762.7251119030376, "borrowing_costs_quote_units": 7119.112686930634, "price_pnl_quote_units": 65888.8629664016, "turnover_quote_units": 1271208.5198383986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -18.435513176476775 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 77306.776100192, "return_pct": 673.0677610019201, "cagr_pct": 27.86702416274644, "max_drawdown_pct": 78.22334952394843, "mean_exposure_while_solvent": 1.0715996393365192, "realized_annual_volatility_pct": 61.70912407451672, "trading_costs_quote_units": 929.1234912717549, "borrowing_costs_quote_units": 8249.752737088947, "price_pnl_quote_units": 76485.6523285523, "turnover_quote_units": 1548539.1521195879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68007.02516756827, "return_pct": 580.0702516756827, "cagr_pct": 25.912282436789276, "max_drawdown_pct": 82.4844561151636, "mean_exposure_while_solvent": 1.1159640883219029, "realized_annual_volatility_pct": 68.32888022168073, "trading_costs_quote_units": 762.7251119030376, "borrowing_costs_quote_units": 7119.112686930634, "price_pnl_quote_units": 65888.8629664016, "turnover_quote_units": 1271208.5198383986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 92.99750932623738 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 51774.829506406306, "return_pct": 417.7482950640631, "cagr_pct": 21.85206399786115, "max_drawdown_pct": 69.54769342619214, "mean_exposure_while_solvent": 0.7500031169154988, "realized_annual_volatility_pct": 48.610929425459645, "trading_costs_quote_units": 193.5813374076569, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41968.4108438142, "turnover_quote_units": 322635.5623460936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 51774.829506406306, "return_pct": 417.7482950640631, "cagr_pct": 21.85206399786115, "max_drawdown_pct": 69.54769342619214, "mean_exposure_while_solvent": 0.7500031169154988, "realized_annual_volatility_pct": 48.610929425459645, "trading_costs_quote_units": 193.5813374076569, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41968.4108438142, "turnover_quote_units": 322635.5623460936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56980.789032687455, "return_pct": 469.8078903268746, "cagr_pct": 23.26339987262201, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9999450549450549, "realized_annual_volatility_pct": 65.0117809682482, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46986.78543484617, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56980.789032687455, "return_pct": 469.8078903268746, "cagr_pct": 23.26339987262201, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9999450549450549, "realized_annual_volatility_pct": 65.0117809682482, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46986.78543484617, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 39303.21684516049, "return_pct": 293.0321684516049, "cagr_pct": 17.881806314911977, "max_drawdown_pct": 89.52823674060855, "mean_exposure_while_solvent": 1.2499685445491615, "realized_annual_volatility_pct": 81.60220823785171, "trading_costs_quote_units": 259.0016147719201, "borrowing_costs_quote_units": 4464.860225641644, "price_pnl_quote_units": 34027.07868557406, "turnover_quote_units": 431669.3579532011, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 39303.21684516049, "return_pct": 293.0321684516049, "cagr_pct": 17.881806314911977, "max_drawdown_pct": 89.52823674060855, "mean_exposure_while_solvent": 1.2499685445491615, "realized_annual_volatility_pct": 81.60220823785171, "trading_costs_quote_units": 259.0016147719201, "borrowing_costs_quote_units": 4464.860225641644, "price_pnl_quote_units": 34027.07868557406, "turnover_quote_units": 431669.3579532011, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21102.186679565428, "return_pct": 111.02186679565426, "cagr_pct": 9.391169294538985, "max_drawdown_pct": 94.41953404589, "mean_exposure_while_solvent": 1.5001006502345406, "realized_annual_volatility_pct": 98.47337218141611, "trading_costs_quote_units": 393.8048494510206, "borrowing_costs_quote_units": 5541.438018084319, "price_pnl_quote_units": 17037.429547100826, "turnover_quote_units": 656341.4157516991, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21102.186679565428, "return_pct": 111.02186679565426, "cagr_pct": 9.391169294538985, "max_drawdown_pct": 94.41953404589, "mean_exposure_while_solvent": 1.5001006502345406, "realized_annual_volatility_pct": 98.47337218141611, "trading_costs_quote_units": 393.8048494510206, "borrowing_costs_quote_units": 5541.438018084319, "price_pnl_quote_units": 17037.429547100826, "turnover_quote_units": 656341.4157516991, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 74051.49514712773, "return_pct": 640.5149514712773, "cagr_pct": 27.207548403431716, "max_drawdown_pct": 66.7207029763061, "mean_exposure_while_solvent": 0.7786175651043267, "realized_annual_volatility_pct": 44.2283280744039, "trading_costs_quote_units": 1298.2392599616705, "borrowing_costs_quote_units": 3956.505799907659, "price_pnl_quote_units": 69306.24020699687, "turnover_quote_units": 2163732.099936113, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 49751.86524438975, "return_pct": 397.5186524438975, "cagr_pct": 21.269730393227317, "max_drawdown_pct": 75.82305766577562, "mean_exposure_while_solvent": 0.8354012961844487, "realized_annual_volatility_pct": 53.24465380357215, "trading_costs_quote_units": 907.7301051721653, "borrowing_costs_quote_units": 2600.007361460048, "price_pnl_quote_units": 43259.60271102182, "turnover_quote_units": 1512883.5086202766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 242.9962990273798 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 59257.200823228355, "return_pct": 492.57200823228357, "cagr_pct": 23.845139383204934, "max_drawdown_pct": 81.65350681103878, "mean_exposure_while_solvent": 1.0980515174569718, "realized_annual_volatility_pct": 62.721042436024945, "trading_costs_quote_units": 1160.6997028631445, "borrowing_costs_quote_units": 13137.87982235188, "price_pnl_quote_units": 63555.78034844317, "turnover_quote_units": 1934499.504771908, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 54489.639599829585, "return_pct": 444.8963959982959, "cagr_pct": 22.602868161263483, "max_drawdown_pct": 81.65350681103878, "mean_exposure_while_solvent": 1.1108487606741373, "realized_annual_volatility_pct": 66.08844280125054, "trading_costs_quote_units": 1044.1460701725064, "borrowing_costs_quote_units": 11871.217956633653, "price_pnl_quote_units": 57405.0036266357, "turnover_quote_units": 1740243.4502875071, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 47.67561223398769 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31237.44278223017, "return_pct": 212.3744278223017, "cagr_pct": 14.67192413141571, "max_drawdown_pct": 89.64105469526667, "mean_exposure_while_solvent": 1.3002426689081288, "realized_annual_volatility_pct": 76.95989077631297, "trading_costs_quote_units": 683.5183052251522, "borrowing_costs_quote_units": 12753.303510241452, "price_pnl_quote_units": 34674.26459769668, "turnover_quote_units": 1139197.175375258, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37006.22218888502, "return_pct": 270.06222188885016, "cagr_pct": 17.031643174007222, "max_drawdown_pct": 89.64105469526672, "mean_exposure_while_solvent": 1.277672897587317, "realized_annual_volatility_pct": 75.72187942844911, "trading_costs_quote_units": 760.5692602905833, "borrowing_costs_quote_units": 14394.033062851493, "price_pnl_quote_units": 42160.824512027524, "turnover_quote_units": 1267615.4338176348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -57.68779406654846 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 44914.38618498006, "return_pct": 349.1438618498006, "cagr_pct": 19.787891114612115, "max_drawdown_pct": 81.84665171827103, "mean_exposure_while_solvent": 1.1208100268749437, "realized_annual_volatility_pct": 62.88178906942829, "trading_costs_quote_units": 1584.216757843274, "borrowing_costs_quote_units": 11532.508331922703, "price_pnl_quote_units": 48031.11127474644, "turnover_quote_units": 2640361.2630721293, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3007, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 48443.76257163858, "return_pct": 384.43762571638575, "cagr_pct": 20.881985669599587, "max_drawdown_pct": 81.84665171827102, "mean_exposure_while_solvent": 1.1240148400452825, "realized_annual_volatility_pct": 64.43509649131127, "trading_costs_quote_units": 1657.7823120132193, "borrowing_costs_quote_units": 12192.545136564957, "price_pnl_quote_units": 52294.09002021638, "turnover_quote_units": 2762970.5200220332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2792, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -35.29376386658515 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57760.56706025955, "return_pct": 477.60567060259547, "cagr_pct": 23.464939282713814, "max_drawdown_pct": 78.49742469289235, "mean_exposure_while_solvent": 1.083017194349208, "realized_annual_volatility_pct": 63.116342462567346, "trading_costs_quote_units": 736.5046443610329, "borrowing_costs_quote_units": 12827.188313376219, "price_pnl_quote_units": 61324.260017996676, "turnover_quote_units": 1227507.7406017235, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 60201.555118243195, "return_pct": 502.015551182432, "cagr_pct": 24.080715387284958, "max_drawdown_pct": 82.51338013151285, "mean_exposure_while_solvent": 1.1159875164824604, "realized_annual_volatility_pct": 68.32991151913673, "trading_costs_quote_units": 710.486662836395, "borrowing_costs_quote_units": 13091.453001399204, "price_pnl_quote_units": 64003.4947824788, "turnover_quote_units": 1184144.4380606574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -24.40988057983651 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 59989.6070474107, "return_pct": 499.8960704741069, "cagr_pct": 24.02812783413116, "max_drawdown_pct": 77.2418292860772, "mean_exposure_while_solvent": 0.9121258428812081, "realized_annual_volatility_pct": 54.34823390003689, "trading_costs_quote_units": 268.93945361323784, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 50258.54650102385, "turnover_quote_units": 448232.4226887296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 47386.12393673474, "return_pct": 373.8612393673474, "cagr_pct": 20.56168865750245, "max_drawdown_pct": 79.73790555985265, "mean_exposure_while_solvent": 0.9408863001244111, "realized_annual_volatility_pct": 59.4724653921333, "trading_costs_quote_units": 208.68128130527126, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 37594.805218040085, "turnover_quote_units": 347802.135508786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 904, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 126.0348311067595 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57532.714467951184, "return_pct": 475.3271446795118, "cagr_pct": 23.4062978776938, "max_drawdown_pct": 78.64512454620535, "mean_exposure_while_solvent": 1.0874818127453703, "realized_annual_volatility_pct": 63.630161453016676, "trading_costs_quote_units": 730.1721769321231, "borrowing_costs_quote_units": 12776.061280884167, "price_pnl_quote_units": 61038.94792576741, "turnover_quote_units": 1216953.6282202064, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2849, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 60201.555118243195, "return_pct": 502.015551182432, "cagr_pct": 24.080715387284958, "max_drawdown_pct": 82.51338013151285, "mean_exposure_while_solvent": 1.1159875164824604, "realized_annual_volatility_pct": 68.32991151913673, "trading_costs_quote_units": 710.486662836395, "borrowing_costs_quote_units": 13091.453001399204, "price_pnl_quote_units": 64003.4947824788, "turnover_quote_units": 1184144.4380606574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -26.688406502920202 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 67221.51903939786, "return_pct": 572.2151903939786, "cagr_pct": 25.73658543807276, "max_drawdown_pct": 78.28677564281497, "mean_exposure_while_solvent": 1.0716265490916668, "realized_annual_volatility_pct": 61.7108851469081, "trading_costs_quote_units": 854.4545946134602, "borrowing_costs_quote_units": 14928.230924914415, "price_pnl_quote_units": 73004.20455892492, "turnover_quote_units": 1424090.9910224318, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 60201.555118243195, "return_pct": 502.015551182432, "cagr_pct": 24.080715387284958, "max_drawdown_pct": 82.51338013151285, "mean_exposure_while_solvent": 1.1159875164824604, "realized_annual_volatility_pct": 68.32991151913673, "trading_costs_quote_units": 710.486662836395, "borrowing_costs_quote_units": 13091.453001399204, "price_pnl_quote_units": 64003.4947824788, "turnover_quote_units": 1184144.4380606574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 70.19963921154658 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51774.829506406306, "return_pct": 417.7482950640631, "cagr_pct": 21.85206399786115, "max_drawdown_pct": 69.54769342619214, "mean_exposure_while_solvent": 0.7500031169154988, "realized_annual_volatility_pct": 48.610929425459645, "trading_costs_quote_units": 193.5813374076569, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41968.4108438142, "turnover_quote_units": 322635.5623460936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51774.829506406306, "return_pct": 417.7482950640631, "cagr_pct": 21.85206399786115, "max_drawdown_pct": 69.54769342619214, "mean_exposure_while_solvent": 0.7500031169154988, "realized_annual_volatility_pct": 48.610929425459645, "trading_costs_quote_units": 193.5813374076569, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41968.4108438142, "turnover_quote_units": 322635.5623460936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56980.789032687455, "return_pct": 469.8078903268746, "cagr_pct": 23.26339987262201, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9999450549450549, "realized_annual_volatility_pct": 65.0117809682482, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46986.78543484617, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56980.789032687455, "return_pct": 469.8078903268746, "cagr_pct": 23.26339987262201, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9999450549450549, "realized_annual_volatility_pct": 65.0117809682482, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46986.78543484617, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31916.880754421203, "return_pct": 219.16880754421203, "cagr_pct": 14.9688825544695, "max_drawdown_pct": 89.77312041397909, "mean_exposure_while_solvent": 1.2500045338397154, "realized_annual_volatility_pct": 81.60574291510149, "trading_costs_quote_units": 228.1740854220607, "borrowing_costs_quote_units": 7729.7426151608815, "price_pnl_quote_units": 29874.797455004344, "turnover_quote_units": 380290.1423701014, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31916.880754421203, "return_pct": 219.16880754421203, "cagr_pct": 14.9688825544695, "max_drawdown_pct": 89.77312041397909, "mean_exposure_while_solvent": 1.2500045338397154, "realized_annual_volatility_pct": 81.60574291510149, "trading_costs_quote_units": 228.1740854220607, "borrowing_costs_quote_units": 7729.7426151608815, "price_pnl_quote_units": 29874.797455004344, "turnover_quote_units": 380290.1423701014, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13911.868863893746, "return_pct": 39.118688638937456, "cagr_pct": 4.048086045908155, "max_drawdown_pct": 94.6781888109846, "mean_exposure_while_solvent": 1.5001870994408018, "realized_annual_volatility_pct": 98.48208913149105, "trading_costs_quote_units": 309.2200785609905, "borrowing_costs_quote_units": 8387.639766951375, "price_pnl_quote_units": 12608.72870940618, "turnover_quote_units": 515366.7976016523, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13911.868863893746, "return_pct": 39.118688638937456, "cagr_pct": 4.048086045908155, "max_drawdown_pct": 94.6781888109846, "mean_exposure_while_solvent": 1.5001870994408018, "realized_annual_volatility_pct": 98.48208913149105, "trading_costs_quote_units": 309.2200785609905, "borrowing_costs_quote_units": 8387.639766951375, "price_pnl_quote_units": 12608.72870940618, "turnover_quote_units": 515366.7976016523, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 83961.97914752565, "return_pct": 739.6197914752564, "cagr_pct": 29.142542964397645, "max_drawdown_pct": 66.65948327595765, "mean_exposure_while_solvent": 0.7784487934523395, "realized_annual_volatility_pct": 44.37964096709802, "trading_costs_quote_units": 1417.7446769762284, "borrowing_costs_quote_units": 1094.3807521522292, "price_pnl_quote_units": 76474.10457665464, "turnover_quote_units": 2362907.794960379, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 48940.12337465449, "return_pct": 389.40123374654485, "cagr_pct": 21.030188040536878, "max_drawdown_pct": 76.18076062054497, "mean_exposure_while_solvent": 0.83525154864531, "realized_annual_volatility_pct": 53.284662842289855, "trading_costs_quote_units": 860.6791278774227, "borrowing_costs_quote_units": 625.1420351392401, "price_pnl_quote_units": 40425.94453767123, "turnover_quote_units": 1434465.2131290375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 350.2185577287116 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 84876.42134209993, "return_pct": 748.7642134209993, "cagr_pct": 29.31079281923027, "max_drawdown_pct": 81.35132738000654, "mean_exposure_while_solvent": 1.0977103077326142, "realized_annual_volatility_pct": 62.75707654657149, "trading_costs_quote_units": 1477.0518964953635, "borrowing_costs_quote_units": 4360.751091315395, "price_pnl_quote_units": 80714.22432991095, "turnover_quote_units": 2461753.1608256055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64010.31649811943, "return_pct": 540.1031649811943, "cagr_pct": 24.998998425613657, "max_drawdown_pct": 81.35132738000654, "mean_exposure_while_solvent": 1.1105573381746339, "realized_annual_volatility_pct": 66.15287041565509, "trading_costs_quote_units": 1098.335095806009, "borrowing_costs_quote_units": 3247.596505417667, "price_pnl_quote_units": 58356.2480993427, "turnover_quote_units": 1830558.493010012, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 208.66104843980509 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 54904.279789259825, "return_pct": 449.04279789259823, "cagr_pct": 22.714629637770166, "max_drawdown_pct": 89.22527971401692, "mean_exposure_while_solvent": 1.2998948044745857, "realized_annual_volatility_pct": 76.59784126927246, "trading_costs_quote_units": 976.6482506497855, "borrowing_costs_quote_units": 4905.803282653694, "price_pnl_quote_units": 50786.73132256338, "turnover_quote_units": 1627747.084416306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 49575.14828645658, "return_pct": 395.7514828645658, "cagr_pct": 21.21787616311206, "max_drawdown_pct": 89.22527971401692, "mean_exposure_while_solvent": 1.2773974293841839, "realized_annual_volatility_pct": 75.79329120415647, "trading_costs_quote_units": 847.2974042127923, "borrowing_costs_quote_units": 4287.460614846058, "price_pnl_quote_units": 44709.90630551556, "turnover_quote_units": 1412162.3403546556, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 53.29131502803244 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 61305.9228248211, "return_pct": 513.059228248211, "cagr_pct": 24.352118494164596, "max_drawdown_pct": 81.9623179699721, "mean_exposure_while_solvent": 1.1204839493539047, "realized_annual_volatility_pct": 63.07145591783838, "trading_costs_quote_units": 1895.002773887433, "borrowing_costs_quote_units": 3617.771446531527, "price_pnl_quote_units": 56818.69704524007, "turnover_quote_units": 3158337.956479051, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3016, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 65954.2258786234, "return_pct": 559.542258786234, "cagr_pct": 25.449280283753716, "max_drawdown_pct": 81.96231796997208, "mean_exposure_while_solvent": 1.1237153658745977, "realized_annual_volatility_pct": 64.58869964766399, "trading_costs_quote_units": 1990.482649644324, "borrowing_costs_quote_units": 3832.1078995116623, "price_pnl_quote_units": 61776.81642777975, "turnover_quote_units": 3317471.082740549, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2800, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -46.48303053802306 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 80230.57834204148, "return_pct": 702.3057834204149, "cagr_pct": 28.438839082106625, "max_drawdown_pct": 78.4421956524786, "mean_exposure_while_solvent": 1.0827780648054508, "realized_annual_volatility_pct": 63.064370739992604, "trading_costs_quote_units": 915.0396381626817, "borrowing_costs_quote_units": 4154.955619930469, "price_pnl_quote_units": 75300.57360013446, "turnover_quote_units": 1525066.063604468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2975, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71265.84377206268, "return_pct": 612.6584377206268, "cagr_pct": 26.622639304829637, "max_drawdown_pct": 82.42643361210102, "mean_exposure_while_solvent": 1.115820474188337, "realized_annual_volatility_pct": 68.3162560985151, "trading_costs_quote_units": 759.1667664703615, "borrowing_costs_quote_units": 3629.4567464216148, "price_pnl_quote_units": 65654.46728495385, "turnover_quote_units": 1265277.9441172674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 89.64734569978805 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64995.49988559692, "return_pct": 549.9549988559692, "cagr_pct": 25.228684575008415, "max_drawdown_pct": 77.16417880852828, "mean_exposure_while_solvent": 0.911999341266235, "realized_annual_volatility_pct": 54.40795410667013, "trading_costs_quote_units": 291.75632597068216, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 55287.256211567896, "turnover_quote_units": 486260.54328447004, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1238, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 43320.173230727465, "return_pct": 333.20173230727465, "cagr_pct": 19.268686868014225, "max_drawdown_pct": 79.94949500692576, "mean_exposure_while_solvent": 0.9407902616249043, "realized_annual_volatility_pct": 59.495076582772185, "trading_costs_quote_units": 192.45105198269502, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 33512.6242827105, "turnover_quote_units": 320751.75330449245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 910, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 216.7532665486945 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 80635.64659037611, "return_pct": 706.3564659037612, "cagr_pct": 28.516607883883978, "max_drawdown_pct": 78.57782190119057, "mean_exposure_while_solvent": 1.0872361437493425, "realized_annual_volatility_pct": 63.57485491645264, "trading_costs_quote_units": 915.8085405917874, "borrowing_costs_quote_units": 4175.529858578795, "price_pnl_quote_units": 75726.98498954653, "turnover_quote_units": 1526347.5676529799, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2857, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71265.84377206268, "return_pct": 612.6584377206268, "cagr_pct": 26.622639304829637, "max_drawdown_pct": 82.42643361210102, "mean_exposure_while_solvent": 1.115820474188337, "realized_annual_volatility_pct": 68.3162560985151, "trading_costs_quote_units": 759.1667664703615, "borrowing_costs_quote_units": 3629.4567464216148, "price_pnl_quote_units": 65654.46728495385, "turnover_quote_units": 1265277.9441172674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 93.6980281831344 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 91087.94828298519, "return_pct": 810.8794828298519, "cagr_pct": 30.413212475799067, "max_drawdown_pct": 78.02917632716903, "mean_exposure_while_solvent": 1.071388999279409, "realized_annual_volatility_pct": 61.662375451921314, "trading_costs_quote_units": 1035.9542015490515, "borrowing_costs_quote_units": 4717.2336339498515, "price_pnl_quote_units": 86841.13611848332, "turnover_quote_units": 1726590.3359150852, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71265.84377206268, "return_pct": 612.6584377206268, "cagr_pct": 26.622639304829637, "max_drawdown_pct": 82.42643361210102, "mean_exposure_while_solvent": 1.115820474188337, "realized_annual_volatility_pct": 68.3162560985151, "trading_costs_quote_units": 759.1667664703615, "borrowing_costs_quote_units": 3629.4567464216148, "price_pnl_quote_units": 65654.46728495385, "turnover_quote_units": 1265277.9441172674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 198.2210451092251 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 51970.303474855544, "return_pct": 419.70303474855547, "cagr_pct": 21.90726745772425, "max_drawdown_pct": 69.76564738078011, "mean_exposure_while_solvent": 0.749919930201618, "realized_annual_volatility_pct": 48.6636511417856, "trading_costs_quote_units": 192.03266940614546, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42162.33614426179, "turnover_quote_units": 320054.4490102416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 51970.303474855544, "return_pct": 419.70303474855547, "cagr_pct": 21.90726745772425, "max_drawdown_pct": 69.76564738078011, "mean_exposure_while_solvent": 0.749919930201618, "realized_annual_volatility_pct": 48.6636511417856, "trading_costs_quote_units": 192.03266940614546, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42162.33614426179, "turnover_quote_units": 320054.4490102416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 58371.65021889712, "return_pct": 483.7165021889712, "cagr_pct": 23.62121204722902, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9998351648351648, "realized_annual_volatility_pct": 65.0053798509171, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48377.64662105604, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 58371.65021889712, "return_pct": 483.7165021889712, "cagr_pct": 23.62121204722902, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9998351648351648, "realized_annual_volatility_pct": 65.0053798509171, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48377.64662105604, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46223.15520211018, "return_pct": 362.2315520211018, "cagr_pct": 20.202149858975144, "max_drawdown_pct": 89.2558002903449, "mean_exposure_while_solvent": 1.249822631899243, "realized_annual_volatility_pct": 81.4536731472599, "trading_costs_quote_units": 291.2675694880915, "borrowing_costs_quote_units": 2546.7945203288023, "price_pnl_quote_units": 39061.2172919271, "turnover_quote_units": 485445.94914682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46223.15520211018, "return_pct": 362.2315520211018, "cagr_pct": 20.202149858975144, "max_drawdown_pct": 89.2558002903449, "mean_exposure_while_solvent": 1.249822631899243, "realized_annual_volatility_pct": 81.4536731472599, "trading_costs_quote_units": 291.2675694880915, "borrowing_costs_quote_units": 2546.7945203288023, "price_pnl_quote_units": 39061.2172919271, "turnover_quote_units": 485445.94914682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28973.093041616194, "return_pct": 189.73093041616193, "cagr_pct": 13.639439036445475, "max_drawdown_pct": 94.07976814340824, "mean_exposure_while_solvent": 1.4999228613727513, "realized_annual_volatility_pct": 98.03812006525374, "trading_costs_quote_units": 497.69406469846643, "borrowing_costs_quote_units": 3569.9258379113357, "price_pnl_quote_units": 23040.71294422595, "turnover_quote_units": 829490.1078307765, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28973.093041616194, "return_pct": 189.73093041616193, "cagr_pct": 13.639439036445475, "max_drawdown_pct": 94.07976814340824, "mean_exposure_while_solvent": 1.4999228613727513, "realized_annual_volatility_pct": 98.03812006525374, "trading_costs_quote_units": 497.69406469846643, "borrowing_costs_quote_units": 3569.9258379113357, "price_pnl_quote_units": 23040.71294422595, "turnover_quote_units": 829490.1078307765, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 82474.9990741715, "return_pct": 724.749990741715, "cagr_pct": 28.865476945954555, "max_drawdown_pct": 66.67453158540704, "mean_exposure_while_solvent": 0.7784520344440178, "realized_annual_volatility_pct": 44.3796500540367, "trading_costs_quote_units": 1403.4508423640696, "borrowing_costs_quote_units": 2161.2323068093538, "price_pnl_quote_units": 76039.68222334502, "turnover_quote_units": 2339084.7372734463, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 48178.46291373708, "return_pct": 381.78462913737076, "cagr_pct": 20.802224346446387, "max_drawdown_pct": 76.1850728715678, "mean_exposure_while_solvent": 0.8352543777938257, "realized_annual_volatility_pct": 53.28469659834163, "trading_costs_quote_units": 854.0097972760328, "borrowing_costs_quote_units": 1236.9721765413738, "price_pnl_quote_units": 40269.444887554404, "turnover_quote_units": 1423349.6621267225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 342.96536160434425 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 78574.42095351688, "return_pct": 685.7442095351688, "cagr_pct": 28.117237184767614, "max_drawdown_pct": 81.4166760080061, "mean_exposure_while_solvent": 1.0977252690063803, "realized_annual_volatility_pct": 62.75776851368731, "trading_costs_quote_units": 1410.8012464419007, "borrowing_costs_quote_units": 8246.252768221257, "price_pnl_quote_units": 78231.47496817984, "turnover_quote_units": 2351335.4107364975, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 59653.59607027163, "return_pct": 496.5359607027163, "cagr_pct": 23.9444224274226, "max_drawdown_pct": 81.4166760080061, "mean_exposure_while_solvent": 1.1105710093218029, "realized_annual_volatility_pct": 66.15331322156747, "trading_costs_quote_units": 1055.3066698944954, "borrowing_costs_quote_units": 6178.260389229548, "price_pnl_quote_units": 56887.16312939575, "turnover_quote_units": 1758844.4498241663, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 189.2082488324525 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 47816.16675757288, "return_pct": 378.1616675757288, "cagr_pct": 20.69267491540825, "max_drawdown_pct": 89.37615150589504, "mean_exposure_while_solvent": 1.2999222799875443, "realized_annual_volatility_pct": 76.59981721636316, "trading_costs_quote_units": 902.8053085113404, "borrowing_costs_quote_units": 8895.995710996278, "price_pnl_quote_units": 47614.967777080856, "turnover_quote_units": 1504675.5141855709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 43795.499573557405, "return_pct": 337.954995735574, "cagr_pct": 19.42522657774701, "max_drawdown_pct": 89.376151505895, "mean_exposure_while_solvent": 1.277422176249827, "realized_annual_volatility_pct": 75.79467749089581, "trading_costs_quote_units": 792.2662129401295, "borrowing_costs_quote_units": 7865.698338350642, "price_pnl_quote_units": 42453.46412484837, "turnover_quote_units": 1320443.6882335495, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 40.2066718401548 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 56148.85167485366, "return_pct": 461.48851674853654, "cagr_pct": 23.045686196820476, "max_drawdown_pct": 82.05737474065711, "mean_exposure_while_solvent": 1.1205011898858328, "realized_annual_volatility_pct": 63.0724476945289, "trading_costs_quote_units": 1802.8017316193173, "borrowing_costs_quote_units": 6795.151015491591, "price_pnl_quote_units": 54746.804421964654, "turnover_quote_units": 3004669.5526988627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3016, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60651.34993148588, "return_pct": 506.5134993148588, "cagr_pct": 24.19177886681275, "max_drawdown_pct": 82.05737474065712, "mean_exposure_while_solvent": 1.123731815987395, "realized_annual_volatility_pct": 64.589561710008, "trading_costs_quote_units": 1899.2536840906973, "borrowing_costs_quote_units": 7220.687051045581, "price_pnl_quote_units": 59771.29066662227, "turnover_quote_units": 3165422.8068178245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2800, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -45.02498256632225 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 74817.83310554785, "return_pct": 648.1783310554785, "cagr_pct": 27.3650604977563, "max_drawdown_pct": 78.50547385162751, "mean_exposure_while_solvent": 1.082791464179843, "realized_annual_volatility_pct": 63.06500182970352, "trading_costs_quote_units": 876.9947133802935, "borrowing_costs_quote_units": 7901.149646377848, "price_pnl_quote_units": 73595.977465306, "turnover_quote_units": 1461657.8556338232, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2975, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 67053.15502192639, "return_pct": 570.5315502192639, "cagr_pct": 25.698691917897023, "max_drawdown_pct": 82.44094382420715, "mean_exposure_while_solvent": 1.1158321721102775, "realized_annual_volatility_pct": 68.31660051143648, "trading_costs_quote_units": 732.3172096048853, "borrowing_costs_quote_units": 6958.376200483649, "price_pnl_quote_units": 64743.8484320152, "turnover_quote_units": 1220528.6826748105, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 77.64678083621459 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 64995.49988559692, "return_pct": 549.9549988559692, "cagr_pct": 25.228684575008415, "max_drawdown_pct": 77.16417880852828, "mean_exposure_while_solvent": 0.911999341266235, "realized_annual_volatility_pct": 54.40795410667013, "trading_costs_quote_units": 291.75632597068216, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 55287.256211567896, "turnover_quote_units": 486260.54328447004, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1238, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 43320.173230727465, "return_pct": 333.20173230727465, "cagr_pct": 19.268686868014225, "max_drawdown_pct": 79.94949500692576, "mean_exposure_while_solvent": 0.9407902616249043, "realized_annual_volatility_pct": 59.495076582772185, "trading_costs_quote_units": 192.45105198269502, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 33512.6242827105, "turnover_quote_units": 320751.75330449245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 910, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 216.7532665486945 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 75196.08756610144, "return_pct": 651.9608756610144, "cagr_pct": 27.442283856733223, "max_drawdown_pct": 78.64055597278112, "mean_exposure_while_solvent": 1.0872495421592903, "realized_annual_volatility_pct": 63.575482143710296, "trading_costs_quote_units": 877.5906602544267, "borrowing_costs_quote_units": 7940.290717461008, "price_pnl_quote_units": 74013.96894381565, "turnover_quote_units": 1462651.100424045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2857, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 67053.15502192639, "return_pct": 570.5315502192639, "cagr_pct": 25.698691917897023, "max_drawdown_pct": 82.44094382420715, "mean_exposure_while_solvent": 1.1158321721102775, "realized_annual_volatility_pct": 68.31660051143648, "trading_costs_quote_units": 732.3172096048853, "borrowing_costs_quote_units": 6958.376200483649, "price_pnl_quote_units": 64743.8484320152, "turnover_quote_units": 1220528.6826748105, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 81.4293254417505 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 84942.71203566836, "return_pct": 749.4271203566835, "cagr_pct": 29.32292767041149, "max_drawdown_pct": 78.06102679531672, "mean_exposure_while_solvent": 1.0714023986538013, "realized_annual_volatility_pct": 61.66303041063372, "trading_costs_quote_units": 992.7607681646566, "borrowing_costs_quote_units": 8970.38916131387, "price_pnl_quote_units": 84905.8619651466, "turnover_quote_units": 1654601.2802744266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 67053.15502192639, "return_pct": 570.5315502192639, "cagr_pct": 25.698691917897023, "max_drawdown_pct": 82.44094382420715, "mean_exposure_while_solvent": 1.1158321721102775, "realized_annual_volatility_pct": 68.31660051143648, "trading_costs_quote_units": 732.3172096048853, "borrowing_costs_quote_units": 6958.376200483649, "price_pnl_quote_units": 64743.8484320152, "turnover_quote_units": 1220528.6826748105, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 178.89557013741967 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 51970.303474855544, "return_pct": 419.70303474855547, "cagr_pct": 21.90726745772425, "max_drawdown_pct": 69.76564738078011, "mean_exposure_while_solvent": 0.749919930201618, "realized_annual_volatility_pct": 48.6636511417856, "trading_costs_quote_units": 192.03266940614546, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42162.33614426179, "turnover_quote_units": 320054.4490102416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 51970.303474855544, "return_pct": 419.70303474855547, "cagr_pct": 21.90726745772425, "max_drawdown_pct": 69.76564738078011, "mean_exposure_while_solvent": 0.749919930201618, "realized_annual_volatility_pct": 48.6636511417856, "trading_costs_quote_units": 192.03266940614546, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42162.33614426179, "turnover_quote_units": 320054.4490102416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58371.65021889712, "return_pct": 483.7165021889712, "cagr_pct": 23.62121204722902, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9998351648351648, "realized_annual_volatility_pct": 65.0053798509171, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48377.64662105604, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58371.65021889712, "return_pct": 483.7165021889712, "cagr_pct": 23.62121204722902, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9998351648351648, "realized_annual_volatility_pct": 65.0053798509171, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48377.64662105604, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 41655.709184201405, "return_pct": 316.5570918420141, "cagr_pct": 18.708346548604784, "max_drawdown_pct": 89.382065967593, "mean_exposure_while_solvent": 1.249840506061647, "realized_annual_volatility_pct": 81.45521718919001, "trading_costs_quote_units": 273.02139318704616, "borrowing_costs_quote_units": 4734.7438353647585, "price_pnl_quote_units": 36663.474412753145, "turnover_quote_units": 455035.6553117426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 41655.709184201405, "return_pct": 316.5570918420141, "cagr_pct": 18.708346548604784, "max_drawdown_pct": 89.382065967593, "mean_exposure_while_solvent": 1.249840506061647, "realized_annual_volatility_pct": 81.45521718919001, "trading_costs_quote_units": 273.02139318704616, "borrowing_costs_quote_units": 4734.7438353647585, "price_pnl_quote_units": 36663.474412753145, "turnover_quote_units": 455035.6553117426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23527.258520569216, "return_pct": 135.27258520569214, "cagr_pct": 10.830859393080175, "max_drawdown_pct": 94.21843588417279, "mean_exposure_while_solvent": 1.499965793741659, "realized_annual_volatility_pct": 98.04187487121852, "trading_costs_quote_units": 438.782023605011, "borrowing_costs_quote_units": 6186.554109503235, "price_pnl_quote_units": 20152.594653677676, "turnover_quote_units": 731303.372675019, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23527.258520569216, "return_pct": 135.27258520569214, "cagr_pct": 10.830859393080175, "max_drawdown_pct": 94.21843588417279, "mean_exposure_while_solvent": 1.499965793741659, "realized_annual_volatility_pct": 98.04187487121852, "trading_costs_quote_units": 438.782023605011, "borrowing_costs_quote_units": 6186.554109503235, "price_pnl_quote_units": 20152.594653677676, "turnover_quote_units": 731303.372675019, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 79578.89555424951, "return_pct": 695.7889555424952, "cagr_pct": 28.31299494161692, "max_drawdown_pct": 66.704614599909, "mean_exposure_while_solvent": 0.7784585175641323, "realized_annual_volatility_pct": 44.37967737704142, "trading_costs_quote_units": 1375.398452425959, "borrowing_costs_quote_units": 4214.579118244087, "price_pnl_quote_units": 75168.87312491945, "turnover_quote_units": 2292330.7540432625, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46690.17365831057, "return_pct": 366.9017365831056, "cagr_pct": 20.34747731109375, "max_drawdown_pct": 76.19369681908297, "mean_exposure_while_solvent": 0.8352600370719214, "realized_annual_volatility_pct": 53.284770771630804, "trading_costs_quote_units": 840.8877065021424, "borrowing_costs_quote_units": 2421.622899396603, "price_pnl_quote_units": 39952.68426420935, "turnover_quote_units": 1401479.5108369042, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 328.88721895938954 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 67336.6925279733, "return_pct": 573.366925279733, "cagr_pct": 25.76245935044273, "max_drawdown_pct": 81.54671996109558, "mean_exposure_while_solvent": 1.0977551974741435, "realized_annual_volatility_pct": 62.75917575759911, "trading_costs_quote_units": 1288.8235149197976, "borrowing_costs_quote_units": 14754.849539692368, "price_pnl_quote_units": 73380.36558258552, "turnover_quote_units": 2148039.1915329956, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51807.64043958139, "return_pct": 418.0764043958138, "cagr_pct": 21.861342868022923, "max_drawdown_pct": 81.54671996109558, "mean_exposure_while_solvent": 1.110598357022003, "realized_annual_volatility_pct": 66.15422027253304, "trading_costs_quote_units": 975.471648966309, "borrowing_costs_quote_units": 11187.227358291295, "price_pnl_quote_units": 53970.33944683929, "turnover_quote_units": 1625786.0816105166, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 155.29052088391916 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36264.309973311174, "return_pct": 262.64309973311174, "cagr_pct": 16.7471143990463, "max_drawdown_pct": 89.67166176054924, "mean_exposure_while_solvent": 1.2999772423474751, "realized_annual_volatility_pct": 76.60378742991938, "trading_costs_quote_units": 774.7775298822767, "borrowing_costs_quote_units": 14670.584902427407, "price_pnl_quote_units": 41709.67240562066, "turnover_quote_units": 1291295.8831371274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 34176.7768419733, "return_pct": 241.767768419733, "cagr_pct": 15.918127761499932, "max_drawdown_pct": 89.67166176054923, "mean_exposure_while_solvent": 1.2774716802479966, "realized_annual_volatility_pct": 75.79747171247654, "trading_costs_quote_units": 695.3737362604044, "borrowing_costs_quote_units": 13269.337607517351, "price_pnl_quote_units": 38141.48818575118, "turnover_quote_units": 1158956.2271006736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 20.87533131337875 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 47097.44842200385, "return_pct": 370.97448422003845, "cagr_pct": 20.473173391323762, "max_drawdown_pct": 82.24603531688534, "mean_exposure_while_solvent": 1.120535677919488, "realized_annual_volatility_pct": 63.074456750261064, "trading_costs_quote_units": 1634.5579541336865, "borrowing_costs_quote_units": 11999.247767391877, "price_pnl_quote_units": 50731.25414352986, "turnover_quote_units": 2724263.2568894722, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3016, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51288.10861126403, "return_pct": 412.88108611264033, "cagr_pct": 21.713809128983065, "max_drawdown_pct": 82.24603531688534, "mean_exposure_while_solvent": 1.1237647228646948, "realized_annual_volatility_pct": 64.59131057939933, "trading_costs_quote_units": 1732.0476975538197, "borrowing_costs_quote_units": 12830.46418981338, "price_pnl_quote_units": 55850.62049863167, "turnover_quote_units": 2886746.1625897116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2800, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -41.906601892601884 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 65060.859071278246, "return_pct": 550.6085907127825, "cagr_pct": 25.243813862241222, "max_drawdown_pct": 78.63150488102507, "mean_exposure_while_solvent": 1.0828182681314358, "realized_annual_volatility_pct": 63.066285178970446, "trading_costs_quote_units": 806.4867549614172, "borrowing_costs_quote_units": 14293.852811958413, "price_pnl_quote_units": 70161.1986381986, "turnover_quote_units": 1344144.5916023615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2975, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59358.23919748182, "return_pct": 493.58239197481817, "cagr_pct": 23.87050129574517, "max_drawdown_pct": 82.46993455017221, "mean_exposure_while_solvent": 1.1158555724970405, "realized_annual_volatility_pct": 68.31730783246465, "trading_costs_quote_units": 682.0592644887575, "borrowing_costs_quote_units": 12794.160811983988, "price_pnl_quote_units": 62834.45927395511, "turnover_quote_units": 1136765.440814595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 57.026198737964364 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 64995.49988559692, "return_pct": 549.9549988559692, "cagr_pct": 25.228684575008415, "max_drawdown_pct": 77.16417880852828, "mean_exposure_while_solvent": 0.911999341266235, "realized_annual_volatility_pct": 54.40795410667013, "trading_costs_quote_units": 291.75632597068216, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 55287.256211567896, "turnover_quote_units": 486260.54328447004, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1238, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 43320.173230727465, "return_pct": 333.20173230727465, "cagr_pct": 19.268686868014225, "max_drawdown_pct": 79.94949500692576, "mean_exposure_while_solvent": 0.9407902616249043, "realized_annual_volatility_pct": 59.495076582772185, "trading_costs_quote_units": 192.45105198269502, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 33512.6242827105, "turnover_quote_units": 320751.75330449245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 910, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 216.7532665486945 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 65390.6797233588, "return_pct": 553.906797233588, "cagr_pct": 25.319957070405263, "max_drawdown_pct": 78.76550456706335, "mean_exposure_while_solvent": 1.0872763441818085, "realized_annual_volatility_pct": 63.576757601476444, "trading_costs_quote_units": 806.763273004826, "borrowing_costs_quote_units": 14364.713398002683, "price_pnl_quote_units": 70562.15639436626, "turnover_quote_units": 1344605.455008045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2857, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59358.23919748182, "return_pct": 493.58239197481817, "cagr_pct": 23.87050129574517, "max_drawdown_pct": 82.46993455017221, "mean_exposure_while_solvent": 1.1158555724970405, "realized_annual_volatility_pct": 68.31730783246465, "trading_costs_quote_units": 682.0592644887575, "borrowing_costs_quote_units": 12794.160811983988, "price_pnl_quote_units": 62834.45927395511, "turnover_quote_units": 1136765.440814595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 60.32440525876984 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 73865.35518996503, "return_pct": 638.6535518996503, "cagr_pct": 27.169073040706, "max_drawdown_pct": 78.12460223643669, "mean_exposure_while_solvent": 1.071429202605394, "realized_annual_volatility_pct": 61.66436198263775, "trading_costs_quote_units": 912.7111735747122, "borrowing_costs_quote_units": 16228.198183360471, "price_pnl_quote_units": 81006.26454690057, "turnover_quote_units": 1521185.289291184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59358.23919748182, "return_pct": 493.58239197481817, "cagr_pct": 23.87050129574517, "max_drawdown_pct": 82.46993455017221, "mean_exposure_while_solvent": 1.1158555724970405, "realized_annual_volatility_pct": 68.31730783246465, "trading_costs_quote_units": 682.0592644887575, "borrowing_costs_quote_units": 12794.160811983988, "price_pnl_quote_units": 62834.45927395511, "turnover_quote_units": 1136765.440814595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 145.07115992483216 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51970.303474855544, "return_pct": 419.70303474855547, "cagr_pct": 21.90726745772425, "max_drawdown_pct": 69.76564738078011, "mean_exposure_while_solvent": 0.749919930201618, "realized_annual_volatility_pct": 48.6636511417856, "trading_costs_quote_units": 192.03266940614546, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42162.33614426179, "turnover_quote_units": 320054.4490102416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51970.303474855544, "return_pct": 419.70303474855547, "cagr_pct": 21.90726745772425, "max_drawdown_pct": 69.76564738078011, "mean_exposure_while_solvent": 0.749919930201618, "realized_annual_volatility_pct": 48.6636511417856, "trading_costs_quote_units": 192.03266940614546, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 42162.33614426179, "turnover_quote_units": 320054.4490102416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58371.65021889712, "return_pct": 483.7165021889712, "cagr_pct": 23.62121204722902, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9998351648351648, "realized_annual_volatility_pct": 65.0053798509171, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48377.64662105604, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58371.65021889712, "return_pct": 483.7165021889712, "cagr_pct": 23.62121204722902, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9998351648351648, "realized_annual_volatility_pct": 65.0053798509171, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48377.64662105604, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33828.57879413896, "return_pct": 238.2857879413896, "cagr_pct": 15.775539273951928, "max_drawdown_pct": 89.63021891434792, "mean_exposure_while_solvent": 1.2498762599444988, "realized_annual_volatility_pct": 81.45830594773672, "trading_costs_quote_units": 240.49819916233446, "borrowing_costs_quote_units": 8197.394662060071, "price_pnl_quote_units": 32266.47165536122, "turnover_quote_units": 400830.33193722554, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33828.57879413896, "return_pct": 238.2857879413896, "cagr_pct": 15.775539273951928, "max_drawdown_pct": 89.63021891434792, "mean_exposure_while_solvent": 1.2498762599444988, "realized_annual_volatility_pct": 81.45830594773672, "trading_costs_quote_units": 240.49819916233446, "borrowing_costs_quote_units": 8197.394662060071, "price_pnl_quote_units": 32266.47165536122, "turnover_quote_units": 400830.33193722554, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15512.197208175163, "return_pct": 55.12197208175162, "cagr_pct": 5.418739244385773, "max_drawdown_pct": 94.48617694033248, "mean_exposure_while_solvent": 1.5000516772899832, "realized_annual_volatility_pct": 98.04938683355616, "trading_costs_quote_units": 344.4575988715552, "borrowing_costs_quote_units": 9364.672970409167, "price_pnl_quote_units": 15221.327777455801, "turnover_quote_units": 574095.9981192569, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15512.197208175163, "return_pct": 55.12197208175162, "cagr_pct": 5.418739244385773, "max_drawdown_pct": 94.48617694033248, "mean_exposure_while_solvent": 1.5000516772899832, "realized_annual_volatility_pct": 98.04938683355616, "trading_costs_quote_units": 344.4575988715552, "borrowing_costs_quote_units": 9364.672970409167, "price_pnl_quote_units": 15221.327777455801, "turnover_quote_units": 574095.9981192569, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 68295.13567323431, "return_pct": 582.9513567323431, "cagr_pct": 25.976277839801554, "max_drawdown_pct": 67.1188951107266, "mean_exposure_while_solvent": 0.7786078048703347, "realized_annual_volatility_pct": 44.22621433224134, "trading_costs_quote_units": 6074.566438648464, "borrowing_costs_quote_units": 918.0951952725743, "price_pnl_quote_units": 65287.79730715509, "turnover_quote_units": 2024855.4795494894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 45217.99524766956, "return_pct": 352.1799524766956, "cagr_pct": 19.884928174975585, "max_drawdown_pct": 76.21560303687691, "mean_exposure_while_solvent": 0.8353928015892098, "realized_annual_volatility_pct": 53.24516958879681, "trading_costs_quote_units": 4195.846830966986, "borrowing_costs_quote_units": 594.0409708064711, "price_pnl_quote_units": 40007.88304944268, "turnover_quote_units": 1398615.6103223278, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 230.77140425564755 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 64526.871218426095, "return_pct": 545.268712184261, "cagr_pct": 25.119813060117274, "max_drawdown_pct": 81.76068087351265, "mean_exposure_while_solvent": 1.0980064091118478, "realized_annual_volatility_pct": 62.71386537775096, "trading_costs_quote_units": 5975.584899523674, "borrowing_costs_quote_units": 3433.6492606953575, "price_pnl_quote_units": 63936.10537864526, "turnover_quote_units": 1991861.633174561, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58430.45957091094, "return_pct": 484.30459570910944, "cagr_pct": 23.63617538095168, "max_drawdown_pct": 81.76068087351258, "mean_exposure_while_solvent": 1.1108076295887825, "realized_annual_volatility_pct": 66.0846051066929, "trading_costs_quote_units": 5301.003685536966, "borrowing_costs_quote_units": 3058.3754296995953, "price_pnl_quote_units": 56789.83868614685, "turnover_quote_units": 1767001.228512324, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 60.96411647515151 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 41147.88707614361, "return_pct": 311.4788707614361, "cagr_pct": 18.533465661761976, "max_drawdown_pct": 89.41606489329895, "mean_exposure_while_solvent": 1.3001598371859702, "realized_annual_volatility_pct": 76.9486288095306, "trading_costs_quote_units": 3903.7423546182963, "borrowing_costs_quote_units": 3802.39320859268, "price_pnl_quote_units": 38854.02263935474, "turnover_quote_units": 1301247.4515394317, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46949.52317783925, "return_pct": 369.4952317783925, "cagr_pct": 20.42763062309465, "max_drawdown_pct": 89.41606489329891, "mean_exposure_while_solvent": 1.2775984094565391, "realized_annual_volatility_pct": 75.7189311819375, "trading_costs_quote_units": 4216.741954113593, "borrowing_costs_quote_units": 4162.4391370944295, "price_pnl_quote_units": 45328.70426904671, "turnover_quote_units": 1405580.6513711985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -58.01636101695641 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 45696.44825263819, "return_pct": 356.9644825263819, "cagr_pct": 20.03669018802019, "max_drawdown_pct": 82.13534364670667, "mean_exposure_while_solvent": 1.1207579270853478, "realized_annual_volatility_pct": 62.87409754784924, "trading_costs_quote_units": 7729.277979160421, "borrowing_costs_quote_units": 2836.265655267143, "price_pnl_quote_units": 46261.99188706595, "turnover_quote_units": 2576425.9930534777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3007, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 48496.92022302472, "return_pct": 384.9692022302472, "cagr_pct": 20.89792108180728, "max_drawdown_pct": 82.13534364670664, "mean_exposure_while_solvent": 1.1239651259656884, "realized_annual_volatility_pct": 64.43179528481315, "trading_costs_quote_units": 7965.640069747514, "borrowing_costs_quote_units": 2951.7119103841183, "price_pnl_quote_units": 49414.27220315576, "turnover_quote_units": 2655213.356582509, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2792, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -28.004719703865305 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 64851.82991976378, "return_pct": 548.5182991976378, "cagr_pct": 25.19538087048936, "max_drawdown_pct": 78.50502070325517, "mean_exposure_while_solvent": 1.082976832349988, "realized_annual_volatility_pct": 63.11011768010813, "trading_costs_quote_units": 3893.6373023584592, "borrowing_costs_quote_units": 3444.4400243933073, "price_pnl_quote_units": 62189.907246515184, "turnover_quote_units": 1297879.1007861546, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66824.17244198697, "return_pct": 568.2417244198697, "cagr_pct": 25.64702046756234, "max_drawdown_pct": 82.56853351077042, "mean_exposure_while_solvent": 1.1159523765185655, "realized_annual_volatility_pct": 68.32807621035681, "trading_costs_quote_units": 3729.817645197424, "borrowing_costs_quote_units": 3480.679591345593, "price_pnl_quote_units": 64034.66967852987, "turnover_quote_units": 1243272.5483991415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -19.723425222231867 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 57037.86090143724, "return_pct": 470.37860901437244, "cagr_pct": 23.278232560052693, "max_drawdown_pct": 77.42458900823544, "mean_exposure_while_solvent": 0.9121258428812081, "realized_annual_volatility_pct": 54.34811635516215, "trading_costs_quote_units": 1300.6119223580474, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48338.47282379518, "turnover_quote_units": 433537.3074526812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 45088.29673503034, "return_pct": 350.8829673503033, "cagr_pct": 19.843545339663525, "max_drawdown_pct": 79.9578728748491, "mean_exposure_while_solvent": 0.9408863001244111, "realized_annual_volatility_pct": 59.473309013575026, "trading_costs_quote_units": 1009.8144179713598, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36098.11115300193, "turnover_quote_units": 336604.80599045294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 904, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 119.49564166406913 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 64713.92921768774, "return_pct": 547.1392921768773, "cagr_pct": 25.16335341139402, "max_drawdown_pct": 78.63229083234995, "mean_exposure_while_solvent": 1.0874414536227284, "realized_annual_volatility_pct": 63.623974200411396, "trading_costs_quote_units": 3868.0653574394996, "borrowing_costs_quote_units": 3436.9585459119426, "price_pnl_quote_units": 62018.95312103906, "turnover_quote_units": 1289355.1191464998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2849, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66824.17244198697, "return_pct": 568.2417244198697, "cagr_pct": 25.64702046756234, "max_drawdown_pct": 82.56853351077042, "mean_exposure_while_solvent": 1.1159523765185655, "realized_annual_volatility_pct": 68.32807621035681, "trading_costs_quote_units": 3729.817645197424, "borrowing_costs_quote_units": 3480.679591345593, "price_pnl_quote_units": 64034.66967852987, "turnover_quote_units": 1243272.5483991415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -21.102432242992336 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 75523.04201019154, "return_pct": 655.2304201019153, "cagr_pct": 27.50875906011968, "max_drawdown_pct": 78.39262570440297, "mean_exposure_while_solvent": 1.0715861870924468, "realized_annual_volatility_pct": 61.704748715731675, "trading_costs_quote_units": 4520.901272649636, "borrowing_costs_quote_units": 4011.214317093054, "price_pnl_quote_units": 74055.15759993417, "turnover_quote_units": 1506967.0908832124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66824.17244198697, "return_pct": 568.2417244198697, "cagr_pct": 25.64702046756234, "max_drawdown_pct": 82.56853351077042, "mean_exposure_while_solvent": 1.1159523765185655, "realized_annual_volatility_pct": 68.32807621035681, "trading_costs_quote_units": 3729.817645197424, "borrowing_costs_quote_units": 3480.679591345593, "price_pnl_quote_units": 64034.66967852987, "turnover_quote_units": 1243272.5483991415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 86.98869568204566 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 50070.166628890154, "return_pct": 400.7016662889016, "cagr_pct": 21.36272243948397, "max_drawdown_pct": 69.70341899260823, "mean_exposure_while_solvent": 0.7500031169154988, "realized_annual_volatility_pct": 48.61195323343561, "trading_costs_quote_units": 946.0383900778738, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41016.2050189679, "turnover_quote_units": 315346.1300259576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 50070.166628890154, "return_pct": 400.7016662889016, "cagr_pct": 21.36272243948397, "max_drawdown_pct": 69.70341899260823, "mean_exposure_while_solvent": 0.7500031169154988, "realized_annual_volatility_pct": 48.61195323343561, "trading_costs_quote_units": 946.0383900778738, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41016.2050189679, "turnover_quote_units": 315346.1300259576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 56844.44417358631, "return_pct": 468.44444173586305, "cagr_pct": 23.22791155741672, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9999450549450549, "realized_annual_volatility_pct": 65.01186488173273, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46874.354442779106, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 56844.44417358631, "return_pct": 468.44444173586305, "cagr_pct": 23.22791155741672, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9999450549450549, "realized_annual_volatility_pct": 65.01186488173273, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46874.354442779106, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 41237.87173298017, "return_pct": 312.3787173298017, "cagr_pct": 18.564591985351893, "max_drawdown_pct": 89.49534851993113, "mean_exposure_while_solvent": 1.2499505527366588, "realized_annual_volatility_pct": 81.60260764334937, "trading_costs_quote_units": 1328.4163339030065, "borrowing_costs_quote_units": 2299.9153209401757, "price_pnl_quote_units": 34866.203387823334, "turnover_quote_units": 442805.444634335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 41237.87173298017, "return_pct": 312.3787173298017, "cagr_pct": 18.564591985351893, "max_drawdown_pct": 89.49534851993113, "mean_exposure_while_solvent": 1.2499505527366588, "realized_annual_volatility_pct": 81.60260764334937, "trading_costs_quote_units": 1328.4163339030065, "borrowing_costs_quote_units": 2299.9153209401757, "price_pnl_quote_units": 34866.203387823334, "turnover_quote_units": 442805.444634335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22790.921800587133, "return_pct": 127.90921800587131, "cagr_pct": 10.408087646113662, "max_drawdown_pct": 94.404715622324, "mean_exposure_while_solvent": 1.500057435215913, "realized_annual_volatility_pct": 98.4744094924916, "trading_costs_quote_units": 2043.3312982390687, "borrowing_costs_quote_units": 2896.0844838554594, "price_pnl_quote_units": 17730.33758268187, "turnover_quote_units": 681110.4327463554, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22790.921800587133, "return_pct": 127.90921800587131, "cagr_pct": 10.408087646113662, "max_drawdown_pct": 94.404715622324, "mean_exposure_while_solvent": 1.500057435215913, "realized_annual_volatility_pct": 98.4744094924916, "trading_costs_quote_units": 2043.3312982390687, "borrowing_costs_quote_units": 2896.0844838554594, "price_pnl_quote_units": 17730.33758268187, "turnover_quote_units": 681110.4327463554, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 67085.47967833423, "return_pct": 570.8547967833423, "cagr_pct": 25.705973683918888, "max_drawdown_pct": 67.13368073726132, "mean_exposure_while_solvent": 0.7786110578991408, "realized_annual_volatility_pct": 44.22624362042767, "trading_costs_quote_units": 6014.370024681025, "borrowing_costs_quote_units": 1813.2934259482965, "price_pnl_quote_units": 64913.14312896355, "turnover_quote_units": 2004790.008227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44514.03506355835, "return_pct": 345.14035063558356, "cagr_pct": 19.65904807030145, "max_drawdown_pct": 76.21991370968267, "mean_exposure_while_solvent": 0.8353956327937785, "realized_annual_volatility_pct": 53.24525265845549, "trading_costs_quote_units": 4164.0162313711535, "borrowing_costs_quote_units": 1175.5224462067008, "price_pnl_quote_units": 39853.57374113638, "turnover_quote_units": 1388005.4104570514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 225.71444614775874 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 59732.47147395513, "return_pct": 497.32471473955127, "cagr_pct": 23.964108669677383, "max_drawdown_pct": 81.82499816215837, "mean_exposure_while_solvent": 1.0980214432280935, "realized_annual_volatility_pct": 62.71479585838969, "trading_costs_quote_units": 5713.035099731652, "borrowing_costs_quote_units": 6496.321402074935, "price_pnl_quote_units": 61941.827975761444, "turnover_quote_units": 1904345.0332438864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 54451.09289539321, "return_pct": 444.5109289539321, "cagr_pct": 22.592440366379613, "max_drawdown_pct": 81.82499816215834, "mean_exposure_while_solvent": 1.1108213381402285, "realized_annual_volatility_pct": 66.0852682610644, "trading_costs_quote_units": 5096.913494937456, "borrowing_costs_quote_units": 5820.1675043631585, "price_pnl_quote_units": 55368.173894693544, "turnover_quote_units": 1698971.1649791475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 52.81378578561919 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 35833.91986350598, "return_pct": 258.3391986350598, "cagr_pct": 16.579700789085383, "max_drawdown_pct": 89.56424776294534, "mean_exposure_while_solvent": 1.3001874439317564, "realized_annual_volatility_pct": 76.95114438442127, "trading_costs_quote_units": 3616.071758587099, "borrowing_costs_quote_units": 6904.185214926433, "price_pnl_quote_units": 36354.17683701949, "turnover_quote_units": 1205357.2528623636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 41475.417216016875, "return_pct": 314.7541721601687, "cagr_pct": 18.64647445866118, "max_drawdown_pct": 89.56424776294536, "mean_exposure_while_solvent": 1.2776232353839931, "realized_annual_volatility_pct": 75.72066857683298, "trading_costs_quote_units": 3947.5472197874096, "borrowing_costs_quote_units": 7641.397550592989, "price_pnl_quote_units": 43064.361986397096, "turnover_quote_units": 1315849.0732624694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -56.414973525108906 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 41851.1710169475, "return_pct": 318.51171016947495, "cagr_pct": 18.775158981052236, "max_drawdown_pct": 82.22956725101436, "mean_exposure_while_solvent": 1.1207752913049946, "realized_annual_volatility_pct": 62.875295252135054, "trading_costs_quote_units": 7365.892849160648, "borrowing_costs_quote_units": 5333.409388058461, "price_pnl_quote_units": 44550.47325416648, "turnover_quote_units": 2455297.616386884, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3007, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44596.25761440184, "return_pct": 345.9625761440184, "cagr_pct": 19.685592307360917, "max_drawdown_pct": 82.22956725101432, "mean_exposure_while_solvent": 1.1239816950556478, "realized_annual_volatility_pct": 64.43287068726904, "trading_costs_quote_units": 7612.3056372561905, "borrowing_costs_quote_units": 5567.085164501409, "price_pnl_quote_units": 47775.64841615885, "turnover_quote_units": 2537435.21241873, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2792, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -27.450865974543433 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 60475.441367914274, "return_pct": 504.7544136791427, "cagr_pct": 24.14843002929033, "max_drawdown_pct": 78.56835708539029, "mean_exposure_while_solvent": 1.0829902845940604, "realized_annual_volatility_pct": 63.110969936652936, "trading_costs_quote_units": 3733.89388936557, "borrowing_costs_quote_units": 6552.052069713253, "price_pnl_quote_units": 60761.38732699292, "turnover_quote_units": 1244631.2964551894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62873.71763183639, "return_pct": 528.7371763183639, "cagr_pct": 24.73011489169975, "max_drawdown_pct": 82.58291516977224, "mean_exposure_while_solvent": 1.1159640883219029, "realized_annual_volatility_pct": 68.32859348204813, "trading_costs_quote_units": 3599.346144857608, "borrowing_costs_quote_units": 6674.514167246332, "price_pnl_quote_units": 63147.577943940334, "turnover_quote_units": 1199782.048285871, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -23.98276263922122 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 57037.86090143724, "return_pct": 470.37860901437244, "cagr_pct": 23.278232560052693, "max_drawdown_pct": 77.42458900823544, "mean_exposure_while_solvent": 0.9121258428812081, "realized_annual_volatility_pct": 54.34811635516215, "trading_costs_quote_units": 1300.6119223580474, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48338.47282379518, "turnover_quote_units": 433537.3074526812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45088.29673503034, "return_pct": 350.8829673503033, "cagr_pct": 19.843545339663525, "max_drawdown_pct": 79.9578728748491, "mean_exposure_while_solvent": 0.9408863001244111, "realized_annual_volatility_pct": 59.473309013575026, "trading_costs_quote_units": 1009.8144179713598, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36098.11115300193, "turnover_quote_units": 336604.80599045294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 904, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 119.49564166406913 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 60347.25058495132, "return_pct": 503.4725058495132, "cagr_pct": 24.116770267404103, "max_drawdown_pct": 78.69510958350857, "mean_exposure_while_solvent": 1.0874549049080027, "realized_annual_volatility_pct": 63.62482066022931, "trading_costs_quote_units": 3708.7478738870454, "borrowing_costs_quote_units": 6537.849763415188, "price_pnl_quote_units": 60593.848222253226, "turnover_quote_units": 1236249.2912956818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2849, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62873.71763183639, "return_pct": 528.7371763183639, "cagr_pct": 24.73011489169975, "max_drawdown_pct": 82.58291516977224, "mean_exposure_while_solvent": 1.1159640883219029, "realized_annual_volatility_pct": 68.32859348204813, "trading_costs_quote_units": 3599.346144857608, "borrowing_costs_quote_units": 6674.514167246332, "price_pnl_quote_units": 63147.577943940334, "turnover_quote_units": 1199782.048285871, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -25.26467046885074 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 70426.52928474956, "return_pct": 604.2652928474956, "cagr_pct": 26.442462511237075, "max_drawdown_pct": 78.42408857725516, "mean_exposure_while_solvent": 1.0715996393365192, "realized_annual_volatility_pct": 61.70563180427442, "trading_costs_quote_units": 4334.872466596829, "borrowing_costs_quote_units": 7630.176424106035, "price_pnl_quote_units": 72391.57817545197, "turnover_quote_units": 1444957.488865609, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62873.71763183639, "return_pct": 528.7371763183639, "cagr_pct": 24.73011489169975, "max_drawdown_pct": 82.58291516977224, "mean_exposure_while_solvent": 1.1159640883219029, "realized_annual_volatility_pct": 68.32859348204813, "trading_costs_quote_units": 3599.346144857608, "borrowing_costs_quote_units": 6674.514167246332, "price_pnl_quote_units": 63147.577943940334, "turnover_quote_units": 1199782.048285871, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 75.5281165291317 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 50070.166628890154, "return_pct": 400.7016662889016, "cagr_pct": 21.36272243948397, "max_drawdown_pct": 69.70341899260823, "mean_exposure_while_solvent": 0.7500031169154988, "realized_annual_volatility_pct": 48.61195323343561, "trading_costs_quote_units": 946.0383900778738, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41016.2050189679, "turnover_quote_units": 315346.1300259576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 50070.166628890154, "return_pct": 400.7016662889016, "cagr_pct": 21.36272243948397, "max_drawdown_pct": 69.70341899260823, "mean_exposure_while_solvent": 0.7500031169154988, "realized_annual_volatility_pct": 48.61195323343561, "trading_costs_quote_units": 946.0383900778738, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41016.2050189679, "turnover_quote_units": 315346.1300259576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56844.44417358631, "return_pct": 468.44444173586305, "cagr_pct": 23.22791155741672, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9999450549450549, "realized_annual_volatility_pct": 65.01186488173273, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46874.354442779106, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56844.44417358631, "return_pct": 468.44444173586305, "cagr_pct": 23.22791155741672, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9999450549450549, "realized_annual_volatility_pct": 65.01186488173273, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46874.354442779106, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37162.309176444134, "return_pct": 271.6230917644413, "cagr_pct": 17.090863959092356, "max_drawdown_pct": 89.6188923781211, "mean_exposure_while_solvent": 1.2499685445491615, "realized_annual_volatility_pct": 81.60439595981701, "trading_costs_quote_units": 1245.7643556115868, "borrowing_costs_quote_units": 4276.893410648987, "price_pnl_quote_units": 32684.96694270459, "turnover_quote_units": 415254.78520386206, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37162.309176444134, "return_pct": 271.6230917644413, "cagr_pct": 17.090863959092356, "max_drawdown_pct": 89.6188923781211, "mean_exposure_while_solvent": 1.2499685445491615, "realized_annual_volatility_pct": 81.60439595981701, "trading_costs_quote_units": 1245.7643556115868, "borrowing_costs_quote_units": 4276.893410648987, "price_pnl_quote_units": 32684.96694270459, "turnover_quote_units": 415254.78520386206, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18505.976878262554, "return_pct": 85.05976878262554, "cagr_pct": 7.678585373667868, "max_drawdown_pct": 94.53592119177952, "mean_exposure_while_solvent": 1.5001006502345406, "realized_annual_volatility_pct": 98.47881854914287, "trading_costs_quote_units": 1804.972604558659, "borrowing_costs_quote_units": 5026.021552896743, "price_pnl_quote_units": 15336.971035718057, "turnover_quote_units": 601657.5348528852, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18505.976878262554, "return_pct": 85.05976878262554, "cagr_pct": 7.678585373667868, "max_drawdown_pct": 94.53592119177952, "mean_exposure_while_solvent": 1.5001006502345406, "realized_annual_volatility_pct": 98.47881854914287, "trading_costs_quote_units": 1804.972604558659, "borrowing_costs_quote_units": 5026.021552896743, "price_pnl_quote_units": 15336.971035718057, "turnover_quote_units": 601657.5348528852, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 64729.433768138275, "return_pct": 547.2943376813827, "cagr_pct": 25.16695733996294, "max_drawdown_pct": 67.18199986174105, "mean_exposure_while_solvent": 0.7786175651043267, "realized_annual_volatility_pct": 44.22631138421491, "trading_costs_quote_units": 5896.235547706705, "borrowing_costs_quote_units": 3536.8443523728643, "price_pnl_quote_units": 64162.51366821781, "turnover_quote_units": 1965411.8492355705, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 43138.44927470801, "return_pct": 331.3844927470801, "cagr_pct": 19.20843998611797, "max_drawdown_pct": 76.22853449867509, "mean_exposure_while_solvent": 0.8354012961844487, "realized_annual_volatility_pct": 53.245425460424165, "trading_costs_quote_units": 4101.396978260356, "borrowing_costs_quote_units": 2301.675516089662, "price_pnl_quote_units": 39541.521769058156, "turnover_quote_units": 1367132.3260867847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 215.90984493430255 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51183.39889241067, "return_pct": 411.8339889241066, "cagr_pct": 21.68391513976991, "max_drawdown_pct": 81.95298297549212, "mean_exposure_while_solvent": 1.0980515174569718, "realized_annual_volatility_pct": 62.71668014684234, "trading_costs_quote_units": 5229.359278562492, "borrowing_costs_quote_units": 11635.77637359078, "price_pnl_quote_units": 58048.53454456346, "turnover_quote_units": 1743119.7595208308, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 47284.82586560611, "return_pct": 372.84825865606103, "cagr_pct": 20.53068225247858, "max_drawdown_pct": 81.95298297549213, "mean_exposure_while_solvent": 1.1108487606741373, "realized_annual_volatility_pct": 66.08661602263632, "trading_costs_quote_units": 4718.0805529250265, "borrowing_costs_quote_units": 10545.81399648485, "price_pnl_quote_units": 52548.72041501623, "turnover_quote_units": 1572693.517641678, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 38.985730268045586 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27173.802508538924, "return_pct": 171.7380250853892, "cagr_pct": 12.767081727241877, "max_drawdown_pct": 89.85449181867268, "mean_exposure_while_solvent": 1.3002426689081288, "realized_annual_volatility_pct": 76.956194109523, "trading_costs_quote_units": 3116.3996832757202, "borrowing_costs_quote_units": 11417.981443000232, "price_pnl_quote_units": 31708.18363481469, "turnover_quote_units": 1038799.8944252416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2996, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32365.017748780858, "return_pct": 223.65017748780858, "cagr_pct": 15.161717948779865, "max_drawdown_pct": 89.85449181867268, "mean_exposure_while_solvent": 1.277672897587317, "realized_annual_volatility_pct": 75.72416514819336, "trading_costs_quote_units": 3472.8914278371158, "borrowing_costs_quote_units": 12908.756710073509, "price_pnl_quote_units": 38746.66588669127, "turnover_quote_units": 1157630.475945704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -51.912152402419366 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35102.08291420835, "return_pct": 251.02082914208356, "cagr_pct": 16.290924946451042, "max_drawdown_pct": 82.4165734032019, "mean_exposure_while_solvent": 1.1208100268749437, "realized_annual_volatility_pct": 62.87771627976018, "trading_costs_quote_units": 6701.861712306079, "borrowing_costs_quote_units": 9440.566560260302, "price_pnl_quote_units": 41244.511186774726, "turnover_quote_units": 2233953.9041020283, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3007, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37708.82025146614, "return_pct": 277.0882025146614, "cagr_pct": 17.29650497075203, "max_drawdown_pct": 82.41657340320188, "mean_exposure_while_solvent": 1.1240148400452825, "realized_annual_volatility_pct": 64.43504645386301, "trading_costs_quote_units": 6963.911105884645, "borrowing_costs_quote_units": 9911.649780915703, "price_pnl_quote_units": 44584.38113826672, "turnover_quote_units": 2321303.7019615476, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2792, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -26.067373372577862 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52586.74933433761, "return_pct": 425.86749334337617, "cagr_pct": 22.080168404791745, "max_drawdown_pct": 78.69450419366723, "mean_exposure_while_solvent": 1.083017194349208, "realized_annual_volatility_pct": 63.11269571782039, "trading_costs_quote_units": 3437.50482348263, "borrowing_costs_quote_units": 11860.8414453924, "price_pnl_quote_units": 57885.09560321287, "turnover_quote_units": 1145834.9411608782, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 55657.79054443572, "return_pct": 456.57790544435716, "cagr_pct": 22.915842392061034, "max_drawdown_pct": 82.61164907745233, "mean_exposure_while_solvent": 1.1159875164824604, "realized_annual_volatility_pct": 68.32964657964423, "trading_costs_quote_units": 3354.807677902364, "borrowing_costs_quote_units": 12277.384570620292, "price_pnl_quote_units": 61289.982792958835, "turnover_quote_units": 1118269.2259674557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -30.71041210098099 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57037.86090143724, "return_pct": 470.37860901437244, "cagr_pct": 23.278232560052693, "max_drawdown_pct": 77.42458900823544, "mean_exposure_while_solvent": 0.9121258428812081, "realized_annual_volatility_pct": 54.34811635516215, "trading_costs_quote_units": 1300.6119223580474, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48338.47282379518, "turnover_quote_units": 433537.3074526812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45088.29673503034, "return_pct": 350.8829673503033, "cagr_pct": 19.843545339663525, "max_drawdown_pct": 79.9578728748491, "mean_exposure_while_solvent": 0.9408863001244111, "realized_annual_volatility_pct": 59.473309013575026, "trading_costs_quote_units": 1009.8144179713598, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36098.11115300193, "turnover_quote_units": 336604.80599045294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 904, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 119.49564166406913 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52475.983040520485, "return_pct": 424.75983040520487, "cagr_pct": 22.049232521521898, "max_drawdown_pct": 78.82022700810455, "mean_exposure_while_solvent": 1.0874818127453703, "realized_annual_volatility_pct": 63.62653467979052, "trading_costs_quote_units": 3413.1544488975183, "borrowing_costs_quote_units": 11835.233283402791, "price_pnl_quote_units": 57724.370772821225, "turnover_quote_units": 1137718.1496325077, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2849, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 55657.79054443572, "return_pct": 456.57790544435716, "cagr_pct": 22.915842392061034, "max_drawdown_pct": 82.61164907745233, "mean_exposure_while_solvent": 1.1159875164824604, "realized_annual_volatility_pct": 68.32964657964423, "trading_costs_quote_units": 3354.807677902364, "borrowing_costs_quote_units": 12277.384570620292, "price_pnl_quote_units": 61289.982792958835, "turnover_quote_units": 1118269.2259674557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -31.81807503915229 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 61239.77201676858, "return_pct": 512.3977201676857, "cagr_pct": 24.335983252035913, "max_drawdown_pct": 78.48688974537953, "mean_exposure_while_solvent": 1.0716265490916668, "realized_annual_volatility_pct": 61.7074197373277, "trading_costs_quote_units": 3989.7132952714664, "borrowing_costs_quote_units": 13812.514278546243, "price_pnl_quote_units": 69041.99959058668, "turnover_quote_units": 1329904.4317571584, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 55657.79054443572, "return_pct": 456.57790544435716, "cagr_pct": 22.915842392061034, "max_drawdown_pct": 82.61164907745233, "mean_exposure_while_solvent": 1.1159875164824604, "realized_annual_volatility_pct": 68.32964657964423, "trading_costs_quote_units": 3354.807677902364, "borrowing_costs_quote_units": 12277.384570620292, "price_pnl_quote_units": 61289.982792958835, "turnover_quote_units": 1118269.2259674557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 55.81981472332859 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 50070.166628890154, "return_pct": 400.7016662889016, "cagr_pct": 21.36272243948397, "max_drawdown_pct": 69.70341899260823, "mean_exposure_while_solvent": 0.7500031169154988, "realized_annual_volatility_pct": 48.61195323343561, "trading_costs_quote_units": 946.0383900778738, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41016.2050189679, "turnover_quote_units": 315346.1300259576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 50070.166628890154, "return_pct": 400.7016662889016, "cagr_pct": 21.36272243948397, "max_drawdown_pct": 69.70341899260823, "mean_exposure_while_solvent": 0.7500031169154988, "realized_annual_volatility_pct": 48.61195323343561, "trading_costs_quote_units": 946.0383900778738, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41016.2050189679, "turnover_quote_units": 315346.1300259576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56844.44417358631, "return_pct": 468.44444173586305, "cagr_pct": 23.22791155741672, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9999450549450549, "realized_annual_volatility_pct": 65.01186488173273, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46874.354442779106, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56844.44417358631, "return_pct": 468.44444173586305, "cagr_pct": 23.22791155741672, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9999450549450549, "realized_annual_volatility_pct": 65.01186488173273, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 46874.354442779106, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30178.097992084095, "return_pct": 201.78097992084093, "cagr_pct": 14.197384586379364, "max_drawdown_pct": 89.86170178801109, "mean_exposure_while_solvent": 1.2500045338397154, "realized_annual_volatility_pct": 81.6079734339615, "trading_costs_quote_units": 1098.4400952492738, "borrowing_costs_quote_units": 7408.754438385092, "price_pnl_quote_units": 28685.292525718385, "turnover_quote_units": 366146.69841642433, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30178.097992084095, "return_pct": 201.78097992084093, "cagr_pct": 14.197384586379364, "max_drawdown_pct": 89.86170178801109, "mean_exposure_while_solvent": 1.2500045338397154, "realized_annual_volatility_pct": 81.6079734339615, "trading_costs_quote_units": 1098.4400952492738, "borrowing_costs_quote_units": 7408.754438385092, "price_pnl_quote_units": 28685.292525718385, "turnover_quote_units": 366146.69841642433, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12199.835700340169, "return_pct": 21.998357003401694, "cagr_pct": 2.4186963960006516, "max_drawdown_pct": 94.78925506659587, "mean_exposure_while_solvent": 1.5001870994408018, "realized_annual_volatility_pct": 98.48763965265015, "trading_costs_quote_units": 1423.225934295634, "borrowing_costs_quote_units": 7631.860210512017, "price_pnl_quote_units": 11254.921845147825, "turnover_quote_units": 474408.6447652126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12199.835700340169, "return_pct": 21.998357003401694, "cagr_pct": 2.4186963960006516, "max_drawdown_pct": 94.78925506659587, "mean_exposure_while_solvent": 1.5001870994408018, "realized_annual_volatility_pct": 98.48763965265015, "trading_costs_quote_units": 1423.225934295634, "borrowing_costs_quote_units": 7631.860210512017, "price_pnl_quote_units": 11254.921845147825, "turnover_quote_units": 474408.6447652126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3025, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 73291.93465921124, "return_pct": 632.9193465921124, "cagr_pct": 27.050007768038675, "max_drawdown_pct": 67.11470516440276, "mean_exposure_while_solvent": 0.7784487934523395, "realized_annual_volatility_pct": 44.38047370941256, "trading_costs_quote_units": 6427.050197956683, "borrowing_costs_quote_units": 976.4906815273922, "price_pnl_quote_units": 70695.47553869532, "turnover_quote_units": 2142350.0659855595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 42399.69241065471, "return_pct": 323.9969241065471, "cagr_pct": 18.961198070272097, "max_drawdown_pct": 76.58477258693628, "mean_exposure_while_solvent": 0.83525154864531, "realized_annual_volatility_pct": 53.2907530108554, "trading_costs_quote_units": 3884.368859738367, "borrowing_costs_quote_units": 552.7523701471096, "price_pnl_quote_units": 36836.813640540044, "turnover_quote_units": 1294789.6199127901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 308.92242248556533 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 73341.97538495102, "return_pct": 633.4197538495101, "cagr_pct": 27.06043082352506, "max_drawdown_pct": 81.65865484407435, "mean_exposure_while_solvent": 1.0977103077326142, "realized_annual_volatility_pct": 62.75740859533588, "trading_costs_quote_units": 6637.7740185399925, "borrowing_costs_quote_units": 3857.238549228443, "price_pnl_quote_units": 73836.98795271986, "turnover_quote_units": 2212591.3395133256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 55629.78718352142, "return_pct": 456.29787183521415, "cagr_pct": 22.908407553499295, "max_drawdown_pct": 81.65865484407433, "mean_exposure_while_solvent": 1.1105573381746336, "realized_annual_volatility_pct": 66.1559615287846, "trading_costs_quote_units": 4958.727084991851, "borrowing_costs_quote_units": 2885.706485452112, "price_pnl_quote_units": 53474.220753965375, "turnover_quote_units": 1652909.0283306176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 177.12188201429598 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 47837.64822056468, "return_pct": 378.37648220564677, "cagr_pct": 20.699190712347047, "max_drawdown_pct": 89.44724082675332, "mean_exposure_while_solvent": 1.2998948044745857, "realized_annual_volatility_pct": 76.60123988410143, "trading_costs_quote_units": 4437.442883899534, "borrowing_costs_quote_units": 4384.295140893474, "price_pnl_quote_units": 46659.38624535759, "turnover_quote_units": 1479147.627966514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 43444.67808482398, "return_pct": 334.4467808482398, "cagr_pct": 19.309835693006537, "max_drawdown_pct": 89.44724082675333, "mean_exposure_while_solvent": 1.2773974293841839, "realized_annual_volatility_pct": 75.79629218089417, "trading_costs_quote_units": 3862.635157112089, "borrowing_costs_quote_units": 3844.4837987031738, "price_pnl_quote_units": 41151.79704063906, "turnover_quote_units": 1287545.0523707, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 43.92970135740694 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 47855.635476570416, "return_pct": 378.5563547657041, "cagr_pct": 20.70464466008626, "max_drawdown_pct": 82.5288492377606, "mean_exposure_while_solvent": 1.1204839493539047, "realized_annual_volatility_pct": 63.073774974105824, "trading_costs_quote_units": 7965.519356069314, "borrowing_costs_quote_units": 2947.701182370659, "price_pnl_quote_units": 48768.856015010155, "turnover_quote_units": 2655173.118689766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3016, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 51273.74804951086, "return_pct": 412.73748049510857, "cagr_pct": 21.709712454644226, "max_drawdown_pct": 82.52884923776058, "mean_exposure_while_solvent": 1.1237153658745977, "realized_annual_volatility_pct": 64.58803844001689, "trading_costs_quote_units": 8311.763684080182, "borrowing_costs_quote_units": 3102.265568243287, "price_pnl_quote_units": 52687.777301834656, "turnover_quote_units": 2770587.8946933905, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2800, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -34.18112572940447 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 73046.08257900858, "return_pct": 630.4608257900858, "cagr_pct": 26.998707755642197, "max_drawdown_pct": 78.64245432728654, "mean_exposure_while_solvent": 1.0827780648054508, "realized_annual_volatility_pct": 63.066103483621646, "trading_costs_quote_units": 4264.094400350203, "borrowing_costs_quote_units": 3838.2077332979693, "price_pnl_quote_units": 71148.38471265612, "turnover_quote_units": 1421364.8001167371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2975, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 65905.95344832026, "return_pct": 559.0595344832026, "cagr_pct": 25.438240821350494, "max_drawdown_pct": 82.52710142961044, "mean_exposure_while_solvent": 1.115820474188337, "realized_annual_volatility_pct": 68.31706436024973, "trading_costs_quote_units": 3581.667480001075, "borrowing_costs_quote_units": 3402.1417274425216, "price_pnl_quote_units": 62889.762655763574, "turnover_quote_units": 1193889.1600003606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 71.4012913068832 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 61748.6632442978, "return_pct": 517.486632442978, "cagr_pct": 24.459717335300272, "max_drawdown_pct": 77.34874565493772, "mean_exposure_while_solvent": 0.911999341266235, "realized_annual_volatility_pct": 54.406928690848865, "trading_costs_quote_units": 1410.0267274873515, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 53158.68997178453, "turnover_quote_units": 470008.9091624505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1238, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 41210.61050304898, "return_pct": 312.1061050304898, "cagr_pct": 18.55516844951144, "max_drawdown_pct": 80.16483358999702, "mean_exposure_while_solvent": 0.9407902616249043, "realized_annual_volatility_pct": 59.49830105555836, "trading_costs_quote_units": 931.3788418180045, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 32141.989344866724, "turnover_quote_units": 310459.61393933505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 910, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 205.38052741248822 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 73553.00844439249, "return_pct": 635.5300844439249, "cagr_pct": 27.10431848940748, "max_drawdown_pct": 78.75574543656691, "mean_exposure_while_solvent": 1.0872361437493425, "realized_annual_volatility_pct": 63.57666688376818, "trading_costs_quote_units": 4274.467669838203, "borrowing_costs_quote_units": 3864.417794655763, "price_pnl_quote_units": 71691.89390888695, "turnover_quote_units": 1424822.5566127363, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2857, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 65905.95344832026, "return_pct": 559.0595344832026, "cagr_pct": 25.438240821350494, "max_drawdown_pct": 82.52710142961044, "mean_exposure_while_solvent": 1.115820474188337, "realized_annual_volatility_pct": 68.31706436024973, "trading_costs_quote_units": 3581.667480001075, "borrowing_costs_quote_units": 3402.1417274425216, "price_pnl_quote_units": 62889.762655763574, "turnover_quote_units": 1193889.1600003606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 76.47054996072234 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 82999.80307927373, "return_pct": 729.9980307927373, "cagr_pct": 28.96376080785193, "max_drawdown_pct": 78.23684921086175, "mean_exposure_while_solvent": 1.071388999279409, "realized_annual_volatility_pct": 61.6638926484661, "trading_costs_quote_units": 4830.575007706231, "borrowing_costs_quote_units": 4361.226157426095, "price_pnl_quote_units": 82191.60424440677, "turnover_quote_units": 1610191.6692354127, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 65905.95344832026, "return_pct": 559.0595344832026, "cagr_pct": 25.438240821350494, "max_drawdown_pct": 82.52710142961044, "mean_exposure_while_solvent": 1.115820474188337, "realized_annual_volatility_pct": 68.31706436024973, "trading_costs_quote_units": 3581.667480001075, "borrowing_costs_quote_units": 3402.1417274425216, "price_pnl_quote_units": 62889.762655763574, "turnover_quote_units": 1193889.1600003606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 170.93849630953468 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 50310.269211095205, "return_pct": 403.1026921109521, "cagr_pct": 21.43252511907908, "max_drawdown_pct": 69.91098866648396, "mean_exposure_while_solvent": 0.749919930201618, "realized_annual_volatility_pct": 48.664423044022534, "trading_costs_quote_units": 939.2399785089025, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41249.50918960402, "turnover_quote_units": 313079.99283630116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 50310.269211095205, "return_pct": 403.1026921109521, "cagr_pct": 21.43252511907908, "max_drawdown_pct": 69.91098866648396, "mean_exposure_while_solvent": 0.749919930201618, "realized_annual_volatility_pct": 48.664423044022534, "trading_costs_quote_units": 939.2399785089025, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41249.50918960402, "turnover_quote_units": 313079.99283630116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 58231.97727719687, "return_pct": 482.31977277196864, "cagr_pct": 23.58562071562755, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9998351648351648, "realized_annual_volatility_pct": 65.00546383159865, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48261.88754638938, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 58231.97727719687, "return_pct": 482.31977277196864, "cagr_pct": 23.58562071562755, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9998351648351648, "realized_annual_volatility_pct": 65.00546383159865, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48261.88754638938, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 43781.74602180428, "return_pct": 337.81746021804287, "cagr_pct": 19.420718153233555, "max_drawdown_pct": 89.34282074781817, "mean_exposure_while_solvent": 1.249822631899243, "realized_annual_volatility_pct": 81.45570847768144, "trading_costs_quote_units": 1402.4470195742924, "borrowing_costs_quote_units": 2442.645601079371, "price_pnl_quote_units": 37626.83864245831, "turnover_quote_units": 467482.33985809836, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 43781.74602180428, "return_pct": 337.81746021804287, "cagr_pct": 19.420718153233555, "max_drawdown_pct": 89.34282074781817, "mean_exposure_while_solvent": 1.249822631899243, "realized_annual_volatility_pct": 81.45570847768144, "trading_costs_quote_units": 1402.4470195742924, "borrowing_costs_quote_units": 2442.645601079371, "price_pnl_quote_units": 37626.83864245831, "turnover_quote_units": 467482.33985809836, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25518.40116882047, "return_pct": 155.1840116882047, "cagr_pct": 11.918377961286302, "max_drawdown_pct": 94.19499615179836, "mean_exposure_while_solvent": 1.4999228613727513, "realized_annual_volatility_pct": 98.04386770076945, "trading_costs_quote_units": 2284.7638441366635, "borrowing_costs_quote_units": 3245.3108718801177, "price_pnl_quote_units": 21048.47588483749, "turnover_quote_units": 761587.9480455534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25518.40116882047, "return_pct": 155.1840116882047, "cagr_pct": 11.918377961286302, "max_drawdown_pct": 94.19499615179836, "mean_exposure_while_solvent": 1.4999228613727513, "realized_annual_volatility_pct": 98.04386770076945, "trading_costs_quote_units": 2284.7638441366635, "borrowing_costs_quote_units": 3245.3108718801177, "price_pnl_quote_units": 21048.47588483749, "turnover_quote_units": 761587.9480455534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 71993.95904591825, "return_pct": 619.9395904591826, "cagr_pct": 26.77743880902633, "max_drawdown_pct": 67.12954560137167, "mean_exposure_while_solvent": 0.7784520344440178, "realized_annual_volatility_pct": 44.38048594498655, "trading_costs_quote_units": 6363.264505593002, "borrowing_costs_quote_units": 1928.562540708732, "price_pnl_quote_units": 70285.78609222038, "turnover_quote_units": 2121088.168530997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 41739.78359807868, "return_pct": 317.3978359807868, "cagr_pct": 18.737118454849117, "max_drawdown_pct": 76.58901446729574, "mean_exposure_while_solvent": 0.8352543777938257, "realized_annual_volatility_pct": 53.29078809413023, "trading_costs_quote_units": 3854.901330490302, "borrowing_costs_quote_units": 1093.7967634746697, "price_pnl_quote_units": 36688.48169204364, "turnover_quote_units": 1284967.1101634323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 302.5417544783958 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 67896.50103699703, "return_pct": 578.9650103699703, "cagr_pct": 25.88766938519581, "max_drawdown_pct": 81.7229458696186, "mean_exposure_while_solvent": 1.0977252690063803, "realized_annual_volatility_pct": 62.7581111375101, "trading_costs_quote_units": 6344.456473633759, "borrowing_costs_quote_units": 7296.638468319688, "price_pnl_quote_units": 71537.59597895047, "turnover_quote_units": 2114818.8245445853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 51843.428107805616, "return_pct": 418.4342810780562, "cagr_pct": 21.871457660049064, "max_drawdown_pct": 81.72294586961864, "mean_exposure_while_solvent": 1.1105710093218029, "realized_annual_volatility_pct": 66.1564126899959, "trading_costs_quote_units": 4767.511452790341, "borrowing_costs_quote_units": 5491.371265692531, "price_pnl_quote_units": 52102.310826288725, "turnover_quote_units": 1589170.4842634501, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 160.5307292919141 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 41661.9460166527, "return_pct": 316.61946016652695, "cagr_pct": 18.710482668086375, "max_drawdown_pct": 89.59503936213264, "mean_exposure_while_solvent": 1.2999222799875443, "realized_annual_volatility_pct": 76.60323855853018, "trading_costs_quote_units": 4107.108008808297, "borrowing_costs_quote_units": 7956.821778937152, "price_pnl_quote_units": 43725.87580439788, "turnover_quote_units": 1369036.002936097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 38379.705828650665, "return_pct": 283.7970582865066, "cagr_pct": 17.545390299052617, "max_drawdown_pct": 89.59503936213262, "mean_exposure_while_solvent": 1.277422176249827, "realized_annual_volatility_pct": 75.79769731123716, "trading_costs_quote_units": 3615.778799295918, "borrowing_costs_quote_units": 7057.468629289242, "price_pnl_quote_units": 39052.95325723556, "turnover_quote_units": 1205259.5997653063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 32.82240188002032 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 43829.60598540914, "return_pct": 338.2960598540914, "cagr_pct": 19.436401312679067, "max_drawdown_pct": 82.6209615211479, "mean_exposure_while_solvent": 1.1205011898858328, "realized_annual_volatility_pct": 63.07477953420059, "trading_costs_quote_units": 7588.894315471043, "borrowing_costs_quote_units": 5541.023528086133, "price_pnl_quote_units": 46959.52382896644, "turnover_quote_units": 2529631.438490344, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3016, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 47150.77890268677, "return_pct": 371.50778902686767, "cagr_pct": 20.489561754533746, "max_drawdown_pct": 82.62096152114792, "mean_exposure_while_solvent": 1.123731815987395, "realized_annual_volatility_pct": 64.58891267467504, "trading_costs_quote_units": 7941.514867475088, "borrowing_costs_quote_units": 5849.4501609815825, "price_pnl_quote_units": 50941.743931143625, "turnover_quote_units": 2647171.6224916996, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2800, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -33.211729172776245 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 68118.9082770807, "return_pct": 581.189082770807, "cagr_pct": 25.937162306072302, "max_drawdown_pct": 78.70511335398868, "mean_exposure_while_solvent": 1.082791464179843, "realized_annual_volatility_pct": 63.06674594521308, "trading_costs_quote_units": 4088.436099110974, "borrowing_costs_quote_units": 7300.174963931928, "price_pnl_quote_units": 69507.51934012405, "turnover_quote_units": 1362812.0330369917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2975, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62010.66097775962, "return_pct": 520.1066097775962, "cagr_pct": 24.52307117100091, "max_drawdown_pct": 82.54151355930736, "mean_exposure_while_solvent": 1.1158321721102775, "realized_annual_volatility_pct": 68.31741744834837, "trading_costs_quote_units": 3456.006941186046, "borrowing_costs_quote_units": 6523.478290836211, "price_pnl_quote_units": 61990.14620978206, "turnover_quote_units": 1152002.313728681, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 61.082472993210786 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 61748.6632442978, "return_pct": 517.486632442978, "cagr_pct": 24.459717335300272, "max_drawdown_pct": 77.34874565493772, "mean_exposure_while_solvent": 0.911999341266235, "realized_annual_volatility_pct": 54.406928690848865, "trading_costs_quote_units": 1410.0267274873515, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 53158.68997178453, "turnover_quote_units": 470008.9091624505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1238, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 41210.61050304898, "return_pct": 312.1061050304898, "cagr_pct": 18.55516844951144, "max_drawdown_pct": 80.16483358999702, "mean_exposure_while_solvent": 0.9407902616249043, "realized_annual_volatility_pct": 59.49830105555836, "trading_costs_quote_units": 931.3788418180045, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 32141.989344866724, "turnover_quote_units": 310459.61393933505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 910, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 205.38052741248822 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 68592.11023588662, "return_pct": 585.9211023588662, "cagr_pct": 26.041994019624575, "max_drawdown_pct": 78.81792702634738, "mean_exposure_while_solvent": 1.0872495421592903, "realized_annual_volatility_pct": 63.577305521792724, "trading_costs_quote_units": 4097.682997606948, "borrowing_costs_quote_units": 7350.0365781051305, "price_pnl_quote_units": 70039.82981159948, "turnover_quote_units": 1365894.3325356466, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2857, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62010.66097775962, "return_pct": 520.1066097775962, "cagr_pct": 24.52307117100091, "max_drawdown_pct": 82.54151355930736, "mean_exposure_while_solvent": 1.1158321721102775, "realized_annual_volatility_pct": 68.31741744834837, "trading_costs_quote_units": 3456.006941186046, "borrowing_costs_quote_units": 6523.478290836211, "price_pnl_quote_units": 61990.14620978206, "turnover_quote_units": 1152002.313728681, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 65.81449258126997 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 77401.22089172227, "return_pct": 674.0122089172228, "cagr_pct": 27.885790048429726, "max_drawdown_pct": 78.26838787362209, "mean_exposure_while_solvent": 1.0714023986538013, "realized_annual_volatility_pct": 61.664559299505825, "trading_costs_quote_units": 4630.980397053079, "borrowing_costs_quote_units": 8294.94290532592, "price_pnl_quote_units": 80327.14419410173, "turnover_quote_units": 1543660.13235103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62010.66097775962, "return_pct": 520.1066097775962, "cagr_pct": 24.52307117100091, "max_drawdown_pct": 82.54151355930736, "mean_exposure_while_solvent": 1.1158321721102775, "realized_annual_volatility_pct": 68.31741744834837, "trading_costs_quote_units": 3456.006941186046, "borrowing_costs_quote_units": 6523.478290836211, "price_pnl_quote_units": 61990.14620978206, "turnover_quote_units": 1152002.313728681, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 153.9055991396266 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 50310.269211095205, "return_pct": 403.1026921109521, "cagr_pct": 21.43252511907908, "max_drawdown_pct": 69.91098866648396, "mean_exposure_while_solvent": 0.749919930201618, "realized_annual_volatility_pct": 48.664423044022534, "trading_costs_quote_units": 939.2399785089025, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41249.50918960402, "turnover_quote_units": 313079.99283630116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 50310.269211095205, "return_pct": 403.1026921109521, "cagr_pct": 21.43252511907908, "max_drawdown_pct": 69.91098866648396, "mean_exposure_while_solvent": 0.749919930201618, "realized_annual_volatility_pct": 48.664423044022534, "trading_costs_quote_units": 939.2399785089025, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41249.50918960402, "turnover_quote_units": 313079.99283630116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58231.97727719687, "return_pct": 482.31977277196864, "cagr_pct": 23.58562071562755, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9998351648351648, "realized_annual_volatility_pct": 65.00546383159865, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48261.88754638938, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58231.97727719687, "return_pct": 482.31977277196864, "cagr_pct": 23.58562071562755, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9998351648351648, "realized_annual_volatility_pct": 65.00546383159865, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48261.88754638938, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 39455.392757947964, "return_pct": 294.55392757947965, "cagr_pct": 17.936572110265654, "max_drawdown_pct": 89.4681125271575, "mean_exposure_while_solvent": 1.249840506061647, "realized_annual_volatility_pct": 81.45727208260134, "trading_costs_quote_units": 1315.122360440119, "borrowing_costs_quote_units": 4542.385312260781, "price_pnl_quote_units": 35312.900430648595, "turnover_quote_units": 438374.120146707, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 39455.392757947964, "return_pct": 294.55392757947965, "cagr_pct": 17.936572110265654, "max_drawdown_pct": 89.4681125271575, "mean_exposure_while_solvent": 1.249840506061647, "realized_annual_volatility_pct": 81.45727208260134, "trading_costs_quote_units": 1315.122360440119, "borrowing_costs_quote_units": 4542.385312260781, "price_pnl_quote_units": 35312.900430648595, "turnover_quote_units": 438374.120146707, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20721.534617614074, "return_pct": 107.21534617614074, "cagr_pct": 9.152092129987496, "max_drawdown_pct": 94.33103646971955, "mean_exposure_while_solvent": 1.499965793741659, "realized_annual_volatility_pct": 98.04767062960569, "trading_costs_quote_units": 2018.0963645904487, "borrowing_costs_quote_units": 5632.139767819163, "price_pnl_quote_units": 18371.770750023465, "turnover_quote_units": 672698.788196815, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20721.534617614074, "return_pct": 107.21534617614074, "cagr_pct": 9.152092129987496, "max_drawdown_pct": 94.33103646971955, "mean_exposure_while_solvent": 1.499965793741659, "realized_annual_volatility_pct": 98.04767062960569, "trading_costs_quote_units": 2018.0963645904487, "borrowing_costs_quote_units": 5632.139767819163, "price_pnl_quote_units": 18371.770750023465, "turnover_quote_units": 672698.788196815, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 69465.9388676418, "return_pct": 594.6593886764181, "cagr_pct": 26.233918062038363, "max_drawdown_pct": 67.15921306266279, "mean_exposure_while_solvent": 0.7784585175641323, "realized_annual_volatility_pct": 44.38051957455293, "trading_costs_quote_units": 6238.065721709736, "borrowing_costs_quote_units": 3761.422462309917, "price_pnl_quote_units": 69465.42705166191, "turnover_quote_units": 2079355.2405699096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 40450.31676030461, "return_pct": 304.50316760304605, "cagr_pct": 18.29011859680241, "max_drawdown_pct": 76.59749768168828, "mean_exposure_while_solvent": 0.8352600370719214, "realized_annual_volatility_pct": 53.290864929176784, "trading_costs_quote_units": 3796.918083469031, "borrowing_costs_quote_units": 2141.574234411476, "price_pnl_quote_units": 36388.80907818541, "turnover_quote_units": 1265639.3611563442, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 290.156221073372 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58185.833461063325, "return_pct": 481.8583346106332, "cagr_pct": 23.573845884293483, "max_drawdown_pct": 81.85089555576896, "mean_exposure_while_solvent": 1.0977551974741435, "realized_annual_volatility_pct": 62.759539591767464, "trading_costs_quote_units": 5804.114140354043, "borrowing_costs_quote_units": 13065.09487635759, "price_pnl_quote_units": 67055.0424777752, "turnover_quote_units": 1934704.7134513494, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45024.444269148, "return_pct": 350.24444269148, "cagr_pct": 19.823133481306357, "max_drawdown_pct": 81.85089555576899, "mean_exposure_while_solvent": 1.110598357022003, "realized_annual_volatility_pct": 66.1573365011653, "trading_costs_quote_units": 4412.566486524825, "borrowing_costs_quote_units": 9949.30163397493, "price_pnl_quote_units": 49386.31238964765, "turnover_quote_units": 1470855.495508278, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 131.61389191915322 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31596.816803555746, "return_pct": 215.96816803555745, "cagr_pct": 14.829693954826881, "max_drawdown_pct": 89.88453623127704, "mean_exposure_while_solvent": 1.2999772423474751, "realized_annual_volatility_pct": 76.60725450540681, "trading_costs_quote_units": 3533.703353626895, "borrowing_costs_quote_units": 13144.513110528149, "price_pnl_quote_units": 38275.03326771104, "turnover_quote_units": 1177901.1178756296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3005, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29950.165302363326, "return_pct": 199.50165302363328, "cagr_pct": 14.093368222316787, "max_drawdown_pct": 89.88453623127704, "mean_exposure_while_solvent": 1.2774716802479966, "realized_annual_volatility_pct": 75.80052949530652, "trading_costs_quote_units": 3180.7147982121933, "borrowing_costs_quote_units": 11921.621619220366, "price_pnl_quote_units": 35052.501719795946, "turnover_quote_units": 1060238.266070731, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2531, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 16.466515011924173 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36763.24531320149, "return_pct": 267.6324531320149, "cagr_pct": 16.939016816527737, "max_drawdown_pct": 82.8037880202569, "mean_exposure_while_solvent": 1.120535677919488, "realized_annual_volatility_pct": 63.07681416002524, "trading_costs_quote_units": 6900.82168985723, "borrowing_costs_quote_units": 9801.007655013405, "price_pnl_quote_units": 43465.07465807209, "turnover_quote_units": 2300273.896619076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3016, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 39870.77839668075, "return_pct": 298.7077839668075, "cagr_pct": 18.085122626183164, "max_drawdown_pct": 82.80378802025689, "mean_exposure_while_solvent": 1.1237647228646948, "realized_annual_volatility_pct": 64.59068589315581, "trading_costs_quote_units": 7262.1744143035285, "borrowing_costs_quote_units": 10408.57583180205, "price_pnl_quote_units": 47541.52864278631, "turnover_quote_units": 2420724.8047678424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2800, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": -31.075330834792567 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59236.834129672934, "return_pct": 492.3683412967294, "cagr_pct": 23.840022477924247, "max_drawdown_pct": 78.82991145521966, "mean_exposure_while_solvent": 1.0828182681314358, "realized_annual_volatility_pct": 63.06805203260024, "trading_costs_quote_units": 3762.789847601105, "borrowing_costs_quote_units": 13211.662612006385, "price_pnl_quote_units": 66211.28658928043, "turnover_quote_units": 1254263.282533702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2975, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54895.20455873557, "return_pct": 448.95204558735566, "cagr_pct": 22.712191474799127, "max_drawdown_pct": 82.57030835743443, "mean_exposure_while_solvent": 1.1158555724970405, "realized_annual_volatility_pct": 68.31814211356246, "trading_costs_quote_units": 3220.7385530263336, "borrowing_costs_quote_units": 11997.905640573275, "price_pnl_quote_units": 60113.84875233506, "turnover_quote_units": 1073579.5176754447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 43.41629570937374 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 61748.6632442978, "return_pct": 517.486632442978, "cagr_pct": 24.459717335300272, "max_drawdown_pct": 77.34874565493772, "mean_exposure_while_solvent": 0.911999341266235, "realized_annual_volatility_pct": 54.406928690848865, "trading_costs_quote_units": 1410.0267274873515, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 53158.68997178453, "turnover_quote_units": 470008.9091624505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1238, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 41210.61050304898, "return_pct": 312.1061050304898, "cagr_pct": 18.55516844951144, "max_drawdown_pct": 80.16483358999702, "mean_exposure_while_solvent": 0.9407902616249043, "realized_annual_volatility_pct": 59.49830105555836, "trading_costs_quote_units": 931.3788418180045, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 32141.989344866724, "turnover_quote_units": 310459.61393933505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 910, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 205.38052741248822 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59649.15207592303, "return_pct": 496.49152075923035, "cagr_pct": 23.943312584715244, "max_drawdown_pct": 78.94177550868751, "mean_exposure_while_solvent": 1.0872763441818085, "realized_annual_volatility_pct": 63.578603795574395, "trading_costs_quote_units": 3769.9542042169815, "borrowing_costs_quote_units": 13301.929981342333, "price_pnl_quote_units": 66721.03626148218, "turnover_quote_units": 1256651.401405658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2857, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54895.20455873557, "return_pct": 448.95204558735566, "cagr_pct": 22.712191474799127, "max_drawdown_pct": 82.57030835743443, "mean_exposure_while_solvent": 1.1158555724970405, "realized_annual_volatility_pct": 68.31814211356246, "trading_costs_quote_units": 3220.7385530263336, "borrowing_costs_quote_units": 11997.905640573275, "price_pnl_quote_units": 60113.84875233506, "turnover_quote_units": 1073579.5176754447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 47.5394751718747 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 67308.81923044252, "return_pct": 573.0881923044252, "cagr_pct": 25.756201141916662, "max_drawdown_pct": 78.3313409797444, "mean_exposure_while_solvent": 1.071429202605394, "realized_annual_volatility_pct": 61.66591425094757, "trading_costs_quote_units": 4260.959530847311, "borrowing_costs_quote_units": 15011.967191536429, "price_pnl_quote_units": 76581.74595282612, "turnover_quote_units": 1420319.84361577, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54895.20455873557, "return_pct": 448.95204558735566, "cagr_pct": 22.712191474799127, "max_drawdown_pct": 82.57030835743443, "mean_exposure_while_solvent": 1.1158555724970405, "realized_annual_volatility_pct": 68.31814211356246, "trading_costs_quote_units": 3220.7385530263336, "borrowing_costs_quote_units": 11997.905640573275, "price_pnl_quote_units": 60113.84875233506, "turnover_quote_units": 1073579.5176754447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 124.13614671706955 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 50310.269211095205, "return_pct": 403.1026921109521, "cagr_pct": 21.43252511907908, "max_drawdown_pct": 69.91098866648396, "mean_exposure_while_solvent": 0.749919930201618, "realized_annual_volatility_pct": 48.664423044022534, "trading_costs_quote_units": 939.2399785089025, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41249.50918960402, "turnover_quote_units": 313079.99283630116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 50310.269211095205, "return_pct": 403.1026921109521, "cagr_pct": 21.43252511907908, "max_drawdown_pct": 69.91098866648396, "mean_exposure_while_solvent": 0.749919930201618, "realized_annual_volatility_pct": 48.664423044022534, "trading_costs_quote_units": 939.2399785089025, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 41249.50918960402, "turnover_quote_units": 313079.99283630116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58231.97727719687, "return_pct": 482.31977277196864, "cagr_pct": 23.58562071562755, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9998351648351648, "realized_annual_volatility_pct": 65.00546383159865, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48261.88754638938, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58231.97727719687, "return_pct": 482.31977277196864, "cagr_pct": 23.58562071562755, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9998351648351648, "realized_annual_volatility_pct": 65.00546383159865, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 48261.88754638938, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32041.314561122723, "return_pct": 220.41314561122724, "cagr_pct": 15.02266467781335, "max_drawdown_pct": 89.71434974788542, "mean_exposure_while_solvent": 1.2498762599444988, "realized_annual_volatility_pct": 81.46040002268134, "trading_costs_quote_units": 1159.4142951608264, "borrowing_costs_quote_units": 7868.873638395674, "price_pnl_quote_units": 31069.602494679166, "turnover_quote_units": 386471.43172027566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32041.314561122723, "return_pct": 220.41314561122724, "cagr_pct": 15.02266467781335, "max_drawdown_pct": 89.71434974788542, "mean_exposure_while_solvent": 1.2498762599444988, "realized_annual_volatility_pct": 81.46040002268134, "trading_costs_quote_units": 1159.4142951608264, "borrowing_costs_quote_units": 7868.873638395674, "price_pnl_quote_units": 31069.602494679166, "turnover_quote_units": 386471.43172027566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13661.65069641969, "return_pct": 36.616506964196915, "cagr_pct": 3.8213542782096197, "max_drawdown_pct": 94.59369953956958, "mean_exposure_while_solvent": 1.5000516772899832, "realized_annual_volatility_pct": 98.05527899970242, "trading_costs_quote_units": 1590.4374255134428, "borrowing_costs_quote_units": 8551.637092023833, "price_pnl_quote_units": 13803.725213956697, "turnover_quote_units": 530145.80850448, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13661.65069641969, "return_pct": 36.616506964196915, "cagr_pct": 3.8213542782096197, "max_drawdown_pct": 94.59369953956958, "mean_exposure_while_solvent": 1.5000516772899832, "realized_annual_volatility_pct": 98.05527899970242, "trading_costs_quote_units": 1590.4374255134428, "borrowing_costs_quote_units": 8551.637092023833, "price_pnl_quote_units": 13803.725213956697, "turnover_quote_units": 530145.80850448, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 3034, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36434.65794466087, "return_pct": 264.34657944660864, "cagr_pct": 38.16393380800595, "max_drawdown_pct": 66.74064762109248, "mean_exposure_while_solvent": 0.6600571891135173, "realized_annual_volatility_pct": 43.745345675205705, "trading_costs_quote_units": 643.4604070416609, "borrowing_costs_quote_units": 108.48059278427048, "price_pnl_quote_units": 27186.598944486745, "turnover_quote_units": 1072434.0117360991, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36434.65794466087, "return_pct": 264.34657944660864, "cagr_pct": 38.16393380800595, "max_drawdown_pct": 66.74064762109248, "mean_exposure_while_solvent": 0.6600571891135173, "realized_annual_volatility_pct": 43.745345675205705, "trading_costs_quote_units": 643.4604070416609, "borrowing_costs_quote_units": 108.48059278427048, "price_pnl_quote_units": 27186.598944486745, "turnover_quote_units": 1072434.0117360991, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37531.13991150161, "return_pct": 275.3113991150161, "cagr_pct": 39.19201499953125, "max_drawdown_pct": 81.52124381467671, "mean_exposure_while_solvent": 0.9613950787443934, "realized_annual_volatility_pct": 64.18737854074128, "trading_costs_quote_units": 1094.5194142534958, "borrowing_costs_quote_units": 713.4100561334243, "price_pnl_quote_units": 29339.069381888767, "turnover_quote_units": 1824199.0237558258, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37531.13991150161, "return_pct": 275.3113991150161, "cagr_pct": 39.19201499953125, "max_drawdown_pct": 81.52124381467671, "mean_exposure_while_solvent": 0.9613950787443934, "realized_annual_volatility_pct": 64.18737854074128, "trading_costs_quote_units": 1094.5194142534958, "borrowing_costs_quote_units": 713.4100561334243, "price_pnl_quote_units": 29339.069381888767, "turnover_quote_units": 1824199.0237558258, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31470.55969665218, "return_pct": 214.70559696652182, "cagr_pct": 33.195734842903754, "max_drawdown_pct": 89.1736526331106, "mean_exposure_while_solvent": 1.2071355978696479, "realized_annual_volatility_pct": 82.74718360626926, "trading_costs_quote_units": 1514.7127968143072, "borrowing_costs_quote_units": 3048.021971622801, "price_pnl_quote_units": 26033.294465090235, "turnover_quote_units": 2524521.3280238393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31470.55969665218, "return_pct": 214.70559696652182, "cagr_pct": 33.195734842903754, "max_drawdown_pct": 89.1736526331106, "mean_exposure_while_solvent": 1.2071355978696479, "realized_annual_volatility_pct": 82.74718360626926, "trading_costs_quote_units": 1514.7127968143072, "borrowing_costs_quote_units": 3048.021971622801, "price_pnl_quote_units": 26033.294465090235, "turnover_quote_units": 2524521.3280238393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29182.162446089802, "return_pct": 191.82162446089802, "cagr_pct": 30.70513018406303, "max_drawdown_pct": 81.631119617246, "mean_exposure_while_solvent": 1.0023422116952077, "realized_annual_volatility_pct": 65.35774065708371, "trading_costs_quote_units": 1648.3860426616532, "borrowing_costs_quote_units": 895.2532016911213, "price_pnl_quote_units": 21725.801690442928, "turnover_quote_units": 2747310.071102752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29182.162446089802, "return_pct": 191.82162446089802, "cagr_pct": 30.70513018406303, "max_drawdown_pct": 81.631119617246, "mean_exposure_while_solvent": 1.0023422116952077, "realized_annual_volatility_pct": 65.35774065708371, "trading_costs_quote_units": 1648.3860426616532, "borrowing_costs_quote_units": 895.2532016911213, "price_pnl_quote_units": 21725.801690442928, "turnover_quote_units": 2747310.071102752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40890.211974450576, "return_pct": 308.90211974450574, "cagr_pct": 42.20742920679804, "max_drawdown_pct": 78.10924023781513, "mean_exposure_while_solvent": 0.9298013864259772, "realized_annual_volatility_pct": 63.6707380951958, "trading_costs_quote_units": 581.4672544882058, "borrowing_costs_quote_units": 471.86065165378454, "price_pnl_quote_units": 31943.539880592016, "turnover_quote_units": 969112.0908136739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40890.211974450576, "return_pct": 308.90211974450574, "cagr_pct": 42.20742920679804, "max_drawdown_pct": 78.10924023781513, "mean_exposure_while_solvent": 0.9298013864259772, "realized_annual_volatility_pct": 63.6707380951958, "trading_costs_quote_units": 581.4672544882058, "borrowing_costs_quote_units": 471.86065165378454, "price_pnl_quote_units": 31943.539880592016, "turnover_quote_units": 969112.0908136739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32892.654794277165, "return_pct": 228.92654794277166, "cagr_pct": 34.67577418310662, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.8649945232716407, "realized_annual_volatility_pct": 58.80861238011036, "trading_costs_quote_units": 494.46012846278535, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23387.114922739816, "turnover_quote_units": 824100.2141046433, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32892.654794277165, "return_pct": 228.92654794277166, "cagr_pct": 34.67577418310662, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.8649945232716407, "realized_annual_volatility_pct": 58.80861238011036, "trading_costs_quote_units": 494.46012846278535, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23387.114922739816, "turnover_quote_units": 824100.2141046433, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40890.211974450576, "return_pct": 308.90211974450574, "cagr_pct": 42.20742920679804, "max_drawdown_pct": 78.10924023781513, "mean_exposure_while_solvent": 0.9298013864259772, "realized_annual_volatility_pct": 63.6707380951958, "trading_costs_quote_units": 581.4672544882058, "borrowing_costs_quote_units": 471.86065165378454, "price_pnl_quote_units": 31943.539880592016, "turnover_quote_units": 969112.0908136739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40890.211974450576, "return_pct": 308.90211974450574, "cagr_pct": 42.20742920679804, "max_drawdown_pct": 78.10924023781513, "mean_exposure_while_solvent": 0.9298013864259772, "realized_annual_volatility_pct": 63.6707380951958, "trading_costs_quote_units": 581.4672544882058, "borrowing_costs_quote_units": 471.86065165378454, "price_pnl_quote_units": 31943.539880592016, "turnover_quote_units": 969112.0908136739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40890.211974450576, "return_pct": 308.90211974450574, "cagr_pct": 42.20742920679804, "max_drawdown_pct": 78.10924023781513, "mean_exposure_while_solvent": 0.9298013864259772, "realized_annual_volatility_pct": 63.6707380951958, "trading_costs_quote_units": 581.4672544882058, "borrowing_costs_quote_units": 471.86065165378454, "price_pnl_quote_units": 31943.539880592016, "turnover_quote_units": 969112.0908136739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40890.211974450576, "return_pct": 308.90211974450574, "cagr_pct": 42.20742920679804, "max_drawdown_pct": 78.10924023781513, "mean_exposure_while_solvent": 0.9298013864259772, "realized_annual_volatility_pct": 63.6707380951958, "trading_costs_quote_units": 581.4672544882058, "borrowing_costs_quote_units": 471.86065165378454, "price_pnl_quote_units": 31943.539880592016, "turnover_quote_units": 969112.0908136739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37340.30355697028, "return_pct": 273.40303556970275, "cagr_pct": 39.01471735033737, "max_drawdown_pct": 65.44236877425769, "mean_exposure_while_solvent": 0.7499855831207652, "realized_annual_volatility_pct": 53.72992964716457, "trading_costs_quote_units": 195.87024815386968, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27536.173805124217, "turnover_quote_units": 326450.41358978313, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37340.30355697028, "return_pct": 273.40303556970275, "cagr_pct": 39.01471735033737, "max_drawdown_pct": 65.44236877425769, "mean_exposure_while_solvent": 0.7499855831207652, "realized_annual_volatility_pct": 53.72992964716457, "trading_costs_quote_units": 195.87024815386968, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27536.173805124217, "turnover_quote_units": 326450.41358978313, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 44626.79464751327, "return_pct": 346.2679464751327, "cagr_pct": 45.35080846299371, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998859228838695, "realized_annual_volatility_pct": 71.92300713712794, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34632.79104967181, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 44626.79464751327, "return_pct": 346.2679464751327, "cagr_pct": 45.35080846299371, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998859228838695, "realized_annual_volatility_pct": 71.92300713712794, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34632.79104967181, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43786.154130465, "return_pct": 337.86154130465, "cagr_pct": 44.66134308571727, "max_drawdown_pct": 85.46469506562701, "mean_exposure_while_solvent": 1.2498506023096854, "realized_annual_volatility_pct": 90.39256014451523, "trading_costs_quote_units": 638.7078218073787, "borrowing_costs_quote_units": 4173.4900328849935, "price_pnl_quote_units": 38598.35198515739, "turnover_quote_units": 1064513.0363456332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43786.154130465, "return_pct": 337.86154130465, "cagr_pct": 44.66134308571727, "max_drawdown_pct": 85.46469506562701, "mean_exposure_while_solvent": 1.2498506023096854, "realized_annual_volatility_pct": 90.39256014451523, "trading_costs_quote_units": 638.7078218073787, "borrowing_costs_quote_units": 4173.4900328849935, "price_pnl_quote_units": 38598.35198515739, "turnover_quote_units": 1064513.0363456332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37271.902611188256, "return_pct": 272.71902611188256, "cagr_pct": 38.95100360499975, "max_drawdown_pct": 91.59854970742904, "mean_exposure_while_solvent": 1.499931402796653, "realized_annual_volatility_pct": 109.2876685468692, "trading_costs_quote_units": 1870.978458572279, "borrowing_costs_quote_units": 10147.517034827339, "price_pnl_quote_units": 39290.39810458717, "turnover_quote_units": 3118297.430953795, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37271.902611188256, "return_pct": 272.71902611188256, "cagr_pct": 38.95100360499975, "max_drawdown_pct": 91.59854970742904, "mean_exposure_while_solvent": 1.499931402796653, "realized_annual_volatility_pct": 109.2876685468692, "trading_costs_quote_units": 1870.978458572279, "borrowing_costs_quote_units": 10147.517034827339, "price_pnl_quote_units": 39290.39810458717, "turnover_quote_units": 3118297.430953795, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36297.16902150873, "return_pct": 262.9716902150873, "cagr_pct": 38.03339106889204, "max_drawdown_pct": 66.75542076800826, "mean_exposure_while_solvent": 0.6600586328722304, "realized_annual_volatility_pct": 43.745107854807245, "trading_costs_quote_units": 642.0583403512309, "borrowing_costs_quote_units": 216.48532897071735, "price_pnl_quote_units": 27155.712690831002, "turnover_quote_units": 1070097.2339187183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36297.16902150873, "return_pct": 262.9716902150873, "cagr_pct": 38.03339106889204, "max_drawdown_pct": 66.75542076800826, "mean_exposure_while_solvent": 0.6600586328722304, "realized_annual_volatility_pct": 43.745107854807245, "trading_costs_quote_units": 642.0583403512309, "borrowing_costs_quote_units": 216.48532897071735, "price_pnl_quote_units": 27155.712690831002, "turnover_quote_units": 1070097.2339187183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36815.89858259582, "return_pct": 268.1589858259582, "cagr_pct": 38.523991170774266, "max_drawdown_pct": 81.58572462814422, "mean_exposure_while_solvent": 0.9614025730270308, "realized_annual_volatility_pct": 64.18782384257655, "trading_costs_quote_units": 1080.7344667070479, "borrowing_costs_quote_units": 1409.9356451134693, "price_pnl_quote_units": 29306.568694416605, "turnover_quote_units": 1801224.1111784095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36815.89858259582, "return_pct": 268.1589858259582, "cagr_pct": 38.523991170774266, "max_drawdown_pct": 81.58572462814422, "mean_exposure_while_solvent": 0.9614025730270308, "realized_annual_volatility_pct": 64.18782384257655, "trading_costs_quote_units": 1080.7344667070479, "borrowing_costs_quote_units": 1409.9356451134693, "price_pnl_quote_units": 29306.568694416605, "turnover_quote_units": 1801224.1111784095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29919.71642870328, "return_pct": 199.1971642870328, "cagr_pct": 31.523374722539323, "max_drawdown_pct": 89.32276074217846, "mean_exposure_while_solvent": 1.2071558762930839, "realized_annual_volatility_pct": 82.74959937492784, "trading_costs_quote_units": 1468.0593112548731, "borrowing_costs_quote_units": 5907.466054426754, "price_pnl_quote_units": 27295.2417943842, "turnover_quote_units": 2446765.5187581326, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29919.71642870328, "return_pct": 199.1971642870328, "cagr_pct": 31.523374722539323, "max_drawdown_pct": 89.32276074217846, "mean_exposure_while_solvent": 1.2071558762930839, "realized_annual_volatility_pct": 82.74959937492784, "trading_costs_quote_units": 1468.0593112548731, "borrowing_costs_quote_units": 5907.466054426754, "price_pnl_quote_units": 27295.2417943842, "turnover_quote_units": 2446765.5187581326, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28417.05291730738, "return_pct": 184.1705291730738, "cagr_pct": 29.83975765908268, "max_drawdown_pct": 81.72701565399245, "mean_exposure_while_solvent": 1.002352859836216, "realized_annual_volatility_pct": 65.35866201987045, "trading_costs_quote_units": 1621.3673416194135, "borrowing_costs_quote_units": 1761.9616173003553, "price_pnl_quote_units": 21800.381876227053, "turnover_quote_units": 2702278.9026990263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28417.05291730738, "return_pct": 184.1705291730738, "cagr_pct": 29.83975765908268, "max_drawdown_pct": 81.72701565399245, "mean_exposure_while_solvent": 1.002352859836216, "realized_annual_volatility_pct": 65.35866201987045, "trading_costs_quote_units": 1621.3673416194135, "borrowing_costs_quote_units": 1761.9616173003553, "price_pnl_quote_units": 21800.381876227053, "turnover_quote_units": 2702278.9026990263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40274.50918229807, "return_pct": 302.74509182298067, "cagr_pct": 41.66899763600683, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 0.9298071258752959, "realized_annual_volatility_pct": 63.67098673446232, "trading_costs_quote_units": 575.1916369015125, "borrowing_costs_quote_units": 935.1445311163476, "price_pnl_quote_units": 31784.84535031564, "turnover_quote_units": 958652.7281691869, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40274.50918229807, "return_pct": 302.74509182298067, "cagr_pct": 41.66899763600683, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 0.9298071258752959, "realized_annual_volatility_pct": 63.67098673446232, "trading_costs_quote_units": 575.1916369015125, "borrowing_costs_quote_units": 935.1445311163476, "price_pnl_quote_units": 31784.84535031564, "turnover_quote_units": 958652.7281691869, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32892.654794277165, "return_pct": 228.92654794277166, "cagr_pct": 34.67577418310662, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.8649945232716407, "realized_annual_volatility_pct": 58.80861238011036, "trading_costs_quote_units": 494.46012846278535, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23387.114922739816, "turnover_quote_units": 824100.2141046433, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32892.654794277165, "return_pct": 228.92654794277166, "cagr_pct": 34.67577418310662, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.8649945232716407, "realized_annual_volatility_pct": 58.80861238011036, "trading_costs_quote_units": 494.46012846278535, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23387.114922739816, "turnover_quote_units": 824100.2141046433, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40274.50918229807, "return_pct": 302.74509182298067, "cagr_pct": 41.66899763600683, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 0.9298071258752959, "realized_annual_volatility_pct": 63.67098673446232, "trading_costs_quote_units": 575.1916369015125, "borrowing_costs_quote_units": 935.1445311163476, "price_pnl_quote_units": 31784.84535031564, "turnover_quote_units": 958652.7281691869, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40274.50918229807, "return_pct": 302.74509182298067, "cagr_pct": 41.66899763600683, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 0.9298071258752959, "realized_annual_volatility_pct": 63.67098673446232, "trading_costs_quote_units": 575.1916369015125, "borrowing_costs_quote_units": 935.1445311163476, "price_pnl_quote_units": 31784.84535031564, "turnover_quote_units": 958652.7281691869, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40274.50918229807, "return_pct": 302.74509182298067, "cagr_pct": 41.66899763600683, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 0.9298071258752959, "realized_annual_volatility_pct": 63.67098673446232, "trading_costs_quote_units": 575.1916369015125, "borrowing_costs_quote_units": 935.1445311163476, "price_pnl_quote_units": 31784.84535031564, "turnover_quote_units": 958652.7281691869, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40274.50918229807, "return_pct": 302.74509182298067, "cagr_pct": 41.66899763600683, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 0.9298071258752959, "realized_annual_volatility_pct": 63.67098673446232, "trading_costs_quote_units": 575.1916369015125, "borrowing_costs_quote_units": 935.1445311163476, "price_pnl_quote_units": 31784.84535031564, "turnover_quote_units": 958652.7281691869, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37340.30355697028, "return_pct": 273.40303556970275, "cagr_pct": 39.01471735033737, "max_drawdown_pct": 65.44236877425769, "mean_exposure_while_solvent": 0.7499855831207652, "realized_annual_volatility_pct": 53.72992964716457, "trading_costs_quote_units": 195.87024815386968, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27536.173805124217, "turnover_quote_units": 326450.41358978313, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37340.30355697028, "return_pct": 273.40303556970275, "cagr_pct": 39.01471735033737, "max_drawdown_pct": 65.44236877425769, "mean_exposure_while_solvent": 0.7499855831207652, "realized_annual_volatility_pct": 53.72992964716457, "trading_costs_quote_units": 195.87024815386968, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27536.173805124217, "turnover_quote_units": 326450.41358978313, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44626.79464751327, "return_pct": 346.2679464751327, "cagr_pct": 45.35080846299371, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998859228838695, "realized_annual_volatility_pct": 71.92300713712794, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34632.79104967181, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44626.79464751327, "return_pct": 346.2679464751327, "cagr_pct": 45.35080846299371, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998859228838695, "realized_annual_volatility_pct": 71.92300713712794, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34632.79104967181, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 41650.482362149865, "return_pct": 316.5048236214987, "cagr_pct": 42.8639593300957, "max_drawdown_pct": 85.65252262033181, "mean_exposure_while_solvent": 1.2498684256172874, "realized_annual_volatility_pct": 90.39450612587775, "trading_costs_quote_units": 619.5734703327055, "borrowing_costs_quote_units": 8088.974765045466, "price_pnl_quote_units": 40359.03059752725, "turnover_quote_units": 1032622.4505545081, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 41650.482362149865, "return_pct": 316.5048236214987, "cagr_pct": 42.8639593300957, "max_drawdown_pct": 85.65252262033181, "mean_exposure_while_solvent": 1.2498684256172874, "realized_annual_volatility_pct": 90.39450612587775, "trading_costs_quote_units": 619.5734703327055, "borrowing_costs_quote_units": 8088.974765045466, "price_pnl_quote_units": 40359.03059752725, "turnover_quote_units": 1032622.4505545081, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33722.456550701965, "return_pct": 237.22456550701966, "cagr_pct": 35.51733688275972, "max_drawdown_pct": 91.93100286444259, "mean_exposure_while_solvent": 1.499974217677009, "realized_annual_volatility_pct": 109.29251267270533, "trading_costs_quote_units": 1760.74618471232, "borrowing_costs_quote_units": 19068.87090722829, "price_pnl_quote_units": 44552.073642642914, "turnover_quote_units": 2934576.97452053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33722.456550701965, "return_pct": 237.22456550701966, "cagr_pct": 35.51733688275972, "max_drawdown_pct": 91.93100286444259, "mean_exposure_while_solvent": 1.499974217677009, "realized_annual_volatility_pct": 109.29251267270533, "trading_costs_quote_units": 1760.74618471232, "borrowing_costs_quote_units": 19068.87090722829, "price_pnl_quote_units": 44552.073642642914, "turnover_quote_units": 2934576.97452053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36023.67847413802, "return_pct": 260.2367847413802, "cagr_pct": 37.77261122415666, "max_drawdown_pct": 66.78495399663765, "mean_exposure_while_solvent": 0.6600615209022996, "realized_annual_volatility_pct": 43.74463663755158, "trading_costs_quote_units": 639.2646367242269, "borrowing_costs_quote_units": 431.07421242229333, "price_pnl_quote_units": 27094.017323284756, "turnover_quote_units": 1065441.061207046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36023.67847413802, "return_pct": 260.2367847413802, "cagr_pct": 37.77261122415666, "max_drawdown_pct": 66.78495399663765, "mean_exposure_while_solvent": 0.6600615209022996, "realized_annual_volatility_pct": 43.74463663755158, "trading_costs_quote_units": 639.2646367242269, "borrowing_costs_quote_units": 431.07421242229333, "price_pnl_quote_units": 27094.017323284756, "turnover_quote_units": 1065441.061207046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35425.70253717364, "return_pct": 254.2570253717364, "cagr_pct": 37.19721191987199, "max_drawdown_pct": 81.71404197539495, "mean_exposure_while_solvent": 0.9614175643833918, "realized_annual_volatility_pct": 64.18872819602142, "trading_costs_quote_units": 1053.7349560090295, "borrowing_costs_quote_units": 2753.6979052266947, "price_pnl_quote_units": 29233.135398409995, "turnover_quote_units": 1756224.9266817148, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35425.70253717364, "return_pct": 254.2570253717364, "cagr_pct": 37.19721191987199, "max_drawdown_pct": 81.71404197539495, "mean_exposure_while_solvent": 0.9614175643833918, "realized_annual_volatility_pct": 64.18872819602142, "trading_costs_quote_units": 1053.7349560090295, "borrowing_costs_quote_units": 2753.6979052266947, "price_pnl_quote_units": 29233.135398409995, "turnover_quote_units": 1756224.9266817148, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27042.816609139692, "return_pct": 170.42816609139692, "cagr_pct": 28.240529922383402, "max_drawdown_pct": 89.61491629188332, "mean_exposure_while_solvent": 1.207196441118233, "realized_annual_volatility_pct": 82.75444857668833, "trading_costs_quote_units": 1379.395866788188, "borrowing_costs_quote_units": 11098.92378317069, "price_pnl_quote_units": 29521.13625909843, "turnover_quote_units": 2298993.111313648, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27042.816609139692, "return_pct": 170.42816609139692, "cagr_pct": 28.240529922383402, "max_drawdown_pct": 89.61491629188332, "mean_exposure_while_solvent": 1.207196441118233, "realized_annual_volatility_pct": 82.75444857668833, "trading_costs_quote_units": 1379.395866788188, "borrowing_costs_quote_units": 11098.92378317069, "price_pnl_quote_units": 29521.13625909843, "turnover_quote_units": 2298993.111313648, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26946.10464865697, "return_pct": 169.4610464865697, "cagr_pct": 28.125707592018568, "max_drawdown_pct": 81.91735332374093, "mean_exposure_while_solvent": 1.0023741602997545, "realized_annual_volatility_pct": 65.36052409649955, "trading_costs_quote_units": 1568.7872382658807, "borrowing_costs_quote_units": 3412.861979043275, "price_pnl_quote_units": 21927.753865966388, "turnover_quote_units": 2614645.397109803, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26946.10464865697, "return_pct": 169.4610464865697, "cagr_pct": 28.125707592018568, "max_drawdown_pct": 81.91735332374093, "mean_exposure_while_solvent": 1.0023741602997545, "realized_annual_volatility_pct": 65.36052409649955, "trading_costs_quote_units": 1568.7872382658807, "borrowing_costs_quote_units": 3412.861979043275, "price_pnl_quote_units": 21927.753865966388, "turnover_quote_units": 2614645.397109803, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 39070.48231172654, "return_pct": 290.7048231172654, "cagr_pct": 40.59797773832349, "max_drawdown_pct": 78.20110014162198, "mean_exposure_while_solvent": 0.9298186067955906, "realized_annual_volatility_pct": 63.671494233650726, "trading_costs_quote_units": 562.8674200175494, "borrowing_costs_quote_units": 1836.5302162597832, "price_pnl_quote_units": 31469.87994800402, "turnover_quote_units": 938112.3666959155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 39070.48231172654, "return_pct": 290.7048231172654, "cagr_pct": 40.59797773832349, "max_drawdown_pct": 78.20110014162198, "mean_exposure_while_solvent": 0.9298186067955906, "realized_annual_volatility_pct": 63.671494233650726, "trading_costs_quote_units": 562.8674200175494, "borrowing_costs_quote_units": 1836.5302162597832, "price_pnl_quote_units": 31469.87994800402, "turnover_quote_units": 938112.3666959155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32892.654794277165, "return_pct": 228.92654794277166, "cagr_pct": 34.67577418310662, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.8649945232716407, "realized_annual_volatility_pct": 58.80861238011036, "trading_costs_quote_units": 494.46012846278535, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23387.114922739816, "turnover_quote_units": 824100.2141046433, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32892.654794277165, "return_pct": 228.92654794277166, "cagr_pct": 34.67577418310662, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.8649945232716407, "realized_annual_volatility_pct": 58.80861238011036, "trading_costs_quote_units": 494.46012846278535, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23387.114922739816, "turnover_quote_units": 824100.2141046433, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 39070.48231172654, "return_pct": 290.7048231172654, "cagr_pct": 40.59797773832349, "max_drawdown_pct": 78.20110014162198, "mean_exposure_while_solvent": 0.9298186067955906, "realized_annual_volatility_pct": 63.671494233650726, "trading_costs_quote_units": 562.8674200175494, "borrowing_costs_quote_units": 1836.5302162597832, "price_pnl_quote_units": 31469.87994800402, "turnover_quote_units": 938112.3666959155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 39070.48231172654, "return_pct": 290.7048231172654, "cagr_pct": 40.59797773832349, "max_drawdown_pct": 78.20110014162198, "mean_exposure_while_solvent": 0.9298186067955906, "realized_annual_volatility_pct": 63.671494233650726, "trading_costs_quote_units": 562.8674200175494, "borrowing_costs_quote_units": 1836.5302162597832, "price_pnl_quote_units": 31469.87994800402, "turnover_quote_units": 938112.3666959155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 39070.48231172654, "return_pct": 290.7048231172654, "cagr_pct": 40.59797773832349, "max_drawdown_pct": 78.20110014162198, "mean_exposure_while_solvent": 0.9298186067955906, "realized_annual_volatility_pct": 63.671494233650726, "trading_costs_quote_units": 562.8674200175494, "borrowing_costs_quote_units": 1836.5302162597832, "price_pnl_quote_units": 31469.87994800402, "turnover_quote_units": 938112.3666959155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 39070.48231172654, "return_pct": 290.7048231172654, "cagr_pct": 40.59797773832349, "max_drawdown_pct": 78.20110014162198, "mean_exposure_while_solvent": 0.9298186067955906, "realized_annual_volatility_pct": 63.671494233650726, "trading_costs_quote_units": 562.8674200175494, "borrowing_costs_quote_units": 1836.5302162597832, "price_pnl_quote_units": 31469.87994800402, "turnover_quote_units": 938112.3666959155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37340.30355697028, "return_pct": 273.40303556970275, "cagr_pct": 39.01471735033737, "max_drawdown_pct": 65.44236877425769, "mean_exposure_while_solvent": 0.7499855831207652, "realized_annual_volatility_pct": 53.72992964716457, "trading_costs_quote_units": 195.87024815386968, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27536.173805124217, "turnover_quote_units": 326450.41358978313, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37340.30355697028, "return_pct": 273.40303556970275, "cagr_pct": 39.01471735033737, "max_drawdown_pct": 65.44236877425769, "mean_exposure_while_solvent": 0.7499855831207652, "realized_annual_volatility_pct": 53.72992964716457, "trading_costs_quote_units": 195.87024815386968, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27536.173805124217, "turnover_quote_units": 326450.41358978313, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 44626.79464751327, "return_pct": 346.2679464751327, "cagr_pct": 45.35080846299371, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998859228838695, "realized_annual_volatility_pct": 71.92300713712794, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34632.79104967181, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 44626.79464751327, "return_pct": 346.2679464751327, "cagr_pct": 45.35080846299371, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998859228838695, "realized_annual_volatility_pct": 71.92300713712794, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34632.79104967181, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37685.689732159946, "return_pct": 276.85689732159943, "cagr_pct": 39.335105597403796, "max_drawdown_pct": 86.17795079241482, "mean_exposure_while_solvent": 1.2499040777261217, "realized_annual_volatility_pct": 90.3983989677528, "trading_costs_quote_units": 583.2257575031406, "borrowing_costs_quote_units": 15197.568887026173, "price_pnl_quote_units": 43466.48437669038, "turnover_quote_units": 972042.9291719011, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37685.689732159946, "return_pct": 276.85689732159943, "cagr_pct": 39.335105597403796, "max_drawdown_pct": 86.17795079241482, "mean_exposure_while_solvent": 1.2499040777261217, "realized_annual_volatility_pct": 90.3983989677528, "trading_costs_quote_units": 583.2257575031406, "borrowing_costs_quote_units": 15197.568887026173, "price_pnl_quote_units": 43466.48437669038, "turnover_quote_units": 972042.9291719011, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27603.85665336943, "return_pct": 176.03856653369428, "cagr_pct": 28.900623610019, "max_drawdown_pct": 92.55713445169779, "mean_exposure_while_solvent": 1.5000598660423743, "realized_annual_volatility_pct": 109.30220411956117, "trading_costs_quote_units": 1561.101820557673, "borrowing_costs_quote_units": 33703.51576804379, "price_pnl_quote_units": 52868.47424197116, "turnover_quote_units": 2601836.3675961224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27603.85665336943, "return_pct": 176.03856653369428, "cagr_pct": 28.900623610019, "max_drawdown_pct": 92.55713445169779, "mean_exposure_while_solvent": 1.5000598660423743, "realized_annual_volatility_pct": 109.30220411956117, "trading_costs_quote_units": 1561.101820557673, "borrowing_costs_quote_units": 33703.51576804379, "price_pnl_quote_units": 52868.47424197116, "turnover_quote_units": 2601836.3675961224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36476.42794950944, "return_pct": 264.76427949509434, "cagr_pct": 38.20352033995745, "max_drawdown_pct": 66.71761075746292, "mean_exposure_while_solvent": 0.6597628925466847, "realized_annual_volatility_pct": 43.96239686813694, "trading_costs_quote_units": 657.8781585109173, "borrowing_costs_quote_units": 106.59868955962041, "price_pnl_quote_units": 27240.90479758006, "turnover_quote_units": 1096463.5975181982, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36476.42794950944, "return_pct": 264.76427949509434, "cagr_pct": 38.20352033995745, "max_drawdown_pct": 66.71761075746292, "mean_exposure_while_solvent": 0.6597628925466847, "realized_annual_volatility_pct": 43.96239686813694, "trading_costs_quote_units": 657.8781585109173, "borrowing_costs_quote_units": 106.59868955962041, "price_pnl_quote_units": 27240.90479758006, "turnover_quote_units": 1096463.5975181982, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39111.481847655334, "return_pct": 291.11481847655335, "cagr_pct": 40.63485239395856, "max_drawdown_pct": 81.40734506194919, "mean_exposure_while_solvent": 0.9609521962517772, "realized_annual_volatility_pct": 64.2575960759482, "trading_costs_quote_units": 1124.7966094021374, "borrowing_costs_quote_units": 723.5112313812541, "price_pnl_quote_units": 30959.789688438243, "turnover_quote_units": 1874661.0156702267, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39111.481847655334, "return_pct": 291.11481847655335, "cagr_pct": 40.63485239395856, "max_drawdown_pct": 81.40734506194919, "mean_exposure_while_solvent": 0.9609521962517772, "realized_annual_volatility_pct": 64.2575960759482, "trading_costs_quote_units": 1124.7966094021374, "borrowing_costs_quote_units": 723.5112313812541, "price_pnl_quote_units": 30959.789688438243, "turnover_quote_units": 1874661.0156702267, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33260.2439152735, "return_pct": 232.60243915273503, "cagr_pct": 35.050514822078924, "max_drawdown_pct": 89.2100162499558, "mean_exposure_while_solvent": 1.2065999359277826, "realized_annual_volatility_pct": 82.2428168897713, "trading_costs_quote_units": 1579.0336889684381, "borrowing_costs_quote_units": 3169.701549088401, "price_pnl_quote_units": 28008.979153330863, "turnover_quote_units": 2631722.814947397, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33260.2439152735, "return_pct": 232.60243915273503, "cagr_pct": 35.050514822078924, "max_drawdown_pct": 89.2100162499558, "mean_exposure_while_solvent": 1.2065999359277826, "realized_annual_volatility_pct": 82.2428168897713, "trading_costs_quote_units": 1579.0336889684381, "borrowing_costs_quote_units": 3169.701549088401, "price_pnl_quote_units": 28008.979153330863, "turnover_quote_units": 2631722.814947397, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29436.80142470929, "return_pct": 194.3680142470929, "cagr_pct": 30.989362493958723, "max_drawdown_pct": 82.03472179538625, "mean_exposure_while_solvent": 1.0019170962275468, "realized_annual_volatility_pct": 65.54841167852767, "trading_costs_quote_units": 1679.917513742899, "borrowing_costs_quote_units": 896.5937971766165, "price_pnl_quote_units": 22013.312735628788, "turnover_quote_units": 2799862.5229048296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29436.80142470929, "return_pct": 194.3680142470929, "cagr_pct": 30.989362493958723, "max_drawdown_pct": 82.03472179538625, "mean_exposure_while_solvent": 1.0019170962275468, "realized_annual_volatility_pct": 65.54841167852767, "trading_costs_quote_units": 1679.917513742899, "borrowing_costs_quote_units": 896.5937971766165, "price_pnl_quote_units": 22013.312735628788, "turnover_quote_units": 2799862.5229048296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 42491.1125053757, "return_pct": 324.91112505375696, "cagr_pct": 43.57950315025694, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 0.929436818649445, "realized_annual_volatility_pct": 63.585494078206196, "trading_costs_quote_units": 613.2685505531497, "borrowing_costs_quote_units": 480.51912412541594, "price_pnl_quote_units": 33584.90018005419, "turnover_quote_units": 1022114.2509219161, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 42491.1125053757, "return_pct": 324.91112505375696, "cagr_pct": 43.57950315025694, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 0.929436818649445, "realized_annual_volatility_pct": 63.585494078206196, "trading_costs_quote_units": 613.2685505531497, "borrowing_costs_quote_units": 480.51912412541594, "price_pnl_quote_units": 33584.90018005419, "turnover_quote_units": 1022114.2509219161, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33442.05006199569, "return_pct": 234.4205006199569, "cagr_pct": 35.234711020302804, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.8647676934412305, "realized_annual_volatility_pct": 58.906430080405705, "trading_costs_quote_units": 507.3258870685144, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23949.375949064415, "turnover_quote_units": 845543.1451141912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33442.05006199569, "return_pct": 234.4205006199569, "cagr_pct": 35.234711020302804, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.8647676934412305, "realized_annual_volatility_pct": 58.906430080405705, "trading_costs_quote_units": 507.3258870685144, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23949.375949064415, "turnover_quote_units": 845543.1451141912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 42491.1125053757, "return_pct": 324.91112505375696, "cagr_pct": 43.57950315025694, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 0.929436818649445, "realized_annual_volatility_pct": 63.585494078206196, "trading_costs_quote_units": 613.2685505531497, "borrowing_costs_quote_units": 480.51912412541594, "price_pnl_quote_units": 33584.90018005419, "turnover_quote_units": 1022114.2509219161, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 42491.1125053757, "return_pct": 324.91112505375696, "cagr_pct": 43.57950315025694, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 0.929436818649445, "realized_annual_volatility_pct": 63.585494078206196, "trading_costs_quote_units": 613.2685505531497, "borrowing_costs_quote_units": 480.51912412541594, "price_pnl_quote_units": 33584.90018005419, "turnover_quote_units": 1022114.2509219161, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 42491.1125053757, "return_pct": 324.91112505375696, "cagr_pct": 43.57950315025694, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 0.929436818649445, "realized_annual_volatility_pct": 63.585494078206196, "trading_costs_quote_units": 613.2685505531497, "borrowing_costs_quote_units": 480.51912412541594, "price_pnl_quote_units": 33584.90018005419, "turnover_quote_units": 1022114.2509219161, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 42491.1125053757, "return_pct": 324.91112505375696, "cagr_pct": 43.57950315025694, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 0.929436818649445, "realized_annual_volatility_pct": 63.585494078206196, "trading_costs_quote_units": 613.2685505531497, "borrowing_costs_quote_units": 480.51912412541594, "price_pnl_quote_units": 33584.90018005419, "turnover_quote_units": 1022114.2509219161, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37408.40294218766, "return_pct": 274.0840294218766, "cagr_pct": 39.07806330583469, "max_drawdown_pct": 65.32081466078613, "mean_exposure_while_solvent": 0.749871862284021, "realized_annual_volatility_pct": 53.82989278764661, "trading_costs_quote_units": 197.5716101803001, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27605.974552367643, "turnover_quote_units": 329286.016967167, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37408.40294218766, "return_pct": 274.0840294218766, "cagr_pct": 39.07806330583469, "max_drawdown_pct": 65.32081466078613, "mean_exposure_while_solvent": 0.749871862284021, "realized_annual_volatility_pct": 53.82989278764661, "trading_costs_quote_units": 197.5716101803001, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27605.974552367643, "turnover_quote_units": 329286.016967167, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44903.84183328282, "return_pct": 349.0384183328282, "cagr_pct": 45.57589862641942, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9996577686516085, "realized_annual_volatility_pct": 71.92226626548374, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34909.83823544141, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44903.84183328282, "return_pct": 349.0384183328282, "cagr_pct": 45.57589862641942, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9996577686516085, "realized_annual_volatility_pct": 71.92226626548374, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34909.83823544141, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44378.8026468124, "return_pct": 343.78802646812403, "cagr_pct": 45.14843388062289, "max_drawdown_pct": 85.5571908722217, "mean_exposure_while_solvent": 1.2494762096736083, "realized_annual_volatility_pct": 90.14736821391601, "trading_costs_quote_units": 668.3307865995629, "borrowing_costs_quote_units": 4256.278675034046, "price_pnl_quote_units": 39303.41210844561, "turnover_quote_units": 1113884.6443326054, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44378.8026468124, "return_pct": 343.78802646812403, "cagr_pct": 45.14843388062289, "max_drawdown_pct": 85.5571908722217, "mean_exposure_while_solvent": 1.2494762096736083, "realized_annual_volatility_pct": 90.14736821391601, "trading_costs_quote_units": 668.3307865995629, "borrowing_costs_quote_units": 4256.278675034046, "price_pnl_quote_units": 39303.41210844561, "turnover_quote_units": 1113884.6443326054, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 38194.88139833398, "return_pct": 281.9488139833398, "cagr_pct": 39.803450923247716, "max_drawdown_pct": 91.74779060711067, "mean_exposure_while_solvent": 1.4993778476831163, "realized_annual_volatility_pct": 108.54224206653772, "trading_costs_quote_units": 2012.497121948711, "borrowing_costs_quote_units": 10558.479714830506, "price_pnl_quote_units": 40765.85823511273, "turnover_quote_units": 3354161.8699145233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 38194.88139833398, "return_pct": 281.9488139833398, "cagr_pct": 39.803450923247716, "max_drawdown_pct": 91.74779060711067, "mean_exposure_while_solvent": 1.4993778476831163, "realized_annual_volatility_pct": 108.54224206653772, "trading_costs_quote_units": 2012.497121948711, "borrowing_costs_quote_units": 10558.479714830506, "price_pnl_quote_units": 40765.85823511273, "turnover_quote_units": 3354161.8699145233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36339.52057034703, "return_pct": 263.39520570347025, "cagr_pct": 38.07364240723373, "max_drawdown_pct": 66.7324405708923, "mean_exposure_while_solvent": 0.659764319718253, "realized_annual_volatility_pct": 43.9622402802882, "trading_costs_quote_units": 656.4480731232437, "borrowing_costs_quote_units": 212.73075305612952, "price_pnl_quote_units": 27208.69939652608, "turnover_quote_units": 1094080.1218720735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36339.52057034703, "return_pct": 263.39520570347025, "cagr_pct": 38.07364240723373, "max_drawdown_pct": 66.7324405708923, "mean_exposure_while_solvent": 0.659764319718253, "realized_annual_volatility_pct": 43.9622402802882, "trading_costs_quote_units": 656.4480731232437, "borrowing_costs_quote_units": 212.73075305612952, "price_pnl_quote_units": 27208.69939652608, "turnover_quote_units": 1094080.1218720735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 38367.16692021952, "return_pct": 283.6716692021952, "cagr_pct": 39.960855655653255, "max_drawdown_pct": 81.47179469716191, "mean_exposure_while_solvent": 0.9609596590808536, "realized_annual_volatility_pct": 64.2579522956012, "trading_costs_quote_units": 1110.5987959659187, "borrowing_costs_quote_units": 1429.7967914048822, "price_pnl_quote_units": 30907.562507590254, "turnover_quote_units": 1850997.993276528, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 38367.16692021952, "return_pct": 283.6716692021952, "cagr_pct": 39.960855655653255, "max_drawdown_pct": 81.47179469716191, "mean_exposure_while_solvent": 0.9609596590808536, "realized_annual_volatility_pct": 64.2579522956012, "trading_costs_quote_units": 1110.5987959659187, "borrowing_costs_quote_units": 1429.7967914048822, "price_pnl_quote_units": 30907.562507590254, "turnover_quote_units": 1850997.993276528, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31622.10614364047, "return_pct": 216.2210614364047, "cagr_pct": 33.35581534248846, "max_drawdown_pct": 89.35869396372381, "mean_exposure_while_solvent": 1.2066201722675807, "realized_annual_volatility_pct": 82.2448295751127, "trading_costs_quote_units": 1530.2178676834837, "borrowing_costs_quote_units": 6142.286104199739, "price_pnl_quote_units": 29294.61011552394, "turnover_quote_units": 2550363.1128058094, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31622.10614364047, "return_pct": 216.2210614364047, "cagr_pct": 33.35581534248846, "max_drawdown_pct": 89.35869396372381, "mean_exposure_while_solvent": 1.2066201722675807, "realized_annual_volatility_pct": 82.2448295751127, "trading_costs_quote_units": 1530.2178676834837, "borrowing_costs_quote_units": 6142.286104199739, "price_pnl_quote_units": 29294.61011552394, "turnover_quote_units": 2550363.1128058094, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28665.422695193825, "return_pct": 186.65422695193828, "cagr_pct": 30.12257008694431, "max_drawdown_pct": 82.1284313778874, "mean_exposure_while_solvent": 1.0019277169317526, "realized_annual_volatility_pct": 65.54929507071166, "trading_costs_quote_units": 1652.3317360020596, "borrowing_costs_quote_units": 1764.4694034312706, "price_pnl_quote_units": 22082.223834627664, "turnover_quote_units": 2753886.2266700994, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28665.422695193825, "return_pct": 186.65422695193828, "cagr_pct": 30.12257008694431, "max_drawdown_pct": 82.1284313778874, "mean_exposure_while_solvent": 1.0019277169317526, "realized_annual_volatility_pct": 65.54929507071166, "trading_costs_quote_units": 1652.3317360020596, "borrowing_costs_quote_units": 1764.4694034312706, "price_pnl_quote_units": 22082.223834627664, "turnover_quote_units": 2753886.2266700994, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 41851.898419387595, "return_pct": 318.518984193876, "cagr_pct": 43.03638433770583, "max_drawdown_pct": 77.9946107492295, "mean_exposure_while_solvent": 0.9294425410187837, "realized_annual_volatility_pct": 63.58569822968888, "trading_costs_quote_units": 606.6200273488909, "borrowing_costs_quote_units": 952.2656235841981, "price_pnl_quote_units": 33410.78407032122, "turnover_quote_units": 1011033.3789148157, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 41851.898419387595, "return_pct": 318.518984193876, "cagr_pct": 43.03638433770583, "max_drawdown_pct": 77.9946107492295, "mean_exposure_while_solvent": 0.9294425410187837, "realized_annual_volatility_pct": 63.58569822968888, "trading_costs_quote_units": 606.6200273488909, "borrowing_costs_quote_units": 952.2656235841981, "price_pnl_quote_units": 33410.78407032122, "turnover_quote_units": 1011033.3789148157, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33442.05006199569, "return_pct": 234.4205006199569, "cagr_pct": 35.234711020302804, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.8647676934412305, "realized_annual_volatility_pct": 58.906430080405705, "trading_costs_quote_units": 507.3258870685144, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23949.375949064415, "turnover_quote_units": 845543.1451141912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33442.05006199569, "return_pct": 234.4205006199569, "cagr_pct": 35.234711020302804, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.8647676934412305, "realized_annual_volatility_pct": 58.906430080405705, "trading_costs_quote_units": 507.3258870685144, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23949.375949064415, "turnover_quote_units": 845543.1451141912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 41851.898419387595, "return_pct": 318.518984193876, "cagr_pct": 43.03638433770583, "max_drawdown_pct": 77.9946107492295, "mean_exposure_while_solvent": 0.9294425410187837, "realized_annual_volatility_pct": 63.58569822968888, "trading_costs_quote_units": 606.6200273488909, "borrowing_costs_quote_units": 952.2656235841981, "price_pnl_quote_units": 33410.78407032122, "turnover_quote_units": 1011033.3789148157, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 41851.898419387595, "return_pct": 318.518984193876, "cagr_pct": 43.03638433770583, "max_drawdown_pct": 77.9946107492295, "mean_exposure_while_solvent": 0.9294425410187837, "realized_annual_volatility_pct": 63.58569822968888, "trading_costs_quote_units": 606.6200273488909, "borrowing_costs_quote_units": 952.2656235841981, "price_pnl_quote_units": 33410.78407032122, "turnover_quote_units": 1011033.3789148157, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 41851.898419387595, "return_pct": 318.518984193876, "cagr_pct": 43.03638433770583, "max_drawdown_pct": 77.9946107492295, "mean_exposure_while_solvent": 0.9294425410187837, "realized_annual_volatility_pct": 63.58569822968888, "trading_costs_quote_units": 606.6200273488909, "borrowing_costs_quote_units": 952.2656235841981, "price_pnl_quote_units": 33410.78407032122, "turnover_quote_units": 1011033.3789148157, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 41851.898419387595, "return_pct": 318.518984193876, "cagr_pct": 43.03638433770583, "max_drawdown_pct": 77.9946107492295, "mean_exposure_while_solvent": 0.9294425410187837, "realized_annual_volatility_pct": 63.58569822968888, "trading_costs_quote_units": 606.6200273488909, "borrowing_costs_quote_units": 952.2656235841981, "price_pnl_quote_units": 33410.78407032122, "turnover_quote_units": 1011033.3789148157, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37408.40294218766, "return_pct": 274.0840294218766, "cagr_pct": 39.07806330583469, "max_drawdown_pct": 65.32081466078613, "mean_exposure_while_solvent": 0.749871862284021, "realized_annual_volatility_pct": 53.82989278764661, "trading_costs_quote_units": 197.5716101803001, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27605.974552367643, "turnover_quote_units": 329286.016967167, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37408.40294218766, "return_pct": 274.0840294218766, "cagr_pct": 39.07806330583469, "max_drawdown_pct": 65.32081466078613, "mean_exposure_while_solvent": 0.749871862284021, "realized_annual_volatility_pct": 53.82989278764661, "trading_costs_quote_units": 197.5716101803001, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27605.974552367643, "turnover_quote_units": 329286.016967167, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 44903.84183328282, "return_pct": 349.0384183328282, "cagr_pct": 45.57589862641942, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9996577686516085, "realized_annual_volatility_pct": 71.92226626548374, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34909.83823544141, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 44903.84183328282, "return_pct": 349.0384183328282, "cagr_pct": 45.57589862641942, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9996577686516085, "realized_annual_volatility_pct": 71.92226626548374, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34909.83823544141, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 42214.717007449915, "return_pct": 322.1471700744991, "cagr_pct": 43.3454163458657, "max_drawdown_pct": 85.74384251644193, "mean_exposure_while_solvent": 1.2494940206659801, "realized_annual_volatility_pct": 90.14910814472505, "trading_costs_quote_units": 648.2152606928862, "borrowing_costs_quote_units": 8249.734633122882, "price_pnl_quote_units": 41112.666901265504, "turnover_quote_units": 1080358.7678214777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 42214.717007449915, "return_pct": 322.1471700744991, "cagr_pct": 43.3454163458657, "max_drawdown_pct": 85.74384251644193, "mean_exposure_while_solvent": 1.2494940206659801, "realized_annual_volatility_pct": 90.14910814472505, "trading_costs_quote_units": 648.2152606928862, "borrowing_costs_quote_units": 8249.734633122882, "price_pnl_quote_units": 41112.666901265504, "turnover_quote_units": 1080358.7678214777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34558.41396879516, "return_pct": 245.58413968795162, "cagr_pct": 36.34958221932847, "max_drawdown_pct": 92.07439476775735, "mean_exposure_while_solvent": 1.4994206262441614, "realized_annual_volatility_pct": 108.54647910700972, "trading_costs_quote_units": 1893.5079687801763, "borrowing_costs_quote_units": 19843.992939231728, "price_pnl_quote_units": 46295.91487680641, "turnover_quote_units": 3155846.614633625, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34558.41396879516, "return_pct": 245.58413968795162, "cagr_pct": 36.34958221932847, "max_drawdown_pct": 92.07439476775735, "mean_exposure_while_solvent": 1.4994206262441614, "realized_annual_volatility_pct": 108.54647910700972, "trading_costs_quote_units": 1893.5079687801763, "borrowing_costs_quote_units": 19843.992939231728, "price_pnl_quote_units": 46295.91487680641, "turnover_quote_units": 3155846.614633625, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36067.18126375678, "return_pct": 260.67181263756777, "cagr_pct": 37.81419126600103, "max_drawdown_pct": 66.76208702858692, "mean_exposure_while_solvent": 0.6597671745651338, "realized_annual_volatility_pct": 43.9619315080417, "trading_costs_quote_units": 653.5977031858281, "borrowing_costs_quote_units": 423.60186329823455, "price_pnl_quote_units": 27144.380830240898, "turnover_quote_units": 1089329.505309716, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36067.18126375678, "return_pct": 260.67181263756777, "cagr_pct": 37.81419126600103, "max_drawdown_pct": 66.76208702858692, "mean_exposure_while_solvent": 0.6597671745651338, "realized_annual_volatility_pct": 43.9619315080417, "trading_costs_quote_units": 653.5977031858281, "borrowing_costs_quote_units": 423.60186329823455, "price_pnl_quote_units": 27144.380830240898, "turnover_quote_units": 1089329.505309716, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36920.40367426598, "return_pct": 269.2040367426598, "cagr_pct": 38.62220097356432, "max_drawdown_pct": 81.60005560670022, "mean_exposure_while_solvent": 0.9609745875116379, "realized_annual_volatility_pct": 64.25867856177855, "trading_costs_quote_units": 1082.7948036984335, "borrowing_costs_quote_units": 2792.0885509393834, "price_pnl_quote_units": 30795.287028904204, "turnover_quote_units": 1804658.006164055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36920.40367426598, "return_pct": 269.2040367426598, "cagr_pct": 38.62220097356432, "max_drawdown_pct": 81.60005560670022, "mean_exposure_while_solvent": 0.9609745875116379, "realized_annual_volatility_pct": 64.25867856177855, "trading_costs_quote_units": 1082.7948036984335, "borrowing_costs_quote_units": 2792.0885509393834, "price_pnl_quote_units": 30795.287028904204, "turnover_quote_units": 1804658.006164055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28583.14744832852, "return_pct": 185.83147448328518, "cagr_pct": 30.029089595747678, "max_drawdown_pct": 89.65000353564406, "mean_exposure_while_solvent": 1.2066606528966737, "realized_annual_volatility_pct": 82.248872404168, "trading_costs_quote_units": 1437.4350173667424, "borrowing_costs_quote_units": 11536.224926204462, "price_pnl_quote_units": 31556.80739189964, "turnover_quote_units": 2395725.0289445706, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28583.14744832852, "return_pct": 185.83147448328518, "cagr_pct": 30.029089595747678, "max_drawdown_pct": 89.65000353564406, "mean_exposure_while_solvent": 1.2066606528966737, "realized_annual_volatility_pct": 82.248872404168, "trading_costs_quote_units": 1437.4350173667424, "borrowing_costs_quote_units": 11536.224926204462, "price_pnl_quote_units": 31556.80739189964, "turnover_quote_units": 2395725.0289445706, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27182.389961532957, "return_pct": 171.82389961532957, "cagr_pct": 28.405698197869327, "max_drawdown_pct": 82.31443074780236, "mean_exposure_while_solvent": 1.0019489625054858, "realized_annual_volatility_pct": 65.55108108650823, "trading_costs_quote_units": 1598.6521867224915, "borrowing_costs_quote_units": 3417.213572128276, "price_pnl_quote_units": 22198.25572038342, "turnover_quote_units": 2664420.3112041536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27182.389961532957, "return_pct": 171.82389961532957, "cagr_pct": 28.405698197869327, "max_drawdown_pct": 82.31443074780236, "mean_exposure_while_solvent": 1.0019489625054858, "realized_annual_volatility_pct": 65.55108108650823, "trading_costs_quote_units": 1598.6521867224915, "borrowing_costs_quote_units": 3417.213572128276, "price_pnl_quote_units": 22198.25572038342, "turnover_quote_units": 2664420.3112041536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 40601.87624772001, "return_pct": 306.0187624772, "cagr_pct": 41.95604238088557, "max_drawdown_pct": 78.05595024482477, "mean_exposure_while_solvent": 0.9294539877709569, "realized_annual_volatility_pct": 63.58611675134207, "trading_costs_quote_units": 593.5632748945782, "borrowing_costs_quote_units": 1870.003313274597, "price_pnl_quote_units": 33065.44283588917, "turnover_quote_units": 989272.1248242962, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 40601.87624772001, "return_pct": 306.0187624772, "cagr_pct": 41.95604238088557, "max_drawdown_pct": 78.05595024482477, "mean_exposure_while_solvent": 0.9294539877709569, "realized_annual_volatility_pct": 63.58611675134207, "trading_costs_quote_units": 593.5632748945782, "borrowing_costs_quote_units": 1870.003313274597, "price_pnl_quote_units": 33065.44283588917, "turnover_quote_units": 989272.1248242962, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33442.05006199569, "return_pct": 234.4205006199569, "cagr_pct": 35.234711020302804, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.8647676934412305, "realized_annual_volatility_pct": 58.906430080405705, "trading_costs_quote_units": 507.3258870685144, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23949.375949064415, "turnover_quote_units": 845543.1451141912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33442.05006199569, "return_pct": 234.4205006199569, "cagr_pct": 35.234711020302804, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.8647676934412305, "realized_annual_volatility_pct": 58.906430080405705, "trading_costs_quote_units": 507.3258870685144, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23949.375949064415, "turnover_quote_units": 845543.1451141912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 40601.87624772001, "return_pct": 306.0187624772, "cagr_pct": 41.95604238088557, "max_drawdown_pct": 78.05595024482477, "mean_exposure_while_solvent": 0.9294539877709569, "realized_annual_volatility_pct": 63.58611675134207, "trading_costs_quote_units": 593.5632748945782, "borrowing_costs_quote_units": 1870.003313274597, "price_pnl_quote_units": 33065.44283588917, "turnover_quote_units": 989272.1248242962, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 40601.87624772001, "return_pct": 306.0187624772, "cagr_pct": 41.95604238088557, "max_drawdown_pct": 78.05595024482477, "mean_exposure_while_solvent": 0.9294539877709569, "realized_annual_volatility_pct": 63.58611675134207, "trading_costs_quote_units": 593.5632748945782, "borrowing_costs_quote_units": 1870.003313274597, "price_pnl_quote_units": 33065.44283588917, "turnover_quote_units": 989272.1248242962, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 40601.87624772001, "return_pct": 306.0187624772, "cagr_pct": 41.95604238088557, "max_drawdown_pct": 78.05595024482477, "mean_exposure_while_solvent": 0.9294539877709569, "realized_annual_volatility_pct": 63.58611675134207, "trading_costs_quote_units": 593.5632748945782, "borrowing_costs_quote_units": 1870.003313274597, "price_pnl_quote_units": 33065.44283588917, "turnover_quote_units": 989272.1248242962, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 40601.87624772001, "return_pct": 306.0187624772, "cagr_pct": 41.95604238088557, "max_drawdown_pct": 78.05595024482477, "mean_exposure_while_solvent": 0.9294539877709569, "realized_annual_volatility_pct": 63.58611675134207, "trading_costs_quote_units": 593.5632748945782, "borrowing_costs_quote_units": 1870.003313274597, "price_pnl_quote_units": 33065.44283588917, "turnover_quote_units": 989272.1248242962, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37408.40294218766, "return_pct": 274.0840294218766, "cagr_pct": 39.07806330583469, "max_drawdown_pct": 65.32081466078613, "mean_exposure_while_solvent": 0.749871862284021, "realized_annual_volatility_pct": 53.82989278764661, "trading_costs_quote_units": 197.5716101803001, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27605.974552367643, "turnover_quote_units": 329286.016967167, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37408.40294218766, "return_pct": 274.0840294218766, "cagr_pct": 39.07806330583469, "max_drawdown_pct": 65.32081466078613, "mean_exposure_while_solvent": 0.749871862284021, "realized_annual_volatility_pct": 53.82989278764661, "trading_costs_quote_units": 197.5716101803001, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27605.974552367643, "turnover_quote_units": 329286.016967167, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44903.84183328282, "return_pct": 349.0384183328282, "cagr_pct": 45.57589862641942, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9996577686516085, "realized_annual_volatility_pct": 71.92226626548374, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34909.83823544141, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44903.84183328282, "return_pct": 349.0384183328282, "cagr_pct": 45.57589862641942, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9996577686516085, "realized_annual_volatility_pct": 71.92226626548374, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34909.83823544141, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38197.111908931096, "return_pct": 281.97111908931095, "cagr_pct": 39.80549217730613, "max_drawdown_pct": 86.2756597301531, "mean_exposure_while_solvent": 1.2495296481406362, "realized_annual_volatility_pct": 90.15258891025299, "trading_costs_quote_units": 609.9780135980106, "borrowing_costs_quote_units": 15500.720099873692, "price_pnl_quote_units": 44307.81002240279, "turnover_quote_units": 1016630.022663353, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38197.111908931096, "return_pct": 281.97111908931095, "cagr_pct": 39.80549217730613, "max_drawdown_pct": 86.2756597301531, "mean_exposure_while_solvent": 1.2495296481406362, "realized_annual_volatility_pct": 90.15258891025299, "trading_costs_quote_units": 609.9780135980106, "borrowing_costs_quote_units": 15500.720099873692, "price_pnl_quote_units": 44307.81002240279, "turnover_quote_units": 1016630.022663353, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28289.582588076046, "return_pct": 182.89582588076047, "cagr_pct": 29.69388995822044, "max_drawdown_pct": 92.68950060274182, "mean_exposure_while_solvent": 1.4995062019498346, "realized_annual_volatility_pct": 108.55495618608435, "trading_costs_quote_units": 1677.8450673177665, "borrowing_costs_quote_units": 35083.320681351426, "price_pnl_quote_units": 55050.7483367459, "turnover_quote_units": 2796408.4455296122, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28289.582588076046, "return_pct": 182.89582588076047, "cagr_pct": 29.69388995822044, "max_drawdown_pct": 92.68950060274182, "mean_exposure_while_solvent": 1.4995062019498346, "realized_annual_volatility_pct": 108.55495618608435, "trading_costs_quote_units": 1677.8450673177665, "borrowing_costs_quote_units": 35083.320681351426, "price_pnl_quote_units": 55050.7483367459, "turnover_quote_units": 2796408.4455296122, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34280.4367682869, "return_pct": 242.80436768286899, "cagr_pct": 36.07453143999975, "max_drawdown_pct": 67.18142604094979, "mean_exposure_while_solvent": 0.6600571891135173, "realized_annual_volatility_pct": 43.73915859529601, "trading_costs_quote_units": 3097.4704302346645, "borrowing_costs_quote_units": 104.11020137944139, "price_pnl_quote_units": 27482.01739990143, "turnover_quote_units": 1032490.1434115539, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34280.4367682869, "return_pct": 242.80436768286899, "cagr_pct": 36.07453143999975, "max_drawdown_pct": 67.18142604094979, "mean_exposure_while_solvent": 0.6600571891135173, "realized_annual_volatility_pct": 43.73915859529601, "trading_costs_quote_units": 3097.4704302346645, "borrowing_costs_quote_units": 104.11020137944139, "price_pnl_quote_units": 27482.01739990143, "turnover_quote_units": 1032490.1434115539, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34885.86739537085, "return_pct": 248.85867395370852, "cagr_pct": 36.67146797349458, "max_drawdown_pct": 81.822213321991, "mean_exposure_while_solvent": 0.9613950787443934, "realized_annual_volatility_pct": 64.17999436760248, "trading_costs_quote_units": 5225.089498408942, "borrowing_costs_quote_units": 681.7926511164558, "price_pnl_quote_units": 30792.749544896164, "turnover_quote_units": 1741696.4994696472, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34885.86739537085, "return_pct": 248.85867395370852, "cagr_pct": 36.67146797349458, "max_drawdown_pct": 81.822213321991, "mean_exposure_while_solvent": 0.9613950787443934, "realized_annual_volatility_pct": 64.17999436760248, "trading_costs_quote_units": 5225.089498408942, "borrowing_costs_quote_units": 681.7926511164558, "price_pnl_quote_units": 30792.749544896164, "turnover_quote_units": 1741696.4994696472, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29107.496409550033, "return_pct": 191.07496409550032, "cagr_pct": 30.621434141996733, "max_drawdown_pct": 89.39693064771957, "mean_exposure_while_solvent": 1.2071355978696479, "realized_annual_volatility_pct": 82.73567990595218, "trading_costs_quote_units": 7211.730941324951, "borrowing_costs_quote_units": 2899.135880688564, "price_pnl_quote_units": 29218.363231563617, "turnover_quote_units": 2403910.3137749895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29107.496409550033, "return_pct": 191.07496409550032, "cagr_pct": 30.621434141996733, "max_drawdown_pct": 89.39693064771957, "mean_exposure_while_solvent": 1.2071355978696479, "realized_annual_volatility_pct": 82.73567990595218, "trading_costs_quote_units": 7211.730941324951, "borrowing_costs_quote_units": 2899.135880688564, "price_pnl_quote_units": 29218.363231563617, "turnover_quote_units": 2403910.3137749895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25581.396069285824, "return_pct": 155.81396069285822, "cagr_pct": 26.471507571123926, "max_drawdown_pct": 82.2052446310441, "mean_exposure_while_solvent": 1.0023422116952077, "realized_annual_volatility_pct": 65.34808130167387, "trading_costs_quote_units": 7602.175937530593, "borrowing_costs_quote_units": 826.1220243380229, "price_pnl_quote_units": 24009.694031154413, "turnover_quote_units": 2534058.6458435343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25581.396069285824, "return_pct": 155.81396069285822, "cagr_pct": 26.471507571123926, "max_drawdown_pct": 82.2052446310441, "mean_exposure_while_solvent": 1.0023422116952077, "realized_annual_volatility_pct": 65.34808130167387, "trading_costs_quote_units": 7602.175937530593, "borrowing_costs_quote_units": 826.1220243380229, "price_pnl_quote_units": 24009.694031154413, "turnover_quote_units": 2534058.6458435343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39125.66694684057, "return_pct": 291.2566694684057, "cagr_pct": 40.64760360889225, "max_drawdown_pct": 78.31191966034079, "mean_exposure_while_solvent": 0.9298013864259772, "realized_annual_volatility_pct": 63.662650935280006, "trading_costs_quote_units": 2824.809872865448, "borrowing_costs_quote_units": 459.913120359685, "price_pnl_quote_units": 32410.389940065106, "turnover_quote_units": 941603.2909551519, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39125.66694684057, "return_pct": 291.2566694684057, "cagr_pct": 40.64760360889225, "max_drawdown_pct": 78.31191966034079, "mean_exposure_while_solvent": 0.9298013864259772, "realized_annual_volatility_pct": 63.662650935280006, "trading_costs_quote_units": 2824.809872865448, "borrowing_costs_quote_units": 459.913120359685, "price_pnl_quote_units": 32410.389940065106, "turnover_quote_units": 941603.2909551519, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31706.880749876378, "return_pct": 217.06880749876376, "cagr_pct": 33.44511306344427, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.8649945232716407, "realized_annual_volatility_pct": 58.80524154613334, "trading_costs_quote_units": 2416.245066091425, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24123.125815967753, "turnover_quote_units": 805415.0220304758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31706.880749876378, "return_pct": 217.06880749876376, "cagr_pct": 33.44511306344427, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.8649945232716407, "realized_annual_volatility_pct": 58.80524154613334, "trading_costs_quote_units": 2416.245066091425, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24123.125815967753, "turnover_quote_units": 805415.0220304758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39125.66694684057, "return_pct": 291.2566694684057, "cagr_pct": 40.64760360889225, "max_drawdown_pct": 78.31191966034079, "mean_exposure_while_solvent": 0.9298013864259772, "realized_annual_volatility_pct": 63.662650935280006, "trading_costs_quote_units": 2824.809872865448, "borrowing_costs_quote_units": 459.913120359685, "price_pnl_quote_units": 32410.389940065106, "turnover_quote_units": 941603.2909551519, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39125.66694684057, "return_pct": 291.2566694684057, "cagr_pct": 40.64760360889225, "max_drawdown_pct": 78.31191966034079, "mean_exposure_while_solvent": 0.9298013864259772, "realized_annual_volatility_pct": 63.662650935280006, "trading_costs_quote_units": 2824.809872865448, "borrowing_costs_quote_units": 459.913120359685, "price_pnl_quote_units": 32410.389940065106, "turnover_quote_units": 941603.2909551519, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39125.66694684057, "return_pct": 291.2566694684057, "cagr_pct": 40.64760360889225, "max_drawdown_pct": 78.31191966034079, "mean_exposure_while_solvent": 0.9298013864259772, "realized_annual_volatility_pct": 63.662650935280006, "trading_costs_quote_units": 2824.809872865448, "borrowing_costs_quote_units": 459.913120359685, "price_pnl_quote_units": 32410.389940065106, "turnover_quote_units": 941603.2909551519, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39125.66694684057, "return_pct": 291.2566694684057, "cagr_pct": 40.64760360889225, "max_drawdown_pct": 78.31191966034079, "mean_exposure_while_solvent": 0.9298013864259772, "realized_annual_volatility_pct": 63.662650935280006, "trading_costs_quote_units": 2824.809872865448, "borrowing_costs_quote_units": 459.913120359685, "price_pnl_quote_units": 32410.389940065106, "turnover_quote_units": 941603.2909551519, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36642.42165486171, "return_pct": 266.4242165486171, "cagr_pct": 38.3605017429146, "max_drawdown_pct": 65.58997961954007, "mean_exposure_while_solvent": 0.7499855831207652, "realized_annual_volatility_pct": 53.72982720220616, "trading_costs_quote_units": 967.6706263345334, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27610.092281196055, "turnover_quote_units": 322556.87544484483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36642.42165486171, "return_pct": 266.4242165486171, "cagr_pct": 38.3605017429146, "max_drawdown_pct": 65.58997961954007, "mean_exposure_while_solvent": 0.7499855831207652, "realized_annual_volatility_pct": 53.72982720220616, "trading_costs_quote_units": 967.6706263345334, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27610.092281196055, "turnover_quote_units": 322556.87544484483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 44520.0106922251, "return_pct": 345.20010692225094, "cagr_pct": 45.26377077109623, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998859228838695, "realized_annual_volatility_pct": 71.92317106982806, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34549.92096141793, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 44520.0106922251, "return_pct": 345.20010692225094, "cagr_pct": 45.26377077109623, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998859228838695, "realized_annual_volatility_pct": 71.92317106982806, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34549.92096141793, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 42427.35599587186, "return_pct": 324.2735599587186, "cagr_pct": 43.52560759705999, "max_drawdown_pct": 85.56891043417242, "mean_exposure_while_solvent": 1.2498506023096854, "realized_annual_volatility_pct": 90.39251560732508, "trading_costs_quote_units": 3128.365873067684, "borrowing_costs_quote_units": 4085.6848899994175, "price_pnl_quote_units": 39641.40675893904, "turnover_quote_units": 1042788.6243558973, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 42427.35599587186, "return_pct": 324.2735599587186, "cagr_pct": 43.52560759705999, "max_drawdown_pct": 85.56891043417242, "mean_exposure_while_solvent": 1.2498506023096854, "realized_annual_volatility_pct": 90.39251560732508, "trading_costs_quote_units": 3128.365873067684, "borrowing_costs_quote_units": 4085.6848899994175, "price_pnl_quote_units": 39641.40675893904, "turnover_quote_units": 1042788.6243558973, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34673.293291394875, "return_pct": 246.73293291394876, "cagr_pct": 36.462767715572994, "max_drawdown_pct": 91.83933365125647, "mean_exposure_while_solvent": 1.499931402796653, "realized_annual_volatility_pct": 109.28696898651526, "trading_costs_quote_units": 8935.183228494105, "borrowing_costs_quote_units": 9680.075957448484, "price_pnl_quote_units": 43288.55247733824, "turnover_quote_units": 2978394.409498037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34673.293291394875, "return_pct": 246.73293291394876, "cagr_pct": 36.462767715572994, "max_drawdown_pct": 91.83933365125647, "mean_exposure_while_solvent": 1.499931402796653, "realized_annual_volatility_pct": 109.28696898651526, "trading_costs_quote_units": 8935.183228494105, "borrowing_costs_quote_units": 9680.075957448484, "price_pnl_quote_units": 43288.55247733824, "turnover_quote_units": 2978394.409498037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34151.2222888744, "return_pct": 241.512222888744, "cagr_pct": 35.94610749465457, "max_drawdown_pct": 67.19599325749981, "mean_exposure_while_solvent": 0.6600586328722304, "realized_annual_volatility_pct": 43.7389224794304, "trading_costs_quote_units": 3090.760660062623, "borrowing_costs_quote_units": 207.76764473751905, "price_pnl_quote_units": 27449.75059367434, "turnover_quote_units": 1030253.5533542087, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34151.2222888744, "return_pct": 241.512222888744, "cagr_pct": 35.94610749465457, "max_drawdown_pct": 67.19599325749981, "mean_exposure_while_solvent": 0.6600586328722304, "realized_annual_volatility_pct": 43.7389224794304, "trading_costs_quote_units": 3090.760660062623, "borrowing_costs_quote_units": 207.76764473751905, "price_pnl_quote_units": 27449.75059367434, "turnover_quote_units": 1030253.5533542087, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34221.27237774891, "return_pct": 242.2127237774891, "cagr_pct": 36.015774156111895, "max_drawdown_pct": 81.88563982801037, "mean_exposure_while_solvent": 0.9614025730270308, "realized_annual_volatility_pct": 64.18044483472812, "trading_costs_quote_units": 5159.629148765522, "borrowing_costs_quote_units": 1347.5792529886837, "price_pnl_quote_units": 30728.480779503712, "turnover_quote_units": 1719876.3829218394, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34221.27237774891, "return_pct": 242.2127237774891, "cagr_pct": 36.015774156111895, "max_drawdown_pct": 81.88563982801037, "mean_exposure_while_solvent": 0.9614025730270308, "realized_annual_volatility_pct": 64.18044483472812, "trading_costs_quote_units": 5159.629148765522, "borrowing_costs_quote_units": 1347.5792529886837, "price_pnl_quote_units": 30728.480779503712, "turnover_quote_units": 1719876.3829218394, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27673.35452289542, "return_pct": 176.7335452289542, "cagr_pct": 28.98168922710349, "max_drawdown_pct": 89.54299108330125, "mean_exposure_while_solvent": 1.2071558762930839, "realized_annual_volatility_pct": 82.73811038859894, "trading_costs_quote_units": 6990.739628666537, "borrowing_costs_quote_units": 5620.022544765278, "price_pnl_quote_units": 30284.11669632735, "turnover_quote_units": 2330246.5428888467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27673.35452289542, "return_pct": 176.7335452289542, "cagr_pct": 28.98168922710349, "max_drawdown_pct": 89.54299108330125, "mean_exposure_while_solvent": 1.2071558762930839, "realized_annual_volatility_pct": 82.73811038859894, "trading_costs_quote_units": 6990.739628666537, "borrowing_costs_quote_units": 5620.022544765278, "price_pnl_quote_units": 30284.11669632735, "turnover_quote_units": 2330246.5428888467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24910.68730222014, "return_pct": 149.10687302220137, "cagr_pct": 25.634158001465522, "max_drawdown_pct": 82.29815728551596, "mean_exposure_while_solvent": 1.002352859836216, "realized_annual_volatility_pct": 65.34900910242017, "trading_costs_quote_units": 7478.75923735883, "borrowing_costs_quote_units": 1626.2802706091543, "price_pnl_quote_units": 24015.726810188018, "turnover_quote_units": 2492919.745786281, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24910.68730222014, "return_pct": 149.10687302220137, "cagr_pct": 25.634158001465522, "max_drawdown_pct": 82.29815728551596, "mean_exposure_while_solvent": 1.002352859836216, "realized_annual_volatility_pct": 65.34900910242017, "trading_costs_quote_units": 7478.75923735883, "borrowing_costs_quote_units": 1626.2802706091543, "price_pnl_quote_units": 24015.726810188018, "turnover_quote_units": 2492919.745786281, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 38536.95469436179, "return_pct": 285.3695469436179, "cagr_pct": 40.11546060777038, "max_drawdown_pct": 78.34227437977115, "mean_exposure_while_solvent": 0.9298071258752959, "realized_annual_volatility_pct": 63.6629036230509, "trading_costs_quote_units": 2794.4455223651394, "borrowing_costs_quote_units": 911.5125686264005, "price_pnl_quote_units": 32242.912785353546, "turnover_quote_units": 931481.8407883814, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 38536.95469436179, "return_pct": 285.3695469436179, "cagr_pct": 40.11546060777038, "max_drawdown_pct": 78.34227437977115, "mean_exposure_while_solvent": 0.9298071258752959, "realized_annual_volatility_pct": 63.6629036230509, "trading_costs_quote_units": 2794.4455223651394, "borrowing_costs_quote_units": 911.5125686264005, "price_pnl_quote_units": 32242.912785353546, "turnover_quote_units": 931481.8407883814, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31706.880749876378, "return_pct": 217.06880749876376, "cagr_pct": 33.44511306344427, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.8649945232716407, "realized_annual_volatility_pct": 58.80524154613334, "trading_costs_quote_units": 2416.245066091425, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24123.125815967753, "turnover_quote_units": 805415.0220304758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31706.880749876378, "return_pct": 217.06880749876376, "cagr_pct": 33.44511306344427, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.8649945232716407, "realized_annual_volatility_pct": 58.80524154613334, "trading_costs_quote_units": 2416.245066091425, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24123.125815967753, "turnover_quote_units": 805415.0220304758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 38536.95469436179, "return_pct": 285.3695469436179, "cagr_pct": 40.11546060777038, "max_drawdown_pct": 78.34227437977115, "mean_exposure_while_solvent": 0.9298071258752959, "realized_annual_volatility_pct": 63.6629036230509, "trading_costs_quote_units": 2794.4455223651394, "borrowing_costs_quote_units": 911.5125686264005, "price_pnl_quote_units": 32242.912785353546, "turnover_quote_units": 931481.8407883814, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 38536.95469436179, "return_pct": 285.3695469436179, "cagr_pct": 40.11546060777038, "max_drawdown_pct": 78.34227437977115, "mean_exposure_while_solvent": 0.9298071258752959, "realized_annual_volatility_pct": 63.6629036230509, "trading_costs_quote_units": 2794.4455223651394, "borrowing_costs_quote_units": 911.5125686264005, "price_pnl_quote_units": 32242.912785353546, "turnover_quote_units": 931481.8407883814, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 38536.95469436179, "return_pct": 285.3695469436179, "cagr_pct": 40.11546060777038, "max_drawdown_pct": 78.34227437977115, "mean_exposure_while_solvent": 0.9298071258752959, "realized_annual_volatility_pct": 63.6629036230509, "trading_costs_quote_units": 2794.4455223651394, "borrowing_costs_quote_units": 911.5125686264005, "price_pnl_quote_units": 32242.912785353546, "turnover_quote_units": 931481.8407883814, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 38536.95469436179, "return_pct": 285.3695469436179, "cagr_pct": 40.11546060777038, "max_drawdown_pct": 78.34227437977115, "mean_exposure_while_solvent": 0.9298071258752959, "realized_annual_volatility_pct": 63.6629036230509, "trading_costs_quote_units": 2794.4455223651394, "borrowing_costs_quote_units": 911.5125686264005, "price_pnl_quote_units": 32242.912785353546, "turnover_quote_units": 931481.8407883814, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36642.42165486171, "return_pct": 266.4242165486171, "cagr_pct": 38.3605017429146, "max_drawdown_pct": 65.58997961954007, "mean_exposure_while_solvent": 0.7499855831207652, "realized_annual_volatility_pct": 53.72982720220616, "trading_costs_quote_units": 967.6706263345334, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27610.092281196055, "turnover_quote_units": 322556.87544484483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36642.42165486171, "return_pct": 266.4242165486171, "cagr_pct": 38.3605017429146, "max_drawdown_pct": 65.58997961954007, "mean_exposure_while_solvent": 0.7499855831207652, "realized_annual_volatility_pct": 53.72982720220616, "trading_costs_quote_units": 967.6706263345334, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27610.092281196055, "turnover_quote_units": 322556.87544484483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44520.0106922251, "return_pct": 345.20010692225094, "cagr_pct": 45.26377077109623, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998859228838695, "realized_annual_volatility_pct": 71.92317106982806, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34549.92096141793, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44520.0106922251, "return_pct": 345.20010692225094, "cagr_pct": 45.26377077109623, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998859228838695, "realized_annual_volatility_pct": 71.92317106982806, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34549.92096141793, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40358.007739991925, "return_pct": 303.5800773999193, "cagr_pct": 41.74237730265665, "max_drawdown_pct": 85.78191742380984, "mean_exposure_while_solvent": 1.2498684256172874, "realized_annual_volatility_pct": 90.39448256328969, "trading_costs_quote_units": 3034.8810343796686, "borrowing_costs_quote_units": 7919.292834705425, "price_pnl_quote_units": 41312.18160907647, "turnover_quote_units": 1011627.0114598894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40358.007739991925, "return_pct": 303.5800773999193, "cagr_pct": 41.74237730265665, "max_drawdown_pct": 85.78191742380984, "mean_exposure_while_solvent": 1.2498684256172874, "realized_annual_volatility_pct": 90.39448256328969, "trading_costs_quote_units": 3034.8810343796686, "borrowing_costs_quote_units": 7919.292834705425, "price_pnl_quote_units": 41312.18160907647, "turnover_quote_units": 1011627.0114598894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31371.244308427442, "return_pct": 213.7124430842744, "cagr_pct": 33.0905128477866, "max_drawdown_pct": 92.16236359570242, "mean_exposure_while_solvent": 1.499974217677009, "realized_annual_volatility_pct": 109.29186309736927, "trading_costs_quote_units": 8411.060234088609, "borrowing_costs_quote_units": 18195.27435213414, "price_pnl_quote_units": 47977.57889465002, "turnover_quote_units": 2803686.744696206, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31371.244308427442, "return_pct": 213.7124430842744, "cagr_pct": 33.0905128477866, "max_drawdown_pct": 92.16236359570242, "mean_exposure_while_solvent": 1.499974217677009, "realized_annual_volatility_pct": 109.29186309736927, "trading_costs_quote_units": 8411.060234088609, "borrowing_costs_quote_units": 18195.27435213414, "price_pnl_quote_units": 47977.57889465002, "turnover_quote_units": 2803686.744696206, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33894.179931889215, "return_pct": 238.94179931889218, "cagr_pct": 35.68955031071082, "max_drawdown_pct": 67.22721743230107, "mean_exposure_while_solvent": 0.6600615209022996, "realized_annual_volatility_pct": 43.73845469841602, "trading_costs_quote_units": 3077.3901744037144, "borrowing_costs_quote_units": 413.7307543064099, "price_pnl_quote_units": 27385.30086060011, "turnover_quote_units": 1025796.724801238, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33894.179931889215, "return_pct": 238.94179931889218, "cagr_pct": 35.68955031071082, "max_drawdown_pct": 67.22721743230107, "mean_exposure_while_solvent": 0.6600615209022996, "realized_annual_volatility_pct": 43.73845469841602, "trading_costs_quote_units": 3077.3901744037144, "borrowing_costs_quote_units": 413.7307543064099, "price_pnl_quote_units": 27385.30086060011, "turnover_quote_units": 1025796.724801238, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32929.46322084235, "return_pct": 229.2946322084235, "cagr_pct": 34.713439810038, "max_drawdown_pct": 82.0118591388055, "mean_exposure_while_solvent": 0.9614175643833918, "realized_annual_volatility_pct": 64.18135940932017, "trading_costs_quote_units": 5031.405776725066, "borrowing_costs_quote_units": 2632.419577606702, "price_pnl_quote_units": 30593.288575174094, "turnover_quote_units": 1677135.2589083542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32929.46322084235, "return_pct": 229.2946322084235, "cagr_pct": 34.713439810038, "max_drawdown_pct": 82.0118591388055, "mean_exposure_while_solvent": 0.9614175643833918, "realized_annual_volatility_pct": 64.18135940932017, "trading_costs_quote_units": 5031.405776725066, "borrowing_costs_quote_units": 2632.419577606702, "price_pnl_quote_units": 30593.288575174094, "turnover_quote_units": 1677135.2589083542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25012.81956844714, "return_pct": 150.12819568447136, "cagr_pct": 25.76274822026508, "max_drawdown_pct": 89.82917404941655, "mean_exposure_while_solvent": 1.207196441118233, "realized_annual_volatility_pct": 82.74298952781524, "trading_costs_quote_units": 6570.678648191931, "borrowing_costs_quote_units": 10563.099868032896, "price_pnl_quote_units": 32146.598084672536, "turnover_quote_units": 2190226.2160639795, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25012.81956844714, "return_pct": 150.12819568447136, "cagr_pct": 25.76274822026508, "max_drawdown_pct": 89.82917404941655, "mean_exposure_while_solvent": 1.207196441118233, "realized_annual_volatility_pct": 82.74298952781524, "trading_costs_quote_units": 6570.678648191931, "borrowing_costs_quote_units": 10563.099868032896, "price_pnl_quote_units": 32146.598084672536, "turnover_quote_units": 2190226.2160639795, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23621.160284363985, "return_pct": 136.21160284363984, "cagr_pct": 23.975524447871944, "max_drawdown_pct": 82.48257322519872, "mean_exposure_while_solvent": 1.0023741602997545, "realized_annual_volatility_pct": 65.35088445826071, "trading_costs_quote_units": 7238.538859234773, "borrowing_costs_quote_units": 3151.511320269048, "price_pnl_quote_units": 24011.210463867956, "turnover_quote_units": 2412846.2864115895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23621.160284363985, "return_pct": 136.21160284363984, "cagr_pct": 23.975524447871944, "max_drawdown_pct": 82.48257322519872, "mean_exposure_while_solvent": 1.0023741602997545, "realized_annual_volatility_pct": 65.35088445826071, "trading_costs_quote_units": 7238.538859234773, "borrowing_costs_quote_units": 3151.511320269048, "price_pnl_quote_units": 24011.210463867956, "turnover_quote_units": 2412846.2864115895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37385.63974189772, "return_pct": 273.8563974189772, "cagr_pct": 39.056898637718696, "max_drawdown_pct": 78.40286875795879, "mean_exposure_while_solvent": 0.9298186067955906, "realized_annual_volatility_pct": 63.66341966659185, "trading_costs_quote_units": 2734.810212641747, "borrowing_costs_quote_units": 1790.2979091598363, "price_pnl_quote_units": 31910.74786369986, "turnover_quote_units": 911603.4042139166, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37385.63974189772, "return_pct": 273.8563974189772, "cagr_pct": 39.056898637718696, "max_drawdown_pct": 78.40286875795879, "mean_exposure_while_solvent": 0.9298186067955906, "realized_annual_volatility_pct": 63.66341966659185, "trading_costs_quote_units": 2734.810212641747, "borrowing_costs_quote_units": 1790.2979091598363, "price_pnl_quote_units": 31910.74786369986, "turnover_quote_units": 911603.4042139166, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31706.880749876378, "return_pct": 217.06880749876376, "cagr_pct": 33.44511306344427, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.8649945232716407, "realized_annual_volatility_pct": 58.80524154613334, "trading_costs_quote_units": 2416.245066091425, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24123.125815967753, "turnover_quote_units": 805415.0220304758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31706.880749876378, "return_pct": 217.06880749876376, "cagr_pct": 33.44511306344427, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.8649945232716407, "realized_annual_volatility_pct": 58.80524154613334, "trading_costs_quote_units": 2416.245066091425, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24123.125815967753, "turnover_quote_units": 805415.0220304758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37385.63974189772, "return_pct": 273.8563974189772, "cagr_pct": 39.056898637718696, "max_drawdown_pct": 78.40286875795879, "mean_exposure_while_solvent": 0.9298186067955906, "realized_annual_volatility_pct": 63.66341966659185, "trading_costs_quote_units": 2734.810212641747, "borrowing_costs_quote_units": 1790.2979091598363, "price_pnl_quote_units": 31910.74786369986, "turnover_quote_units": 911603.4042139166, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37385.63974189772, "return_pct": 273.8563974189772, "cagr_pct": 39.056898637718696, "max_drawdown_pct": 78.40286875795879, "mean_exposure_while_solvent": 0.9298186067955906, "realized_annual_volatility_pct": 63.66341966659185, "trading_costs_quote_units": 2734.810212641747, "borrowing_costs_quote_units": 1790.2979091598363, "price_pnl_quote_units": 31910.74786369986, "turnover_quote_units": 911603.4042139166, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37385.63974189772, "return_pct": 273.8563974189772, "cagr_pct": 39.056898637718696, "max_drawdown_pct": 78.40286875795879, "mean_exposure_while_solvent": 0.9298186067955906, "realized_annual_volatility_pct": 63.66341966659185, "trading_costs_quote_units": 2734.810212641747, "borrowing_costs_quote_units": 1790.2979091598363, "price_pnl_quote_units": 31910.74786369986, "turnover_quote_units": 911603.4042139166, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37385.63974189772, "return_pct": 273.8563974189772, "cagr_pct": 39.056898637718696, "max_drawdown_pct": 78.40286875795879, "mean_exposure_while_solvent": 0.9298186067955906, "realized_annual_volatility_pct": 63.66341966659185, "trading_costs_quote_units": 2734.810212641747, "borrowing_costs_quote_units": 1790.2979091598363, "price_pnl_quote_units": 31910.74786369986, "turnover_quote_units": 911603.4042139166, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36642.42165486171, "return_pct": 266.4242165486171, "cagr_pct": 38.3605017429146, "max_drawdown_pct": 65.58997961954007, "mean_exposure_while_solvent": 0.7499855831207652, "realized_annual_volatility_pct": 53.72982720220616, "trading_costs_quote_units": 967.6706263345334, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27610.092281196055, "turnover_quote_units": 322556.87544484483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36642.42165486171, "return_pct": 266.4242165486171, "cagr_pct": 38.3605017429146, "max_drawdown_pct": 65.58997961954007, "mean_exposure_while_solvent": 0.7499855831207652, "realized_annual_volatility_pct": 53.72982720220616, "trading_costs_quote_units": 967.6706263345334, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27610.092281196055, "turnover_quote_units": 322556.87544484483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 44520.0106922251, "return_pct": 345.20010692225094, "cagr_pct": 45.26377077109623, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998859228838695, "realized_annual_volatility_pct": 71.92317106982806, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34549.92096141793, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 44520.0106922251, "return_pct": 345.20010692225094, "cagr_pct": 45.26377077109623, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998859228838695, "realized_annual_volatility_pct": 71.92317106982806, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34549.92096141793, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36516.21150744181, "return_pct": 265.1621150744181, "cagr_pct": 38.241192665947835, "max_drawdown_pct": 86.34400445150453, "mean_exposure_while_solvent": 1.2499040777261217, "realized_annual_volatility_pct": 90.39841753118918, "trading_costs_quote_units": 2857.2775839349947, "borrowing_costs_quote_units": 14880.64234995333, "price_pnl_quote_units": 44254.131441330675, "turnover_quote_units": 952425.8613116657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36516.21150744181, "return_pct": 265.1621150744181, "cagr_pct": 38.241192665947835, "max_drawdown_pct": 86.34400445150453, "mean_exposure_while_solvent": 1.2499040777261217, "realized_annual_volatility_pct": 90.39841753118918, "trading_costs_quote_units": 2857.2775839349947, "borrowing_costs_quote_units": 14880.64234995333, "price_pnl_quote_units": 44254.131441330675, "turnover_quote_units": 952425.8613116657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25678.921985899873, "return_pct": 156.7892198589987, "cagr_pct": 26.591888619777055, "max_drawdown_pct": 92.77075896734954, "mean_exposure_while_solvent": 1.5000598660423743, "realized_annual_volatility_pct": 109.30165495747417, "trading_costs_quote_units": 7461.524064176654, "borrowing_costs_quote_units": 32176.72187022197, "price_pnl_quote_units": 55317.1679202996, "turnover_quote_units": 2487174.6880588843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25678.921985899873, "return_pct": 156.7892198589987, "cagr_pct": 26.591888619777055, "max_drawdown_pct": 92.77075896734954, "mean_exposure_while_solvent": 1.5000598660423743, "realized_annual_volatility_pct": 109.30165495747417, "trading_costs_quote_units": 7461.524064176654, "borrowing_costs_quote_units": 32176.72187022197, "price_pnl_quote_units": 55317.1679202996, "turnover_quote_units": 2487174.6880588843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34257.92149642993, "return_pct": 242.5792149642993, "cagr_pct": 36.05218006522987, "max_drawdown_pct": 67.17083032910726, "mean_exposure_while_solvent": 0.6597628925466847, "realized_annual_volatility_pct": 43.96479238643266, "trading_costs_quote_units": 3162.6581972949166, "borrowing_costs_quote_units": 102.18219868918703, "price_pnl_quote_units": 27522.761892413804, "turnover_quote_units": 1054219.399098304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34257.92149642993, "return_pct": 242.5792149642993, "cagr_pct": 36.05218006522987, "max_drawdown_pct": 67.17083032910726, "mean_exposure_while_solvent": 0.6597628925466847, "realized_annual_volatility_pct": 43.96479238643266, "trading_costs_quote_units": 3162.6581972949166, "borrowing_costs_quote_units": 102.18219868918703, "price_pnl_quote_units": 27522.761892413804, "turnover_quote_units": 1054219.399098304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36343.55398730452, "return_pct": 263.4355398730452, "cagr_pct": 38.077473972150294, "max_drawdown_pct": 81.71323681890941, "mean_exposure_while_solvent": 0.9609521962517772, "realized_annual_volatility_pct": 64.25916045807249, "trading_costs_quote_units": 5367.317063758051, "borrowing_costs_quote_units": 691.0870916589388, "price_pnl_quote_units": 32401.95814272162, "turnover_quote_units": 1789105.6879193536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36343.55398730452, "return_pct": 263.4355398730452, "cagr_pct": 38.077473972150294, "max_drawdown_pct": 81.71323681890941, "mean_exposure_while_solvent": 0.9609521962517772, "realized_annual_volatility_pct": 64.25916045807249, "trading_costs_quote_units": 5367.317063758051, "borrowing_costs_quote_units": 691.0870916589388, "price_pnl_quote_units": 32401.95814272162, "turnover_quote_units": 1789105.6879193536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30790.301824160517, "return_pct": 207.90301824160514, "cagr_pct": 32.46996370871751, "max_drawdown_pct": 89.43258267551441, "mean_exposure_while_solvent": 1.2065999359277826, "realized_annual_volatility_pct": 82.24747396398912, "trading_costs_quote_units": 7522.101717645806, "borrowing_costs_quote_units": 3016.466937309827, "price_pnl_quote_units": 31328.87047911641, "turnover_quote_units": 2507367.2392152683, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30790.301824160517, "return_pct": 207.90301824160514, "cagr_pct": 32.46996370871751, "max_drawdown_pct": 89.43258267551441, "mean_exposure_while_solvent": 1.2065999359277826, "realized_annual_volatility_pct": 82.24747396398912, "trading_costs_quote_units": 7522.101717645806, "borrowing_costs_quote_units": 3016.466937309827, "price_pnl_quote_units": 31328.87047911641, "turnover_quote_units": 2507367.2392152683, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25773.451362946522, "return_pct": 157.73451362946523, "cagr_pct": 26.708244092131267, "max_drawdown_pct": 82.59663119419635, "mean_exposure_while_solvent": 1.0019170962275468, "realized_annual_volatility_pct": 65.55376134670671, "trading_costs_quote_units": 7737.682662245654, "borrowing_costs_quote_units": 826.1982831498663, "price_pnl_quote_units": 24337.33230834216, "turnover_quote_units": 2579227.554081882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25773.451362946522, "return_pct": 157.73451362946523, "cagr_pct": 26.708244092131267, "max_drawdown_pct": 82.59663119419635, "mean_exposure_while_solvent": 1.0019170962275468, "realized_annual_volatility_pct": 65.55376134670671, "trading_costs_quote_units": 7737.682662245654, "borrowing_costs_quote_units": 826.1982831498663, "price_pnl_quote_units": 24337.33230834216, "turnover_quote_units": 2579227.554081882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 40630.460506767165, "return_pct": 306.3046050676717, "cagr_pct": 41.98102337136716, "max_drawdown_pct": 78.17315835790825, "mean_exposure_while_solvent": 0.929436818649445, "realized_annual_volatility_pct": 63.58724608168832, "trading_costs_quote_units": 2977.739545549407, "borrowing_costs_quote_units": 468.1854268296656, "price_pnl_quote_units": 34076.38547914634, "turnover_quote_units": 992579.848516468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 40630.460506767165, "return_pct": 306.3046050676717, "cagr_pct": 41.98102337136716, "max_drawdown_pct": 78.17315835790825, "mean_exposure_while_solvent": 0.929436818649445, "realized_annual_volatility_pct": 63.58724608168832, "trading_costs_quote_units": 2977.739545549407, "borrowing_costs_quote_units": 468.1854268296656, "price_pnl_quote_units": 34076.38547914634, "turnover_quote_units": 992579.848516468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32215.392351799695, "return_pct": 222.15392351799696, "cagr_pct": 33.97703042371083, "max_drawdown_pct": 77.34572994732758, "mean_exposure_while_solvent": 0.8647676934412305, "realized_annual_volatility_pct": 58.90557930447072, "trading_costs_quote_units": 2478.001389431015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24693.393741230706, "turnover_quote_units": 826000.4631436712, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32215.392351799695, "return_pct": 222.15392351799696, "cagr_pct": 33.97703042371083, "max_drawdown_pct": 77.34572994732758, "mean_exposure_while_solvent": 0.8647676934412305, "realized_annual_volatility_pct": 58.90557930447072, "trading_costs_quote_units": 2478.001389431015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24693.393741230706, "turnover_quote_units": 826000.4631436712, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 40630.460506767165, "return_pct": 306.3046050676717, "cagr_pct": 41.98102337136716, "max_drawdown_pct": 78.17315835790825, "mean_exposure_while_solvent": 0.929436818649445, "realized_annual_volatility_pct": 63.58724608168832, "trading_costs_quote_units": 2977.739545549407, "borrowing_costs_quote_units": 468.1854268296656, "price_pnl_quote_units": 34076.38547914634, "turnover_quote_units": 992579.848516468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 40630.460506767165, "return_pct": 306.3046050676717, "cagr_pct": 41.98102337136716, "max_drawdown_pct": 78.17315835790825, "mean_exposure_while_solvent": 0.929436818649445, "realized_annual_volatility_pct": 63.58724608168832, "trading_costs_quote_units": 2977.739545549407, "borrowing_costs_quote_units": 468.1854268296656, "price_pnl_quote_units": 34076.38547914634, "turnover_quote_units": 992579.848516468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 40630.460506767165, "return_pct": 306.3046050676717, "cagr_pct": 41.98102337136716, "max_drawdown_pct": 78.17315835790825, "mean_exposure_while_solvent": 0.929436818649445, "realized_annual_volatility_pct": 63.58724608168832, "trading_costs_quote_units": 2977.739545549407, "borrowing_costs_quote_units": 468.1854268296656, "price_pnl_quote_units": 34076.38547914634, "turnover_quote_units": 992579.848516468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 40630.460506767165, "return_pct": 306.3046050676717, "cagr_pct": 41.98102337136716, "max_drawdown_pct": 78.17315835790825, "mean_exposure_while_solvent": 0.929436818649445, "realized_annual_volatility_pct": 63.58724608168832, "trading_costs_quote_units": 2977.739545549407, "borrowing_costs_quote_units": 468.1854268296656, "price_pnl_quote_units": 34076.38547914634, "turnover_quote_units": 992579.848516468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36724.46156114183, "return_pct": 267.2446156114183, "cagr_pct": 38.43789058942655, "max_drawdown_pct": 65.47002531448975, "mean_exposure_while_solvent": 0.749871862284021, "realized_annual_volatility_pct": 53.831287910973046, "trading_costs_quote_units": 976.3895704201618, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27700.85113156202, "turnover_quote_units": 325463.1901400537, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36724.46156114183, "return_pct": 267.2446156114183, "cagr_pct": 38.43789058942655, "max_drawdown_pct": 65.47002531448975, "mean_exposure_while_solvent": 0.749871862284021, "realized_annual_volatility_pct": 53.831287910973046, "trading_costs_quote_units": 976.3895704201618, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27700.85113156202, "turnover_quote_units": 325463.1901400537, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44796.39495352222, "return_pct": 347.9639495352222, "cagr_pct": 45.48872614801132, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9996577686516085, "realized_annual_volatility_pct": 71.92243025868464, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34826.30522271427, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44796.39495352222, "return_pct": 347.9639495352222, "cagr_pct": 45.48872614801132, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9996577686516085, "realized_annual_volatility_pct": 71.92243025868464, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34826.30522271427, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 43031.309266151504, "return_pct": 330.31309266151504, "cagr_pct": 44.0337331599621, "max_drawdown_pct": 85.66173557190695, "mean_exposure_while_solvent": 1.2494762096736083, "realized_annual_volatility_pct": 90.15059095281156, "trading_costs_quote_units": 3275.6070236083497, "borrowing_costs_quote_units": 4169.811362111011, "price_pnl_quote_units": 40476.72765187103, "turnover_quote_units": 1091869.0078694497, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 43031.309266151504, "return_pct": 330.31309266151504, "cagr_pct": 44.0337331599621, "max_drawdown_pct": 85.66173557190695, "mean_exposure_while_solvent": 1.2494762096736083, "realized_annual_volatility_pct": 90.15059095281156, "trading_costs_quote_units": 3275.6070236083497, "borrowing_costs_quote_units": 4169.811362111011, "price_pnl_quote_units": 40476.72765187103, "turnover_quote_units": 1091869.0078694497, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35591.61308899155, "return_pct": 255.9161308899155, "cagr_pct": 37.357584119220824, "max_drawdown_pct": 91.98457007145396, "mean_exposure_while_solvent": 1.4993778476831163, "realized_annual_volatility_pct": 108.55096368595679, "trading_costs_quote_units": 9627.581360346918, "borrowing_costs_quote_units": 10090.970948371621, "price_pnl_quote_units": 45310.165397710465, "turnover_quote_units": 3209193.786782302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35591.61308899155, "return_pct": 255.9161308899155, "cagr_pct": 37.357584119220824, "max_drawdown_pct": 91.98457007145396, "mean_exposure_while_solvent": 1.4993778476831163, "realized_annual_volatility_pct": 108.55096368595679, "trading_costs_quote_units": 9627.581360346918, "borrowing_costs_quote_units": 10090.970948371621, "price_pnl_quote_units": 45310.165397710465, "turnover_quote_units": 3209193.786782302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34129.43730266899, "return_pct": 241.29437302668987, "cagr_pct": 35.9244199053941, "max_drawdown_pct": 67.18545583302364, "mean_exposure_while_solvent": 0.659764319718253, "realized_annual_volatility_pct": 43.96463966348645, "trading_costs_quote_units": 3155.821309013703, "borrowing_costs_quote_units": 203.92090251457805, "price_pnl_quote_units": 27489.179514197112, "turnover_quote_units": 1051940.4363379015, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34129.43730266899, "return_pct": 241.29437302668987, "cagr_pct": 35.9244199053941, "max_drawdown_pct": 67.18545583302364, "mean_exposure_while_solvent": 0.659764319718253, "realized_annual_volatility_pct": 43.96463966348645, "trading_costs_quote_units": 3155.821309013703, "borrowing_costs_quote_units": 203.92090251457805, "price_pnl_quote_units": 27489.179514197112, "turnover_quote_units": 1051940.4363379015, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35651.94080993767, "return_pct": 256.5194080993767, "cagr_pct": 37.41575901219226, "max_drawdown_pct": 81.77664795141044, "mean_exposure_while_solvent": 0.9609596590808536, "realized_annual_volatility_pct": 64.25952520127696, "trading_costs_quote_units": 5299.895991197035, "borrowing_costs_quote_units": 1365.846882625912, "price_pnl_quote_units": 32317.68368376036, "turnover_quote_units": 1766631.9970656782, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35651.94080993767, "return_pct": 256.5194080993767, "cagr_pct": 37.41575901219226, "max_drawdown_pct": 81.77664795141044, "mean_exposure_while_solvent": 0.9609596590808536, "realized_annual_volatility_pct": 64.25952520127696, "trading_costs_quote_units": 5299.895991197035, "borrowing_costs_quote_units": 1365.846882625912, "price_pnl_quote_units": 32317.68368376036, "turnover_quote_units": 1766631.9970656782, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29273.807841768292, "return_pct": 192.7380784176829, "cagr_pct": 30.807639790464155, "max_drawdown_pct": 89.57822763909233, "mean_exposure_while_solvent": 1.2066201722675807, "realized_annual_volatility_pct": 82.24950846934398, "trading_costs_quote_units": 7290.642764481456, "borrowing_costs_quote_units": 5846.439517984843, "price_pnl_quote_units": 32410.890124234855, "turnover_quote_units": 2430214.254827155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29273.807841768292, "return_pct": 192.7380784176829, "cagr_pct": 30.807639790464155, "max_drawdown_pct": 89.57822763909233, "mean_exposure_while_solvent": 1.2066201722675807, "realized_annual_volatility_pct": 82.24950846934398, "trading_costs_quote_units": 7290.642764481456, "borrowing_costs_quote_units": 5846.439517984843, "price_pnl_quote_units": 32410.890124234855, "turnover_quote_units": 2430214.254827155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25097.93476818283, "return_pct": 150.97934768182827, "cagr_pct": 25.869612514126285, "max_drawdown_pct": 82.68744893248056, "mean_exposure_while_solvent": 1.0019277169317526, "realized_annual_volatility_pct": 65.55465779063567, "trading_costs_quote_units": 7611.817381387196, "borrowing_costs_quote_units": 1626.3100094155625, "price_pnl_quote_units": 24336.062158985475, "turnover_quote_units": 2537272.4604624026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25097.93476818283, "return_pct": 150.97934768182827, "cagr_pct": 25.869612514126285, "max_drawdown_pct": 82.68744893248056, "mean_exposure_while_solvent": 1.0019277169317526, "realized_annual_volatility_pct": 65.55465779063567, "trading_costs_quote_units": 7611.817381387196, "borrowing_costs_quote_units": 1626.3100094155625, "price_pnl_quote_units": 24336.062158985475, "turnover_quote_units": 2537272.4604624026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40019.44139228065, "return_pct": 300.19441392280646, "cagr_pct": 41.44413167087259, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 0.9294425410187837, "realized_annual_volatility_pct": 63.587459261463664, "trading_costs_quote_units": 2945.5710550160975, "borrowing_costs_quote_units": 927.8666180502294, "price_pnl_quote_units": 33892.87906534675, "turnover_quote_units": 981857.0183386992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40019.44139228065, "return_pct": 300.19441392280646, "cagr_pct": 41.44413167087259, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 0.9294425410187837, "realized_annual_volatility_pct": 63.587459261463664, "trading_costs_quote_units": 2945.5710550160975, "borrowing_costs_quote_units": 927.8666180502294, "price_pnl_quote_units": 33892.87906534675, "turnover_quote_units": 981857.0183386992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32215.392351799695, "return_pct": 222.15392351799696, "cagr_pct": 33.97703042371083, "max_drawdown_pct": 77.34572994732758, "mean_exposure_while_solvent": 0.8647676934412305, "realized_annual_volatility_pct": 58.90557930447072, "trading_costs_quote_units": 2478.001389431015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24693.393741230706, "turnover_quote_units": 826000.4631436712, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32215.392351799695, "return_pct": 222.15392351799696, "cagr_pct": 33.97703042371083, "max_drawdown_pct": 77.34572994732758, "mean_exposure_while_solvent": 0.8647676934412305, "realized_annual_volatility_pct": 58.90557930447072, "trading_costs_quote_units": 2478.001389431015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24693.393741230706, "turnover_quote_units": 826000.4631436712, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40019.44139228065, "return_pct": 300.19441392280646, "cagr_pct": 41.44413167087259, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 0.9294425410187837, "realized_annual_volatility_pct": 63.587459261463664, "trading_costs_quote_units": 2945.5710550160975, "borrowing_costs_quote_units": 927.8666180502294, "price_pnl_quote_units": 33892.87906534675, "turnover_quote_units": 981857.0183386992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40019.44139228065, "return_pct": 300.19441392280646, "cagr_pct": 41.44413167087259, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 0.9294425410187837, "realized_annual_volatility_pct": 63.587459261463664, "trading_costs_quote_units": 2945.5710550160975, "borrowing_costs_quote_units": 927.8666180502294, "price_pnl_quote_units": 33892.87906534675, "turnover_quote_units": 981857.0183386992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40019.44139228065, "return_pct": 300.19441392280646, "cagr_pct": 41.44413167087259, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 0.9294425410187837, "realized_annual_volatility_pct": 63.587459261463664, "trading_costs_quote_units": 2945.5710550160975, "borrowing_costs_quote_units": 927.8666180502294, "price_pnl_quote_units": 33892.87906534675, "turnover_quote_units": 981857.0183386992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40019.44139228065, "return_pct": 300.19441392280646, "cagr_pct": 41.44413167087259, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 0.9294425410187837, "realized_annual_volatility_pct": 63.587459261463664, "trading_costs_quote_units": 2945.5710550160975, "borrowing_costs_quote_units": 927.8666180502294, "price_pnl_quote_units": 33892.87906534675, "turnover_quote_units": 981857.0183386992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36724.46156114183, "return_pct": 267.2446156114183, "cagr_pct": 38.43789058942655, "max_drawdown_pct": 65.47002531448975, "mean_exposure_while_solvent": 0.749871862284021, "realized_annual_volatility_pct": 53.831287910973046, "trading_costs_quote_units": 976.3895704201618, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27700.85113156202, "turnover_quote_units": 325463.1901400537, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36724.46156114183, "return_pct": 267.2446156114183, "cagr_pct": 38.43789058942655, "max_drawdown_pct": 65.47002531448975, "mean_exposure_while_solvent": 0.749871862284021, "realized_annual_volatility_pct": 53.831287910973046, "trading_costs_quote_units": 976.3895704201618, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27700.85113156202, "turnover_quote_units": 325463.1901400537, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 44796.39495352222, "return_pct": 347.9639495352222, "cagr_pct": 45.48872614801132, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9996577686516085, "realized_annual_volatility_pct": 71.92243025868464, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34826.30522271427, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 44796.39495352222, "return_pct": 347.9639495352222, "cagr_pct": 45.48872614801132, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9996577686516085, "realized_annual_volatility_pct": 71.92243025868464, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34826.30522271427, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40932.784149702595, "return_pct": 309.327841497026, "cagr_pct": 42.24443322075946, "max_drawdown_pct": 85.88243503515488, "mean_exposure_while_solvent": 1.2494940206659801, "realized_annual_volatility_pct": 90.15235210151775, "trading_costs_quote_units": 3177.2381560026747, "borrowing_costs_quote_units": 8082.638711163103, "price_pnl_quote_units": 42192.66101686841, "turnover_quote_units": 1059079.385334224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40932.784149702595, "return_pct": 309.327841497026, "cagr_pct": 42.24443322075946, "max_drawdown_pct": 85.88243503515488, "mean_exposure_while_solvent": 1.2494940206659801, "realized_annual_volatility_pct": 90.15235210151775, "trading_costs_quote_units": 3177.2381560026747, "borrowing_costs_quote_units": 8082.638711163103, "price_pnl_quote_units": 42192.66101686841, "turnover_quote_units": 1059079.385334224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32202.55645869796, "return_pct": 222.0255645869796, "cagr_pct": 33.963681462640956, "max_drawdown_pct": 92.30196192343833, "mean_exposure_while_solvent": 1.4994206262441614, "realized_annual_volatility_pct": 108.55525327546702, "trading_costs_quote_units": 9060.57176087976, "borrowing_costs_quote_units": 18970.273107973346, "price_pnl_quote_units": 50233.40132754871, "turnover_quote_units": 3020190.5869599194, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32202.55645869796, "return_pct": 222.0255645869796, "cagr_pct": 33.963681462640956, "max_drawdown_pct": 92.30196192343833, "mean_exposure_while_solvent": 1.4994206262441614, "realized_annual_volatility_pct": 108.55525327546702, "trading_costs_quote_units": 9060.57176087976, "borrowing_costs_quote_units": 18970.273107973346, "price_pnl_quote_units": 50233.40132754871, "turnover_quote_units": 3020190.5869599194, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33873.85253014292, "return_pct": 238.73852530142918, "cagr_pct": 35.66919909349803, "max_drawdown_pct": 67.2146938568404, "mean_exposure_while_solvent": 0.6597671745651338, "realized_annual_volatility_pct": 43.964338616127904, "trading_costs_quote_units": 3142.194246621851, "borrowing_costs_quote_units": 406.0743141518851, "price_pnl_quote_units": 27422.12109091675, "turnover_quote_units": 1047398.082207283, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33873.85253014292, "return_pct": 238.73852530142918, "cagr_pct": 35.66919909349803, "max_drawdown_pct": 67.2146938568404, "mean_exposure_while_solvent": 0.6597671745651338, "realized_annual_volatility_pct": 43.964338616127904, "trading_costs_quote_units": 3142.194246621851, "borrowing_costs_quote_units": 406.0743141518851, "price_pnl_quote_units": 27422.12109091675, "turnover_quote_units": 1047398.082207283, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 34307.57722278016, "return_pct": 243.0757722278016, "cagr_pct": 36.10145969908905, "max_drawdown_pct": 81.90284700895842, "mean_exposure_while_solvent": 0.9609745875116379, "realized_annual_volatility_pct": 64.26026851900953, "trading_costs_quote_units": 5167.855728909471, "borrowing_costs_quote_units": 2667.7030289463287, "price_pnl_quote_units": 32143.135980635194, "turnover_quote_units": 1722618.57630316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 34307.57722278016, "return_pct": 243.0757722278016, "cagr_pct": 36.10145969908905, "max_drawdown_pct": 81.90284700895842, "mean_exposure_while_solvent": 0.9609745875116379, "realized_annual_volatility_pct": 64.26026851900953, "trading_costs_quote_units": 5167.855728909471, "borrowing_costs_quote_units": 2667.7030289463287, "price_pnl_quote_units": 32143.135980635194, "turnover_quote_units": 1722618.57630316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26460.444118354655, "return_pct": 164.60444118354656, "cagr_pct": 27.544382594719895, "max_drawdown_pct": 89.86359411982842, "mean_exposure_while_solvent": 1.2066606528966737, "realized_annual_volatility_pct": 82.25359482138683, "trading_costs_quote_units": 6850.649419818472, "borrowing_costs_quote_units": 10984.720117847888, "price_pnl_quote_units": 34295.81365602068, "turnover_quote_units": 2283549.806606154, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26460.444118354655, "return_pct": 164.60444118354656, "cagr_pct": 27.544382594719895, "max_drawdown_pct": 89.86359411982842, "mean_exposure_while_solvent": 1.2066606528966737, "realized_annual_volatility_pct": 82.25359482138683, "trading_costs_quote_units": 6850.649419818472, "borrowing_costs_quote_units": 10984.720117847888, "price_pnl_quote_units": 34295.81365602068, "turnover_quote_units": 2283549.806606154, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23799.14497760862, "return_pct": 137.99144977608617, "cagr_pct": 24.20843195072019, "max_drawdown_pct": 82.86770861729684, "mean_exposure_while_solvent": 1.0019489625054858, "realized_annual_volatility_pct": 65.55646958198297, "trading_costs_quote_units": 7366.854748406871, "borrowing_costs_quote_units": 3151.10576997445, "price_pnl_quote_units": 24317.105495990065, "turnover_quote_units": 2455618.249468952, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23799.14497760862, "return_pct": 137.99144977608617, "cagr_pct": 24.20843195072019, "max_drawdown_pct": 82.86770861729684, "mean_exposure_while_solvent": 1.0019489625054858, "realized_annual_volatility_pct": 65.55646958198297, "trading_costs_quote_units": 7366.854748406871, "borrowing_costs_quote_units": 3151.10576997445, "price_pnl_quote_units": 24317.105495990065, "turnover_quote_units": 2455618.249468952, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38824.526600761936, "return_pct": 288.24526600761936, "cagr_pct": 40.37615578361481, "max_drawdown_pct": 78.26432016547565, "mean_exposure_while_solvent": 0.9294539877709569, "realized_annual_volatility_pct": 63.58789586907798, "trading_costs_quote_units": 2882.3940851190982, "borrowing_costs_quote_units": 1822.2593321095098, "price_pnl_quote_units": 33529.18001799037, "turnover_quote_units": 960798.0283730321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38824.526600761936, "return_pct": 288.24526600761936, "cagr_pct": 40.37615578361481, "max_drawdown_pct": 78.26432016547565, "mean_exposure_while_solvent": 0.9294539877709569, "realized_annual_volatility_pct": 63.58789586907798, "trading_costs_quote_units": 2882.3940851190982, "borrowing_costs_quote_units": 1822.2593321095098, "price_pnl_quote_units": 33529.18001799037, "turnover_quote_units": 960798.0283730321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32215.392351799695, "return_pct": 222.15392351799696, "cagr_pct": 33.97703042371083, "max_drawdown_pct": 77.34572994732758, "mean_exposure_while_solvent": 0.8647676934412305, "realized_annual_volatility_pct": 58.90557930447072, "trading_costs_quote_units": 2478.001389431015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24693.393741230706, "turnover_quote_units": 826000.4631436712, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32215.392351799695, "return_pct": 222.15392351799696, "cagr_pct": 33.97703042371083, "max_drawdown_pct": 77.34572994732758, "mean_exposure_while_solvent": 0.8647676934412305, "realized_annual_volatility_pct": 58.90557930447072, "trading_costs_quote_units": 2478.001389431015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24693.393741230706, "turnover_quote_units": 826000.4631436712, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 905, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38824.526600761936, "return_pct": 288.24526600761936, "cagr_pct": 40.37615578361481, "max_drawdown_pct": 78.26432016547565, "mean_exposure_while_solvent": 0.9294539877709569, "realized_annual_volatility_pct": 63.58789586907798, "trading_costs_quote_units": 2882.3940851190982, "borrowing_costs_quote_units": 1822.2593321095098, "price_pnl_quote_units": 33529.18001799037, "turnover_quote_units": 960798.0283730321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38824.526600761936, "return_pct": 288.24526600761936, "cagr_pct": 40.37615578361481, "max_drawdown_pct": 78.26432016547565, "mean_exposure_while_solvent": 0.9294539877709569, "realized_annual_volatility_pct": 63.58789586907798, "trading_costs_quote_units": 2882.3940851190982, "borrowing_costs_quote_units": 1822.2593321095098, "price_pnl_quote_units": 33529.18001799037, "turnover_quote_units": 960798.0283730321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38824.526600761936, "return_pct": 288.24526600761936, "cagr_pct": 40.37615578361481, "max_drawdown_pct": 78.26432016547565, "mean_exposure_while_solvent": 0.9294539877709569, "realized_annual_volatility_pct": 63.58789586907798, "trading_costs_quote_units": 2882.3940851190982, "borrowing_costs_quote_units": 1822.2593321095098, "price_pnl_quote_units": 33529.18001799037, "turnover_quote_units": 960798.0283730321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38824.526600761936, "return_pct": 288.24526600761936, "cagr_pct": 40.37615578361481, "max_drawdown_pct": 78.26432016547565, "mean_exposure_while_solvent": 0.9294539877709569, "realized_annual_volatility_pct": 63.58789586907798, "trading_costs_quote_units": 2882.3940851190982, "borrowing_costs_quote_units": 1822.2593321095098, "price_pnl_quote_units": 33529.18001799037, "turnover_quote_units": 960798.0283730321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36724.46156114183, "return_pct": 267.2446156114183, "cagr_pct": 38.43789058942655, "max_drawdown_pct": 65.47002531448975, "mean_exposure_while_solvent": 0.749871862284021, "realized_annual_volatility_pct": 53.831287910973046, "trading_costs_quote_units": 976.3895704201618, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27700.85113156202, "turnover_quote_units": 325463.1901400537, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36724.46156114183, "return_pct": 267.2446156114183, "cagr_pct": 38.43789058942655, "max_drawdown_pct": 65.47002531448975, "mean_exposure_while_solvent": 0.749871862284021, "realized_annual_volatility_pct": 53.831287910973046, "trading_costs_quote_units": 976.3895704201618, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27700.85113156202, "turnover_quote_units": 325463.1901400537, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44796.39495352222, "return_pct": 347.9639495352222, "cagr_pct": 45.48872614801132, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9996577686516085, "realized_annual_volatility_pct": 71.92243025868464, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34826.30522271427, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44796.39495352222, "return_pct": 347.9639495352222, "cagr_pct": 45.48872614801132, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9996577686516085, "realized_annual_volatility_pct": 71.92243025868464, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34826.30522271427, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37036.81201101536, "return_pct": 270.36812011015365, "cagr_pct": 38.73135183199473, "max_drawdown_pct": 86.44067929964582, "mean_exposure_while_solvent": 1.2495296481406362, "realized_annual_volatility_pct": 90.15587559348906, "trading_costs_quote_units": 2990.232457377425, "borrowing_costs_quote_units": 15188.6270128697, "price_pnl_quote_units": 45215.671481262834, "turnover_quote_units": 996744.1524591406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37036.81201101536, "return_pct": 270.36812011015365, "cagr_pct": 38.73135183199473, "max_drawdown_pct": 86.44067929964582, "mean_exposure_while_solvent": 1.2495296481406362, "realized_annual_volatility_pct": 90.15587559348906, "trading_costs_quote_units": 2990.232457377425, "borrowing_costs_quote_units": 15188.6270128697, "price_pnl_quote_units": 45215.671481262834, "turnover_quote_units": 996744.1524591406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26360.177735832538, "return_pct": 163.60177735832536, "cagr_pct": 27.423370957219113, "max_drawdown_pct": 92.89970934320773, "mean_exposure_while_solvent": 1.4995062019498346, "realized_annual_volatility_pct": 108.56383617511189, "trading_costs_quote_units": 8032.6066595326465, "borrowing_costs_quote_units": 33556.33563613723, "price_pnl_quote_units": 57949.120031502076, "turnover_quote_units": 2677535.553177545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26360.177735832538, "return_pct": 163.60177735832536, "cagr_pct": 27.423370957219113, "max_drawdown_pct": 92.89970934320773, "mean_exposure_while_solvent": 1.4995062019498346, "realized_annual_volatility_pct": 108.56383617511189, "trading_costs_quote_units": 8032.6066595326465, "borrowing_costs_quote_units": 33556.33563613723, "price_pnl_quote_units": 57949.120031502076, "turnover_quote_units": 2677535.553177545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1461, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36157.589353711635, "return_pct": 261.5758935371164, "cagr_pct": 37.90048331304053, "max_drawdown_pct": 66.67573049035539, "mean_exposure_while_solvent": 0.6673381909030527, "realized_annual_volatility_pct": 43.91725742345619, "trading_costs_quote_units": 640.4833936680643, "borrowing_costs_quote_units": 112.03846886571682, "price_pnl_quote_units": 26910.111216245463, "turnover_quote_units": 1067472.3227801092, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36631.6095884066, "return_pct": 266.31609588406604, "cagr_pct": 38.3502929526812, "max_drawdown_pct": 66.87484992212522, "mean_exposure_while_solvent": 0.7543915874900129, "realized_annual_volatility_pct": 55.93016625309537, "trading_costs_quote_units": 748.3044704229324, "borrowing_costs_quote_units": 72.66513337270557, "price_pnl_quote_units": 27452.579192202145, "turnover_quote_units": 1247174.117371554, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -4.740202346949673 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37055.184635050115, "return_pct": 270.55184635050114, "cagr_pct": 38.74855549763577, "max_drawdown_pct": 81.45800113270654, "mean_exposure_while_solvent": 0.9707267376757722, "realized_annual_volatility_pct": 64.62942124259786, "trading_costs_quote_units": 1083.6675142372842, "borrowing_costs_quote_units": 736.5477841213896, "price_pnl_quote_units": 28875.399933408804, "turnover_quote_units": 1806112.523728805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40623.598533595425, "return_pct": 306.2359853359543, "cagr_pct": 41.97502760593832, "max_drawdown_pct": 81.45800113270654, "mean_exposure_while_solvent": 0.9893633665099577, "realized_annual_volatility_pct": 68.26146983242968, "trading_costs_quote_units": 1112.1338630945845, "borrowing_costs_quote_units": 657.282872567419, "price_pnl_quote_units": 32393.015269256804, "turnover_quote_units": 1853556.4384909696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -35.68413898545316 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30652.72969958866, "return_pct": 206.5272969958866, "cagr_pct": 32.3217281486411, "max_drawdown_pct": 89.19350276749906, "mean_exposure_while_solvent": 1.2147049390231497, "realized_annual_volatility_pct": 83.27555679661221, "trading_costs_quote_units": 1472.320060415294, "borrowing_costs_quote_units": 3011.806886378731, "price_pnl_quote_units": 25136.856646382417, "turnover_quote_units": 2453866.7673588265, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37946.39791640635, "return_pct": 279.4639791640635, "cagr_pct": 39.575489153501415, "max_drawdown_pct": 89.19350276749907, "mean_exposure_while_solvent": 1.1747735676775708, "realized_annual_volatility_pct": 79.38134990539439, "trading_costs_quote_units": 1632.9090132885444, "borrowing_costs_quote_units": 3033.351911187422, "price_pnl_quote_units": 32612.658840881602, "turnover_quote_units": 2721515.0221475726, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -72.93668216817693 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29572.012896672095, "return_pct": 195.72012896672092, "cagr_pct": 31.139538941542295, "max_drawdown_pct": 81.5563535157391, "mean_exposure_while_solvent": 1.01225521976681, "realized_annual_volatility_pct": 65.71005140937672, "trading_costs_quote_units": 1662.0406015074511, "borrowing_costs_quote_units": 945.6349454797099, "price_pnl_quote_units": 22179.68844365988, "turnover_quote_units": 2770067.6691790796, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 38279.19320226516, "return_pct": 282.7919320226516, "cagr_pct": 39.88054685996072, "max_drawdown_pct": 81.55635351573906, "mean_exposure_while_solvent": 1.0155188395247217, "realized_annual_volatility_pct": 66.89437648811698, "trading_costs_quote_units": 2005.8505633303039, "borrowing_costs_quote_units": 1054.103356654489, "price_pnl_quote_units": 31339.147122249728, "turnover_quote_units": 3343084.2722171755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1291, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -87.0718030559307 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39813.95517305796, "return_pct": 298.1395517305796, "cagr_pct": 41.26219339558612, "max_drawdown_pct": 78.191573511635, "mean_exposure_while_solvent": 0.940236238452219, "realized_annual_volatility_pct": 63.99874249499343, "trading_costs_quote_units": 568.0794718678754, "borrowing_costs_quote_units": 492.66888594208126, "price_pnl_quote_units": 30874.703530867948, "turnover_quote_units": 946799.1197797932, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 47963.509031837406, "return_pct": 379.63509031837407, "cagr_pct": 47.99503934567236, "max_drawdown_pct": 78.51895867148829, "mean_exposure_while_solvent": 0.998254459032558, "realized_annual_volatility_pct": 70.42017576704934, "trading_costs_quote_units": 492.9711563759005, "borrowing_costs_quote_units": 366.5839895200454, "price_pnl_quote_units": 38823.06417773325, "turnover_quote_units": 821618.5939598348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -81.49553858779444 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33381.90620417766, "return_pct": 233.81906204177665, "cagr_pct": 35.17385981080331, "max_drawdown_pct": 77.24182928607722, "mean_exposure_while_solvent": 0.868944369977955, "realized_annual_volatility_pct": 58.611591101292404, "trading_costs_quote_units": 492.77138803607505, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23874.677592213717, "turnover_quote_units": 821285.6467267921, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 878, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39125.85353865237, "return_pct": 291.2585353865237, "cagr_pct": 40.6477713161829, "max_drawdown_pct": 77.2418292860772, "mean_exposure_while_solvent": 0.9097479163673133, "realized_annual_volatility_pct": 64.20411187940526, "trading_costs_quote_units": 553.8304076984514, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29679.68394635074, "turnover_quote_units": 923050.6794974201, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 630, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -57.43947334474706 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39931.1827863685, "return_pct": 299.31182786368504, "cagr_pct": 41.366073206907096, "max_drawdown_pct": 78.19157351163497, "mean_exposure_while_solvent": 0.9481219009602896, "realized_annual_volatility_pct": 64.98063132421107, "trading_costs_quote_units": 563.0271856351723, "borrowing_costs_quote_units": 493.9812586721582, "price_pnl_quote_units": 30988.191230675773, "turnover_quote_units": 938378.6427252872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1393, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 47963.509031837406, "return_pct": 379.63509031837407, "cagr_pct": 47.99503934567236, "max_drawdown_pct": 78.51895867148829, "mean_exposure_while_solvent": 0.998254459032558, "realized_annual_volatility_pct": 70.42017576704934, "trading_costs_quote_units": 492.9711563759005, "borrowing_costs_quote_units": 366.5839895200454, "price_pnl_quote_units": 38823.06417773325, "turnover_quote_units": 821618.5939598348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -80.32326245468903 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39813.95517305796, "return_pct": 298.1395517305796, "cagr_pct": 41.26219339558612, "max_drawdown_pct": 78.191573511635, "mean_exposure_while_solvent": 0.940236238452219, "realized_annual_volatility_pct": 63.99874249499343, "trading_costs_quote_units": 568.0794718678754, "borrowing_costs_quote_units": 492.66888594208126, "price_pnl_quote_units": 30874.703530867948, "turnover_quote_units": 946799.1197797932, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 47963.509031837406, "return_pct": 379.63509031837407, "cagr_pct": 47.99503934567236, "max_drawdown_pct": 78.51895867148829, "mean_exposure_while_solvent": 0.998254459032558, "realized_annual_volatility_pct": 70.42017576704934, "trading_costs_quote_units": 492.9711563759005, "borrowing_costs_quote_units": 366.5839895200454, "price_pnl_quote_units": 38823.06417773325, "turnover_quote_units": 821618.5939598348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -81.49553858779444 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37220.43942314046, "return_pct": 272.2043942314046, "cagr_pct": 38.903009118409955, "max_drawdown_pct": 65.41559217625017, "mean_exposure_while_solvent": 0.749966476042854, "realized_annual_volatility_pct": 53.22627322337014, "trading_costs_quote_units": 193.36164570640003, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27413.80106884687, "turnover_quote_units": 322269.40951066633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37220.43942314046, "return_pct": 272.2043942314046, "cagr_pct": 38.903009118409955, "max_drawdown_pct": 65.41559217625017, "mean_exposure_while_solvent": 0.749966476042854, "realized_annual_volatility_pct": 53.22627322337014, "trading_costs_quote_units": 193.36164570640003, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27413.80106884687, "turnover_quote_units": 322269.40951066633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 44515.98622363701, "return_pct": 345.1598622363701, "cagr_pct": 45.260487438547244, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998856881572931, "realized_annual_volatility_pct": 71.27125404697841, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34521.982625795594, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 44515.98622363701, "return_pct": 345.1598622363701, "cagr_pct": 45.260487438547244, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998856881572931, "realized_annual_volatility_pct": 71.27125404697841, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34521.982625795594, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43699.00032403867, "return_pct": 336.9900032403867, "cagr_pct": 44.58929606722185, "max_drawdown_pct": 85.4327397058566, "mean_exposure_while_solvent": 1.249880888075942, "realized_annual_volatility_pct": 89.60688229427302, "trading_costs_quote_units": 631.5571010487917, "borrowing_costs_quote_units": 4159.954547290827, "price_pnl_quote_units": 38490.51197237826, "turnover_quote_units": 1052595.1684146533, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43699.00032403867, "return_pct": 336.9900032403867, "cagr_pct": 44.58929606722185, "max_drawdown_pct": 85.4327397058566, "mean_exposure_while_solvent": 1.249880888075942, "realized_annual_volatility_pct": 89.60688229427302, "trading_costs_quote_units": 631.5571010487917, "borrowing_costs_quote_units": 4159.954547290827, "price_pnl_quote_units": 38490.51197237826, "turnover_quote_units": 1052595.1684146533, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37146.763253189536, "return_pct": 271.46763253189533, "cagr_pct": 38.83421213923807, "max_drawdown_pct": 91.57443459350226, "mean_exposure_while_solvent": 1.5000036694082852, "realized_annual_volatility_pct": 108.39035058371122, "trading_costs_quote_units": 1847.144817150552, "borrowing_costs_quote_units": 10098.039850632871, "price_pnl_quote_units": 39091.947920972074, "turnover_quote_units": 3078574.6952509177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37146.763253189536, "return_pct": 271.46763253189533, "cagr_pct": 38.83421213923807, "max_drawdown_pct": 91.57443459350226, "mean_exposure_while_solvent": 1.5000036694082852, "realized_annual_volatility_pct": 108.39035058371122, "trading_costs_quote_units": 1847.144817150552, "borrowing_costs_quote_units": 10098.039850632871, "price_pnl_quote_units": 39091.947920972074, "turnover_quote_units": 3078574.6952509177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36013.61338474107, "return_pct": 260.1361338474107, "cagr_pct": 37.762985630367666, "max_drawdown_pct": 66.69072582004985, "mean_exposure_while_solvent": 0.6673397214183873, "realized_annual_volatility_pct": 43.91703236009339, "trading_costs_quote_units": 638.9919545784603, "borrowing_costs_quote_units": 223.55585512156924, "price_pnl_quote_units": 26876.161194441243, "turnover_quote_units": 1064986.5909641017, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36548.66291769597, "return_pct": 265.48662917695964, "cagr_pct": 38.27189915851818, "max_drawdown_pct": 66.88975565161014, "mean_exposure_while_solvent": 0.7543924097984033, "realized_annual_volatility_pct": 55.93022017611723, "trading_costs_quote_units": 747.6311831950388, "borrowing_costs_quote_units": 145.1507141462113, "price_pnl_quote_units": 27441.444815037074, "turnover_quote_units": 1246051.9719917332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -5.350495329548949 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36309.90684056174, "return_pct": 263.09906840561746, "cagr_pct": 38.045500922432026, "max_drawdown_pct": 81.52338990337874, "mean_exposure_while_solvent": 0.9707347183757398, "realized_annual_volatility_pct": 64.62998423233442, "trading_costs_quote_units": 1069.1134905154986, "borrowing_costs_quote_units": 1454.7386719502697, "price_pnl_quote_units": 28833.759003027986, "turnover_quote_units": 1781855.8175258306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 39982.60024718175, "return_pct": 299.8260024718175, "cagr_pct": 41.41156401039197, "max_drawdown_pct": 81.5233899033787, "mean_exposure_while_solvent": 0.989369586953499, "realized_annual_volatility_pct": 68.26195648206456, "trading_costs_quote_units": 1101.1908654818953, "borrowing_costs_quote_units": 1301.7659144959116, "price_pnl_quote_units": 32385.557027159557, "turnover_quote_units": 1835318.1091364904, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -36.726934066200045 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29111.5020198633, "return_pct": 191.115020198633, "cagr_pct": 30.625928269984048, "max_drawdown_pct": 89.34476982698388, "mean_exposure_while_solvent": 1.2147258911845609, "realized_annual_volatility_pct": 83.27823372629994, "trading_costs_quote_units": 1426.0785780485653, "borrowing_costs_quote_units": 5834.408246505298, "price_pnl_quote_units": 26371.98884441723, "turnover_quote_units": 2376797.6300809407, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36415.46791912539, "return_pct": 264.1546791912539, "cagr_pct": 38.14573550494109, "max_drawdown_pct": 89.34476982698388, "mean_exposure_while_solvent": 1.1747903656773622, "realized_annual_volatility_pct": 79.38293347333772, "trading_costs_quote_units": 1594.8859001883782, "borrowing_costs_quote_units": 5918.336439203019, "price_pnl_quote_units": 33928.69025851675, "turnover_quote_units": 2658143.1669806293, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -73.03965899262087 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28759.610853251488, "return_pct": 187.5961085325149, "cagr_pct": 30.22933922408228, "max_drawdown_pct": 81.65361620948613, "mean_exposure_while_solvent": 1.0122666027858027, "realized_annual_volatility_pct": 65.71102613916241, "trading_costs_quote_units": 1633.1017336386494, "borrowing_costs_quote_units": 1859.69965119777, "price_pnl_quote_units": 22252.41223808834, "turnover_quote_units": 2721836.222731085, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37339.50916289822, "return_pct": 273.3950916289822, "cagr_pct": 39.01397789499539, "max_drawdown_pct": 81.65361620948613, "mean_exposure_while_solvent": 1.0155289743572897, "realized_annual_volatility_pct": 66.89520138483638, "trading_costs_quote_units": 1975.4864916555061, "borrowing_costs_quote_units": 2076.252330006958, "price_pnl_quote_units": 31391.247984560447, "turnover_quote_units": 3292477.486092507, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1291, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -85.79898309646728 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 39172.94347760848, "return_pct": 291.7294347760848, "cagr_pct": 40.69007622876224, "max_drawdown_pct": 78.22334952394844, "mean_exposure_while_solvent": 0.9402424480265702, "realized_annual_volatility_pct": 63.99909497755786, "trading_costs_quote_units": 561.5737944980553, "borrowing_costs_quote_units": 975.7976512280943, "price_pnl_quote_units": 30710.314923334932, "turnover_quote_units": 935956.3241634247, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 47513.80618683466, "return_pct": 375.13806186834665, "cagr_pct": 47.646875229438876, "max_drawdown_pct": 78.55025766658656, "mean_exposure_while_solvent": 0.9982579635581063, "realized_annual_volatility_pct": 70.42032781088417, "trading_costs_quote_units": 490.0867263166332, "borrowing_costs_quote_units": 729.0353069869924, "price_pnl_quote_units": 38732.928220138645, "turnover_quote_units": 816811.2105277209, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -83.40862709226184 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33381.90620417766, "return_pct": 233.81906204177665, "cagr_pct": 35.17385981080331, "max_drawdown_pct": 77.24182928607722, "mean_exposure_while_solvent": 0.868944369977955, "realized_annual_volatility_pct": 58.611591101292404, "trading_costs_quote_units": 492.77138803607505, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23874.677592213717, "turnover_quote_units": 821285.6467267921, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 878, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 39125.85353865237, "return_pct": 291.2585353865237, "cagr_pct": 40.6477713161829, "max_drawdown_pct": 77.2418292860772, "mean_exposure_while_solvent": 0.9097479163673133, "realized_annual_volatility_pct": 64.20411187940526, "trading_costs_quote_units": 553.8304076984514, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29679.68394635074, "turnover_quote_units": 923050.6794974201, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 630, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -57.43947334474706 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 39288.28370568331, "return_pct": 292.88283705683307, "cagr_pct": 40.79353532296183, "max_drawdown_pct": 78.22334952394844, "mean_exposure_while_solvent": 0.9481281105346407, "realized_annual_volatility_pct": 64.98097869077932, "trading_costs_quote_units": 556.5263612672526, "borrowing_costs_quote_units": 978.3948423942529, "price_pnl_quote_units": 30823.20490934524, "turnover_quote_units": 927543.9354454195, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1393, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 47513.80618683466, "return_pct": 375.13806186834665, "cagr_pct": 47.646875229438876, "max_drawdown_pct": 78.55025766658656, "mean_exposure_while_solvent": 0.9982579635581063, "realized_annual_volatility_pct": 70.42032781088417, "trading_costs_quote_units": 490.0867263166332, "borrowing_costs_quote_units": 729.0353069869924, "price_pnl_quote_units": 38732.928220138645, "turnover_quote_units": 816811.2105277209, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -82.25522481151359 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 39172.94347760848, "return_pct": 291.7294347760848, "cagr_pct": 40.69007622876224, "max_drawdown_pct": 78.22334952394844, "mean_exposure_while_solvent": 0.9402424480265702, "realized_annual_volatility_pct": 63.99909497755786, "trading_costs_quote_units": 561.5737944980553, "borrowing_costs_quote_units": 975.7976512280943, "price_pnl_quote_units": 30710.314923334932, "turnover_quote_units": 935956.3241634247, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 47513.80618683466, "return_pct": 375.13806186834665, "cagr_pct": 47.646875229438876, "max_drawdown_pct": 78.55025766658656, "mean_exposure_while_solvent": 0.9982579635581063, "realized_annual_volatility_pct": 70.42032781088417, "trading_costs_quote_units": 490.0867263166332, "borrowing_costs_quote_units": 729.0353069869924, "price_pnl_quote_units": 38732.928220138645, "turnover_quote_units": 816811.2105277209, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -83.40862709226184 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37220.43942314046, "return_pct": 272.2043942314046, "cagr_pct": 38.903009118409955, "max_drawdown_pct": 65.41559217625017, "mean_exposure_while_solvent": 0.749966476042854, "realized_annual_volatility_pct": 53.22627322337014, "trading_costs_quote_units": 193.36164570640003, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27413.80106884687, "turnover_quote_units": 322269.40951066633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37220.43942314046, "return_pct": 272.2043942314046, "cagr_pct": 38.903009118409955, "max_drawdown_pct": 65.41559217625017, "mean_exposure_while_solvent": 0.749966476042854, "realized_annual_volatility_pct": 53.22627322337014, "trading_costs_quote_units": 193.36164570640003, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27413.80106884687, "turnover_quote_units": 322269.40951066633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44515.98622363701, "return_pct": 345.1598622363701, "cagr_pct": 45.260487438547244, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998856881572931, "realized_annual_volatility_pct": 71.27125404697841, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34521.982625795594, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44515.98622363701, "return_pct": 345.1598622363701, "cagr_pct": 45.260487438547244, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998856881572931, "realized_annual_volatility_pct": 71.27125404697841, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34521.982625795594, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 41567.62716677784, "return_pct": 315.67627166777845, "cagr_pct": 42.79284843132176, "max_drawdown_pct": 85.62097832887285, "mean_exposure_while_solvent": 1.2498989417887392, "realized_annual_volatility_pct": 89.60883108956992, "trading_costs_quote_units": 612.5732996795908, "borrowing_costs_quote_units": 8062.811915203054, "price_pnl_quote_units": 40243.0123816611, "turnover_quote_units": 1020955.4994659851, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 41567.62716677784, "return_pct": 315.67627166777845, "cagr_pct": 42.79284843132176, "max_drawdown_pct": 85.62097832887285, "mean_exposure_while_solvent": 1.2498989417887392, "realized_annual_volatility_pct": 89.60883108956992, "trading_costs_quote_units": 612.5732996795908, "borrowing_costs_quote_units": 8062.811915203054, "price_pnl_quote_units": 40243.0123816611, "turnover_quote_units": 1020955.4994659851, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33609.28163400806, "return_pct": 236.09281634008062, "cagr_pct": 35.40347911356637, "max_drawdown_pct": 91.90784268433924, "mean_exposure_while_solvent": 1.5000470419130054, "realized_annual_volatility_pct": 108.3952112834449, "trading_costs_quote_units": 1738.049756966442, "borrowing_costs_quote_units": 18976.694378294953, "price_pnl_quote_units": 44324.02576927069, "turnover_quote_units": 2896749.594944071, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33609.28163400806, "return_pct": 236.09281634008062, "cagr_pct": 35.40347911356637, "max_drawdown_pct": 91.90784268433924, "mean_exposure_while_solvent": 1.5000470419130054, "realized_annual_volatility_pct": 108.3952112834449, "trading_costs_quote_units": 1738.049756966442, "borrowing_costs_quote_units": 18976.694378294953, "price_pnl_quote_units": 44324.02576927069, "turnover_quote_units": 2896749.594944071, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35727.3111299581, "return_pct": 257.273111299581, "cagr_pct": 37.488336057272, "max_drawdown_pct": 66.7207029763061, "mean_exposure_while_solvent": 0.6673427829946704, "realized_annual_volatility_pct": 43.91658694301311, "trading_costs_quote_units": 636.0201206259933, "borrowing_costs_quote_units": 445.03554469141415, "price_pnl_quote_units": 26808.36679527513, "turnover_quote_units": 1060033.5343766555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36383.29577558451, "return_pct": 263.83295775584514, "cagr_pct": 38.115209844537176, "max_drawdown_pct": 66.91955368813157, "mean_exposure_while_solvent": 0.7543940546779389, "realized_annual_volatility_pct": 55.93032976270194, "trading_costs_quote_units": 746.2864313993941, "borrowing_costs_quote_units": 289.5846590442436, "price_pnl_quote_units": 27419.166866028063, "turnover_quote_units": 1243810.718998992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -6.559846456264154 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 34863.64962770207, "return_pct": 248.6364962770207, "cagr_pct": 36.64969979688772, "max_drawdown_pct": 81.65350681103875, "mean_exposure_while_solvent": 0.9707506827963311, "realized_annual_volatility_pct": 64.63112450037966, "trading_costs_quote_units": 1040.646853033612, "borrowing_costs_quote_units": 2837.618232141274, "price_pnl_quote_units": 28741.914712877166, "turnover_quote_units": 1734411.4217226878, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 38730.466377951816, "return_pct": 287.30466377951814, "cagr_pct": 40.29104635794426, "max_drawdown_pct": 81.65350681103878, "mean_exposure_while_solvent": 0.9893820301832968, "realized_annual_volatility_pct": 68.26294100135736, "trading_costs_quote_units": 1079.6572553252029, "borrowing_costs_quote_units": 2553.1740561607103, "price_pnl_quote_units": 32363.297689437826, "turnover_quote_units": 1799428.758875337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -38.668167502497425 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26256.911113361562, "return_pct": 162.5691111336156, "cagr_pct": 27.298376930226357, "max_drawdown_pct": 89.6410546952667, "mean_exposure_while_solvent": 1.2147678039668837, "realized_annual_volatility_pct": 83.28360540222901, "trading_costs_quote_units": 1338.276081962433, "borrowing_costs_quote_units": 10951.16429194074, "price_pnl_quote_units": 28546.351487264525, "turnover_quote_units": 2230460.1366040595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33535.671097402206, "return_pct": 235.35671097402204, "cagr_pct": 35.32927002080194, "max_drawdown_pct": 89.6410546952667, "mean_exposure_while_solvent": 1.1748239685056938, "realized_annual_volatility_pct": 79.38611981227177, "trading_costs_quote_units": 1521.6993280005845, "borrowing_costs_quote_units": 11266.849644315937, "price_pnl_quote_units": 36324.220069717645, "turnover_quote_units": 2536165.5466676387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -72.78759984040644 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27200.73454261813, "return_pct": 172.00734542618133, "cagr_pct": 28.42735947881575, "max_drawdown_pct": 81.846651718271, "mean_exposure_while_solvent": 1.012289373514167, "realized_annual_volatility_pct": 65.71299543059355, "trading_costs_quote_units": 1576.8881637269512, "borrowing_costs_quote_units": 3596.74143197931, "price_pnl_quote_units": 22374.364138324607, "turnover_quote_units": 2628146.939544917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35528.295862396204, "return_pct": 255.28295862396203, "cagr_pct": 37.296446808511746, "max_drawdown_pct": 81.84665171827102, "mean_exposure_while_solvent": 1.0155492481936315, "realized_annual_volatility_pct": 66.89686918454275, "trading_costs_quote_units": 1916.2678400596462, "borrowing_costs_quote_units": 4027.961863024303, "price_pnl_quote_units": 31472.525565479813, "turnover_quote_units": 3193779.733432744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1291, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -83.2756131977807 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37921.417392256866, "return_pct": 279.21417392256865, "cagr_pct": 39.552509845835786, "max_drawdown_pct": 78.28677564281497, "mean_exposure_while_solvent": 0.9402548694135535, "realized_annual_volatility_pct": 63.999810786971246, "trading_costs_quote_units": 548.8085579866038, "borrowing_costs_quote_units": 1914.086587806985, "price_pnl_quote_units": 30384.312538050566, "turnover_quote_units": 914680.9299776731, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46626.80406530063, "return_pct": 366.26804065300627, "cagr_pct": 46.95283990537339, "max_drawdown_pct": 78.61273164110311, "mean_exposure_while_solvent": 0.9982649738117353, "realized_annual_volatility_pct": 70.4206374500439, "trading_costs_quote_units": 484.37435553192944, "borrowing_costs_quote_units": 1441.700724221221, "price_pnl_quote_units": 38552.879145054234, "turnover_quote_units": 807290.5925532165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -87.05386673043762 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33381.90620417766, "return_pct": 233.81906204177665, "cagr_pct": 35.17385981080331, "max_drawdown_pct": 77.24182928607722, "mean_exposure_while_solvent": 0.868944369977955, "realized_annual_volatility_pct": 58.611591101292404, "trading_costs_quote_units": 492.77138803607505, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23874.677592213717, "turnover_quote_units": 821285.6467267921, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 878, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 39125.85353865237, "return_pct": 291.2585353865237, "cagr_pct": 40.6477713161829, "max_drawdown_pct": 77.2418292860772, "mean_exposure_while_solvent": 0.9097479163673133, "realized_annual_volatility_pct": 64.20411187940526, "trading_costs_quote_units": 553.8304076984514, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29679.68394635074, "turnover_quote_units": 923050.6794974201, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 630, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -57.43947334474706 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 38033.07264567044, "return_pct": 280.33072645670444, "cagr_pct": 39.65513240919605, "max_drawdown_pct": 78.28677564281496, "mean_exposure_while_solvent": 0.9481405319216241, "realized_annual_volatility_pct": 64.98168410460976, "trading_costs_quote_units": 543.7713084895253, "borrowing_costs_quote_units": 1919.172664484533, "price_pnl_quote_units": 30496.01661864441, "turnover_quote_units": 906285.5141492103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1393, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46626.80406530063, "return_pct": 366.26804065300627, "cagr_pct": 46.95283990537339, "max_drawdown_pct": 78.61273164110311, "mean_exposure_while_solvent": 0.9982649738117353, "realized_annual_volatility_pct": 70.4206374500439, "trading_costs_quote_units": 484.37435553192944, "borrowing_costs_quote_units": 1441.700724221221, "price_pnl_quote_units": 38552.879145054234, "turnover_quote_units": 807290.5925532165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -85.93731419630183 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37921.417392256866, "return_pct": 279.21417392256865, "cagr_pct": 39.552509845835786, "max_drawdown_pct": 78.28677564281497, "mean_exposure_while_solvent": 0.9402548694135535, "realized_annual_volatility_pct": 63.999810786971246, "trading_costs_quote_units": 548.8085579866038, "borrowing_costs_quote_units": 1914.086587806985, "price_pnl_quote_units": 30384.312538050566, "turnover_quote_units": 914680.9299776731, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46626.80406530063, "return_pct": 366.26804065300627, "cagr_pct": 46.95283990537339, "max_drawdown_pct": 78.61273164110311, "mean_exposure_while_solvent": 0.9982649738117353, "realized_annual_volatility_pct": 70.4206374500439, "trading_costs_quote_units": 484.37435553192944, "borrowing_costs_quote_units": 1441.700724221221, "price_pnl_quote_units": 38552.879145054234, "turnover_quote_units": 807290.5925532165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -87.05386673043762 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37220.43942314046, "return_pct": 272.2043942314046, "cagr_pct": 38.903009118409955, "max_drawdown_pct": 65.41559217625017, "mean_exposure_while_solvent": 0.749966476042854, "realized_annual_volatility_pct": 53.22627322337014, "trading_costs_quote_units": 193.36164570640003, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27413.80106884687, "turnover_quote_units": 322269.40951066633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37220.43942314046, "return_pct": 272.2043942314046, "cagr_pct": 38.903009118409955, "max_drawdown_pct": 65.41559217625017, "mean_exposure_while_solvent": 0.749966476042854, "realized_annual_volatility_pct": 53.22627322337014, "trading_costs_quote_units": 193.36164570640003, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27413.80106884687, "turnover_quote_units": 322269.40951066633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 44515.98622363701, "return_pct": 345.1598622363701, "cagr_pct": 45.260487438547244, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998856881572931, "realized_annual_volatility_pct": 71.27125404697841, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34521.982625795594, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 44515.98622363701, "return_pct": 345.1598622363701, "cagr_pct": 45.260487438547244, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998856881572931, "realized_annual_volatility_pct": 71.27125404697841, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34521.982625795594, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37610.80457540131, "return_pct": 276.10804575401306, "cagr_pct": 39.26582793217987, "max_drawdown_pct": 86.14346732642451, "mean_exposure_while_solvent": 1.249935054951396, "realized_annual_volatility_pct": 89.61272949392838, "trading_costs_quote_units": 576.5138309063286, "borrowing_costs_quote_units": 15148.690045158892, "price_pnl_quote_units": 43336.008451465685, "turnover_quote_units": 960856.3848438803, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37610.80457540131, "return_pct": 276.10804575401306, "cagr_pct": 39.26582793217987, "max_drawdown_pct": 86.14346732642451, "mean_exposure_while_solvent": 1.249935054951396, "realized_annual_volatility_pct": 89.61272949392838, "trading_costs_quote_units": 576.5138309063286, "borrowing_costs_quote_units": 15148.690045158892, "price_pnl_quote_units": 43336.008451465685, "turnover_quote_units": 960856.3848438803, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27511.287359712456, "return_pct": 175.11287359712458, "cagr_pct": 28.79240832290046, "max_drawdown_pct": 92.5357743855931, "mean_exposure_while_solvent": 1.5001338063330008, "realized_annual_volatility_pct": 108.40493575402282, "trading_costs_quote_units": 1540.4900546009565, "borrowing_costs_quote_units": 33543.59615792676, "price_pnl_quote_units": 52595.37357223844, "turnover_quote_units": 2567483.424334931, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27511.287359712456, "return_pct": 175.11287359712458, "cagr_pct": 28.79240832290046, "max_drawdown_pct": 92.5357743855931, "mean_exposure_while_solvent": 1.5001338063330008, "realized_annual_volatility_pct": 108.40493575402282, "trading_costs_quote_units": 1540.4900546009565, "borrowing_costs_quote_units": 33543.59615792676, "price_pnl_quote_units": 52595.37357223844, "turnover_quote_units": 2567483.424334931, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36747.893532105896, "return_pct": 267.478935321059, "cagr_pct": 38.45997033316792, "max_drawdown_pct": 66.65948327595763, "mean_exposure_while_solvent": 0.6670457609958222, "realized_annual_volatility_pct": 44.13609438450221, "trading_costs_quote_units": 660.4813478420084, "borrowing_costs_quote_units": 111.60820115595934, "price_pnl_quote_units": 27519.983081103626, "turnover_quote_units": 1100802.2464033465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35943.059659746, "return_pct": 259.43059659746, "cagr_pct": 37.695455957820826, "max_drawdown_pct": 66.85775652720272, "mean_exposure_while_solvent": 0.7541004397462389, "realized_annual_volatility_pct": 56.026440876248294, "trading_costs_quote_units": 744.3550655772814, "borrowing_costs_quote_units": 70.88568751854865, "price_pnl_quote_units": 26758.300412841763, "turnover_quote_units": 1240591.775962138, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 8.048338723598988 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39715.86158244088, "return_pct": 297.1586158244088, "cagr_pct": 41.175092536109, "max_drawdown_pct": 81.35132738000658, "mean_exposure_while_solvent": 0.9702383147928961, "realized_annual_volatility_pct": 64.65303378321744, "trading_costs_quote_units": 1135.6324454837104, "borrowing_costs_quote_units": 762.2136444972087, "price_pnl_quote_units": 31613.707672421282, "turnover_quote_units": 1892720.742472852, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39830.75382549272, "return_pct": 298.30753825492724, "cagr_pct": 41.27709338363012, "max_drawdown_pct": 81.35132738000657, "mean_exposure_while_solvent": 0.9889007019127429, "realized_annual_volatility_pct": 68.35896656324827, "trading_costs_quote_units": 1079.0102768546624, "borrowing_costs_quote_units": 642.7789895359906, "price_pnl_quote_units": 31552.543091882846, "turnover_quote_units": 1798350.4614244392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -1.1489224305184393 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33880.196356663146, "return_pct": 238.80196356663146, "cagr_pct": 35.67555133534756, "max_drawdown_pct": 89.22527971401693, "mean_exposure_while_solvent": 1.2141213935899857, "realized_annual_volatility_pct": 82.58186500085522, "trading_costs_quote_units": 1595.7663706331698, "borrowing_costs_quote_units": 3248.0755722710414, "price_pnl_quote_units": 28724.03829956744, "turnover_quote_units": 2659610.6177219544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35855.24343686488, "return_pct": 258.5524343686488, "cagr_pct": 37.61126467164765, "max_drawdown_pct": 89.22527971401693, "mean_exposure_while_solvent": 1.1742802842737767, "realized_annual_volatility_pct": 79.5389277136049, "trading_costs_quote_units": 1541.0261303171583, "borrowing_costs_quote_units": 2868.5678402928256, "price_pnl_quote_units": 30264.83740747556, "turnover_quote_units": 2568376.8838619324, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -19.750470802017333 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30264.51522059444, "return_pct": 202.64515220594438, "cagr_pct": 31.900714432402815, "max_drawdown_pct": 81.96231796997205, "mean_exposure_while_solvent": 1.0118294566979436, "realized_annual_volatility_pct": 65.88996550422068, "trading_costs_quote_units": 1716.307481959446, "borrowing_costs_quote_units": 958.4407420503256, "price_pnl_quote_units": 22939.263444604177, "turnover_quote_units": 2860512.4699324076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 38524.19338375525, "return_pct": 285.2419338375525, "cagr_pct": 40.103858218409016, "max_drawdown_pct": 81.9623179699721, "mean_exposure_while_solvent": 1.0151175327419668, "realized_annual_volatility_pct": 67.08106825621205, "trading_costs_quote_units": 2056.877364192913, "borrowing_costs_quote_units": 1063.7172453646735, "price_pnl_quote_units": 31644.78799331293, "turnover_quote_units": 3428128.940321516, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1298, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -82.59678163160811 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 42976.658167505215, "return_pct": 329.7665816750522, "cagr_pct": 43.98797431615265, "max_drawdown_pct": 78.029176327169, "mean_exposure_while_solvent": 0.9399158127234172, "realized_annual_volatility_pct": 63.86320410266125, "trading_costs_quote_units": 618.9034291054679, "borrowing_costs_quote_units": 515.7884156454993, "price_pnl_quote_units": 34111.35001225656, "turnover_quote_units": 1031505.7151757797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 48130.8714779081, "return_pct": 381.308714779081, "cagr_pct": 48.12398784831949, "max_drawdown_pct": 78.39543376480798, "mean_exposure_while_solvent": 0.9980106335676675, "realized_annual_volatility_pct": 70.4326283459468, "trading_costs_quote_units": 500.478083280416, "borrowing_costs_quote_units": 367.524852546414, "price_pnl_quote_units": 38998.87441373556, "turnover_quote_units": 834130.1388006939, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -51.542133104028835 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34388.63537132605, "return_pct": 243.88635371326046, "cagr_pct": 36.18178910465594, "max_drawdown_pct": 77.16417880852828, "mean_exposure_while_solvent": 0.8687422904068495, "realized_annual_volatility_pct": 58.726043989441955, "trading_costs_quote_units": 512.6725937448882, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24901.307965071246, "turnover_quote_units": 854454.3229081467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 884, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37616.7416951809, "return_pct": 276.167416951809, "cagr_pct": 39.27132424700263, "max_drawdown_pct": 77.16417880852826, "mean_exposure_while_solvent": 0.909585891441808, "realized_annual_volatility_pct": 64.30338975308864, "trading_costs_quote_units": 539.198699371155, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 28155.940394552093, "turnover_quote_units": 898664.4989519252, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 636, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -32.28106323854854 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 43467.102620377846, "return_pct": 334.6710262037784, "cagr_pct": 44.39706805086581, "max_drawdown_pct": 78.029176327169, "mean_exposure_while_solvent": 0.9477936475719902, "realized_annual_volatility_pct": 64.83836855829237, "trading_costs_quote_units": 619.0141618508118, "borrowing_costs_quote_units": 521.1303879211084, "price_pnl_quote_units": 34607.247170149174, "turnover_quote_units": 1031690.2697513545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1400, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 48130.8714779081, "return_pct": 381.308714779081, "cagr_pct": 48.12398784831949, "max_drawdown_pct": 78.39543376480798, "mean_exposure_while_solvent": 0.9980106335676675, "realized_annual_volatility_pct": 70.4326283459468, "trading_costs_quote_units": 500.478083280416, "borrowing_costs_quote_units": 367.524852546414, "price_pnl_quote_units": 38998.87441373556, "turnover_quote_units": 834130.1388006939, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -46.637688575302604 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 42976.658167505215, "return_pct": 329.7665816750522, "cagr_pct": 43.98797431615265, "max_drawdown_pct": 78.029176327169, "mean_exposure_while_solvent": 0.9399158127234172, "realized_annual_volatility_pct": 63.86320410266125, "trading_costs_quote_units": 618.9034291054679, "borrowing_costs_quote_units": 515.7884156454993, "price_pnl_quote_units": 34111.35001225656, "turnover_quote_units": 1031505.7151757797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 48130.8714779081, "return_pct": 381.308714779081, "cagr_pct": 48.12398784831949, "max_drawdown_pct": 78.39543376480798, "mean_exposure_while_solvent": 0.9980106335676675, "realized_annual_volatility_pct": 70.4326283459468, "trading_costs_quote_units": 500.478083280416, "borrowing_costs_quote_units": 367.524852546414, "price_pnl_quote_units": 38998.87441373556, "turnover_quote_units": 834130.1388006939, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -51.542133104028835 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37260.94314927062, "return_pct": 272.6094314927062, "cagr_pct": 38.94078699528768, "max_drawdown_pct": 65.30940136080457, "mean_exposure_while_solvent": 0.7498727708234126, "realized_annual_volatility_pct": 53.32902258136855, "trading_costs_quote_units": 195.21907390590832, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27456.16222317618, "turnover_quote_units": 325365.12317651405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37260.94314927062, "return_pct": 272.6094314927062, "cagr_pct": 38.94078699528768, "max_drawdown_pct": 65.30940136080457, "mean_exposure_while_solvent": 0.7498727708234126, "realized_annual_volatility_pct": 53.32902258136855, "trading_costs_quote_units": 195.21907390590832, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27456.16222317618, "turnover_quote_units": 325365.12317651405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44893.37864094483, "return_pct": 348.9337864094483, "cagr_pct": 45.567416637628966, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9996570644718793, "realized_annual_volatility_pct": 71.27035287363287, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34899.37504310307, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44893.37864094483, "return_pct": 348.9337864094483, "cagr_pct": 45.567416637628966, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9996570644718793, "realized_annual_volatility_pct": 71.27035287363287, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34899.37504310307, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44651.62846084954, "return_pct": 346.5162846084954, "cagr_pct": 45.37102767003905, "max_drawdown_pct": 85.51443126503486, "mean_exposure_while_solvent": 1.249471134336138, "realized_annual_volatility_pct": 89.35333258361113, "trading_costs_quote_units": 665.5942678938471, "borrowing_costs_quote_units": 4270.184673524734, "price_pnl_quote_units": 39587.40740226824, "turnover_quote_units": 1109323.7798230771, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44651.62846084954, "return_pct": 346.5162846084954, "cagr_pct": 45.37102767003905, "max_drawdown_pct": 85.51443126503486, "mean_exposure_while_solvent": 1.249471134336138, "realized_annual_volatility_pct": 89.35333258361113, "trading_costs_quote_units": 665.5942678938471, "borrowing_costs_quote_units": 4270.184673524734, "price_pnl_quote_units": 39587.40740226824, "turnover_quote_units": 1109323.7798230771, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 38772.487634708916, "return_pct": 287.72487634708915, "cagr_pct": 40.32908799552619, "max_drawdown_pct": 91.69013562832667, "mean_exposure_while_solvent": 1.4993646508912533, "realized_annual_volatility_pct": 107.61611709404933, "trading_costs_quote_units": 2017.255915431234, "borrowing_costs_quote_units": 10660.245937988817, "price_pnl_quote_units": 41449.98948813, "turnover_quote_units": 3362093.192385388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 38772.487634708916, "return_pct": 287.72487634708915, "cagr_pct": 40.32908799552619, "max_drawdown_pct": 91.69013562832667, "mean_exposure_while_solvent": 1.4993646508912533, "realized_annual_volatility_pct": 107.61611709404933, "trading_costs_quote_units": 2017.255915431234, "borrowing_costs_quote_units": 10660.245937988817, "price_pnl_quote_units": 41449.98948813, "turnover_quote_units": 3362093.192385388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36602.3201217799, "return_pct": 266.023201217799, "cagr_pct": 38.322626380589725, "max_drawdown_pct": 66.674531585407, "mean_exposure_while_solvent": 0.6670472747245908, "realized_annual_volatility_pct": 44.13593323514228, "trading_costs_quote_units": 658.9441933161044, "borrowing_costs_quote_units": 222.6977789483365, "price_pnl_quote_units": 27483.962094044226, "turnover_quote_units": 1098240.3221935078, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35862.45221860218, "return_pct": 258.62452218602175, "cagr_pct": 37.61818170710678, "max_drawdown_pct": 66.87271534562036, "mean_exposure_while_solvent": 0.7541012426759235, "realized_annual_volatility_pct": 56.02649660160157, "trading_costs_quote_units": 743.693379711111, "borrowing_costs_quote_units": 141.59821814947037, "price_pnl_quote_units": 26747.743816463175, "turnover_quote_units": 1239488.9661851844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 7.398679031777249 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 38918.720505655496, "return_pct": 289.187205056555, "cagr_pct": 40.46123134097882, "max_drawdown_pct": 81.41667600800614, "mean_exposure_while_solvent": 0.9702462257588961, "realized_annual_volatility_pct": 64.65346708104353, "trading_costs_quote_units": 1120.2905694645303, "borrowing_costs_quote_units": 1505.2589807195982, "price_pnl_quote_units": 31544.2700558398, "turnover_quote_units": 1867150.949107551, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 39203.812817308644, "return_pct": 292.0381281730864, "cagr_pct": 40.71778810048554, "max_drawdown_pct": 81.4166760080061, "mean_exposure_while_solvent": 0.9889068511764757, "realized_annual_volatility_pct": 68.35932819060044, "trading_costs_quote_units": 1068.4305207846899, "borrowing_costs_quote_units": 1273.091645079998, "price_pnl_quote_units": 31545.334983173067, "turnover_quote_units": 1780717.5346411495, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -2.850923116531419 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32177.874854335234, "return_pct": 221.77874854335235, "cagr_pct": 33.938002083356146, "max_drawdown_pct": 89.37615150589502, "mean_exposure_while_solvent": 1.214142157332456, "realized_annual_volatility_pct": 82.58401212668143, "trading_costs_quote_units": 1545.2676492664348, "borrowing_costs_quote_units": 6290.0381624517395, "price_pnl_quote_units": 30013.180666052944, "turnover_quote_units": 2575446.0821107295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34409.090415145736, "return_pct": 244.09090415145735, "cagr_pct": 36.202037807911445, "max_drawdown_pct": 89.37615150589502, "mean_exposure_while_solvent": 1.1742969099172695, "realized_annual_volatility_pct": 79.54032258757395, "trading_costs_quote_units": 1505.2920876648388, "borrowing_costs_quote_units": 5597.31815382551, "price_pnl_quote_units": 31511.70065663623, "turnover_quote_units": 2508820.146108063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -22.312155608105 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29433.243161514394, "return_pct": 194.33243161514392, "cagr_pct": 30.985403428158886, "max_drawdown_pct": 82.0573747406571, "mean_exposure_while_solvent": 1.0118406611486666, "realized_annual_volatility_pct": 65.89087885771806, "trading_costs_quote_units": 1686.2871350677808, "borrowing_costs_quote_units": 1884.6695889620335, "price_pnl_quote_units": 23004.199885543916, "turnover_quote_units": 2810478.5584463044, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37578.596102022784, "return_pct": 275.78596102022783, "cagr_pct": 39.23599945060952, "max_drawdown_pct": 82.05737474065712, "mean_exposure_while_solvent": 1.0151274959562384, "realized_annual_volatility_pct": 67.08183262638224, "trading_costs_quote_units": 2025.6922048890872, "borrowing_costs_quote_units": 2095.0955664693142, "price_pnl_quote_units": 31699.383873381375, "turnover_quote_units": 3376153.674815152, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1298, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -81.45352940508391 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 42284.97535143184, "return_pct": 322.8497535143184, "cagr_pct": 43.405028735353376, "max_drawdown_pct": 78.06102679531674, "mean_exposure_while_solvent": 0.9399219925734492, "realized_annual_volatility_pct": 63.86346640594635, "trading_costs_quote_units": 611.7344192408378, "borrowing_costs_quote_units": 1021.4848725971626, "price_pnl_quote_units": 33918.19464327009, "turnover_quote_units": 1019557.3654013966, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 47679.51568041998, "return_pct": 376.79515680419985, "cagr_pct": 47.77545545811162, "max_drawdown_pct": 78.42675328013274, "mean_exposure_while_solvent": 0.998014115600827, "realized_annual_volatility_pct": 70.4327432497459, "trading_costs_quote_units": 497.55857288139504, "borrowing_costs_quote_units": 730.9043027571156, "price_pnl_quote_units": 38907.97855605815, "turnover_quote_units": 829264.2881356579, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -53.945403289881426 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34388.63537132605, "return_pct": 243.88635371326046, "cagr_pct": 36.18178910465594, "max_drawdown_pct": 77.16417880852828, "mean_exposure_while_solvent": 0.8687422904068495, "realized_annual_volatility_pct": 58.726043989441955, "trading_costs_quote_units": 512.6725937448882, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24901.307965071246, "turnover_quote_units": 854454.3229081467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 884, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37616.7416951809, "return_pct": 276.167416951809, "cagr_pct": 39.27132424700263, "max_drawdown_pct": 77.16417880852826, "mean_exposure_while_solvent": 0.909585891441808, "realized_annual_volatility_pct": 64.30338975308864, "trading_costs_quote_units": 539.198699371155, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 28155.940394552093, "turnover_quote_units": 898664.4989519252, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 636, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -32.28106323854854 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 42767.52640321749, "return_pct": 327.6752640321749, "cagr_pct": 43.81246622491185, "max_drawdown_pct": 78.06102679531669, "mean_exposure_while_solvent": 0.9477998274220223, "realized_annual_volatility_pct": 64.8386277297631, "trading_costs_quote_units": 611.7878026299611, "borrowing_costs_quote_units": 1032.0557704297275, "price_pnl_quote_units": 34411.36997627649, "turnover_quote_units": 1019646.3377166014, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1400, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 47679.51568041998, "return_pct": 376.79515680419985, "cagr_pct": 47.77545545811162, "max_drawdown_pct": 78.42675328013274, "mean_exposure_while_solvent": 0.998014115600827, "realized_annual_volatility_pct": 70.4327432497459, "trading_costs_quote_units": 497.55857288139504, "borrowing_costs_quote_units": 730.9043027571156, "price_pnl_quote_units": 38907.97855605815, "turnover_quote_units": 829264.2881356579, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -49.11989277202497 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 42284.97535143184, "return_pct": 322.8497535143184, "cagr_pct": 43.405028735353376, "max_drawdown_pct": 78.06102679531674, "mean_exposure_while_solvent": 0.9399219925734492, "realized_annual_volatility_pct": 63.86346640594635, "trading_costs_quote_units": 611.7344192408378, "borrowing_costs_quote_units": 1021.4848725971626, "price_pnl_quote_units": 33918.19464327009, "turnover_quote_units": 1019557.3654013966, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 47679.51568041998, "return_pct": 376.79515680419985, "cagr_pct": 47.77545545811162, "max_drawdown_pct": 78.42675328013274, "mean_exposure_while_solvent": 0.998014115600827, "realized_annual_volatility_pct": 70.4327432497459, "trading_costs_quote_units": 497.55857288139504, "borrowing_costs_quote_units": 730.9043027571156, "price_pnl_quote_units": 38907.97855605815, "turnover_quote_units": 829264.2881356579, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -53.945403289881426 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37260.94314927062, "return_pct": 272.6094314927062, "cagr_pct": 38.94078699528768, "max_drawdown_pct": 65.30940136080457, "mean_exposure_while_solvent": 0.7498727708234126, "realized_annual_volatility_pct": 53.32902258136855, "trading_costs_quote_units": 195.21907390590832, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27456.16222317618, "turnover_quote_units": 325365.12317651405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37260.94314927062, "return_pct": 272.6094314927062, "cagr_pct": 38.94078699528768, "max_drawdown_pct": 65.30940136080457, "mean_exposure_while_solvent": 0.7498727708234126, "realized_annual_volatility_pct": 53.32902258136855, "trading_costs_quote_units": 195.21907390590832, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27456.16222317618, "turnover_quote_units": 325365.12317651405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 44893.37864094483, "return_pct": 348.9337864094483, "cagr_pct": 45.567416637628966, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9996570644718793, "realized_annual_volatility_pct": 71.27035287363287, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34899.37504310307, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 44893.37864094483, "return_pct": 348.9337864094483, "cagr_pct": 45.567416637628966, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9996570644718793, "realized_annual_volatility_pct": 71.27035287363287, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34899.37504310307, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 42474.23437867645, "return_pct": 324.7423437867645, "cagr_pct": 43.565241399581716, "max_drawdown_pct": 85.7016301452596, "mean_exposure_while_solvent": 1.249488972631433, "realized_annual_volatility_pct": 89.35506338507894, "trading_costs_quote_units": 645.5186337247915, "borrowing_costs_quote_units": 8276.611769635687, "price_pnl_quote_units": 41396.36478203763, "turnover_quote_units": 1075864.389541319, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 42474.23437867645, "return_pct": 324.7423437867645, "cagr_pct": 43.565241399581716, "max_drawdown_pct": 85.7016301452596, "mean_exposure_while_solvent": 1.249488972631433, "realized_annual_volatility_pct": 89.35506338507894, "trading_costs_quote_units": 645.5186337247915, "borrowing_costs_quote_units": 8276.611769635687, "price_pnl_quote_units": 41396.36478203763, "turnover_quote_units": 1075864.389541319, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35081.053847954754, "return_pct": 250.81053847954755, "cagr_pct": 36.862259200475265, "max_drawdown_pct": 92.01901021425832, "mean_exposure_while_solvent": 1.4994074928099894, "realized_annual_volatility_pct": 107.62033405195362, "trading_costs_quote_units": 1897.723466154226, "borrowing_costs_quote_units": 20034.525622107976, "price_pnl_quote_units": 47013.30293621817, "turnover_quote_units": 3162872.4435903756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35081.053847954754, "return_pct": 250.81053847954755, "cagr_pct": 36.862259200475265, "max_drawdown_pct": 92.01901021425832, "mean_exposure_while_solvent": 1.4994074928099894, "realized_annual_volatility_pct": 107.62033405195362, "trading_costs_quote_units": 1897.723466154226, "borrowing_costs_quote_units": 20034.525622107976, "price_pnl_quote_units": 47013.30293621817, "turnover_quote_units": 3162872.4435903756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36312.83257444613, "return_pct": 263.12832574446134, "cagr_pct": 38.04828196973956, "max_drawdown_pct": 66.70461459990894, "mean_exposure_while_solvent": 0.6670503027187924, "realized_annual_volatility_pct": 44.135615623714585, "trading_costs_quote_units": 655.8812376436413, "borrowing_costs_quote_units": 443.32917955540887, "price_pnl_quote_units": 27412.04299164531, "turnover_quote_units": 1093135.396072735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 35701.7436938503, "return_pct": 257.017436938503, "cagr_pct": 37.46372904794949, "max_drawdown_pct": 66.90261945896303, "mean_exposure_while_solvent": 0.7541028487876755, "realized_annual_volatility_pct": 56.02660979235551, "trading_costs_quote_units": 742.3717539846593, "borrowing_costs_quote_units": 282.50518346214074, "price_pnl_quote_units": 26726.620631296828, "turnover_quote_units": 1237286.2566411009, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 6.110888805958325 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37371.732061563314, "return_pct": 273.7173206156331, "cagr_pct": 39.04396285927415, "max_drawdown_pct": 81.54671996109558, "mean_exposure_while_solvent": 0.9702620506613562, "realized_annual_volatility_pct": 64.65434806139443, "trading_costs_quote_units": 1090.2855893863677, "borrowing_costs_quote_units": 2935.4911732714413, "price_pnl_quote_units": 31397.50882422128, "turnover_quote_units": 1817142.6489772806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37979.074198663926, "return_pct": 279.79074198663926, "cagr_pct": 39.60553058384817, "max_drawdown_pct": 81.54671996109558, "mean_exposure_while_solvent": 0.9889191519956899, "realized_annual_volatility_pct": 68.36006274950678, "trading_costs_quote_units": 1047.6149260632196, "borrowing_costs_quote_units": 2497.1363313055754, "price_pnl_quote_units": 31523.82545603217, "turnover_quote_units": 1746024.8767720307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -6.073421371006134 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29024.753915912464, "return_pct": 190.24753915912464, "cagr_pct": 30.52849659302515, "max_drawdown_pct": 89.67166176054921, "mean_exposure_while_solvent": 1.2141836930798842, "realized_annual_volatility_pct": 82.58832414610781, "trading_costs_quote_units": 1449.3965564874982, "borrowing_costs_quote_units": 11798.459024917247, "price_pnl_quote_units": 32272.609497316535, "turnover_quote_units": 2415660.927479157, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31688.728656881685, "return_pct": 216.88728656881688, "cagr_pct": 33.426007551833145, "max_drawdown_pct": 89.67166176054921, "mean_exposure_while_solvent": 1.1743301678564624, "realized_annual_volatility_pct": 79.54313173777877, "trading_costs_quote_units": 1436.515127551831, "borrowing_costs_quote_units": 10657.62735839718, "price_pnl_quote_units": 33782.87114282946, "turnover_quote_units": 2394191.879253057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -26.639747409692234 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27838.159217215485, "return_pct": 178.38159217215485, "cagr_pct": 29.17331671640661, "max_drawdown_pct": 82.24603531688534, "mean_exposure_while_solvent": 1.0118630745125394, "realized_annual_volatility_pct": 65.89272559632175, "trading_costs_quote_units": 1627.9707406866592, "borrowing_costs_quote_units": 3644.2061638386363, "price_pnl_quote_units": 23110.33612174048, "turnover_quote_units": 2713284.5678110966, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 35755.99249583486, "return_pct": 257.5599249583486, "cagr_pct": 37.515924311072816, "max_drawdown_pct": 82.24603531688534, "mean_exposure_while_solvent": 1.0151474263326516, "realized_annual_volatility_pct": 67.08337947919586, "trading_costs_quote_units": 1964.8705351298124, "borrowing_costs_quote_units": 4064.157172666786, "price_pnl_quote_units": 31785.020203631313, "turnover_quote_units": 3274784.2252163514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1298, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -79.17833278619372 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 40934.49896392669, "return_pct": 309.3449896392669, "cagr_pct": 42.24592314368677, "max_drawdown_pct": 78.12460223643666, "mean_exposure_while_solvent": 0.9399343544868758, "realized_annual_volatility_pct": 63.86400202858452, "trading_costs_quote_units": 597.6762451738077, "borrowing_costs_quote_units": 2003.294934365816, "price_pnl_quote_units": 33535.47014346687, "turnover_quote_units": 996127.0752896814, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46789.246398261224, "return_pct": 367.89246398261224, "cagr_pct": 47.080679246321225, "max_drawdown_pct": 78.48926890763315, "mean_exposure_while_solvent": 0.9980210808495226, "realized_annual_volatility_pct": 70.43297874899642, "trading_costs_quote_units": 491.78389842714125, "borrowing_costs_quote_units": 1445.3881767017094, "price_pnl_quote_units": 38726.41847339021, "turnover_quote_units": 819639.8307119026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -58.54747434334536 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 34388.63537132605, "return_pct": 243.88635371326046, "cagr_pct": 36.18178910465594, "max_drawdown_pct": 77.16417880852828, "mean_exposure_while_solvent": 0.8687422904068495, "realized_annual_volatility_pct": 58.726043989441955, "trading_costs_quote_units": 512.6725937448882, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24901.307965071246, "turnover_quote_units": 854454.3229081467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 884, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37616.7416951809, "return_pct": 276.167416951809, "cagr_pct": 39.27132424700263, "max_drawdown_pct": 77.16417880852826, "mean_exposure_while_solvent": 0.909585891441808, "realized_annual_volatility_pct": 64.30338975308864, "trading_costs_quote_units": 539.198699371155, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 28155.940394552093, "turnover_quote_units": 898664.4989519252, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 636, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -32.28106323854854 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 41401.63854164186, "return_pct": 314.0163854164187, "cagr_pct": 42.65006742186656, "max_drawdown_pct": 78.12460223643667, "mean_exposure_while_solvent": 0.9478121893354489, "realized_annual_volatility_pct": 64.83915692357178, "trading_costs_quote_units": 597.6178727104092, "borrowing_costs_quote_units": 2023.9924217946311, "price_pnl_quote_units": 34023.24883614712, "turnover_quote_units": 996029.7878506805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1400, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46789.246398261224, "return_pct": 367.89246398261224, "cagr_pct": 47.080679246321225, "max_drawdown_pct": 78.48926890763315, "mean_exposure_while_solvent": 0.9980210808495226, "realized_annual_volatility_pct": 70.43297874899642, "trading_costs_quote_units": 491.78389842714125, "borrowing_costs_quote_units": 1445.3881767017094, "price_pnl_quote_units": 38726.41847339021, "turnover_quote_units": 819639.8307119026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -53.87607856619354 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 40934.49896392669, "return_pct": 309.3449896392669, "cagr_pct": 42.24592314368677, "max_drawdown_pct": 78.12460223643666, "mean_exposure_while_solvent": 0.9399343544868758, "realized_annual_volatility_pct": 63.86400202858452, "trading_costs_quote_units": 597.6762451738077, "borrowing_costs_quote_units": 2003.294934365816, "price_pnl_quote_units": 33535.47014346687, "turnover_quote_units": 996127.0752896814, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46789.246398261224, "return_pct": 367.89246398261224, "cagr_pct": 47.080679246321225, "max_drawdown_pct": 78.48926890763315, "mean_exposure_while_solvent": 0.9980210808495226, "realized_annual_volatility_pct": 70.43297874899642, "trading_costs_quote_units": 491.78389842714125, "borrowing_costs_quote_units": 1445.3881767017094, "price_pnl_quote_units": 38726.41847339021, "turnover_quote_units": 819639.8307119026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -58.54747434334536 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37260.94314927062, "return_pct": 272.6094314927062, "cagr_pct": 38.94078699528768, "max_drawdown_pct": 65.30940136080457, "mean_exposure_while_solvent": 0.7498727708234126, "realized_annual_volatility_pct": 53.32902258136855, "trading_costs_quote_units": 195.21907390590832, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27456.16222317618, "turnover_quote_units": 325365.12317651405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37260.94314927062, "return_pct": 272.6094314927062, "cagr_pct": 38.94078699528768, "max_drawdown_pct": 65.30940136080457, "mean_exposure_while_solvent": 0.7498727708234126, "realized_annual_volatility_pct": 53.32902258136855, "trading_costs_quote_units": 195.21907390590832, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27456.16222317618, "turnover_quote_units": 325365.12317651405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44893.37864094483, "return_pct": 348.9337864094483, "cagr_pct": 45.567416637628966, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9996570644718793, "realized_annual_volatility_pct": 71.27035287363287, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34899.37504310307, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44893.37864094483, "return_pct": 348.9337864094483, "cagr_pct": 45.567416637628966, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9996570644718793, "realized_annual_volatility_pct": 71.27035287363287, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34899.37504310307, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38431.92933562226, "return_pct": 284.31929335622266, "cagr_pct": 40.01988728102741, "max_drawdown_pct": 86.21831789858926, "mean_exposure_while_solvent": 1.2495246547499976, "realized_annual_volatility_pct": 89.35852586619113, "trading_costs_quote_units": 607.3338702229001, "borrowing_costs_quote_units": 15550.935662639815, "price_pnl_quote_units": 44590.1988684861, "turnover_quote_units": 1012223.1170381686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38431.92933562226, "return_pct": 284.31929335622266, "cagr_pct": 40.01988728102741, "max_drawdown_pct": 86.21831789858926, "mean_exposure_while_solvent": 1.2495246547499976, "realized_annual_volatility_pct": 89.35852586619113, "trading_costs_quote_units": 607.3338702229001, "borrowing_costs_quote_units": 15550.935662639815, "price_pnl_quote_units": 44590.1988684861, "turnover_quote_units": 1012223.1170381686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28717.471302668615, "return_pct": 187.17471302668613, "cagr_pct": 30.181603441827527, "max_drawdown_pct": 92.63839323333166, "mean_exposure_while_solvent": 1.4994931953562969, "realized_annual_volatility_pct": 107.62877090815968, "trading_costs_quote_units": 1681.0100977795792, "borrowing_costs_quote_units": 35417.540694395386, "price_pnl_quote_units": 55816.02209484369, "turnover_quote_units": 2801683.4962993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28717.471302668615, "return_pct": 187.17471302668613, "cagr_pct": 30.181603441827527, "max_drawdown_pct": 92.63839323333166, "mean_exposure_while_solvent": 1.4994931953562969, "realized_annual_volatility_pct": 107.62877090815968, "trading_costs_quote_units": 1681.0100977795792, "borrowing_costs_quote_units": 35417.540694395386, "price_pnl_quote_units": 55816.02209484369, "turnover_quote_units": 2801683.4962993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34003.16691367511, "return_pct": 240.03166913675108, "cagr_pct": 35.798509147717354, "max_drawdown_pct": 67.11889511072656, "mean_exposure_while_solvent": 0.6673381909030527, "realized_annual_volatility_pct": 43.911095174420744, "trading_costs_quote_units": 3082.1731959989747, "borrowing_costs_quote_units": 107.52173218735892, "price_pnl_quote_units": 27192.861841861715, "turnover_quote_units": 1027391.0653329954, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34210.39130785408, "return_pct": 242.10391307854078, "cagr_pct": 36.00495966551564, "max_drawdown_pct": 67.36260259287467, "mean_exposure_while_solvent": 0.7543915874900129, "realized_annual_volatility_pct": 55.930320260560485, "trading_costs_quote_units": 3585.537796220957, "borrowing_costs_quote_units": 68.76545486052609, "price_pnl_quote_units": 27864.694558936077, "turnover_quote_units": 1195179.2654069841, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -2.072243941789708 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34425.700548148394, "return_pct": 244.25700548148393, "cagr_pct": 36.21847374531923, "max_drawdown_pct": 81.76068087351263, "mean_exposure_while_solvent": 0.9707267376757722, "realized_annual_volatility_pct": 64.62182360470764, "trading_costs_quote_units": 5172.016832982274, "borrowing_costs_quote_units": 704.1886488492502, "price_pnl_quote_units": 30301.906029980066, "turnover_quote_units": 1724005.6109940931, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37881.19010400862, "return_pct": 278.81190104008624, "cagr_pct": 39.51548133628371, "max_drawdown_pct": 81.7606808735126, "mean_exposure_while_solvent": 0.9893633665099577, "realized_annual_volatility_pct": 68.25882364996157, "trading_costs_quote_units": 5319.036455977567, "borrowing_costs_quote_units": 627.8688374663719, "price_pnl_quote_units": 33828.09539745179, "turnover_quote_units": 1773012.1519925229, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -34.55489555860231 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28357.54573965614, "return_pct": 183.57545739656138, "cagr_pct": 29.771723209119582, "max_drawdown_pct": 89.41606489329897, "mean_exposure_while_solvent": 1.2147049390231497, "realized_annual_volatility_pct": 83.26432060796945, "trading_costs_quote_units": 7012.014639373244, "borrowing_costs_quote_units": 2866.10020316147, "price_pnl_quote_units": 28235.660582191416, "turnover_quote_units": 2337338.21312441, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35271.27473015597, "return_pct": 252.71274730155972, "cagr_pct": 37.04743219943407, "max_drawdown_pct": 89.41606489329891, "mean_exposure_while_solvent": 1.1747735676775708, "realized_annual_volatility_pct": 79.38302791363829, "trading_costs_quote_units": 7794.584479105043, "borrowing_costs_quote_units": 2887.537109218513, "price_pnl_quote_units": 35953.39631847875, "turnover_quote_units": 2598194.8263683505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -69.13728990499834 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25948.893195589204, "return_pct": 159.48893195589204, "cagr_pct": 26.923348553045802, "max_drawdown_pct": 82.13534364670664, "mean_exposure_while_solvent": 1.01225521976681, "realized_annual_volatility_pct": 65.70058695941329, "trading_costs_quote_units": 7672.361300541348, "borrowing_costs_quote_units": 874.585542877878, "price_pnl_quote_units": 24495.840039007813, "turnover_quote_units": 2557453.7668471187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33488.469014805974, "return_pct": 234.88469014805972, "cagr_pct": 35.28161981279273, "max_drawdown_pct": 82.13534364670669, "mean_exposure_while_solvent": 1.0155188395247217, "realized_annual_volatility_pct": 66.88722593895629, "trading_costs_quote_units": 9215.293912322693, "borrowing_costs_quote_units": 966.9180145943764, "price_pnl_quote_units": 33670.680941722785, "turnover_quote_units": 3071764.6374408994, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1291, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -75.39575819216768 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 38083.58117064103, "return_pct": 280.8358117064103, "cagr_pct": 39.70148068352744, "max_drawdown_pct": 78.39262570440299, "mean_exposure_while_solvent": 0.940236238452219, "realized_annual_volatility_pct": 63.99084895875497, "trading_costs_quote_units": 2759.3084814286517, "borrowing_costs_quote_units": 480.1341903568477, "price_pnl_quote_units": 31323.0238424261, "turnover_quote_units": 919769.4938095477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46307.783999970874, "return_pct": 363.0778399997087, "cagr_pct": 46.70080124337778, "max_drawdown_pct": 78.71083387624587, "mean_exposure_while_solvent": 0.998254459032558, "realized_annual_volatility_pct": 70.41913489305237, "trading_costs_quote_units": 2407.817687836194, "borrowing_costs_quote_units": 357.82403659578836, "price_pnl_quote_units": 39073.42572440251, "turnover_quote_units": 802605.895945397, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -82.2420282932984 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32204.03056807663, "return_pct": 222.04030568076627, "cagr_pct": 33.965214696963656, "max_drawdown_pct": 77.42458900823546, "mean_exposure_while_solvent": 0.868944369977955, "realized_annual_volatility_pct": 58.60970475022924, "trading_costs_quote_units": 2409.1643315953343, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24613.194899672137, "turnover_quote_units": 803054.777198444, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 878, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37811.2175692635, "return_pct": 278.112175692635, "cagr_pct": 39.451002530426365, "max_drawdown_pct": 77.42458900823546, "mean_exposure_while_solvent": 0.9097479163673133, "realized_annual_volatility_pct": 64.20482273075942, "trading_costs_quote_units": 2711.0173607967836, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30522.234930059858, "turnover_quote_units": 903672.4535989263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 630, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -56.071870011868725 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 38228.95107481361, "return_pct": 282.2895107481361, "cagr_pct": 39.83462008164696, "max_drawdown_pct": 78.39262570440296, "mean_exposure_while_solvent": 0.9481219009602896, "realized_annual_volatility_pct": 64.97271851601833, "trading_costs_quote_units": 2736.345162926676, "borrowing_costs_quote_units": 481.78866422926694, "price_pnl_quote_units": 31447.0849019695, "turnover_quote_units": 912115.0543088914, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1393, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46307.783999970874, "return_pct": 363.0778399997087, "cagr_pct": 46.70080124337778, "max_drawdown_pct": 78.71083387624587, "mean_exposure_while_solvent": 0.998254459032558, "realized_annual_volatility_pct": 70.41913489305237, "trading_costs_quote_units": 2407.817687836194, "borrowing_costs_quote_units": 357.82403659578836, "price_pnl_quote_units": 39073.42572440251, "turnover_quote_units": 802605.895945397, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -80.78832925157263 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 38083.58117064103, "return_pct": 280.8358117064103, "cagr_pct": 39.70148068352744, "max_drawdown_pct": 78.39262570440299, "mean_exposure_while_solvent": 0.940236238452219, "realized_annual_volatility_pct": 63.99084895875497, "trading_costs_quote_units": 2759.3084814286517, "borrowing_costs_quote_units": 480.1341903568477, "price_pnl_quote_units": 31323.0238424261, "turnover_quote_units": 919769.4938095477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46307.783999970874, "return_pct": 363.0778399997087, "cagr_pct": 46.70080124337778, "max_drawdown_pct": 78.71083387624587, "mean_exposure_while_solvent": 0.998254459032558, "realized_annual_volatility_pct": 70.41913489305237, "trading_costs_quote_units": 2407.817687836194, "borrowing_costs_quote_units": 357.82403659578836, "price_pnl_quote_units": 39073.42572440251, "turnover_quote_units": 802605.895945397, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -82.2420282932984 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36534.317523221944, "return_pct": 265.34317523221944, "cagr_pct": 38.258327640911006, "max_drawdown_pct": 65.56296943286468, "mean_exposure_while_solvent": 0.749966476042854, "realized_annual_volatility_pct": 53.226186274864375, "trading_costs_quote_units": 955.4536022394151, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27489.77112546174, "turnover_quote_units": 318484.53407980496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36534.317523221944, "return_pct": 265.34317523221944, "cagr_pct": 38.258327640911006, "max_drawdown_pct": 65.56296943286468, "mean_exposure_while_solvent": 0.749966476042854, "realized_annual_volatility_pct": 53.226186274864375, "trading_costs_quote_units": 955.4536022394151, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27489.77112546174, "turnover_quote_units": 318484.53407980496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 44409.4674131318, "return_pct": 344.094674131318, "cagr_pct": 45.17350383189074, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998856881572931, "realized_annual_volatility_pct": 71.27141959518148, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34439.37768232467, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 44409.4674131318, "return_pct": 344.094674131318, "cagr_pct": 45.17350383189074, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998856881572931, "realized_annual_volatility_pct": 71.27141959518148, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34439.37768232467, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 42360.53324854558, "return_pct": 323.60533248545585, "cagr_pct": 43.46905481664906, "max_drawdown_pct": 85.536934702316, "mean_exposure_while_solvent": 1.249880888075942, "realized_annual_volatility_pct": 89.6069065387803, "trading_costs_quote_units": 3094.335175008955, "borrowing_costs_quote_units": 4073.971317637585, "price_pnl_quote_units": 39528.83974119219, "turnover_quote_units": 1031445.0583363206, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 42360.53324854558, "return_pct": 323.60533248545585, "cagr_pct": 43.46905481664906, "max_drawdown_pct": 85.536934702316, "mean_exposure_while_solvent": 1.249880888075942, "realized_annual_volatility_pct": 89.6069065387803, "trading_costs_quote_units": 3094.335175008955, "borrowing_costs_quote_units": 4073.971317637585, "price_pnl_quote_units": 39528.83974119219, "turnover_quote_units": 1031445.0583363206, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34590.05221998038, "return_pct": 245.90052219980382, "cagr_pct": 36.38078210438505, "max_drawdown_pct": 91.81537931794509, "mean_exposure_while_solvent": 1.5000036694082852, "realized_annual_volatility_pct": 108.38983317041826, "trading_costs_quote_units": 8828.094052748273, "borrowing_costs_quote_units": 9641.44670191833, "price_pnl_quote_units": 43059.59297464684, "turnover_quote_units": 2942698.0175827555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34590.05221998038, "return_pct": 245.90052219980382, "cagr_pct": 36.38078210438505, "max_drawdown_pct": 91.81537931794509, "mean_exposure_while_solvent": 1.5000036694082852, "realized_annual_volatility_pct": 108.38983317041826, "trading_costs_quote_units": 8828.094052748273, "borrowing_costs_quote_units": 9641.44670191833, "price_pnl_quote_units": 43059.59297464684, "turnover_quote_units": 2942698.0175827555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33867.92390983992, "return_pct": 238.67923909839922, "cagr_pct": 35.6632618020901, "max_drawdown_pct": 67.13368073726134, "mean_exposure_while_solvent": 0.6673397214183873, "realized_annual_volatility_pct": 43.91087169601814, "trading_costs_quote_units": 3075.039111742488, "borrowing_costs_quote_units": 214.5477318459729, "price_pnl_quote_units": 27157.51075342813, "turnover_quote_units": 1025013.0372474939, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34132.969798913095, "return_pct": 241.32969798913092, "cagr_pct": 35.927937313566304, "max_drawdown_pct": 67.37727863161341, "mean_exposure_while_solvent": 0.7543924097984033, "realized_annual_volatility_pct": 55.93037487824352, "trading_costs_quote_units": 3582.3282746122864, "borrowing_costs_quote_units": 137.3622567846389, "price_pnl_quote_units": 27852.660330309885, "turnover_quote_units": 1194109.424870762, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -2.6504588907316986 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33733.58527910147, "return_pct": 237.33585279101467, "cagr_pct": 35.52851727438785, "max_drawdown_pct": 81.82499816215832, "mean_exposure_while_solvent": 0.9707347183757398, "realized_annual_volatility_pct": 64.62239179981424, "trading_costs_quote_units": 5102.933089608536, "borrowing_costs_quote_units": 1390.974823982134, "price_pnl_quote_units": 30227.49319269208, "turnover_quote_units": 1700977.6965361782, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37283.60464433655, "return_pct": 272.8360464433655, "cagr_pct": 38.961909966278405, "max_drawdown_pct": 81.82499816215834, "mean_exposure_while_solvent": 0.989369586953499, "realized_annual_volatility_pct": 68.25931559806496, "trading_costs_quote_units": 5266.944444171551, "borrowing_costs_quote_units": 1243.6015511505987, "price_pnl_quote_units": 33794.150639658124, "turnover_quote_units": 1755648.1480571828, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -35.500193652350816 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26932.02376494032, "return_pct": 169.32023764940323, "cagr_pct": 28.108964145101535, "max_drawdown_pct": 89.56424776294534, "mean_exposure_while_solvent": 1.2147258911845609, "realized_annual_volatility_pct": 83.26701399885064, "trading_costs_quote_units": 6792.9346589679435, "borrowing_costs_quote_units": 5553.328713210286, "price_pnl_quote_units": 29278.287137118856, "turnover_quote_units": 2264311.5529893143, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33848.52833192008, "return_pct": 238.48528331920082, "cagr_pct": 35.64383240861574, "max_drawdown_pct": 89.56424776294533, "mean_exposure_while_solvent": 1.1747903656773622, "realized_annual_volatility_pct": 79.38462901329926, "trading_costs_quote_units": 7613.924230835404, "borrowing_costs_quote_units": 5634.578598981613, "price_pnl_quote_units": 37097.031161737206, "turnover_quote_units": 2537974.743611803, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -69.16504566979759 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25235.98020059479, "return_pct": 152.35980200594787, "cagr_pct": 26.04235561318641, "max_drawdown_pct": 82.22956725101433, "mean_exposure_while_solvent": 1.0122666027858027, "realized_annual_volatility_pct": 65.70156883568175, "trading_costs_quote_units": 7540.033483689633, "borrowing_costs_quote_units": 1720.3965587492485, "price_pnl_quote_units": 24496.410243033595, "turnover_quote_units": 2513344.494563206, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32666.340991857178, "return_pct": 226.66340991857177, "cagr_pct": 34.44349263506023, "max_drawdown_pct": 82.22956725101433, "mean_exposure_while_solvent": 1.0155289743572897, "realized_annual_volatility_pct": 66.88805912982902, "trading_costs_quote_units": 9077.055550892788, "borrowing_costs_quote_units": 1904.9224581768383, "price_pnl_quote_units": 33648.319000926705, "turnover_quote_units": 3025685.183630933, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1291, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -74.3036079126239 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37470.81348773292, "return_pct": 274.7081348773292, "cagr_pct": 39.13604160631331, "max_drawdown_pct": 78.42408857725518, "mean_exposure_while_solvent": 0.9402424480265702, "realized_annual_volatility_pct": 63.991206860937, "trading_costs_quote_units": 2727.835936007322, "borrowing_costs_quote_units": 951.0227473512817, "price_pnl_quote_units": 31149.672171091945, "turnover_quote_units": 909278.6453357739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45873.826911080156, "return_pct": 358.7382691108016, "cagr_pct": 46.35585878696041, "max_drawdown_pct": 78.74183340065447, "mean_exposure_while_solvent": 0.9982579635581063, "realized_annual_volatility_pct": 70.41929018172787, "trading_costs_quote_units": 2393.7734202537763, "borrowing_costs_quote_units": 711.6299814216339, "price_pnl_quote_units": 38979.23031275554, "turnover_quote_units": 797924.4734179262, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -84.03013423347238 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32204.03056807663, "return_pct": 222.04030568076627, "cagr_pct": 33.965214696963656, "max_drawdown_pct": 77.42458900823546, "mean_exposure_while_solvent": 0.868944369977955, "realized_annual_volatility_pct": 58.60970475022924, "trading_costs_quote_units": 2409.1643315953343, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24613.194899672137, "turnover_quote_units": 803054.777198444, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 878, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37811.2175692635, "return_pct": 278.112175692635, "cagr_pct": 39.451002530426365, "max_drawdown_pct": 77.42458900823546, "mean_exposure_while_solvent": 0.9097479163673133, "realized_annual_volatility_pct": 64.20482273075942, "trading_costs_quote_units": 2711.0173607967836, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30522.234930059858, "turnover_quote_units": 903672.4535989263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 630, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -56.071870011868725 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37613.844379223185, "return_pct": 276.13844379223184, "cagr_pct": 39.268642125259504, "max_drawdown_pct": 78.42408857725516, "mean_exposure_while_solvent": 0.9481281105346407, "realized_annual_volatility_pct": 64.97307128091427, "trading_costs_quote_units": 2704.8717795778034, "borrowing_costs_quote_units": 954.2970926885646, "price_pnl_quote_units": 31273.013251489512, "turnover_quote_units": 901623.9265259332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1393, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45873.826911080156, "return_pct": 358.7382691108016, "cagr_pct": 46.35585878696041, "max_drawdown_pct": 78.74183340065447, "mean_exposure_while_solvent": 0.9982579635581063, "realized_annual_volatility_pct": 70.41929018172787, "trading_costs_quote_units": 2393.7734202537763, "borrowing_costs_quote_units": 711.6299814216339, "price_pnl_quote_units": 38979.23031275554, "turnover_quote_units": 797924.4734179262, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -82.59982531856974 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37470.81348773292, "return_pct": 274.7081348773292, "cagr_pct": 39.13604160631331, "max_drawdown_pct": 78.42408857725518, "mean_exposure_while_solvent": 0.9402424480265702, "realized_annual_volatility_pct": 63.991206860937, "trading_costs_quote_units": 2727.835936007322, "borrowing_costs_quote_units": 951.0227473512817, "price_pnl_quote_units": 31149.672171091945, "turnover_quote_units": 909278.6453357739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45873.826911080156, "return_pct": 358.7382691108016, "cagr_pct": 46.35585878696041, "max_drawdown_pct": 78.74183340065447, "mean_exposure_while_solvent": 0.9982579635581063, "realized_annual_volatility_pct": 70.41929018172787, "trading_costs_quote_units": 2393.7734202537763, "borrowing_costs_quote_units": 711.6299814216339, "price_pnl_quote_units": 38979.23031275554, "turnover_quote_units": 797924.4734179262, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -84.03013423347238 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36534.317523221944, "return_pct": 265.34317523221944, "cagr_pct": 38.258327640911006, "max_drawdown_pct": 65.56296943286468, "mean_exposure_while_solvent": 0.749966476042854, "realized_annual_volatility_pct": 53.226186274864375, "trading_costs_quote_units": 955.4536022394151, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27489.77112546174, "turnover_quote_units": 318484.53407980496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36534.317523221944, "return_pct": 265.34317523221944, "cagr_pct": 38.258327640911006, "max_drawdown_pct": 65.56296943286468, "mean_exposure_while_solvent": 0.749966476042854, "realized_annual_volatility_pct": 53.226186274864375, "trading_costs_quote_units": 955.4536022394151, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27489.77112546174, "turnover_quote_units": 318484.53407980496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44409.4674131318, "return_pct": 344.094674131318, "cagr_pct": 45.17350383189074, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998856881572931, "realized_annual_volatility_pct": 71.27141959518148, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34439.37768232467, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44409.4674131318, "return_pct": 344.094674131318, "cagr_pct": 45.17350383189074, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998856881572931, "realized_annual_volatility_pct": 71.27141959518148, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34439.37768232467, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40294.542333709294, "return_pct": 302.9454233370929, "cagr_pct": 41.68661343728537, "max_drawdown_pct": 85.74605122596451, "mean_exposure_while_solvent": 1.2498989417887392, "realized_annual_volatility_pct": 89.60887716551558, "trading_costs_quote_units": 3001.555310732137, "borrowing_costs_quote_units": 7896.665573488279, "price_pnl_quote_units": 41192.76321792938, "turnover_quote_units": 1000518.4369107122, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40294.542333709294, "return_pct": 302.9454233370929, "cagr_pct": 41.68661343728537, "max_drawdown_pct": 85.74605122596451, "mean_exposure_while_solvent": 1.2498989417887392, "realized_annual_volatility_pct": 89.60887716551558, "trading_costs_quote_units": 3001.555310732137, "borrowing_costs_quote_units": 7896.665573488279, "price_pnl_quote_units": 41192.76321792938, "turnover_quote_units": 1000518.4369107122, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31296.071960794863, "return_pct": 212.96071960794865, "cagr_pct": 33.01070352481788, "max_drawdown_pct": 92.1393613624469, "mean_exposure_while_solvent": 1.5000470419130054, "realized_annual_volatility_pct": 108.39474596117743, "trading_costs_quote_units": 8308.961930581108, "borrowing_costs_quote_units": 18123.4720047871, "price_pnl_quote_units": 47728.50589616246, "turnover_quote_units": 2769653.976860375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31296.071960794863, "return_pct": 212.96071960794865, "cagr_pct": 33.01070352481788, "max_drawdown_pct": 92.1393613624469, "mean_exposure_while_solvent": 1.5000470419130054, "realized_annual_volatility_pct": 108.39474596117743, "trading_costs_quote_units": 8308.961930581108, "borrowing_costs_quote_units": 18123.4720047871, "price_pnl_quote_units": 47728.50589616246, "turnover_quote_units": 2769653.976860375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33598.98572474046, "return_pct": 235.9898572474046, "cagr_pct": 35.39310682120133, "max_drawdown_pct": 67.18199986174108, "mean_exposure_while_solvent": 0.6673427829946704, "realized_annual_volatility_pct": 43.91042943612799, "trading_costs_quote_units": 3060.8235870639805, "borrowing_costs_quote_units": 427.12025997357375, "price_pnl_quote_units": 27086.92957177817, "turnover_quote_units": 1020274.5290213263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33978.6176510903, "return_pct": 239.786176510903, "cagr_pct": 35.77398910344081, "max_drawdown_pct": 67.42523962542187, "mean_exposure_while_solvent": 0.7543940546779389, "realized_annual_volatility_pct": 55.93048585189362, "trading_costs_quote_units": 3575.917883242573, "borrowing_costs_quote_units": 274.05125095454565, "price_pnl_quote_units": 27828.586785287902, "turnover_quote_units": 1191972.6277475236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -3.796319263498418 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32390.4102383486, "return_pct": 223.90410238348596, "cagr_pct": 34.158647242363685, "max_drawdown_pct": 81.95298297549212, "mean_exposure_while_solvent": 0.9707506827963311, "realized_annual_volatility_pct": 64.62354254830827, "trading_costs_quote_units": 4967.794092617399, "borrowing_costs_quote_units": 2713.8147165080504, "price_pnl_quote_units": 30072.019047474187, "turnover_quote_units": 1655931.3642058014, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36116.20445861283, "return_pct": 261.16204458612833, "cagr_pct": 37.86100267014497, "max_drawdown_pct": 81.95298297549212, "mean_exposure_while_solvent": 0.9893820301832968, "realized_annual_volatility_pct": 68.2603108571518, "trading_costs_quote_units": 5164.426539106509, "borrowing_costs_quote_units": 2439.4493218572984, "price_pnl_quote_units": 33720.080319576155, "turnover_quote_units": 1721475.513035505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -37.25794220264237 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24291.61998767365, "return_pct": 142.9161998767365, "cagr_pct": 24.846138409556502, "max_drawdown_pct": 89.85449181867273, "mean_exposure_while_solvent": 1.2147678039668837, "realized_annual_volatility_pct": 83.2724186212178, "trading_costs_quote_units": 6376.8744139460705, "borrowing_costs_quote_units": 10428.041505920888, "price_pnl_quote_units": 31096.535907540878, "turnover_quote_units": 2125624.8046486904, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31172.118408144146, "return_pct": 211.72118408144146, "cagr_pct": 32.87878939461166, "max_drawdown_pct": 89.85449181867268, "mean_exposure_while_solvent": 1.1748239685056938, "realized_annual_volatility_pct": 79.38785050052213, "trading_costs_quote_units": 7266.138270993741, "borrowing_costs_quote_units": 10729.46916689743, "price_pnl_quote_units": 39167.7258460353, "turnover_quote_units": 2422046.090331242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1099, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -68.80498420470497 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23867.938131578805, "return_pct": 138.67938131578805, "cagr_pct": 24.298103422084473, "max_drawdown_pct": 82.4165734032019, "mean_exposure_while_solvent": 1.012289373514167, "realized_annual_volatility_pct": 65.70355233565577, "trading_costs_quote_units": 7282.94034571213, "borrowing_costs_quote_units": 3328.963431944718, "price_pnl_quote_units": 24479.84190923569, "turnover_quote_units": 2427646.7819040464, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31081.63047051803, "return_pct": 210.8163047051803, "cagr_pct": 32.78224148495034, "max_drawdown_pct": 82.41657340320188, "mean_exposure_while_solvent": 1.0155492481936315, "realized_annual_volatility_pct": 66.88974351079428, "trading_costs_quote_units": 8807.405567889422, "borrowing_costs_quote_units": 3697.1240289322413, "price_pnl_quote_units": 33586.160067339886, "turnover_quote_units": 2935801.855963145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1291, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -72.13692338939225 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36274.40582844414, "return_pct": 262.7440582844414, "cagr_pct": 38.01174214583678, "max_drawdown_pct": 78.48688974537951, "mean_exposure_while_solvent": 0.9402548694135535, "realized_annual_volatility_pct": 63.99193347431796, "trading_costs_quote_units": 2666.0788501921065, "borrowing_costs_quote_units": 1865.6921539383277, "price_pnl_quote_units": 30806.17683257414, "turnover_quote_units": 888692.9500640366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45017.87092185898, "return_pct": 350.1787092185898, "cagr_pct": 45.668240365592105, "max_drawdown_pct": 78.80370970652457, "mean_exposure_while_solvent": 0.9982649738117353, "realized_annual_volatility_pct": 70.41960629172986, "trading_costs_quote_units": 2365.959364796889, "borrowing_costs_quote_units": 1407.3434325827723, "price_pnl_quote_units": 38791.17371923842, "turnover_quote_units": 788653.1215989633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -87.43465093414841 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32204.03056807663, "return_pct": 222.04030568076627, "cagr_pct": 33.965214696963656, "max_drawdown_pct": 77.42458900823546, "mean_exposure_while_solvent": 0.868944369977955, "realized_annual_volatility_pct": 58.60970475022924, "trading_costs_quote_units": 2409.1643315953343, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24613.194899672137, "turnover_quote_units": 803054.777198444, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 878, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37811.2175692635, "return_pct": 278.112175692635, "cagr_pct": 39.451002530426365, "max_drawdown_pct": 77.42458900823546, "mean_exposure_while_solvent": 0.9097479163673133, "realized_annual_volatility_pct": 64.20482273075942, "trading_costs_quote_units": 2711.0173607967836, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30522.234930059858, "turnover_quote_units": 903672.4535989263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 630, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -56.071870011868725 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36412.86987875389, "return_pct": 264.1286987875389, "cagr_pct": 38.1432711761146, "max_drawdown_pct": 78.48688974537956, "mean_exposure_while_solvent": 0.9481405319216241, "realized_annual_volatility_pct": 64.97378745668395, "trading_costs_quote_units": 2643.116328734905, "borrowing_costs_quote_units": 1872.1048270192034, "price_pnl_quote_units": 30928.091034508165, "turnover_quote_units": 881038.7762449678, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1393, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45017.87092185898, "return_pct": 350.1787092185898, "cagr_pct": 45.668240365592105, "max_drawdown_pct": 78.80370970652457, "mean_exposure_while_solvent": 0.9982649738117353, "realized_annual_volatility_pct": 70.41960629172986, "trading_costs_quote_units": 2365.959364796889, "borrowing_costs_quote_units": 1407.3434325827723, "price_pnl_quote_units": 38791.17371923842, "turnover_quote_units": 788653.1215989633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -86.05001043105091 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36274.40582844414, "return_pct": 262.7440582844414, "cagr_pct": 38.01174214583678, "max_drawdown_pct": 78.48688974537951, "mean_exposure_while_solvent": 0.9402548694135535, "realized_annual_volatility_pct": 63.99193347431796, "trading_costs_quote_units": 2666.0788501921065, "borrowing_costs_quote_units": 1865.6921539383277, "price_pnl_quote_units": 30806.17683257414, "turnover_quote_units": 888692.9500640366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45017.87092185898, "return_pct": 350.1787092185898, "cagr_pct": 45.668240365592105, "max_drawdown_pct": 78.80370970652457, "mean_exposure_while_solvent": 0.9982649738117353, "realized_annual_volatility_pct": 70.41960629172986, "trading_costs_quote_units": 2365.959364796889, "borrowing_costs_quote_units": 1407.3434325827723, "price_pnl_quote_units": 38791.17371923842, "turnover_quote_units": 788653.1215989633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 747, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -87.43465093414841 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36534.317523221944, "return_pct": 265.34317523221944, "cagr_pct": 38.258327640911006, "max_drawdown_pct": 65.56296943286468, "mean_exposure_while_solvent": 0.749966476042854, "realized_annual_volatility_pct": 53.226186274864375, "trading_costs_quote_units": 955.4536022394151, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27489.77112546174, "turnover_quote_units": 318484.53407980496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36534.317523221944, "return_pct": 265.34317523221944, "cagr_pct": 38.258327640911006, "max_drawdown_pct": 65.56296943286468, "mean_exposure_while_solvent": 0.749966476042854, "realized_annual_volatility_pct": 53.226186274864375, "trading_costs_quote_units": 955.4536022394151, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27489.77112546174, "turnover_quote_units": 318484.53407980496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 44409.4674131318, "return_pct": 344.094674131318, "cagr_pct": 45.17350383189074, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998856881572931, "realized_annual_volatility_pct": 71.27141959518148, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34439.37768232467, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 44409.4674131318, "return_pct": 344.094674131318, "cagr_pct": 45.17350383189074, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998856881572931, "realized_annual_volatility_pct": 71.27141959518148, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34439.37768232467, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36458.99190363992, "return_pct": 264.58991903639924, "cagr_pct": 38.186999876708875, "max_drawdown_pct": 86.30956344199429, "mean_exposure_while_solvent": 1.249935054951396, "realized_annual_volatility_pct": 89.61281925751614, "trading_costs_quote_units": 2825.3037682310796, "borrowing_costs_quote_units": 14838.433032119863, "price_pnl_quote_units": 44122.72870399079, "turnover_quote_units": 941767.9227436922, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36458.99190363992, "return_pct": 264.58991903639924, "cagr_pct": 38.186999876708875, "max_drawdown_pct": 86.30956344199429, "mean_exposure_while_solvent": 1.249935054951396, "realized_annual_volatility_pct": 89.61281925751614, "trading_costs_quote_units": 2825.3037682310796, "borrowing_costs_quote_units": 14838.433032119863, "price_pnl_quote_units": 44122.72870399079, "turnover_quote_units": 941767.9227436922, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25617.666093270876, "return_pct": 156.17666093270876, "cagr_pct": 26.51631758528545, "max_drawdown_pct": 92.74955299891495, "mean_exposure_while_solvent": 1.5001338063330008, "realized_annual_volatility_pct": 108.40457469813552, "trading_costs_quote_units": 7368.595938675506, "borrowing_costs_quote_units": 32052.819922273713, "price_pnl_quote_units": 55039.081954219626, "turnover_quote_units": 2456198.646225167, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25617.666093270876, "return_pct": 156.17666093270876, "cagr_pct": 26.51631758528545, "max_drawdown_pct": 92.74955299891495, "mean_exposure_while_solvent": 1.5001338063330008, "realized_annual_volatility_pct": 108.40457469813552, "trading_costs_quote_units": 7368.595938675506, "borrowing_costs_quote_units": 32052.819922273713, "price_pnl_quote_units": 55039.081954219626, "turnover_quote_units": 2456198.646225167, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1452, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34509.2960464681, "return_pct": 245.09296046468103, "cagr_pct": 36.301102382797254, "max_drawdown_pct": 67.11470516440276, "mean_exposure_while_solvent": 0.6670457609958222, "realized_annual_volatility_pct": 44.13891283613846, "trading_costs_quote_units": 3174.7700867450453, "borrowing_costs_quote_units": 107.01322312516368, "price_pnl_quote_units": 27791.079356337923, "turnover_quote_units": 1058256.6955816802, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33535.82978732981, "return_pct": 235.35829787329808, "cagr_pct": 35.32943013243368, "max_drawdown_pct": 67.35473272955919, "mean_exposure_while_solvent": 0.7541004397462389, "realized_annual_volatility_pct": 56.03734395431421, "trading_costs_quote_units": 3565.0612196474494, "borrowing_costs_quote_units": 67.05143018661208, "price_pnl_quote_units": 27167.94243716427, "turnover_quote_units": 1188353.7398824831, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 9.734662591382943 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36910.97656361484, "return_pct": 269.1097656361483, "cagr_pct": 38.61335030464403, "max_drawdown_pct": 81.65865484407432, "mean_exposure_while_solvent": 0.9702383147928961, "realized_annual_volatility_pct": 64.65462274309418, "trading_costs_quote_units": 5419.526223533584, "borrowing_costs_quote_units": 728.620739228417, "price_pnl_quote_units": 33059.12352637653, "turnover_quote_units": 1806508.7411778602, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37180.33087095462, "return_pct": 271.8033087095462, "cagr_pct": 38.86556942671643, "max_drawdown_pct": 81.65865484407433, "mean_exposure_while_solvent": 0.9889007019127429, "realized_annual_volatility_pct": 68.36591706729548, "trading_costs_quote_units": 5165.485500898734, "borrowing_costs_quote_units": 614.7077318847286, "price_pnl_quote_units": 32960.52410373851, "turnover_quote_units": 1721828.500299579, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -2.693543073397848 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 31371.094758683997, "return_pct": 213.71094758684, "cagr_pct": 33.0903542155831, "max_drawdown_pct": 89.4472408267533, "mean_exposure_while_solvent": 1.2141213935899857, "realized_annual_volatility_pct": 82.58851590620195, "trading_costs_quote_units": 7602.502397627141, "borrowing_costs_quote_units": 3091.6415549374033, "price_pnl_quote_units": 32065.238711248963, "turnover_quote_units": 2534167.465875719, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33353.48420377975, "return_pct": 233.5348420377975, "cagr_pct": 35.14507492689736, "max_drawdown_pct": 89.44724082675334, "mean_exposure_while_solvent": 1.1742802842737767, "realized_annual_volatility_pct": 79.54512221334895, "trading_costs_quote_units": 7361.834322023451, "borrowing_costs_quote_units": 2733.1540739779944, "price_pnl_quote_units": 33448.47259978051, "turnover_quote_units": 2453944.77400782, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -19.823894450957482 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26520.9410772438, "return_pct": 165.209410772438, "cagr_pct": 27.617230204240002, "max_drawdown_pct": 82.52884923776058, "mean_exposure_while_solvent": 1.0118294566979436, "realized_annual_volatility_pct": 65.8950208589878, "trading_costs_quote_units": 7910.977440879102, "borrowing_costs_quote_units": 884.9851610131495, "price_pnl_quote_units": 25316.90367913574, "turnover_quote_units": 2636992.4802930313, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33650.72988226215, "return_pct": 236.50729882262152, "cagr_pct": 35.44521076665329, "max_drawdown_pct": 82.52884923776055, "mean_exposure_while_solvent": 1.0151175327419668, "realized_annual_volatility_pct": 67.08419875881218, "trading_costs_quote_units": 9436.83288054823, "borrowing_costs_quote_units": 974.3248553786294, "price_pnl_quote_units": 34061.88761818851, "turnover_quote_units": 3145610.960182742, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1298, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -71.29788805018353 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 41086.30853123036, "return_pct": 310.8630853123036, "cagr_pct": 42.37763836623326, "max_drawdown_pct": 78.2368492108617, "mean_exposure_while_solvent": 0.9399158127234172, "realized_annual_volatility_pct": 63.86531259224862, "trading_costs_quote_units": 3004.5604640213605, "borrowing_costs_quote_units": 502.47428399475075, "price_pnl_quote_units": 34593.343279246525, "turnover_quote_units": 1001520.1546737847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46446.23637067151, "return_pct": 364.4623637067151, "cagr_pct": 46.810343606834124, "max_drawdown_pct": 78.59279353129095, "mean_exposure_while_solvent": 0.9980106335676675, "realized_annual_volatility_pct": 70.43685966595645, "trading_costs_quote_units": 2443.7243754046413, "borrowing_costs_quote_units": 358.6384629482648, "price_pnl_quote_units": 39248.59920902429, "turnover_quote_units": 814574.7918015472, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -53.5992783944115 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33154.12492474356, "return_pct": 231.54124924743562, "cagr_pct": 34.94265151453839, "max_drawdown_pct": 77.34874565493767, "mean_exposure_while_solvent": 0.8687422904068495, "realized_annual_volatility_pct": 58.72513611886044, "trading_costs_quote_units": 2505.3232578694688, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 25659.44818261291, "turnover_quote_units": 835107.7526231565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 884, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36337.494192510996, "return_pct": 263.37494192510997, "cagr_pct": 38.071717318949624, "max_drawdown_pct": 77.34874565493769, "mean_exposure_while_solvent": 0.909585891441808, "realized_annual_volatility_pct": 64.30825592355066, "trading_costs_quote_units": 2638.994763764992, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 28976.48895627596, "turnover_quote_units": 879664.9212549978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 636, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -31.83369267767435 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 41592.064791019715, "return_pct": 315.92064791019715, "cagr_pct": 42.81383319295377, "max_drawdown_pct": 78.23684921086175, "mean_exposure_while_solvent": 0.9477936475719902, "realized_annual_volatility_pct": 64.84057444222367, "trading_costs_quote_units": 3006.9204522829646, "borrowing_costs_quote_units": 508.07579154892096, "price_pnl_quote_units": 35107.06103485231, "turnover_quote_units": 1002306.8174276561, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1400, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46446.23637067151, "return_pct": 364.4623637067151, "cagr_pct": 46.810343606834124, "max_drawdown_pct": 78.59279353129095, "mean_exposure_while_solvent": 0.9980106335676675, "realized_annual_volatility_pct": 70.43685966595645, "trading_costs_quote_units": 2443.7243754046413, "borrowing_costs_quote_units": 358.6384629482648, "price_pnl_quote_units": 39248.59920902429, "turnover_quote_units": 814574.7918015472, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -48.54171579651796 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 41086.30853123036, "return_pct": 310.8630853123036, "cagr_pct": 42.37763836623326, "max_drawdown_pct": 78.2368492108617, "mean_exposure_while_solvent": 0.9399158127234172, "realized_annual_volatility_pct": 63.86531259224862, "trading_costs_quote_units": 3004.5604640213605, "borrowing_costs_quote_units": 502.47428399475075, "price_pnl_quote_units": 34593.343279246525, "turnover_quote_units": 1001520.1546737847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46446.23637067151, "return_pct": 364.4623637067151, "cagr_pct": 46.810343606834124, "max_drawdown_pct": 78.59279353129095, "mean_exposure_while_solvent": 0.9980106335676675, "realized_annual_volatility_pct": 70.43685966595645, "trading_costs_quote_units": 2443.7243754046413, "borrowing_costs_quote_units": 358.6384629482648, "price_pnl_quote_units": 39248.59920902429, "turnover_quote_units": 814574.7918015472, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -53.5992783944115 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36587.57394517215, "return_pct": 265.87573945172153, "cagr_pct": 38.308690987706726, "max_drawdown_pct": 65.45770190119838, "mean_exposure_while_solvent": 0.7498727708234126, "realized_annual_volatility_pct": 53.33049419995605, "trading_costs_quote_units": 964.9053282565436, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27552.479273428842, "turnover_quote_units": 321635.1094188481, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36587.57394517215, "return_pct": 265.87573945172153, "cagr_pct": 38.308690987706726, "max_drawdown_pct": 65.45770190119838, "mean_exposure_while_solvent": 0.7498727708234126, "realized_annual_volatility_pct": 53.33049419995605, "trading_costs_quote_units": 964.9053282565436, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27552.479273428842, "turnover_quote_units": 321635.1094188481, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44785.95679773619, "return_pct": 347.8595679773619, "cagr_pct": 45.48024923833073, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9996570644718793, "realized_annual_volatility_pct": 71.27051850546118, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34815.867066929146, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44785.95679773619, "return_pct": 347.8595679773619, "cagr_pct": 45.48024923833073, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9996570644718793, "realized_annual_volatility_pct": 71.27051850546118, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34815.867066929146, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 43311.40471891009, "return_pct": 333.1140471891009, "cagr_pct": 44.267572703713896, "max_drawdown_pct": 85.61860331153869, "mean_exposure_while_solvent": 1.249471134336138, "realized_annual_volatility_pct": 89.35669390003221, "trading_costs_quote_units": 3263.012590821556, "borrowing_costs_quote_units": 4184.624755937495, "price_pnl_quote_units": 40759.042065669244, "turnover_quote_units": 1087670.8636071836, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 43311.40471891009, "return_pct": 333.1140471891009, "cagr_pct": 44.267572703713896, "max_drawdown_pct": 85.61860331153869, "mean_exposure_while_solvent": 1.249471134336138, "realized_annual_volatility_pct": 89.35669390003221, "trading_costs_quote_units": 3263.012590821556, "borrowing_costs_quote_units": 4184.624755937495, "price_pnl_quote_units": 40759.042065669244, "turnover_quote_units": 1087670.8636071836, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36161.018195713754, "return_pct": 261.6101819571375, "cagr_pct": 37.90375286245482, "max_drawdown_pct": 91.92723892266457, "mean_exposure_while_solvent": 1.4993646508912533, "realized_annual_volatility_pct": 107.62518559289371, "trading_costs_quote_units": 9656.08292420725, "borrowing_costs_quote_units": 10195.033286597585, "price_pnl_quote_units": 46012.13440651903, "turnover_quote_units": 3218694.308069083, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36161.018195713754, "return_pct": 261.6101819571375, "cagr_pct": 37.90375286245482, "max_drawdown_pct": 91.92723892266457, "mean_exposure_while_solvent": 1.4993646508912533, "realized_annual_volatility_pct": 107.62518559289371, "trading_costs_quote_units": 9656.08292420725, "borrowing_costs_quote_units": 10195.033286597585, "price_pnl_quote_units": 46012.13440651903, "turnover_quote_units": 3218694.308069083, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34372.668483815185, "return_pct": 243.72668483815184, "cagr_pct": 36.16597700504121, "max_drawdown_pct": 67.12954560137167, "mean_exposure_while_solvent": 0.6670472747245908, "realized_annual_volatility_pct": 44.13875569494288, "trading_costs_quote_units": 3167.4208586194354, "borrowing_costs_quote_units": 213.53326372807012, "price_pnl_quote_units": 27753.622606162673, "turnover_quote_units": 1055806.952873144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33460.64946370495, "return_pct": 234.60649463704945, "cagr_pct": 35.25351255321284, "max_drawdown_pct": 67.36946484717228, "mean_exposure_while_solvent": 0.7541012426759235, "realized_annual_volatility_pct": 56.037400819273095, "trading_costs_quote_units": 3561.9087917774405, "borrowing_costs_quote_units": 133.94032692084832, "price_pnl_quote_units": 27156.49858240337, "turnover_quote_units": 1187302.9305924834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 9.120190201102389 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36170.15709065779, "return_pct": 261.70157090657796, "cagr_pct": 37.9124660591957, "max_drawdown_pct": 81.72294586961861, "mean_exposure_while_solvent": 0.9702462257588961, "realized_annual_volatility_pct": 64.6550645693807, "trading_costs_quote_units": 5346.660093242042, "borrowing_costs_quote_units": 1439.061254794937, "price_pnl_quote_units": 32955.87843869471, "turnover_quote_units": 1782220.0310806786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36595.05652888598, "return_pct": 265.9505652888598, "cagr_pct": 38.3157626855143, "max_drawdown_pct": 81.72294586961863, "mean_exposure_while_solvent": 0.9889068511764757, "realized_annual_volatility_pct": 68.36628550146862, "trading_costs_quote_units": 5115.054338724443, "borrowing_costs_quote_units": 1217.5780176124474, "price_pnl_quote_units": 32927.68888522321, "turnover_quote_units": 1705018.112908146, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -4.2489943822818645 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29794.924393285088, "return_pct": 197.94924393285086, "cagr_pct": 31.38600144316097, "max_drawdown_pct": 89.59503936213262, "mean_exposure_while_solvent": 1.214142157332456, "realized_annual_volatility_pct": 82.59068673442695, "trading_costs_quote_units": 7363.045400919382, "borrowing_costs_quote_units": 5988.2748369021765, "price_pnl_quote_units": 33146.24463110749, "turnover_quote_units": 2454348.466973124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32008.15364079945, "return_pct": 220.0815364079945, "cagr_pct": 33.7610185303073, "max_drawdown_pct": 89.5950393621326, "mean_exposure_while_solvent": 1.1742969099172695, "realized_annual_volatility_pct": 79.5465359091925, "trading_costs_quote_units": 7191.869499578227, "borrowing_costs_quote_units": 5333.7552498333835, "price_pnl_quote_units": 34533.77839021026, "turnover_quote_units": 2397289.8331927415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -22.13229247514363 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25792.361563766473, "return_pct": 157.92361563766474, "cagr_pct": 26.731482080805325, "max_drawdown_pct": 82.62096152114793, "mean_exposure_while_solvent": 1.0118406611486666, "realized_annual_volatility_pct": 65.8959482698057, "trading_costs_quote_units": 7773.8848924925915, "borrowing_costs_quote_units": 1740.6555862440969, "price_pnl_quote_units": 25306.90204250308, "turnover_quote_units": 2591294.9641642054, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32824.56571686545, "return_pct": 228.2456571686545, "cagr_pct": 34.606016033994585, "max_drawdown_pct": 82.62096152114789, "mean_exposure_while_solvent": 1.0151274959562384, "realized_annual_volatility_pct": 67.08497727705448, "trading_costs_quote_units": 9295.029883696521, "borrowing_costs_quote_units": 1919.4270520271489, "price_pnl_quote_units": 34039.02265258876, "turnover_quote_units": 3098343.294565508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1298, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -70.32204153098976 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40425.28375372036, "return_pct": 304.25283753720356, "cagr_pct": 41.801417595422855, "max_drawdown_pct": 78.26838787362209, "mean_exposure_while_solvent": 0.9399219925734492, "realized_annual_volatility_pct": 63.865583522199074, "trading_costs_quote_units": 2969.880343365416, "borrowing_costs_quote_units": 995.1678630033966, "price_pnl_quote_units": 34390.33196008914, "turnover_quote_units": 989960.1144551401, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46010.80173648809, "return_pct": 360.1080173648809, "cagr_pct": 46.46500024658234, "max_drawdown_pct": 78.62381636764397, "mean_exposure_while_solvent": 0.998014115600827, "realized_annual_volatility_pct": 70.43697964838584, "trading_costs_quote_units": 2429.5105798324175, "borrowing_costs_quote_units": 713.246637719515, "price_pnl_quote_units": 39153.55895403989, "turnover_quote_units": 809836.8599441387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -55.85517982767732 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33154.12492474356, "return_pct": 231.54124924743562, "cagr_pct": 34.94265151453839, "max_drawdown_pct": 77.34874565493767, "mean_exposure_while_solvent": 0.8687422904068495, "realized_annual_volatility_pct": 58.72513611886044, "trading_costs_quote_units": 2505.3232578694688, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 25659.44818261291, "turnover_quote_units": 835107.7526231565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 884, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36337.494192510996, "return_pct": 263.37494192510997, "cagr_pct": 38.071717318949624, "max_drawdown_pct": 77.34874565493769, "mean_exposure_while_solvent": 0.909585891441808, "realized_annual_volatility_pct": 64.30825592355066, "trading_costs_quote_units": 2638.994763764992, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 28976.48895627596, "turnover_quote_units": 879664.9212549978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 636, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -31.83369267767435 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40922.90305910708, "return_pct": 309.22903059107074, "cagr_pct": 42.23584708509936, "max_drawdown_pct": 78.26838787362209, "mean_exposure_while_solvent": 0.9477998274220223, "realized_annual_volatility_pct": 64.84084217229073, "trading_costs_quote_units": 2971.935013741116, "borrowing_costs_quote_units": 1006.2527548618046, "price_pnl_quote_units": 34901.09082771028, "turnover_quote_units": 990645.0045803725, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1400, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46010.80173648809, "return_pct": 360.1080173648809, "cagr_pct": 46.46500024658234, "max_drawdown_pct": 78.62381636764397, "mean_exposure_while_solvent": 0.998014115600827, "realized_annual_volatility_pct": 70.43697964838584, "trading_costs_quote_units": 2429.5105798324175, "borrowing_costs_quote_units": 713.246637719515, "price_pnl_quote_units": 39153.55895403989, "turnover_quote_units": 809836.8599441387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -50.87898677381014 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40425.28375372036, "return_pct": 304.25283753720356, "cagr_pct": 41.801417595422855, "max_drawdown_pct": 78.26838787362209, "mean_exposure_while_solvent": 0.9399219925734492, "realized_annual_volatility_pct": 63.865583522199074, "trading_costs_quote_units": 2969.880343365416, "borrowing_costs_quote_units": 995.1678630033966, "price_pnl_quote_units": 34390.33196008914, "turnover_quote_units": 989960.1144551401, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46010.80173648809, "return_pct": 360.1080173648809, "cagr_pct": 46.46500024658234, "max_drawdown_pct": 78.62381636764397, "mean_exposure_while_solvent": 0.998014115600827, "realized_annual_volatility_pct": 70.43697964838584, "trading_costs_quote_units": 2429.5105798324175, "borrowing_costs_quote_units": 713.246637719515, "price_pnl_quote_units": 39153.55895403989, "turnover_quote_units": 809836.8599441387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -55.85517982767732 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36587.57394517215, "return_pct": 265.87573945172153, "cagr_pct": 38.308690987706726, "max_drawdown_pct": 65.45770190119838, "mean_exposure_while_solvent": 0.7498727708234126, "realized_annual_volatility_pct": 53.33049419995605, "trading_costs_quote_units": 964.9053282565436, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27552.479273428842, "turnover_quote_units": 321635.1094188481, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36587.57394517215, "return_pct": 265.87573945172153, "cagr_pct": 38.308690987706726, "max_drawdown_pct": 65.45770190119838, "mean_exposure_while_solvent": 0.7498727708234126, "realized_annual_volatility_pct": 53.33049419995605, "trading_costs_quote_units": 964.9053282565436, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27552.479273428842, "turnover_quote_units": 321635.1094188481, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 44785.95679773619, "return_pct": 347.8595679773619, "cagr_pct": 45.48024923833073, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9996570644718793, "realized_annual_volatility_pct": 71.27051850546118, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34815.867066929146, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 44785.95679773619, "return_pct": 347.8595679773619, "cagr_pct": 45.48024923833073, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9996570644718793, "realized_annual_volatility_pct": 71.27051850546118, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34815.867066929146, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 41199.257640233875, "return_pct": 311.9925764023387, "cagr_pct": 42.47540030700323, "max_drawdown_pct": 85.82249555509891, "mean_exposure_while_solvent": 1.2494889726314329, "realized_annual_volatility_pct": 89.35844636802081, "trading_costs_quote_units": 3164.8128715150224, "borrowing_costs_quote_units": 8111.279573771891, "price_pnl_quote_units": 42475.35008552089, "turnover_quote_units": 1054937.6238383404, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 41199.257640233875, "return_pct": 311.9925764023387, "cagr_pct": 42.47540030700323, "max_drawdown_pct": 85.82249555509891, "mean_exposure_while_solvent": 1.2494889726314329, "realized_annual_volatility_pct": 89.35844636802081, "trading_costs_quote_units": 3164.8128715150224, "borrowing_costs_quote_units": 8111.279573771891, "price_pnl_quote_units": 42475.35008552089, "turnover_quote_units": 1054937.6238383404, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32717.848635113907, "return_pct": 227.17848635113907, "cagr_pct": 34.49646433416726, "max_drawdown_pct": 92.24688669903439, "mean_exposure_while_solvent": 1.4994074928099894, "realized_annual_volatility_pct": 107.62945621510637, "trading_costs_quote_units": 9086.11133743021, "borrowing_costs_quote_units": 19165.185650331798, "price_pnl_quote_units": 50969.14562287709, "turnover_quote_units": 3028703.779143406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32717.848635113907, "return_pct": 227.17848635113907, "cagr_pct": 34.49646433416726, "max_drawdown_pct": 92.24688669903439, "mean_exposure_while_solvent": 1.4994074928099894, "realized_annual_volatility_pct": 107.62945621510637, "trading_costs_quote_units": 9086.11133743021, "borrowing_costs_quote_units": 19165.185650331798, "price_pnl_quote_units": 50969.14562287709, "turnover_quote_units": 3028703.779143406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 34100.969760917025, "return_pct": 241.00969760917025, "cagr_pct": 35.896063984021964, "max_drawdown_pct": 67.1592130626628, "mean_exposure_while_solvent": 0.6670503027187924, "realized_annual_volatility_pct": 44.13844609706142, "trading_costs_quote_units": 3152.77653672787, "borrowing_costs_quote_units": 425.101477548825, "price_pnl_quote_units": 27678.84777519358, "turnover_quote_units": 1050925.5122426227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33310.760896831634, "return_pct": 233.10760896831636, "cagr_pct": 35.101771512514226, "max_drawdown_pct": 67.39891576764978, "mean_exposure_while_solvent": 0.7541028487876755, "realized_annual_volatility_pct": 56.03751628821859, "trading_costs_quote_units": 3555.612219929116, "borrowing_costs_quote_units": 267.2318060591819, "price_pnl_quote_units": 27133.604922819814, "turnover_quote_units": 1185204.0733097037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 7.90208864085389 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 34732.43212909388, "return_pct": 247.32432129093885, "cagr_pct": 36.520924963138654, "max_drawdown_pct": 81.85089555576893, "mean_exposure_while_solvent": 0.9702620506613562, "realized_annual_volatility_pct": 64.65596277739337, "trading_costs_quote_units": 5204.143427652595, "borrowing_costs_quote_units": 2806.955777836093, "price_pnl_quote_units": 32743.531334582374, "turnover_quote_units": 1734714.475884195, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 35451.679226007895, "return_pct": 254.51679226007892, "cagr_pct": 37.22235860703918, "max_drawdown_pct": 81.85089555576894, "mean_exposure_while_solvent": 0.9889191519956899, "realized_annual_volatility_pct": 68.36703383738715, "trading_costs_quote_units": 5015.826767970831, "borrowing_costs_quote_units": 2388.5797544103593, "price_pnl_quote_units": 32856.085748388694, "turnover_quote_units": 1671942.2559902763, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -7.192470969140061 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26875.403617997814, "return_pct": 168.75403617997816, "cagr_pct": 28.041571308450113, "max_drawdown_pct": 89.88453623127704, "mean_exposure_while_solvent": 1.2141836930798842, "realized_annual_volatility_pct": 82.59504643611241, "trading_costs_quote_units": 6908.375923586333, "borrowing_costs_quote_units": 11236.902013380763, "price_pnl_quote_units": 35020.68155496511, "turnover_quote_units": 2302791.974528779, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29477.402592826, "return_pct": 194.77402592826002, "cagr_pct": 31.034511583484704, "max_drawdown_pct": 89.88453623127704, "mean_exposure_while_solvent": 1.1743301678564624, "realized_annual_volatility_pct": 79.5493829861339, "trading_costs_quote_units": 6864.70349991619, "borrowing_costs_quote_units": 10158.332461532724, "price_pnl_quote_units": 36500.43855427492, "turnover_quote_units": 2288234.4999720636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1106, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -26.01998974828186 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24394.294258819275, "return_pct": 143.94294258819275, "cagr_pct": 24.977867782774716, "max_drawdown_pct": 82.80378802025686, "mean_exposure_while_solvent": 1.0118630745125394, "realized_annual_volatility_pct": 65.8978232422858, "trading_costs_quote_units": 7507.539973503868, "borrowing_costs_quote_units": 3367.4059957785466, "price_pnl_quote_units": 25269.240228101473, "turnover_quote_units": 2502513.3245012867, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31232.120655951418, "return_pct": 212.3212065595142, "cagr_pct": 32.942694151326016, "max_drawdown_pct": 82.8037880202569, "mean_exposure_while_solvent": 1.0151474263326516, "realized_annual_volatility_pct": 67.08655254679323, "trading_costs_quote_units": 9018.434940005, "borrowing_costs_quote_units": 3724.942911923937, "price_pnl_quote_units": 33975.498507880126, "turnover_quote_units": 3006144.9800016703, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1298, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -68.37826397132145 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 39134.61773802919, "return_pct": 291.3461773802919, "cagr_pct": 40.655647835765485, "max_drawdown_pct": 78.3313409797444, "mean_exposure_while_solvent": 0.9399343544868758, "realized_annual_volatility_pct": 63.86613650154798, "trading_costs_quote_units": 2901.8701979860343, "borrowing_costs_quote_units": 1951.8814192929697, "price_pnl_quote_units": 33988.36935530857, "turnover_quote_units": 967290.0659953445, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45151.89001513523, "return_pct": 351.5189001513523, "cagr_pct": 45.77654621242876, "max_drawdown_pct": 78.68573985260548, "mean_exposure_while_solvent": 0.9980210808495226, "realized_annual_volatility_pct": 70.43722540093162, "trading_costs_quote_units": 2401.3944323953247, "borrowing_costs_quote_units": 1410.5274961357943, "price_pnl_quote_units": 38963.81194366651, "turnover_quote_units": 800464.8107984411, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -60.172722771060364 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33154.12492474356, "return_pct": 231.54124924743562, "cagr_pct": 34.94265151453839, "max_drawdown_pct": 77.34874565493767, "mean_exposure_while_solvent": 0.8687422904068495, "realized_annual_volatility_pct": 58.72513611886044, "trading_costs_quote_units": 2505.3232578694688, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 25659.44818261291, "turnover_quote_units": 835107.7526231565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 884, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36337.494192510996, "return_pct": 263.37494192510997, "cagr_pct": 38.071717318949624, "max_drawdown_pct": 77.34874565493769, "mean_exposure_while_solvent": 0.909585891441808, "realized_annual_volatility_pct": 64.30825592355066, "trading_costs_quote_units": 2638.994763764992, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 28976.48895627596, "turnover_quote_units": 879664.9212549978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 636, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -31.83369267767435 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 39616.349453606425, "return_pct": 296.1634945360642, "cagr_pct": 41.08656709133853, "max_drawdown_pct": 78.33134097974437, "mean_exposure_while_solvent": 0.9478121893354489, "realized_annual_volatility_pct": 64.84138858519093, "trading_costs_quote_units": 2903.329606572327, "borrowing_costs_quote_units": 1973.5869069437194, "price_pnl_quote_units": 34493.2659671222, "turnover_quote_units": 967776.5355241096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1400, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45151.89001513523, "return_pct": 351.5189001513523, "cagr_pct": 45.77654621242876, "max_drawdown_pct": 78.68573985260548, "mean_exposure_while_solvent": 0.9980210808495226, "realized_annual_volatility_pct": 70.43722540093162, "trading_costs_quote_units": 2401.3944323953247, "borrowing_costs_quote_units": 1410.5274961357943, "price_pnl_quote_units": 38963.81194366651, "turnover_quote_units": 800464.8107984411, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -55.35540561528808 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 39134.61773802919, "return_pct": 291.3461773802919, "cagr_pct": 40.655647835765485, "max_drawdown_pct": 78.3313409797444, "mean_exposure_while_solvent": 0.9399343544868758, "realized_annual_volatility_pct": 63.86613650154798, "trading_costs_quote_units": 2901.8701979860343, "borrowing_costs_quote_units": 1951.8814192929697, "price_pnl_quote_units": 33988.36935530857, "turnover_quote_units": 967290.0659953445, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45151.89001513523, "return_pct": 351.5189001513523, "cagr_pct": 45.77654621242876, "max_drawdown_pct": 78.68573985260548, "mean_exposure_while_solvent": 0.9980210808495226, "realized_annual_volatility_pct": 70.43722540093162, "trading_costs_quote_units": 2401.3944323953247, "borrowing_costs_quote_units": 1410.5274961357943, "price_pnl_quote_units": 38963.81194366651, "turnover_quote_units": 800464.8107984411, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 753, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -60.172722771060364 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36587.57394517215, "return_pct": 265.87573945172153, "cagr_pct": 38.308690987706726, "max_drawdown_pct": 65.45770190119838, "mean_exposure_while_solvent": 0.7498727708234126, "realized_annual_volatility_pct": 53.33049419995605, "trading_costs_quote_units": 964.9053282565436, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27552.479273428842, "turnover_quote_units": 321635.1094188481, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36587.57394517215, "return_pct": 265.87573945172153, "cagr_pct": 38.308690987706726, "max_drawdown_pct": 65.45770190119838, "mean_exposure_while_solvent": 0.7498727708234126, "realized_annual_volatility_pct": 53.33049419995605, "trading_costs_quote_units": 964.9053282565436, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 27552.479273428842, "turnover_quote_units": 321635.1094188481, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44785.95679773619, "return_pct": 347.8595679773619, "cagr_pct": 45.48024923833073, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9996570644718793, "realized_annual_volatility_pct": 71.27051850546118, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34815.867066929146, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44785.95679773619, "return_pct": 347.8595679773619, "cagr_pct": 45.48024923833073, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9996570644718793, "realized_annual_volatility_pct": 71.27051850546118, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 34815.867066929146, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37278.02976595905, "return_pct": 272.78029765959053, "cagr_pct": 38.956714468245124, "max_drawdown_pct": 86.38309212527591, "mean_exposure_while_solvent": 1.2495246547499976, "realized_annual_volatility_pct": 89.36195232735768, "trading_costs_quote_units": 2978.0170315255345, "borrowing_costs_quote_units": 15242.192794189968, "price_pnl_quote_units": 45498.239591674836, "turnover_quote_units": 992672.3438418426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37278.02976595905, "return_pct": 272.78029765959053, "cagr_pct": 38.956714468245124, "max_drawdown_pct": 86.38309212527591, "mean_exposure_while_solvent": 1.2495246547499976, "realized_annual_volatility_pct": 89.36195232735768, "trading_costs_quote_units": 2978.0170315255345, "borrowing_costs_quote_units": 15242.192794189968, "price_pnl_quote_units": 45498.239591674836, "turnover_quote_units": 992672.3438418426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26782.223743807575, "return_pct": 167.82223743807575, "cagr_pct": 27.930430619781088, "max_drawdown_pct": 92.84888401146516, "mean_exposure_while_solvent": 1.4994931953562969, "realized_annual_volatility_pct": 107.63800077879809, "trading_costs_quote_units": 8052.480675764151, "borrowing_costs_quote_units": 33898.61779604708, "price_pnl_quote_units": 58733.32221561862, "turnover_quote_units": 2684160.2252547173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26782.223743807575, "return_pct": 167.82223743807575, "cagr_pct": 27.930430619781088, "max_drawdown_pct": 92.84888401146516, "mean_exposure_while_solvent": 1.4994931953562969, "realized_annual_volatility_pct": 107.63800077879809, "trading_costs_quote_units": 8052.480675764151, "borrowing_costs_quote_units": 33898.61779604708, "price_pnl_quote_units": 58733.32221561862, "turnover_quote_units": 2684160.2252547173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1459, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46270.647257672674, "return_pct": 362.70647257672675, "cagr_pct": 58.62062222247768, "max_drawdown_pct": 53.585194922152525, "mean_exposure_while_solvent": 0.9458505924880459, "realized_annual_volatility_pct": 42.26698891242728, "trading_costs_quote_units": 605.8469653668365, "borrowing_costs_quote_units": 558.5059244407332, "price_pnl_quote_units": 37435.00014748025, "turnover_quote_units": 1009744.9422780616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 45023.11052741937, "return_pct": 350.2311052741937, "cagr_pct": 57.32035713926429, "max_drawdown_pct": 54.83661839673035, "mean_exposure_while_solvent": 0.9486745960907408, "realized_annual_volatility_pct": 42.42591677345146, "trading_costs_quote_units": 596.2164722153225, "borrowing_costs_quote_units": 557.5678366520543, "price_pnl_quote_units": 36176.89483628644, "turnover_quote_units": 993694.1203588714, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 12.475367302533073 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 64532.816250979435, "return_pct": 545.3281625097943, "cagr_pct": 75.33512728574038, "max_drawdown_pct": 63.9379710883542, "mean_exposure_while_solvent": 1.3028352210164948, "realized_annual_volatility_pct": 58.94794180028813, "trading_costs_quote_units": 843.8903874354829, "borrowing_costs_quote_units": 3109.80982670702, "price_pnl_quote_units": 58486.516465121764, "turnover_quote_units": 1406483.9790591355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 70214.95621955754, "return_pct": 602.1495621955754, "cagr_pct": 79.8481360006974, "max_drawdown_pct": 60.76269519414945, "mean_exposure_while_solvent": 1.2946230108336751, "realized_annual_volatility_pct": 58.56022471513459, "trading_costs_quote_units": 851.088489916334, "borrowing_costs_quote_units": 3011.2847203336923, "price_pnl_quote_units": 64077.32942980736, "turnover_quote_units": 1418480.816527223, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -56.8213996857811 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66724.14428555142, "return_pct": 567.2414428555142, "cagr_pct": 77.10727122445837, "max_drawdown_pct": 66.06770185846464, "mean_exposure_while_solvent": 1.456433046746293, "realized_annual_volatility_pct": 67.42879222587914, "trading_costs_quote_units": 727.1269794123509, "borrowing_costs_quote_units": 4979.085558772914, "price_pnl_quote_units": 62430.35682373675, "turnover_quote_units": 1211878.2990205865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 75807.40929884746, "return_pct": 658.0740929884746, "cagr_pct": 84.04709497228977, "max_drawdown_pct": 61.448443570030065, "mean_exposure_while_solvent": 1.4439584457706476, "realized_annual_volatility_pct": 66.85896424765349, "trading_costs_quote_units": 778.6013042190617, "borrowing_costs_quote_units": 4857.52054519238, "price_pnl_quote_units": 71443.53114825916, "turnover_quote_units": 1297668.840365101, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -90.83265013296045 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 55085.26901999092, "return_pct": 450.8526901999092, "cagr_pct": 67.17296139040505, "max_drawdown_pct": 61.89156420672901, "mean_exposure_while_solvent": 1.3104251412447316, "realized_annual_volatility_pct": 58.697916044170626, "trading_costs_quote_units": 1151.403623234136, "borrowing_costs_quote_units": 2930.01545933606, "price_pnl_quote_units": 49166.68810256113, "turnover_quote_units": 1919006.0387235573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 57238.66743600551, "return_pct": 472.3866743600551, "cagr_pct": 69.11474375446214, "max_drawdown_pct": 60.40182572066946, "mean_exposure_while_solvent": 1.30595034342053, "realized_annual_volatility_pct": 58.53013455450419, "trading_costs_quote_units": 1162.571405909606, "borrowing_costs_quote_units": 2880.8678049271157, "price_pnl_quote_units": 51282.10664684232, "turnover_quote_units": 1937619.0098493416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -21.533984160145906 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61137.02933115097, "return_pct": 511.3702933115096, "cagr_pct": 72.50391185528137, "max_drawdown_pct": 65.55178107133628, "mean_exposure_while_solvent": 1.2978962510980485, "realized_annual_volatility_pct": 59.34404904332, "trading_costs_quote_units": 568.5827412728933, "borrowing_costs_quote_units": 3029.12461906026, "price_pnl_quote_units": 54734.7366914838, "turnover_quote_units": 947637.9021214866, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 69093.5418481664, "return_pct": 590.935418481664, "cagr_pct": 78.97823368070989, "max_drawdown_pct": 61.06861124621773, "mean_exposure_while_solvent": 1.2800753114670589, "realized_annual_volatility_pct": 58.501164140320775, "trading_costs_quote_units": 579.9659368833271, "borrowing_costs_quote_units": 2790.5869620489652, "price_pnl_quote_units": 62464.0947470985, "turnover_quote_units": 966609.8948055449, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -79.56512517015437 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 45726.78469812381, "return_pct": 357.2678469812381, "cagr_pct": 58.05682323537029, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9894439620592954, "realized_annual_volatility_pct": 46.05357876941454, "trading_costs_quote_units": 51.23129538471092, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35778.01599350863, "turnover_quote_units": 85385.49230785151, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 45726.78469812381, "return_pct": 357.2678469812381, "cagr_pct": 58.05682323537029, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9894439620592954, "realized_annual_volatility_pct": 46.05357876941454, "trading_costs_quote_units": 51.23129538471092, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35778.01599350863, "turnover_quote_units": 85385.49230785151, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61137.02933115097, "return_pct": 511.3702933115096, "cagr_pct": 72.50391185528137, "max_drawdown_pct": 65.55178107133628, "mean_exposure_while_solvent": 1.2978962510980485, "realized_annual_volatility_pct": 59.34404904332, "trading_costs_quote_units": 568.5827412728933, "borrowing_costs_quote_units": 3029.12461906026, "price_pnl_quote_units": 54734.7366914838, "turnover_quote_units": 947637.9021214866, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 69093.5418481664, "return_pct": 590.935418481664, "cagr_pct": 78.97823368070989, "max_drawdown_pct": 61.06861124621773, "mean_exposure_while_solvent": 1.2800753114670589, "realized_annual_volatility_pct": 58.501164140320775, "trading_costs_quote_units": 579.9659368833271, "borrowing_costs_quote_units": 2790.5869620489652, "price_pnl_quote_units": 62464.0947470985, "turnover_quote_units": 966609.8948055449, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -79.56512517015437 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61137.02933115097, "return_pct": 511.3702933115096, "cagr_pct": 72.50391185528137, "max_drawdown_pct": 65.55178107133628, "mean_exposure_while_solvent": 1.2978962510980485, "realized_annual_volatility_pct": 59.34404904332, "trading_costs_quote_units": 568.5827412728933, "borrowing_costs_quote_units": 3029.12461906026, "price_pnl_quote_units": 54734.7366914838, "turnover_quote_units": 947637.9021214866, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 69093.5418481664, "return_pct": 590.935418481664, "cagr_pct": 78.97823368070989, "max_drawdown_pct": 61.06861124621773, "mean_exposure_while_solvent": 1.2800753114670589, "realized_annual_volatility_pct": 58.501164140320775, "trading_costs_quote_units": 579.9659368833271, "borrowing_costs_quote_units": 2790.5869620489652, "price_pnl_quote_units": 62464.0947470985, "turnover_quote_units": 966609.8948055449, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -79.56512517015437 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33841.350477362874, "return_pct": 238.41350477362874, "cagr_pct": 44.35952977099926, "max_drawdown_pct": 40.03701517863032, "mean_exposure_while_solvent": 0.749963044394577, "realized_annual_volatility_pct": 34.97481081945264, "trading_costs_quote_units": 71.99527018493767, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23913.345747547715, "turnover_quote_units": 119992.11697489639, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33841.350477362874, "return_pct": 238.41350477362874, "cagr_pct": 44.35952977099926, "max_drawdown_pct": 40.03701517863032, "mean_exposure_while_solvent": 0.749963044394577, "realized_annual_volatility_pct": 34.97481081945264, "trading_costs_quote_units": 71.99527018493767, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23913.345747547715, "turnover_quote_units": 119992.11697489639, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46517.80520100882, "return_pct": 365.1780520100882, "cagr_pct": 58.875310432544396, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9998625807338188, "realized_annual_volatility_pct": 46.628065692939906, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36523.80160316748, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46517.80520100882, "return_pct": 365.1780520100882, "cagr_pct": 58.875310432544396, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9998625807338188, "realized_annual_volatility_pct": 46.628065692939906, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36523.80160316748, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58253.71791024855, "return_pct": 482.5371791024855, "cagr_pct": 70.0123710923286, "max_drawdown_pct": 58.66842545485067, "mean_exposure_while_solvent": 1.2497718700693117, "realized_annual_volatility_pct": 58.28977916103128, "trading_costs_quote_units": 212.62759955556461, "borrowing_costs_quote_units": 2206.668663705958, "price_pnl_quote_units": 50673.01417351001, "turnover_quote_units": 354379.33259260847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58253.71791024855, "return_pct": 482.5371791024855, "cagr_pct": 70.0123710923286, "max_drawdown_pct": 58.66842545485067, "mean_exposure_while_solvent": 1.2497718700693117, "realized_annual_volatility_pct": 58.28977916103128, "trading_costs_quote_units": 212.62759955556461, "borrowing_costs_quote_units": 2206.668663705958, "price_pnl_quote_units": 50673.01417351001, "turnover_quote_units": 354379.33259260847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 69600.65363626563, "return_pct": 596.0065363626563, "cagr_pct": 79.37282267623064, "max_drawdown_pct": 66.06304371611141, "mean_exposure_while_solvent": 1.4997017714172576, "realized_annual_volatility_pct": 69.9648317964192, "trading_costs_quote_units": 642.0515901396707, "borrowing_costs_quote_units": 5694.454289620647, "price_pnl_quote_units": 65937.15951602564, "turnover_quote_units": 1070085.983566117, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 69600.65363626563, "return_pct": 596.0065363626563, "cagr_pct": 79.37282267623064, "max_drawdown_pct": 66.06304371611141, "mean_exposure_while_solvent": 1.4997017714172576, "realized_annual_volatility_pct": 69.9648317964192, "trading_costs_quote_units": 642.0515901396707, "borrowing_costs_quote_units": 5694.454289620647, "price_pnl_quote_units": 65937.15951602564, "turnover_quote_units": 1070085.983566117, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45682.06694545857, "return_pct": 356.82066945458575, "cagr_pct": 58.010258181013285, "max_drawdown_pct": 53.638336705949165, "mean_exposure_while_solvent": 0.9458563890045303, "realized_annual_volatility_pct": 42.26724186608545, "trading_costs_quote_units": 601.2873846270481, "borrowing_costs_quote_units": 1107.8001116398261, "price_pnl_quote_units": 37391.15444172553, "turnover_quote_units": 1002145.6410450805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44450.399359073046, "return_pct": 344.5039935907305, "cagr_pct": 56.714996451336354, "max_drawdown_pct": 54.88832738606393, "mean_exposure_while_solvent": 0.9486803926072253, "realized_annual_volatility_pct": 42.42616536409983, "trading_costs_quote_units": 591.7738214268243, "borrowing_costs_quote_units": 1105.9470613571552, "price_pnl_quote_units": 36148.12024185732, "turnover_quote_units": 986289.7023780429, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 12.316675863855266 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 61264.504373360556, "return_pct": 512.6450437336056, "cagr_pct": 72.61215308649365, "max_drawdown_pct": 64.16013341895213, "mean_exposure_while_solvent": 1.3028607701699204, "realized_annual_volatility_pct": 58.9494243337388, "trading_costs_quote_units": 817.4622211276582, "borrowing_costs_quote_units": 6012.589514619074, "price_pnl_quote_units": 58094.55610910668, "turnover_quote_units": 1362437.0352127608, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 66750.23233846229, "return_pct": 567.5023233846229, "cagr_pct": 77.12812212525202, "max_drawdown_pct": 60.950970782607364, "mean_exposure_while_solvent": 1.2946479287127097, "realized_annual_volatility_pct": 58.56155539945086, "trading_costs_quote_units": 824.4949166635803, "borrowing_costs_quote_units": 5825.229291181823, "price_pnl_quote_units": 63399.956546307134, "turnover_quote_units": 1374158.1944393003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -54.85727965101728 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 61856.18088924271, "return_pct": 518.561808892427, "cagr_pct": 73.1125052757855, "max_drawdown_pct": 66.35290469954896, "mean_exposure_while_solvent": 1.456471499583807, "realized_annual_volatility_pct": 67.43144557770214, "trading_costs_quote_units": 695.1411784255199, "borrowing_costs_quote_units": 9492.366415482411, "price_pnl_quote_units": 62043.68848315113, "turnover_quote_units": 1158568.6307091983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 70423.14420853765, "return_pct": 604.2314420853764, "cagr_pct": 80.00856085590802, "max_drawdown_pct": 61.692846042582794, "mean_exposure_while_solvent": 1.4439958219786813, "realized_annual_volatility_pct": 66.8614023397894, "trading_costs_quote_units": 743.5439910706068, "borrowing_costs_quote_units": 9266.604758924854, "price_pnl_quote_units": 70433.2929585332, "turnover_quote_units": 1239239.9851176783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -85.66963319294939 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 52154.436554380445, "return_pct": 421.5443655438045, "cagr_pct": 64.44298907343186, "max_drawdown_pct": 62.11941131598135, "mean_exposure_while_solvent": 1.3104522518661132, "realized_annual_volatility_pct": 58.69971143489033, "trading_costs_quote_units": 1114.8917363121159, "borrowing_costs_quote_units": 5660.895571542386, "price_pnl_quote_units": 48930.223862235085, "turnover_quote_units": 1858152.8938535268, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 54233.73499744178, "return_pct": 442.3373499744178, "cagr_pct": 66.3904658824082, "max_drawdown_pct": 60.609184108545186, "mean_exposure_while_solvent": 1.3059770950079492, "realized_annual_volatility_pct": 58.53185844275831, "trading_costs_quote_units": 1125.6790352022063, "borrowing_costs_quote_units": 5567.653171889131, "price_pnl_quote_units": 50927.067204533116, "turnover_quote_units": 1876131.7253370103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -20.79298443061333 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58168.72962150902, "return_pct": 481.6872962150902, "cagr_pct": 69.93763565436805, "max_drawdown_pct": 65.77802260676894, "mean_exposure_while_solvent": 1.2979205173289454, "realized_annual_volatility_pct": 59.345643126873114, "trading_costs_quote_units": 551.4116834181763, "borrowing_costs_quote_units": 5865.54308419434, "price_pnl_quote_units": 54585.68438912189, "turnover_quote_units": 919019.472363626, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 65934.47815720215, "return_pct": 559.3447815720215, "cagr_pct": 76.47341563209149, "max_drawdown_pct": 61.20925735163545, "mean_exposure_while_solvent": 1.28009815142703, "realized_annual_volatility_pct": 58.50247072584451, "trading_costs_quote_units": 562.4616811549314, "borrowing_costs_quote_units": 5410.497449984192, "price_pnl_quote_units": 61907.43728834179, "turnover_quote_units": 937436.1352582198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -77.65748535693126 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45726.78469812381, "return_pct": 357.2678469812381, "cagr_pct": 58.05682323537029, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9894439620592954, "realized_annual_volatility_pct": 46.05357876941454, "trading_costs_quote_units": 51.23129538471092, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35778.01599350863, "turnover_quote_units": 85385.49230785151, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45726.78469812381, "return_pct": 357.2678469812381, "cagr_pct": 58.05682323537029, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9894439620592954, "realized_annual_volatility_pct": 46.05357876941454, "trading_costs_quote_units": 51.23129538471092, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35778.01599350863, "turnover_quote_units": 85385.49230785151, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58168.72962150902, "return_pct": 481.6872962150902, "cagr_pct": 69.93763565436805, "max_drawdown_pct": 65.77802260676894, "mean_exposure_while_solvent": 1.2979205173289454, "realized_annual_volatility_pct": 59.345643126873114, "trading_costs_quote_units": 551.4116834181763, "borrowing_costs_quote_units": 5865.54308419434, "price_pnl_quote_units": 54585.68438912189, "turnover_quote_units": 919019.472363626, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 65934.47815720215, "return_pct": 559.3447815720215, "cagr_pct": 76.47341563209149, "max_drawdown_pct": 61.20925735163545, "mean_exposure_while_solvent": 1.28009815142703, "realized_annual_volatility_pct": 58.50247072584451, "trading_costs_quote_units": 562.4616811549314, "borrowing_costs_quote_units": 5410.497449984192, "price_pnl_quote_units": 61907.43728834179, "turnover_quote_units": 937436.1352582198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -77.65748535693126 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58168.72962150902, "return_pct": 481.6872962150902, "cagr_pct": 69.93763565436805, "max_drawdown_pct": 65.77802260676894, "mean_exposure_while_solvent": 1.2979205173289454, "realized_annual_volatility_pct": 59.345643126873114, "trading_costs_quote_units": 551.4116834181763, "borrowing_costs_quote_units": 5865.54308419434, "price_pnl_quote_units": 54585.68438912189, "turnover_quote_units": 919019.472363626, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 65934.47815720215, "return_pct": 559.3447815720215, "cagr_pct": 76.47341563209149, "max_drawdown_pct": 61.20925735163545, "mean_exposure_while_solvent": 1.28009815142703, "realized_annual_volatility_pct": 58.50247072584451, "trading_costs_quote_units": 562.4616811549314, "borrowing_costs_quote_units": 5410.497449984192, "price_pnl_quote_units": 61907.43728834179, "turnover_quote_units": 937436.1352582198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -77.65748535693126 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33841.350477362874, "return_pct": 238.41350477362874, "cagr_pct": 44.35952977099926, "max_drawdown_pct": 40.03701517863032, "mean_exposure_while_solvent": 0.749963044394577, "realized_annual_volatility_pct": 34.97481081945264, "trading_costs_quote_units": 71.99527018493767, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23913.345747547715, "turnover_quote_units": 119992.11697489639, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33841.350477362874, "return_pct": 238.41350477362874, "cagr_pct": 44.35952977099926, "max_drawdown_pct": 40.03701517863032, "mean_exposure_while_solvent": 0.749963044394577, "realized_annual_volatility_pct": 34.97481081945264, "trading_costs_quote_units": 71.99527018493767, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23913.345747547715, "turnover_quote_units": 119992.11697489639, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46517.80520100882, "return_pct": 365.1780520100882, "cagr_pct": 58.875310432544396, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9998625807338188, "realized_annual_volatility_pct": 46.628065692939906, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36523.80160316748, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46517.80520100882, "return_pct": 365.1780520100882, "cagr_pct": 58.875310432544396, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9998625807338188, "realized_annual_volatility_pct": 46.628065692939906, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36523.80160316748, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 55887.44463604318, "return_pct": 458.8744463604319, "cagr_pct": 67.9024050101963, "max_drawdown_pct": 58.84221068309194, "mean_exposure_while_solvent": 1.249789682597744, "realized_annual_volatility_pct": 58.29101877885269, "trading_costs_quote_units": 207.5178206324111, "borrowing_costs_quote_units": 4301.062822049675, "price_pnl_quote_units": 50396.0252787254, "turnover_quote_units": 345863.03438735177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 55887.44463604318, "return_pct": 458.8744463604319, "cagr_pct": 67.9024050101963, "max_drawdown_pct": 58.84221068309194, "mean_exposure_while_solvent": 1.249789682597744, "realized_annual_volatility_pct": 58.29101877885269, "trading_costs_quote_units": 207.5178206324111, "borrowing_costs_quote_units": 4301.062822049675, "price_pnl_quote_units": 50396.0252787254, "turnover_quote_units": 345863.03438735177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 64060.6938175298, "return_pct": 540.606938175298, "cagr_pct": 74.947829096102, "max_drawdown_pct": 66.34835085085486, "mean_exposure_while_solvent": 1.4997445302613661, "realized_annual_volatility_pct": 69.96781296637998, "trading_costs_quote_units": 610.6469643073401, "borrowing_costs_quote_units": 10810.20039396218, "price_pnl_quote_units": 65481.54117579938, "turnover_quote_units": 1017744.940512232, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 64060.6938175298, "return_pct": 540.606938175298, "cagr_pct": 74.947829096102, "max_drawdown_pct": 66.34835085085486, "mean_exposure_while_solvent": 1.4997445302613661, "realized_annual_volatility_pct": 69.96781296637998, "trading_costs_quote_units": 610.6469643073401, "borrowing_costs_quote_units": 10810.20039396218, "price_pnl_quote_units": 65481.54117579938, "turnover_quote_units": 1017744.940512232, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 44526.99040199927, "return_pct": 345.2699040199927, "cagr_pct": 56.79626839942622, "max_drawdown_pct": 53.744462661191584, "mean_exposure_while_solvent": 0.9458679840599705, "realized_annual_volatility_pct": 42.26776282141114, "trading_costs_quote_units": 592.2897722296539, "borrowing_costs_quote_units": 2179.258536761235, "price_pnl_quote_units": 37298.538710990295, "turnover_quote_units": 987149.6203827565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 43326.46567830582, "return_pct": 333.26465678305823, "cagr_pct": 55.51095814076395, "max_drawdown_pct": 54.99159200188177, "mean_exposure_while_solvent": 0.9486919876626654, "realized_annual_volatility_pct": 42.42667753550926, "trading_costs_quote_units": 583.0058827231412, "borrowing_costs_quote_units": 2175.6432561440683, "price_pnl_quote_units": 36085.11481717321, "turnover_quote_units": 971676.4712052348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 12.005247236934451 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 55214.53435501246, "return_pct": 452.1453435501246, "cagr_pct": 67.29100594441245, "max_drawdown_pct": 64.60047992867169, "mean_exposure_while_solvent": 1.3029118787630487, "realized_annual_volatility_pct": 58.95241119009851, "trading_costs_quote_units": 767.4073118342096, "borrowing_costs_quote_units": 11242.48828115777, "price_pnl_quote_units": 57224.429948004145, "turnover_quote_units": 1279012.1863903461, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 60323.59995510574, "return_pct": 503.2359995510574, "cagr_pct": 71.80947424002852, "max_drawdown_pct": 61.324920832340815, "mean_exposure_while_solvent": 1.294697774531841, "realized_annual_volatility_pct": 58.5642400006274, "trading_costs_quote_units": 774.1101167447264, "borrowing_costs_quote_units": 10903.721000737978, "price_pnl_quote_units": 62001.4310725884, "turnover_quote_units": 1290183.5279078756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -51.09065600093277 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 53157.55012709685, "return_pct": 431.5755012709685, "cagr_pct": 65.38915285537988, "max_drawdown_pct": 66.9162999903678, "mean_exposure_while_solvent": 1.456548421543352, "realized_annual_volatility_pct": 67.43675816946659, "trading_costs_quote_units": 635.9397017176786, "borrowing_costs_quote_units": 17265.32917682256, "price_pnl_quote_units": 61058.81900563683, "turnover_quote_units": 1059899.5028627976, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 60772.219447915515, "return_pct": 507.7221944791551, "cagr_pct": 72.19327144307903, "max_drawdown_pct": 62.17715315459025, "mean_exposure_while_solvent": 1.4440705902072881, "realized_annual_volatility_pct": 66.86628695750511, "trading_costs_quote_units": 678.7341964482328, "borrowing_costs_quote_units": 16876.020074509717, "price_pnl_quote_units": 68326.9737188733, "turnover_quote_units": 1131223.6607470552, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -76.1466932081866 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46750.886684748286, "return_pct": 367.5088668474829, "cagr_pct": 59.114628336000095, "max_drawdown_pct": 62.571148987418255, "mean_exposure_while_solvent": 1.3105064841795582, "realized_annual_volatility_pct": 58.703324459001735, "trading_costs_quote_units": 1045.8559655785928, "borrowing_costs_quote_units": 10570.358112027112, "price_pnl_quote_units": 48367.100762354305, "turnover_quote_units": 1743093.2759643153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 48687.413996021205, "return_pct": 386.874139960212, "cagr_pct": 61.071429290049295, "max_drawdown_pct": 61.02076144708792, "mean_exposure_while_solvent": 1.3060306091144347, "realized_annual_volatility_pct": 58.535329166134076, "trading_costs_quote_units": 1055.9143771116474, "borrowing_costs_quote_units": 10402.554475783088, "price_pnl_quote_units": 50145.8828489163, "turnover_quote_units": 1759857.2951860763, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -19.365273112729085 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52656.08327031747, "return_pct": 426.5608327031747, "cagr_pct": 64.91773037568653, "max_drawdown_pct": 66.22617826560182, "mean_exposure_while_solvent": 1.2979690594387687, "realized_annual_volatility_pct": 59.34885257716454, "trading_costs_quote_units": 518.8311192028582, "borrowing_costs_quote_units": 11000.648074287357, "price_pnl_quote_units": 54175.562463807735, "turnover_quote_units": 864718.5320047657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 60041.556280480654, "return_pct": 500.4155628048065, "cagr_pct": 71.56716155800919, "max_drawdown_pct": 61.48910643310439, "mean_exposure_while_solvent": 1.2801438404405898, "realized_annual_volatility_pct": 58.50510731197032, "trading_costs_quote_units": 529.2366305673012, "borrowing_costs_quote_units": 10172.67885400894, "price_pnl_quote_units": 60743.471765056864, "turnover_quote_units": 882061.0509455029, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -73.85473010163179 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45726.78469812381, "return_pct": 357.2678469812381, "cagr_pct": 58.05682323537029, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9894439620592954, "realized_annual_volatility_pct": 46.05357876941454, "trading_costs_quote_units": 51.23129538471092, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35778.01599350863, "turnover_quote_units": 85385.49230785151, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45726.78469812381, "return_pct": 357.2678469812381, "cagr_pct": 58.05682323537029, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9894439620592954, "realized_annual_volatility_pct": 46.05357876941454, "trading_costs_quote_units": 51.23129538471092, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35778.01599350863, "turnover_quote_units": 85385.49230785151, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52656.08327031747, "return_pct": 426.5608327031747, "cagr_pct": 64.91773037568653, "max_drawdown_pct": 66.22617826560182, "mean_exposure_while_solvent": 1.2979690594387687, "realized_annual_volatility_pct": 59.34885257716454, "trading_costs_quote_units": 518.8311192028582, "borrowing_costs_quote_units": 11000.648074287357, "price_pnl_quote_units": 54175.562463807735, "turnover_quote_units": 864718.5320047657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 60041.556280480654, "return_pct": 500.4155628048065, "cagr_pct": 71.56716155800919, "max_drawdown_pct": 61.48910643310439, "mean_exposure_while_solvent": 1.2801438404405898, "realized_annual_volatility_pct": 58.50510731197032, "trading_costs_quote_units": 529.2366305673012, "borrowing_costs_quote_units": 10172.67885400894, "price_pnl_quote_units": 60743.471765056864, "turnover_quote_units": 882061.0509455029, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -73.85473010163179 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52656.08327031747, "return_pct": 426.5608327031747, "cagr_pct": 64.91773037568653, "max_drawdown_pct": 66.22617826560182, "mean_exposure_while_solvent": 1.2979690594387687, "realized_annual_volatility_pct": 59.34885257716454, "trading_costs_quote_units": 518.8311192028582, "borrowing_costs_quote_units": 11000.648074287357, "price_pnl_quote_units": 54175.562463807735, "turnover_quote_units": 864718.5320047657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 60041.556280480654, "return_pct": 500.4155628048065, "cagr_pct": 71.56716155800919, "max_drawdown_pct": 61.48910643310439, "mean_exposure_while_solvent": 1.2801438404405898, "realized_annual_volatility_pct": 58.50510731197032, "trading_costs_quote_units": 529.2366305673012, "borrowing_costs_quote_units": 10172.67885400894, "price_pnl_quote_units": 60743.471765056864, "turnover_quote_units": 882061.0509455029, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -73.85473010163179 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33841.350477362874, "return_pct": 238.41350477362874, "cagr_pct": 44.35952977099926, "max_drawdown_pct": 40.03701517863032, "mean_exposure_while_solvent": 0.749963044394577, "realized_annual_volatility_pct": 34.97481081945264, "trading_costs_quote_units": 71.99527018493767, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23913.345747547715, "turnover_quote_units": 119992.11697489639, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33841.350477362874, "return_pct": 238.41350477362874, "cagr_pct": 44.35952977099926, "max_drawdown_pct": 40.03701517863032, "mean_exposure_while_solvent": 0.749963044394577, "realized_annual_volatility_pct": 34.97481081945264, "trading_costs_quote_units": 71.99527018493767, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23913.345747547715, "turnover_quote_units": 119992.11697489639, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46517.80520100882, "return_pct": 365.1780520100882, "cagr_pct": 58.875310432544396, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9998625807338188, "realized_annual_volatility_pct": 46.628065692939906, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36523.80160316748, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46517.80520100882, "return_pct": 365.1780520100882, "cagr_pct": 58.875310432544396, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9998625807338188, "realized_annual_volatility_pct": 46.628065692939906, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36523.80160316748, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51438.35934064386, "return_pct": 414.3835934064386, "cagr_pct": 63.759757542196624, "max_drawdown_pct": 59.18767253269856, "mean_exposure_while_solvent": 1.249825313140933, "realized_annual_volatility_pct": 58.29349842137783, "trading_costs_quote_units": 197.7597047228421, "borrowing_costs_quote_units": 8172.326729327, "price_pnl_quote_units": 49808.445774693195, "turnover_quote_units": 329599.5078714027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51438.35934064386, "return_pct": 414.3835934064386, "cagr_pct": 63.759757542196624, "max_drawdown_pct": 59.18767253269856, "mean_exposure_while_solvent": 1.249825313140933, "realized_annual_volatility_pct": 58.29349842137783, "trading_costs_quote_units": 197.7597047228421, "borrowing_costs_quote_units": 8172.326729327, "price_pnl_quote_units": 49808.445774693195, "turnover_quote_units": 329599.5078714027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 54265.989942897824, "return_pct": 442.65989942897824, "cagr_pct": 66.42026161739123, "max_drawdown_pct": 66.94309641824412, "mean_exposure_while_solvent": 1.4998300664940496, "realized_annual_volatility_pct": 69.97377680111013, "trading_costs_quote_units": 553.0894684275968, "borrowing_costs_quote_units": 19499.959468245746, "price_pnl_quote_units": 64319.03887957116, "turnover_quote_units": 921815.7807126616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 54265.989942897824, "return_pct": 442.65989942897824, "cagr_pct": 66.42026161739123, "max_drawdown_pct": 66.94309641824412, "mean_exposure_while_solvent": 1.4998300664940496, "realized_annual_volatility_pct": 69.97377680111013, "trading_costs_quote_units": 553.0894684275968, "borrowing_costs_quote_units": 19499.959468245746, "price_pnl_quote_units": 64319.03887957116, "turnover_quote_units": 921815.7807126616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 47219.85516661926, "return_pct": 372.1985516661926, "cagr_pct": 59.59362963991921, "max_drawdown_pct": 53.63467809972368, "mean_exposure_while_solvent": 0.9454913308061361, "realized_annual_volatility_pct": 42.33285302903542, "trading_costs_quote_units": 608.6428428515974, "borrowing_costs_quote_units": 566.1651390107513, "price_pnl_quote_units": 38394.66314848169, "turnover_quote_units": 1014404.7380859951, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45831.59195627145, "return_pct": 358.3159195627145, "cagr_pct": 58.16583554323906, "max_drawdown_pct": 54.997818041660416, "mean_exposure_while_solvent": 0.9483106954103314, "realized_annual_volatility_pct": 42.49021822375636, "trading_costs_quote_units": 598.2366142468497, "borrowing_costs_quote_units": 565.1273787507744, "price_pnl_quote_units": 36994.955949269104, "turnover_quote_units": 997061.0237447503, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 13.882632103478102 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 65394.74161596588, "return_pct": 553.9474161596588, "cagr_pct": 76.03711697250452, "max_drawdown_pct": 63.956197872045315, "mean_exposure_while_solvent": 1.3023228709705823, "realized_annual_volatility_pct": 59.0662190633345, "trading_costs_quote_units": 844.6690239242919, "borrowing_costs_quote_units": 3129.4119756785667, "price_pnl_quote_units": 59368.822615568686, "turnover_quote_units": 1407781.7065404886, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71875.71459302327, "return_pct": 618.7571459302326, "cagr_pct": 81.11875498225692, "max_drawdown_pct": 60.38406192029706, "mean_exposure_while_solvent": 1.2941022155492394, "realized_annual_volatility_pct": 58.68119712811938, "trading_costs_quote_units": 853.8694111466879, "borrowing_costs_quote_units": 3035.134784675124, "price_pnl_quote_units": 65764.71878884535, "turnover_quote_units": 1423115.6852444792, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -64.80972977057377 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 67136.1834164391, "return_pct": 571.3618341643911, "cagr_pct": 77.43593064739225, "max_drawdown_pct": 66.11106456829847, "mean_exposure_while_solvent": 1.4559877061186373, "realized_annual_volatility_pct": 67.49713151473564, "trading_costs_quote_units": 718.1200125793554, "borrowing_costs_quote_units": 5001.191880829236, "price_pnl_quote_units": 62855.49530984756, "turnover_quote_units": 1196866.6876322594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 77431.42686458623, "return_pct": 674.3142686458623, "cagr_pct": 85.2257130333997, "max_drawdown_pct": 60.91424189067101, "mean_exposure_while_solvent": 1.4435184761098507, "realized_annual_volatility_pct": 66.93024121862614, "trading_costs_quote_units": 770.1072456886241, "borrowing_costs_quote_units": 4891.753618416605, "price_pnl_quote_units": 73093.28772869155, "turnover_quote_units": 1283512.076147707, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -102.95243448147119 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 56871.56871718375, "return_pct": 468.7156871718375, "cagr_pct": 68.78737318059495, "max_drawdown_pct": 62.234842132398946, "mean_exposure_while_solvent": 1.3098384096291813, "realized_annual_volatility_pct": 58.86801631499788, "trading_costs_quote_units": 1177.804356675834, "borrowing_costs_quote_units": 3019.0244778781216, "price_pnl_quote_units": 51068.39755173814, "turnover_quote_units": 1963007.2611263911, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 59401.488415119304, "return_pct": 494.01488415119303, "cagr_pct": 71.01429300536162, "max_drawdown_pct": 60.55486707737605, "mean_exposure_while_solvent": 1.3053604716091975, "realized_annual_volatility_pct": 58.700183381568905, "trading_costs_quote_units": 1189.5806307401801, "borrowing_costs_quote_units": 2970.5597643207275, "price_pnl_quote_units": 53561.62881018073, "turnover_quote_units": 1982634.3845669692, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -25.299196979355543 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 62256.93295311866, "return_pct": 522.5693295311867, "cagr_pct": 73.44950498226319, "max_drawdown_pct": 65.6283663700203, "mean_exposure_while_solvent": 1.2974861277908898, "realized_annual_volatility_pct": 59.42110732109504, "trading_costs_quote_units": 562.368455132636, "borrowing_costs_quote_units": 3060.461093867959, "price_pnl_quote_units": 55879.762502119214, "turnover_quote_units": 937280.7585543928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71389.45558403856, "return_pct": 613.8945558403856, "cagr_pct": 80.74886941430508, "max_drawdown_pct": 60.586362096795746, "mean_exposure_while_solvent": 1.2796472367645635, "realized_annual_volatility_pct": 58.57789307610467, "trading_costs_quote_units": 573.6098116699018, "borrowing_costs_quote_units": 2824.2334424779137, "price_pnl_quote_units": 64787.29883818665, "turnover_quote_units": 956016.3527831682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -91.32522630919891 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45913.79061912107, "return_pct": 359.13790619121073, "cagr_pct": 58.2512103264873, "max_drawdown_pct": 49.957334106502394, "mean_exposure_while_solvent": 0.9891552486454345, "realized_annual_volatility_pct": 46.056880969080524, "trading_costs_quote_units": 51.716752382002674, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35965.50737150297, "turnover_quote_units": 86194.58730333777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45913.79061912107, "return_pct": 359.13790619121073, "cagr_pct": 58.2512103264873, "max_drawdown_pct": 49.957334106502394, "mean_exposure_while_solvent": 0.9891552486454345, "realized_annual_volatility_pct": 46.056880969080524, "trading_costs_quote_units": 51.716752382002674, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35965.50737150297, "turnover_quote_units": 86194.58730333777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 62256.93295311866, "return_pct": 522.5693295311867, "cagr_pct": 73.44950498226319, "max_drawdown_pct": 65.6283663700203, "mean_exposure_while_solvent": 1.2974861277908898, "realized_annual_volatility_pct": 59.42110732109504, "trading_costs_quote_units": 562.368455132636, "borrowing_costs_quote_units": 3060.461093867959, "price_pnl_quote_units": 55879.762502119214, "turnover_quote_units": 937280.7585543928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71389.45558403856, "return_pct": 613.8945558403856, "cagr_pct": 80.74886941430508, "max_drawdown_pct": 60.586362096795746, "mean_exposure_while_solvent": 1.2796472367645635, "realized_annual_volatility_pct": 58.57789307610467, "trading_costs_quote_units": 573.6098116699018, "borrowing_costs_quote_units": 2824.2334424779137, "price_pnl_quote_units": 64787.29883818665, "turnover_quote_units": 956016.3527831682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -91.32522630919891 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 62256.93295311866, "return_pct": 522.5693295311867, "cagr_pct": 73.44950498226319, "max_drawdown_pct": 65.6283663700203, "mean_exposure_while_solvent": 1.2974861277908898, "realized_annual_volatility_pct": 59.42110732109504, "trading_costs_quote_units": 562.368455132636, "borrowing_costs_quote_units": 3060.461093867959, "price_pnl_quote_units": 55879.762502119214, "turnover_quote_units": 937280.7585543928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71389.45558403856, "return_pct": 613.8945558403856, "cagr_pct": 80.74886941430508, "max_drawdown_pct": 60.586362096795746, "mean_exposure_while_solvent": 1.2796472367645635, "realized_annual_volatility_pct": 58.57789307610467, "trading_costs_quote_units": 573.6098116699018, "borrowing_costs_quote_units": 2824.2334424779137, "price_pnl_quote_units": 64787.29883818665, "turnover_quote_units": 956016.3527831682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -91.32522630919891 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33771.04260457543, "return_pct": 237.71042604575428, "cagr_pct": 44.269142689269295, "max_drawdown_pct": 40.01776777477664, "mean_exposure_while_solvent": 0.7497474023222125, "realized_annual_volatility_pct": 34.964539646581045, "trading_costs_quote_units": 70.15973614342592, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23841.20234071875, "turnover_quote_units": 116932.89357237662, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33771.04260457543, "return_pct": 237.71042604575428, "cagr_pct": 44.269142689269295, "max_drawdown_pct": 40.01776777477664, "mean_exposure_while_solvent": 0.7497474023222125, "realized_annual_volatility_pct": 34.964539646581045, "trading_costs_quote_units": 70.15973614342592, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23841.20234071875, "turnover_quote_units": 116932.89357237662, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46419.85795055069, "return_pct": 364.19857950550687, "cagr_pct": 58.774492372318335, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9995877422014566, "realized_annual_volatility_pct": 46.62797951899371, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36425.85435270929, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46419.85795055069, "return_pct": 364.19857950550687, "cagr_pct": 58.774492372318335, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9995877422014566, "realized_annual_volatility_pct": 46.62797951899371, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36425.85435270929, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 58143.85162012376, "return_pct": 481.4385162012376, "cagr_pct": 69.91574445815473, "max_drawdown_pct": 58.69212472212051, "mean_exposure_while_solvent": 1.2494577913373075, "realized_annual_volatility_pct": 58.30645872181447, "trading_costs_quote_units": 207.28979068122177, "borrowing_costs_quote_units": 2201.6506357881162, "price_pnl_quote_units": 50552.79204659267, "turnover_quote_units": 345482.98446870345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 58143.85162012376, "return_pct": 481.4385162012376, "cagr_pct": 69.91574445815473, "max_drawdown_pct": 58.69212472212051, "mean_exposure_while_solvent": 1.2494577913373075, "realized_annual_volatility_pct": 58.30645872181447, "trading_costs_quote_units": 207.28979068122177, "borrowing_costs_quote_units": 2201.6506357881162, "price_pnl_quote_units": 50552.79204659267, "turnover_quote_units": 345482.98446870345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 69475.35927514583, "return_pct": 594.7535927514583, "cagr_pct": 79.27551719022745, "max_drawdown_pct": 66.11152609465422, "mean_exposure_while_solvent": 1.4993767601750152, "realized_annual_volatility_pct": 70.00563677883875, "trading_costs_quote_units": 625.7102933312017, "borrowing_costs_quote_units": 5678.809210047859, "price_pnl_quote_units": 65779.8787785252, "turnover_quote_units": 1042850.4888853368, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 69475.35927514583, "return_pct": 594.7535927514583, "cagr_pct": 79.27551719022745, "max_drawdown_pct": 66.11152609465422, "mean_exposure_while_solvent": 1.4993767601750152, "realized_annual_volatility_pct": 70.00563677883875, "trading_costs_quote_units": 625.7102933312017, "borrowing_costs_quote_units": 5678.809210047859, "price_pnl_quote_units": 65779.8787785252, "turnover_quote_units": 1042850.4888853368, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46619.432826137294, "return_pct": 366.19432826137296, "cagr_pct": 58.979760042528476, "max_drawdown_pct": 53.68881513525841, "mean_exposure_while_solvent": 0.9454971230893713, "realized_annual_volatility_pct": 42.33296371948335, "trading_costs_quote_units": 604.0361331391915, "borrowing_costs_quote_units": 1122.9760070716206, "price_pnl_quote_units": 38346.44496634838, "turnover_quote_units": 1006726.8885653223, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45248.822025840775, "return_pct": 352.48822025840775, "cagr_pct": 57.55745789054103, "max_drawdown_pct": 55.050363448959814, "mean_exposure_while_solvent": 0.9483164876935666, "realized_annual_volatility_pct": 42.49032478236167, "trading_costs_quote_units": 593.7563259043825, "borrowing_costs_quote_units": 1120.9260615123355, "price_pnl_quote_units": 36963.50441325774, "turnover_quote_units": 989593.8765073057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 13.706108002965209 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62084.348800365944, "return_pct": 520.8434880036594, "cagr_pct": 73.3045622337782, "max_drawdown_pct": 64.17829297434135, "mean_exposure_while_solvent": 1.3023483937881086, "realized_annual_volatility_pct": 59.06729958546496, "trading_costs_quote_units": 818.2479921380383, "borrowing_costs_quote_units": 6050.325075019943, "price_pnl_quote_units": 58952.92186752471, "turnover_quote_units": 1363746.653563399, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 68330.92098439563, "return_pct": 583.3092098439564, "cagr_pct": 78.38100205250053, "max_drawdown_pct": 60.57411763845346, "mean_exposure_while_solvent": 1.294127107274384, "realized_annual_volatility_pct": 58.68211851960582, "trading_costs_quote_units": 827.1721442655155, "borrowing_costs_quote_units": 5871.071782407632, "price_pnl_quote_units": 65029.1649110692, "turnover_quote_units": 1378620.240442526, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -62.465721840296965 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62239.77623814384, "return_pct": 522.3977623814384, "cagr_pct": 73.43510869831906, "max_drawdown_pct": 66.39576868263013, "mean_exposure_while_solvent": 1.4560261383764652, "realized_annual_volatility_pct": 67.4991764185904, "trading_costs_quote_units": 686.335354902073, "borrowing_costs_quote_units": 9534.463715446587, "price_pnl_quote_units": 62460.57530849207, "turnover_quote_units": 1143892.2581701211, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 71933.92606853624, "return_pct": 619.3392606853623, "cagr_pct": 81.16291773058508, "max_drawdown_pct": 61.16174515273667, "mean_exposure_while_solvent": 1.4435558353084026, "realized_annual_volatility_pct": 66.93206260723224, "trading_costs_quote_units": 735.2123473566238, "borrowing_costs_quote_units": 9331.364098725538, "price_pnl_quote_units": 72000.50251461845, "turnover_quote_units": 1225353.9122610393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -96.94149830392394 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 53847.30543421014, "return_pct": 438.4730543421014, "cagr_pct": 66.03253211459446, "max_drawdown_pct": 62.46102543759066, "mean_exposure_while_solvent": 1.3098654839527724, "realized_annual_volatility_pct": 58.869368442091485, "trading_costs_quote_units": 1140.3391572115866, "borrowing_costs_quote_units": 5832.117846832249, "price_pnl_quote_units": 50819.762438254256, "turnover_quote_units": 1900565.2620193094, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 56284.75400993436, "return_pct": 462.8475400993436, "cagr_pct": 68.26098392130623, "max_drawdown_pct": 60.76178869132329, "mean_exposure_while_solvent": 1.3053871872389804, "realized_annual_volatility_pct": 58.701459116736935, "trading_costs_quote_units": 1151.7085241912428, "borrowing_costs_quote_units": 5740.1808369365135, "price_pnl_quote_units": 53176.643371062506, "turnover_quote_units": 1919514.2069854038, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -24.374485757242155 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 59235.61180223385, "return_pct": 492.3561180223385, "cagr_pct": 70.8703357465358, "max_drawdown_pct": 65.85407967399985, "mean_exposure_while_solvent": 1.2975103808632928, "realized_annual_volatility_pct": 59.42229072819147, "trading_costs_quote_units": 545.2448699003618, "borrowing_costs_quote_units": 5926.006484296414, "price_pnl_quote_units": 55706.86315643027, "turnover_quote_units": 908741.4498339368, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 68127.17514281583, "return_pct": 581.2717514281583, "cagr_pct": 78.22065455151362, "max_drawdown_pct": 60.72860524799507, "mean_exposure_while_solvent": 1.279670064006069, "realized_annual_volatility_pct": 58.578787908903095, "trading_costs_quote_units": 556.1733971717813, "borrowing_costs_quote_units": 5475.389240096251, "price_pnl_quote_units": 64158.73778008369, "turnover_quote_units": 926955.661952969, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -88.91563340581979 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45913.79061912107, "return_pct": 359.13790619121073, "cagr_pct": 58.2512103264873, "max_drawdown_pct": 49.957334106502394, "mean_exposure_while_solvent": 0.9891552486454345, "realized_annual_volatility_pct": 46.056880969080524, "trading_costs_quote_units": 51.716752382002674, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35965.50737150297, "turnover_quote_units": 86194.58730333777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45913.79061912107, "return_pct": 359.13790619121073, "cagr_pct": 58.2512103264873, "max_drawdown_pct": 49.957334106502394, "mean_exposure_while_solvent": 0.9891552486454345, "realized_annual_volatility_pct": 46.056880969080524, "trading_costs_quote_units": 51.716752382002674, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35965.50737150297, "turnover_quote_units": 86194.58730333777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 59235.61180223385, "return_pct": 492.3561180223385, "cagr_pct": 70.8703357465358, "max_drawdown_pct": 65.85407967399985, "mean_exposure_while_solvent": 1.2975103808632928, "realized_annual_volatility_pct": 59.42229072819147, "trading_costs_quote_units": 545.2448699003618, "borrowing_costs_quote_units": 5926.006484296414, "price_pnl_quote_units": 55706.86315643027, "turnover_quote_units": 908741.4498339368, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 68127.17514281583, "return_pct": 581.2717514281583, "cagr_pct": 78.22065455151362, "max_drawdown_pct": 60.72860524799507, "mean_exposure_while_solvent": 1.279670064006069, "realized_annual_volatility_pct": 58.578787908903095, "trading_costs_quote_units": 556.1733971717813, "borrowing_costs_quote_units": 5475.389240096251, "price_pnl_quote_units": 64158.73778008369, "turnover_quote_units": 926955.661952969, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -88.91563340581979 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 59235.61180223385, "return_pct": 492.3561180223385, "cagr_pct": 70.8703357465358, "max_drawdown_pct": 65.85407967399985, "mean_exposure_while_solvent": 1.2975103808632928, "realized_annual_volatility_pct": 59.42229072819147, "trading_costs_quote_units": 545.2448699003618, "borrowing_costs_quote_units": 5926.006484296414, "price_pnl_quote_units": 55706.86315643027, "turnover_quote_units": 908741.4498339368, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 68127.17514281583, "return_pct": 581.2717514281583, "cagr_pct": 78.22065455151362, "max_drawdown_pct": 60.72860524799507, "mean_exposure_while_solvent": 1.279670064006069, "realized_annual_volatility_pct": 58.578787908903095, "trading_costs_quote_units": 556.1733971717813, "borrowing_costs_quote_units": 5475.389240096251, "price_pnl_quote_units": 64158.73778008369, "turnover_quote_units": 926955.661952969, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -88.91563340581979 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33771.04260457543, "return_pct": 237.71042604575428, "cagr_pct": 44.269142689269295, "max_drawdown_pct": 40.01776777477664, "mean_exposure_while_solvent": 0.7497474023222125, "realized_annual_volatility_pct": 34.964539646581045, "trading_costs_quote_units": 70.15973614342592, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23841.20234071875, "turnover_quote_units": 116932.89357237662, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33771.04260457543, "return_pct": 237.71042604575428, "cagr_pct": 44.269142689269295, "max_drawdown_pct": 40.01776777477664, "mean_exposure_while_solvent": 0.7497474023222125, "realized_annual_volatility_pct": 34.964539646581045, "trading_costs_quote_units": 70.15973614342592, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23841.20234071875, "turnover_quote_units": 116932.89357237662, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46419.85795055069, "return_pct": 364.19857950550687, "cagr_pct": 58.774492372318335, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9995877422014566, "realized_annual_volatility_pct": 46.62797951899371, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36425.85435270929, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46419.85795055069, "return_pct": 364.19857950550687, "cagr_pct": 58.774492372318335, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9995877422014566, "realized_annual_volatility_pct": 46.62797951899371, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36425.85435270929, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 55782.740097835434, "return_pct": 457.8274009783543, "cagr_pct": 67.80761080590712, "max_drawdown_pct": 58.865744482623924, "mean_exposure_while_solvent": 1.249475600418303, "realized_annual_volatility_pct": 58.307416289575464, "trading_costs_quote_units": 202.203729552113, "borrowing_costs_quote_units": 4291.349405305308, "price_pnl_quote_units": 50276.293232692646, "turnover_quote_units": 337006.21592018806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 55782.740097835434, "return_pct": 457.8274009783543, "cagr_pct": 67.80761080590712, "max_drawdown_pct": 58.865744482623924, "mean_exposure_while_solvent": 1.249475600418303, "realized_annual_volatility_pct": 58.307416289575464, "trading_costs_quote_units": 202.203729552113, "borrowing_costs_quote_units": 4291.349405305308, "price_pnl_quote_units": 50276.293232692646, "turnover_quote_units": 337006.21592018806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63946.99676976094, "return_pct": 539.4699676976094, "cagr_pct": 74.8542616597528, "max_drawdown_pct": 66.39629689453774, "mean_exposure_while_solvent": 1.49941951654933, "realized_annual_volatility_pct": 70.00794466760325, "trading_costs_quote_units": 594.6915988205837, "borrowing_costs_quote_units": 10781.021526487184, "price_pnl_quote_units": 65322.709895068496, "turnover_quote_units": 991152.6647009721, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63946.99676976094, "return_pct": 539.4699676976094, "cagr_pct": 74.8542616597528, "max_drawdown_pct": 66.39629689453774, "mean_exposure_while_solvent": 1.49941951654933, "realized_annual_volatility_pct": 70.00794466760325, "trading_costs_quote_units": 594.6915988205837, "borrowing_costs_quote_units": 10781.021526487184, "price_pnl_quote_units": 65322.709895068496, "turnover_quote_units": 991152.6647009721, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45441.10864848033, "return_pct": 354.4110864848033, "cagr_pct": 57.75879603032372, "max_drawdown_pct": 53.79692503821614, "mean_exposure_while_solvent": 0.9455087096773812, "realized_annual_volatility_pct": 42.3331999609853, "trading_costs_quote_units": 594.9516843809897, "borrowing_costs_quote_units": 2209.0485091287032, "price_pnl_quote_units": 38245.10884199018, "turnover_quote_units": 991586.1406349831, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44105.140565742615, "return_pct": 341.0514056574262, "cagr_pct": 56.34741715398845, "max_drawdown_pct": 55.15529492198754, "mean_exposure_while_solvent": 0.9483280742815765, "realized_annual_volatility_pct": 42.49055270337649, "trading_costs_quote_units": 584.9201909204638, "borrowing_costs_quote_units": 2205.0490589968467, "price_pnl_quote_units": 36895.10981565992, "turnover_quote_units": 974866.9848674405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 13.359680827377133 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 55956.23610588677, "return_pct": 459.56236105886774, "cagr_pct": 67.9646177964901, "max_drawdown_pct": 64.61849817797103, "mean_exposure_while_solvent": 1.302399449697392, "realized_annual_volatility_pct": 59.06948219046948, "trading_costs_quote_units": 768.2338026957234, "borrowing_costs_quote_units": 11312.404211317358, "price_pnl_quote_units": 58036.87411989984, "turnover_quote_units": 1280389.6711595382, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 61755.48258237502, "return_pct": 517.5548258237502, "cagr_pct": 73.02758648341232, "max_drawdown_pct": 60.95159589766064, "mean_exposure_while_solvent": 1.29417690077406, "realized_annual_volatility_pct": 58.68398429889855, "trading_costs_quote_units": 776.6225421600903, "borrowing_costs_quote_units": 10988.400293625791, "price_pnl_quote_units": 63520.50541816097, "turnover_quote_units": 1294370.903600151, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -57.99246476488247 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53489.94427244822, "return_pct": 434.8994427244822, "cagr_pct": 65.69992203288547, "max_drawdown_pct": 66.95817461468805, "mean_exposure_while_solvent": 1.4561030191669002, "realized_annual_volatility_pct": 67.50327209348394, "trading_costs_quote_units": 627.5858308232669, "borrowing_costs_quote_units": 17341.680151315013, "price_pnl_quote_units": 61459.2102545869, "turnover_quote_units": 1045976.3847054441, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 62079.56168591488, "return_pct": 520.7956168591488, "cagr_pct": 73.30053782138467, "max_drawdown_pct": 61.65219341461802, "mean_exposure_while_solvent": 1.4436305695115852, "realized_annual_volatility_pct": 66.93571375578583, "trading_costs_quote_units": 670.7831898293996, "borrowing_costs_quote_units": 16991.94199641052, "price_pnl_quote_units": 69742.28687215544, "turnover_quote_units": 1117971.9830489983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -85.89617413466664 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 48271.25797376826, "return_pct": 382.71257973768263, "cagr_pct": 60.65556794294638, "max_drawdown_pct": 62.909450024236826, "mean_exposure_while_solvent": 1.3099196436505534, "realized_annual_volatility_pct": 58.87209485986353, "trading_costs_quote_units": 1069.5311944801406, "borrowing_costs_quote_units": 10887.204252369947, "price_pnl_quote_units": 50227.99342061816, "turnover_quote_units": 1782551.9908002343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 50531.81915707825, "return_pct": 405.3181915707826, "cagr_pct": 62.88519808555553, "max_drawdown_pct": 61.17248560560924, "mean_exposure_while_solvent": 1.3054406294104706, "realized_annual_volatility_pct": 58.70403344431181, "trading_costs_quote_units": 1080.1216185548178, "borrowing_costs_quote_units": 10721.78499410725, "price_pnl_quote_units": 52333.72576973964, "turnover_quote_units": 1800202.6975913611, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -22.605611833099942 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53624.28882550071, "return_pct": 436.2428882550072, "cagr_pct": 65.8251434333877, "max_drawdown_pct": 66.30118421462574, "mean_exposure_while_solvent": 1.2975588966515597, "realized_annual_volatility_pct": 59.42467856044485, "trading_costs_quote_units": 512.8144452873925, "borrowing_costs_quote_units": 11113.204671298852, "price_pnl_quote_units": 55250.30794208729, "turnover_quote_units": 854690.7421456526, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 62041.46049206386, "return_pct": 520.4146049206386, "cagr_pct": 73.26849932596598, "max_drawdown_pct": 61.011627492514094, "mean_exposure_while_solvent": 1.2797157275794455, "realized_annual_volatility_pct": 58.58060071742278, "trading_costs_quote_units": 523.13335440253, "borrowing_costs_quote_units": 10293.372815076758, "price_pnl_quote_units": 62857.96666154345, "turnover_quote_units": 871888.9240042173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -84.17171666563138 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45913.79061912107, "return_pct": 359.13790619121073, "cagr_pct": 58.2512103264873, "max_drawdown_pct": 49.957334106502394, "mean_exposure_while_solvent": 0.9891552486454345, "realized_annual_volatility_pct": 46.056880969080524, "trading_costs_quote_units": 51.716752382002674, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35965.50737150297, "turnover_quote_units": 86194.58730333777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45913.79061912107, "return_pct": 359.13790619121073, "cagr_pct": 58.2512103264873, "max_drawdown_pct": 49.957334106502394, "mean_exposure_while_solvent": 0.9891552486454345, "realized_annual_volatility_pct": 46.056880969080524, "trading_costs_quote_units": 51.716752382002674, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35965.50737150297, "turnover_quote_units": 86194.58730333777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53624.28882550071, "return_pct": 436.2428882550072, "cagr_pct": 65.8251434333877, "max_drawdown_pct": 66.30118421462574, "mean_exposure_while_solvent": 1.2975588966515597, "realized_annual_volatility_pct": 59.42467856044485, "trading_costs_quote_units": 512.8144452873925, "borrowing_costs_quote_units": 11113.204671298852, "price_pnl_quote_units": 55250.30794208729, "turnover_quote_units": 854690.7421456526, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 62041.46049206386, "return_pct": 520.4146049206386, "cagr_pct": 73.26849932596598, "max_drawdown_pct": 61.011627492514094, "mean_exposure_while_solvent": 1.2797157275794455, "realized_annual_volatility_pct": 58.58060071742278, "trading_costs_quote_units": 523.13335440253, "borrowing_costs_quote_units": 10293.372815076758, "price_pnl_quote_units": 62857.96666154345, "turnover_quote_units": 871888.9240042173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -84.17171666563138 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53624.28882550071, "return_pct": 436.2428882550072, "cagr_pct": 65.8251434333877, "max_drawdown_pct": 66.30118421462574, "mean_exposure_while_solvent": 1.2975588966515597, "realized_annual_volatility_pct": 59.42467856044485, "trading_costs_quote_units": 512.8144452873925, "borrowing_costs_quote_units": 11113.204671298852, "price_pnl_quote_units": 55250.30794208729, "turnover_quote_units": 854690.7421456526, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 62041.46049206386, "return_pct": 520.4146049206386, "cagr_pct": 73.26849932596598, "max_drawdown_pct": 61.011627492514094, "mean_exposure_while_solvent": 1.2797157275794455, "realized_annual_volatility_pct": 58.58060071742278, "trading_costs_quote_units": 523.13335440253, "borrowing_costs_quote_units": 10293.372815076758, "price_pnl_quote_units": 62857.96666154345, "turnover_quote_units": 871888.9240042173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -84.17171666563138 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33771.04260457543, "return_pct": 237.71042604575428, "cagr_pct": 44.269142689269295, "max_drawdown_pct": 40.01776777477664, "mean_exposure_while_solvent": 0.7497474023222125, "realized_annual_volatility_pct": 34.964539646581045, "trading_costs_quote_units": 70.15973614342592, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23841.20234071875, "turnover_quote_units": 116932.89357237662, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33771.04260457543, "return_pct": 237.71042604575428, "cagr_pct": 44.269142689269295, "max_drawdown_pct": 40.01776777477664, "mean_exposure_while_solvent": 0.7497474023222125, "realized_annual_volatility_pct": 34.964539646581045, "trading_costs_quote_units": 70.15973614342592, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23841.20234071875, "turnover_quote_units": 116932.89357237662, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46419.85795055069, "return_pct": 364.19857950550687, "cagr_pct": 58.774492372318335, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9995877422014566, "realized_annual_volatility_pct": 46.62797951899371, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36425.85435270929, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46419.85795055069, "return_pct": 364.19857950550687, "cagr_pct": 58.774492372318335, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9995877422014566, "realized_annual_volatility_pct": 46.62797951899371, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36425.85435270929, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51343.26657974985, "return_pct": 413.43266579749843, "cagr_pct": 63.66852760424659, "max_drawdown_pct": 59.21087437057785, "mean_exposure_while_solvent": 1.249511224065706, "realized_annual_volatility_pct": 58.309331759228286, "trading_costs_quote_units": 192.51369341415923, "borrowing_costs_quote_units": 8154.12384298101, "price_pnl_quote_units": 49689.90411614522, "turnover_quote_units": 320856.15569026605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51343.26657974985, "return_pct": 413.43266579749843, "cagr_pct": 63.66852760424659, "max_drawdown_pct": 59.21087437057785, "mean_exposure_while_solvent": 1.249511224065706, "realized_annual_volatility_pct": 58.309331759228286, "trading_costs_quote_units": 192.51369341415923, "borrowing_costs_quote_units": 8154.12384298101, "price_pnl_quote_units": 49689.90411614522, "turnover_quote_units": 320856.15569026605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54172.40309321151, "return_pct": 441.72403093211517, "cagr_pct": 66.33377592092131, "max_drawdown_pct": 66.95883280164995, "mean_exposure_while_solvent": 1.4995050478443739, "realized_annual_volatility_pct": 70.01256164725594, "trading_costs_quote_units": 537.9431401702311, "borrowing_costs_quote_units": 19449.19729082949, "price_pnl_quote_units": 64159.54352421106, "turnover_quote_units": 896571.900283718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54172.40309321151, "return_pct": 441.72403093211517, "cagr_pct": 66.33377592092131, "max_drawdown_pct": 66.95883280164995, "mean_exposure_while_solvent": 1.4995050478443739, "realized_annual_volatility_pct": 70.01256164725594, "trading_costs_quote_units": 537.9431401702311, "borrowing_costs_quote_units": 19449.19729082949, "price_pnl_quote_units": 64159.54352421106, "turnover_quote_units": 896571.900283718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43551.479153167485, "return_pct": 335.5147915316748, "cagr_pct": 55.75374145803631, "max_drawdown_pct": 53.895081536320255, "mean_exposure_while_solvent": 0.9458505924880459, "realized_annual_volatility_pct": 42.26918148948417, "trading_costs_quote_units": 2915.9054978461168, "borrowing_costs_quote_units": 535.5107032836585, "price_pnl_quote_units": 37002.89535429733, "turnover_quote_units": 971968.4992820371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 42395.57260431913, "return_pct": 323.9557260431913, "cagr_pct": 54.4970820261937, "max_drawdown_pct": 55.11875931311536, "mean_exposure_while_solvent": 0.9486745960907408, "realized_annual_volatility_pct": 42.42839524076162, "trading_costs_quote_units": 2870.463274569269, "borrowing_costs_quote_units": 534.6379462931997, "price_pnl_quote_units": 35800.67382518173, "turnover_quote_units": 956821.091523087, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 11.559065488483498 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 60820.92081320837, "return_pct": 508.20920813208375, "cagr_pct": 72.23481653686119, "max_drawdown_pct": 64.16176286581504, "mean_exposure_while_solvent": 1.3028352210164948, "realized_annual_volatility_pct": 58.94608105222975, "trading_costs_quote_units": 4063.587098948811, "borrowing_costs_quote_units": 2987.3558374685886, "price_pnl_quote_units": 57871.86374962584, "turnover_quote_units": 1354529.0329829357, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66192.47741935306, "return_pct": 561.9247741935305, "cagr_pct": 76.6810892783914, "max_drawdown_pct": 60.996616451443295, "mean_exposure_while_solvent": 1.2946230108336751, "realized_annual_volatility_pct": 58.55915474685762, "trading_costs_quote_units": 4097.709564948555, "borrowing_costs_quote_units": 2893.6349004020776, "price_pnl_quote_units": 63183.82188470365, "turnover_quote_units": 1365903.1883161813, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -53.71556606144679 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 63620.79707558729, "return_pct": 536.2079707558729, "cagr_pct": 74.58516743782691, "max_drawdown_pct": 66.19748996301173, "mean_exposure_while_solvent": 1.456433046746293, "realized_annual_volatility_pct": 67.43129022307302, "trading_costs_quote_units": 3526.85846437842, "borrowing_costs_quote_units": 4821.263215658811, "price_pnl_quote_units": 61968.918755624625, "turnover_quote_units": 1175619.4881261415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 72184.65462632469, "return_pct": 621.8465462632469, "cagr_pct": 81.3528506424464, "max_drawdown_pct": 61.64740737806377, "mean_exposure_while_solvent": 1.4439584457706476, "realized_annual_volatility_pct": 66.86219315320234, "trading_costs_quote_units": 3772.6107497706594, "borrowing_costs_quote_units": 4703.316087442186, "price_pnl_quote_units": 70660.5814635373, "turnover_quote_units": 1257536.9165902208, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -85.63857550737396 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 50286.88274098915, "return_pct": 402.8688274098915, "cagr_pct": 62.64702311720431, "max_drawdown_pct": 62.35844588416024, "mean_exposure_while_solvent": 1.3104251412447316, "realized_annual_volatility_pct": 58.69996785124708, "trading_costs_quote_units": 5443.5145018246, "borrowing_costs_quote_units": 2758.883954312305, "price_pnl_quote_units": 48489.281197126205, "turnover_quote_units": 1814504.8339415353, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 52244.56879042601, "return_pct": 422.4456879042601, "cagr_pct": 64.52852159424872, "max_drawdown_pct": 60.893046930097874, "mean_exposure_while_solvent": 1.30595034342053, "realized_annual_volatility_pct": 58.532824363242774, "trading_costs_quote_units": 5494.805158495609, "borrowing_costs_quote_units": 2713.171409248853, "price_pnl_quote_units": 50452.5453581705, "turnover_quote_units": 1831601.719498537, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -19.576860494368646 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58702.027165406005, "return_pct": 487.02027165406, "cagr_pct": 70.40534102964737, "max_drawdown_pct": 65.6992381076343, "mean_exposure_while_solvent": 1.2978962510980485, "realized_annual_volatility_pct": 59.34430872423441, "trading_costs_quote_units": 2769.054596451959, "borrowing_costs_quote_units": 2946.180935589665, "price_pnl_quote_units": 54417.26269744773, "turnover_quote_units": 923018.1988173199, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66355.43710866472, "return_pct": 563.5543710866472, "cagr_pct": 76.81197054210129, "max_drawdown_pct": 61.2271984728074, "mean_exposure_while_solvent": 1.2800753114670589, "realized_annual_volatility_pct": 58.50170314889014, "trading_costs_quote_units": 2823.9060370198786, "borrowing_costs_quote_units": 2715.8813859604916, "price_pnl_quote_units": 61895.224531645224, "turnover_quote_units": 941302.0123399593, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -76.53409943258714 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 45387.39382077015, "return_pct": 353.8739382077015, "cagr_pct": 57.70261270790928, "max_drawdown_pct": 49.957334106502394, "mean_exposure_while_solvent": 0.9894439620592954, "realized_annual_volatility_pct": 46.054471728293635, "trading_costs_quote_units": 254.89094193276932, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35642.284762702955, "turnover_quote_units": 84963.64731092307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 45387.39382077015, "return_pct": 353.8739382077015, "cagr_pct": 57.70261270790928, "max_drawdown_pct": 49.957334106502394, "mean_exposure_while_solvent": 0.9894439620592954, "realized_annual_volatility_pct": 46.054471728293635, "trading_costs_quote_units": 254.89094193276932, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35642.284762702955, "turnover_quote_units": 84963.64731092307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58702.027165406005, "return_pct": 487.02027165406, "cagr_pct": 70.40534102964737, "max_drawdown_pct": 65.6992381076343, "mean_exposure_while_solvent": 1.2978962510980485, "realized_annual_volatility_pct": 59.34430872423441, "trading_costs_quote_units": 2769.054596451959, "borrowing_costs_quote_units": 2946.180935589665, "price_pnl_quote_units": 54417.26269744773, "turnover_quote_units": 923018.1988173199, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66355.43710866472, "return_pct": 563.5543710866472, "cagr_pct": 76.81197054210129, "max_drawdown_pct": 61.2271984728074, "mean_exposure_while_solvent": 1.2800753114670589, "realized_annual_volatility_pct": 58.50170314889014, "trading_costs_quote_units": 2823.9060370198786, "borrowing_costs_quote_units": 2715.8813859604916, "price_pnl_quote_units": 61895.224531645224, "turnover_quote_units": 941302.0123399593, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -76.53409943258714 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58702.027165406005, "return_pct": 487.02027165406, "cagr_pct": 70.40534102964737, "max_drawdown_pct": 65.6992381076343, "mean_exposure_while_solvent": 1.2978962510980485, "realized_annual_volatility_pct": 59.34430872423441, "trading_costs_quote_units": 2769.054596451959, "borrowing_costs_quote_units": 2946.180935589665, "price_pnl_quote_units": 54417.26269744773, "turnover_quote_units": 923018.1988173199, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66355.43710866472, "return_pct": 563.5543710866472, "cagr_pct": 76.81197054210129, "max_drawdown_pct": 61.2271984728074, "mean_exposure_while_solvent": 1.2800753114670589, "realized_annual_volatility_pct": 58.50170314889014, "trading_costs_quote_units": 2823.9060370198786, "borrowing_costs_quote_units": 2715.8813859604916, "price_pnl_quote_units": 61895.224531645224, "turnover_quote_units": 941302.0123399593, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -76.53409943258714 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33465.31819561159, "return_pct": 234.65318195611587, "cagr_pct": 43.8745701246496, "max_drawdown_pct": 40.09358676575704, "mean_exposure_while_solvent": 0.749963044394577, "realized_annual_volatility_pct": 34.975363023353324, "trading_costs_quote_units": 357.51745248070034, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23822.835648092405, "turnover_quote_units": 119172.4841602335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33465.31819561159, "return_pct": 234.65318195611587, "cagr_pct": 43.8745701246496, "max_drawdown_pct": 40.09358676575704, "mean_exposure_while_solvent": 0.749963044394577, "realized_annual_volatility_pct": 34.975363023353324, "trading_costs_quote_units": 357.51745248070034, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23822.835648092405, "turnover_quote_units": 119172.4841602335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46406.496394944596, "return_pct": 364.064963949446, "cagr_pct": 58.76072767281466, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9998625807338188, "realized_annual_volatility_pct": 46.62837660273919, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36436.40666413701, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46406.496394944596, "return_pct": 364.064963949446, "cagr_pct": 58.76072767281466, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9998625807338188, "realized_annual_volatility_pct": 46.62837660273919, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36436.40666413701, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 57180.39479500723, "return_pct": 471.80394795007237, "cagr_pct": 69.06287565748177, "max_drawdown_pct": 58.73408544111467, "mean_exposure_while_solvent": 1.2497718700693117, "realized_annual_volatility_pct": 58.29097422769409, "trading_costs_quote_units": 1050.1396588703276, "borrowing_costs_quote_units": 2178.6012308087024, "price_pnl_quote_units": 50409.13568468668, "turnover_quote_units": 350046.55295677565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 57180.39479500723, "return_pct": 471.80394795007237, "cagr_pct": 69.06287565748177, "max_drawdown_pct": 58.73408544111467, "mean_exposure_while_solvent": 1.2497718700693117, "realized_annual_volatility_pct": 58.29097422769409, "trading_costs_quote_units": 1050.1396588703276, "borrowing_costs_quote_units": 2178.6012308087024, "price_pnl_quote_units": 50409.13568468668, "turnover_quote_units": 350046.55295677565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66802.41175436016, "return_pct": 568.0241175436016, "cagr_pct": 77.16980949167687, "max_drawdown_pct": 66.1928715534282, "mean_exposure_while_solvent": 1.4997017714172576, "realized_annual_volatility_pct": 69.96756029564337, "trading_costs_quote_units": 3126.255575924838, "borrowing_costs_quote_units": 5540.5714808226085, "price_pnl_quote_units": 65469.23881110793, "turnover_quote_units": 1042085.1919749447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66802.41175436016, "return_pct": 568.0241175436016, "cagr_pct": 77.16980949167687, "max_drawdown_pct": 66.1928715534282, "mean_exposure_while_solvent": 1.4997017714172576, "realized_annual_volatility_pct": 69.96756029564337, "trading_costs_quote_units": 3126.255575924838, "borrowing_costs_quote_units": 5540.5714808226085, "price_pnl_quote_units": 65469.23881110793, "turnover_quote_units": 1042085.1919749447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 42997.42902593312, "return_pct": 329.97429025933116, "cagr_pct": 55.15434526788956, "max_drawdown_pct": 53.947962565266664, "mean_exposure_while_solvent": 0.9458563890045303, "realized_annual_volatility_pct": 42.26944138624401, "trading_costs_quote_units": 2894.0930537233285, "borrowing_costs_quote_units": 1062.2304725224933, "price_pnl_quote_units": 36953.752552179256, "turnover_quote_units": 964697.6845744431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 41856.22760726435, "return_pct": 318.5622760726435, "cagr_pct": 53.90252191169247, "max_drawdown_pct": 55.170236818487886, "mean_exposure_while_solvent": 0.9486803926072253, "realized_annual_volatility_pct": 42.42865080064802, "trading_costs_quote_units": 2849.20255488595, "borrowing_costs_quote_units": 1060.506474620172, "price_pnl_quote_units": 35765.936636770595, "turnover_quote_units": 949734.1849619832, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 11.412014186687657 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 57740.467509057984, "return_pct": 477.4046750905798, "cagr_pct": 69.5598728047884, "max_drawdown_pct": 64.38267349005575, "mean_exposure_while_solvent": 1.3028607701699204, "realized_annual_volatility_pct": 58.947582729031076, "trading_costs_quote_units": 3936.9679952049605, "borrowing_costs_quote_units": 5776.7516615656805, "price_pnl_quote_units": 57454.18716582861, "turnover_quote_units": 1312322.6650683205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62926.14804633854, "return_pct": 529.2614804633854, "cagr_pct": 74.00889636296996, "max_drawdown_pct": 61.18387575182111, "mean_exposure_while_solvent": 1.2946479287127097, "realized_annual_volatility_pct": 58.560504655694736, "trading_costs_quote_units": 3970.304510194485, "borrowing_costs_quote_units": 5598.523271497337, "price_pnl_quote_units": 62494.975828029914, "turnover_quote_units": 1323434.8367314984, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -51.85680537280558 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58979.00996629027, "return_pct": 489.7900996629027, "cagr_pct": 70.64708591201045, "max_drawdown_pct": 66.48174221996344, "mean_exposure_while_solvent": 1.456471499583807, "realized_annual_volatility_pct": 67.4339795639662, "trading_costs_quote_units": 3372.393787741757, "borrowing_costs_quote_units": 9193.177707717958, "price_pnl_quote_units": 61544.58146174988, "turnover_quote_units": 1124131.2625805864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 67057.55404848052, "return_pct": 570.5755404848053, "cagr_pct": 77.37332166895973, "max_drawdown_pct": 61.890638992069256, "mean_exposure_while_solvent": 1.4439958219786813, "realized_annual_volatility_pct": 66.8646671448832, "trading_costs_quote_units": 3603.4847112311695, "borrowing_costs_quote_units": 8974.115839463953, "price_pnl_quote_units": 69635.15459917531, "turnover_quote_units": 1201161.570410391, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -80.78544082190257 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 47611.01436126292, "return_pct": 376.11014361262914, "cagr_pct": 59.990620509425206, "max_drawdown_pct": 62.58358481475024, "mean_exposure_while_solvent": 1.3104522518661132, "realized_annual_volatility_pct": 58.701779663478426, "trading_costs_quote_units": 5272.338155409271, "borrowing_costs_quote_units": 5331.655232743584, "price_pnl_quote_units": 48215.00774941599, "turnover_quote_units": 1757446.0518030939, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 49501.477847833616, "return_pct": 395.0147784783361, "cagr_pct": 61.87778840092317, "max_drawdown_pct": 61.09791248335724, "mean_exposure_while_solvent": 1.3059770950079492, "realized_annual_volatility_pct": 58.5345643649884, "trading_costs_quote_units": 5321.882494535226, "borrowing_costs_quote_units": 5244.925469596217, "price_pnl_quote_units": 50068.285811965245, "turnover_quote_units": 1773960.8315117427, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -18.904634865706953 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 55851.869936177, "return_pct": 458.51869936176996, "cagr_pct": 67.87021140380192, "max_drawdown_pct": 65.92467726436865, "mean_exposure_while_solvent": 1.2979205173289454, "realized_annual_volatility_pct": 59.34592440967531, "trading_costs_quote_units": 2685.735396606391, "borrowing_costs_quote_units": 5705.510373631542, "price_pnl_quote_units": 54243.115706415294, "turnover_quote_units": 895245.1322021306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 63321.73959624799, "return_pct": 533.2173959624799, "cagr_pct": 74.33761531547427, "max_drawdown_pct": 61.36729682659844, "mean_exposure_while_solvent": 1.28009815142703, "realized_annual_volatility_pct": 58.5030321574872, "trading_costs_quote_units": 2738.9788077339254, "borrowing_costs_quote_units": 5266.1775554074975, "price_pnl_quote_units": 61326.89595938965, "turnover_quote_units": 912992.9359113098, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -74.69869660070998 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45387.39382077015, "return_pct": 353.8739382077015, "cagr_pct": 57.70261270790928, "max_drawdown_pct": 49.957334106502394, "mean_exposure_while_solvent": 0.9894439620592954, "realized_annual_volatility_pct": 46.054471728293635, "trading_costs_quote_units": 254.89094193276932, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35642.284762702955, "turnover_quote_units": 84963.64731092307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45387.39382077015, "return_pct": 353.8739382077015, "cagr_pct": 57.70261270790928, "max_drawdown_pct": 49.957334106502394, "mean_exposure_while_solvent": 0.9894439620592954, "realized_annual_volatility_pct": 46.054471728293635, "trading_costs_quote_units": 254.89094193276932, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35642.284762702955, "turnover_quote_units": 84963.64731092307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 55851.869936177, "return_pct": 458.51869936176996, "cagr_pct": 67.87021140380192, "max_drawdown_pct": 65.92467726436865, "mean_exposure_while_solvent": 1.2979205173289454, "realized_annual_volatility_pct": 59.34592440967531, "trading_costs_quote_units": 2685.735396606391, "borrowing_costs_quote_units": 5705.510373631542, "price_pnl_quote_units": 54243.115706415294, "turnover_quote_units": 895245.1322021306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 63321.73959624799, "return_pct": 533.2173959624799, "cagr_pct": 74.33761531547427, "max_drawdown_pct": 61.36729682659844, "mean_exposure_while_solvent": 1.28009815142703, "realized_annual_volatility_pct": 58.5030321574872, "trading_costs_quote_units": 2738.9788077339254, "borrowing_costs_quote_units": 5266.1775554074975, "price_pnl_quote_units": 61326.89595938965, "turnover_quote_units": 912992.9359113098, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -74.69869660070998 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 55851.869936177, "return_pct": 458.51869936176996, "cagr_pct": 67.87021140380192, "max_drawdown_pct": 65.92467726436865, "mean_exposure_while_solvent": 1.2979205173289454, "realized_annual_volatility_pct": 59.34592440967531, "trading_costs_quote_units": 2685.735396606391, "borrowing_costs_quote_units": 5705.510373631542, "price_pnl_quote_units": 54243.115706415294, "turnover_quote_units": 895245.1322021306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 63321.73959624799, "return_pct": 533.2173959624799, "cagr_pct": 74.33761531547427, "max_drawdown_pct": 61.36729682659844, "mean_exposure_while_solvent": 1.28009815142703, "realized_annual_volatility_pct": 58.5030321574872, "trading_costs_quote_units": 2738.9788077339254, "borrowing_costs_quote_units": 5266.1775554074975, "price_pnl_quote_units": 61326.89595938965, "turnover_quote_units": 912992.9359113098, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -74.69869660070998 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33465.31819561159, "return_pct": 234.65318195611587, "cagr_pct": 43.8745701246496, "max_drawdown_pct": 40.09358676575704, "mean_exposure_while_solvent": 0.749963044394577, "realized_annual_volatility_pct": 34.975363023353324, "trading_costs_quote_units": 357.51745248070034, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23822.835648092405, "turnover_quote_units": 119172.4841602335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33465.31819561159, "return_pct": 234.65318195611587, "cagr_pct": 43.8745701246496, "max_drawdown_pct": 40.09358676575704, "mean_exposure_while_solvent": 0.749963044394577, "realized_annual_volatility_pct": 34.975363023353324, "trading_costs_quote_units": 357.51745248070034, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23822.835648092405, "turnover_quote_units": 119172.4841602335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46406.496394944596, "return_pct": 364.064963949446, "cagr_pct": 58.76072767281466, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9998625807338188, "realized_annual_volatility_pct": 46.62837660273919, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36436.40666413701, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46406.496394944596, "return_pct": 364.064963949446, "cagr_pct": 58.76072767281466, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9998625807338188, "realized_annual_volatility_pct": 46.62837660273919, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36436.40666413701, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 54857.64250898664, "return_pct": 448.5764250898664, "cagr_pct": 66.96462237855461, "max_drawdown_pct": 58.907661004874726, "mean_exposure_while_solvent": 1.249789682597744, "realized_annual_volatility_pct": 58.29222944523451, "trading_costs_quote_units": 1024.9694280963276, "borrowing_costs_quote_units": 4246.51593219406, "price_pnl_quote_units": 50129.12786927688, "turnover_quote_units": 341656.47603210947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 54857.64250898664, "return_pct": 448.5764250898664, "cagr_pct": 66.96462237855461, "max_drawdown_pct": 58.907661004874726, "mean_exposure_while_solvent": 1.249789682597744, "realized_annual_volatility_pct": 58.29222944523451, "trading_costs_quote_units": 1024.9694280963276, "borrowing_costs_quote_units": 4246.51593219406, "price_pnl_quote_units": 50129.12786927688, "turnover_quote_units": 341656.47603210947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 61484.79909909112, "return_pct": 514.8479909909112, "cagr_pct": 72.79883865244392, "max_drawdown_pct": 66.47722723438298, "mean_exposure_while_solvent": 1.4997445302613661, "realized_annual_volatility_pct": 69.97057961033651, "trading_costs_quote_units": 2973.942314671856, "borrowing_costs_quote_units": 10519.828805911384, "price_pnl_quote_units": 64978.570219674744, "turnover_quote_units": 991314.1048906179, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 61484.79909909112, "return_pct": 514.8479909909112, "cagr_pct": 72.79883865244392, "max_drawdown_pct": 66.47722723438298, "mean_exposure_while_solvent": 1.4997445302613661, "realized_annual_volatility_pct": 69.97057961033651, "trading_costs_quote_units": 2973.942314671856, "borrowing_costs_quote_units": 10519.828805911384, "price_pnl_quote_units": 64978.570219674744, "turnover_quote_units": 991314.1048906179, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 41910.07267099508, "return_pct": 319.1007267099509, "cagr_pct": 53.962119066583504, "max_drawdown_pct": 54.05356747466025, "mean_exposure_while_solvent": 0.9458679840599705, "realized_annual_volatility_pct": 42.26997617996887, "trading_costs_quote_units": 2851.0450135713695, "borrowing_costs_quote_units": 2089.7761172492865, "price_pnl_quote_units": 36850.893801815684, "turnover_quote_units": 950348.3378571225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 40797.73094563737, "return_pct": 307.9773094563737, "cagr_pct": 52.719914884132905, "max_drawdown_pct": 55.27303885163637, "mean_exposure_while_solvent": 0.9486919876626654, "realized_annual_volatility_pct": 42.42917686254733, "trading_costs_quote_units": 2807.2382609598735, "borrowing_costs_quote_units": 2086.412625180225, "price_pnl_quote_units": 35691.381831777435, "turnover_quote_units": 935746.0869866256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 11.123417253577202 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52038.06159581371, "return_pct": 420.3806159581371, "cagr_pct": 64.33240014413965, "max_drawdown_pct": 64.82056486949344, "mean_exposure_while_solvent": 1.3029118787630487, "realized_annual_volatility_pct": 58.95060802360352, "trading_costs_quote_units": 3697.103021815496, "borrowing_costs_quote_units": 10804.973484053555, "price_pnl_quote_units": 56540.138101683115, "turnover_quote_units": 1232367.6739384984, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56867.307210950356, "return_pct": 468.6730721095036, "cagr_pct": 68.78356420363096, "max_drawdown_pct": 61.55583656030807, "mean_exposure_while_solvent": 1.294697774531841, "realized_annual_volatility_pct": 58.56322785990078, "trading_costs_quote_units": 3728.8724398184295, "borrowing_costs_quote_units": 10482.703877679027, "price_pnl_quote_units": 61078.88352844791, "turnover_quote_units": 1242957.479939477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -48.29245615136648 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 50684.29474167492, "return_pct": 406.8429474167492, "cagr_pct": 63.03305741559642, "max_drawdown_pct": 67.04328543512979, "mean_exposure_while_solvent": 1.456548421543352, "realized_annual_volatility_pct": 67.43936396324857, "trading_costs_quote_units": 3086.4305318924016, "borrowing_costs_quote_units": 16727.346183143265, "price_pnl_quote_units": 60498.07145671035, "turnover_quote_units": 1028810.1772974696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57867.2764553107, "return_pct": 478.67276455310696, "cagr_pct": 69.67193233290223, "max_drawdown_pct": 62.37265759533215, "mean_exposure_while_solvent": 1.4440705902072881, "realized_annual_volatility_pct": 66.86962339299102, "trading_costs_quote_units": 3290.7494280353326, "borrowing_costs_quote_units": 16349.525629695898, "price_pnl_quote_units": 67507.55151304172, "turnover_quote_units": 1096916.4760117796, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -71.82981713635775 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 42677.37996270032, "return_pct": 326.7737996270032, "cagr_pct": 54.80563881634464, "max_drawdown_pct": 63.02998130068445, "mean_exposure_while_solvent": 1.3105064841795582, "realized_annual_volatility_pct": 58.705425340357884, "trading_costs_quote_units": 4948.577027613449, "borrowing_costs_quote_units": 9960.824308786201, "price_pnl_quote_units": 47586.78129909968, "turnover_quote_units": 1649525.6758711506, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 44438.279631620906, "return_pct": 344.382796316209, "cagr_pct": 56.70212705356368, "max_drawdown_pct": 61.504571499414816, "mean_exposure_while_solvent": 1.3060306091144347, "realized_annual_volatility_pct": 58.538067124316605, "trading_costs_quote_units": 4994.775553295235, "borrowing_costs_quote_units": 9804.725800284592, "price_pnl_quote_units": 49237.78098520054, "turnover_quote_units": 1664925.1844317452, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -17.60899668920581 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 50558.455157756296, "return_pct": 405.584551577563, "cagr_pct": 62.911050126210654, "max_drawdown_pct": 66.37126064096024, "mean_exposure_while_solvent": 1.2979690594387687, "realized_annual_volatility_pct": 59.34917754404822, "trading_costs_quote_units": 2527.6205105706777, "borrowing_costs_quote_units": 10702.680927184196, "price_pnl_quote_units": 53788.756595511404, "turnover_quote_units": 842540.1701902251, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57662.43495911532, "return_pct": 476.62434959115325, "cagr_pct": 69.49083088204023, "max_drawdown_pct": 61.64607897932994, "mean_exposure_while_solvent": 1.2801438404405898, "realized_annual_volatility_pct": 58.5057140761118, "trading_costs_quote_units": 2577.7539558442063, "borrowing_costs_quote_units": 9903.294696625013, "price_pnl_quote_units": 60143.48361158485, "turnover_quote_units": 859251.3186147357, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -71.03979801359026 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45387.39382077015, "return_pct": 353.8739382077015, "cagr_pct": 57.70261270790928, "max_drawdown_pct": 49.957334106502394, "mean_exposure_while_solvent": 0.9894439620592954, "realized_annual_volatility_pct": 46.054471728293635, "trading_costs_quote_units": 254.89094193276932, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35642.284762702955, "turnover_quote_units": 84963.64731092307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45387.39382077015, "return_pct": 353.8739382077015, "cagr_pct": 57.70261270790928, "max_drawdown_pct": 49.957334106502394, "mean_exposure_while_solvent": 0.9894439620592954, "realized_annual_volatility_pct": 46.054471728293635, "trading_costs_quote_units": 254.89094193276932, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35642.284762702955, "turnover_quote_units": 84963.64731092307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 50558.455157756296, "return_pct": 405.584551577563, "cagr_pct": 62.911050126210654, "max_drawdown_pct": 66.37126064096024, "mean_exposure_while_solvent": 1.2979690594387687, "realized_annual_volatility_pct": 59.34917754404822, "trading_costs_quote_units": 2527.6205105706777, "borrowing_costs_quote_units": 10702.680927184196, "price_pnl_quote_units": 53788.756595511404, "turnover_quote_units": 842540.1701902251, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57662.43495911532, "return_pct": 476.62434959115325, "cagr_pct": 69.49083088204023, "max_drawdown_pct": 61.64607897932994, "mean_exposure_while_solvent": 1.2801438404405898, "realized_annual_volatility_pct": 58.5057140761118, "trading_costs_quote_units": 2577.7539558442063, "borrowing_costs_quote_units": 9903.294696625013, "price_pnl_quote_units": 60143.48361158485, "turnover_quote_units": 859251.3186147357, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -71.03979801359026 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 50558.455157756296, "return_pct": 405.584551577563, "cagr_pct": 62.911050126210654, "max_drawdown_pct": 66.37126064096024, "mean_exposure_while_solvent": 1.2979690594387687, "realized_annual_volatility_pct": 59.34917754404822, "trading_costs_quote_units": 2527.6205105706777, "borrowing_costs_quote_units": 10702.680927184196, "price_pnl_quote_units": 53788.756595511404, "turnover_quote_units": 842540.1701902251, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57662.43495911532, "return_pct": 476.62434959115325, "cagr_pct": 69.49083088204023, "max_drawdown_pct": 61.64607897932994, "mean_exposure_while_solvent": 1.2801438404405898, "realized_annual_volatility_pct": 58.5057140761118, "trading_costs_quote_units": 2577.7539558442063, "borrowing_costs_quote_units": 9903.294696625013, "price_pnl_quote_units": 60143.48361158485, "turnover_quote_units": 859251.3186147357, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -71.03979801359026 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33465.31819561159, "return_pct": 234.65318195611587, "cagr_pct": 43.8745701246496, "max_drawdown_pct": 40.09358676575704, "mean_exposure_while_solvent": 0.749963044394577, "realized_annual_volatility_pct": 34.975363023353324, "trading_costs_quote_units": 357.51745248070034, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23822.835648092405, "turnover_quote_units": 119172.4841602335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33465.31819561159, "return_pct": 234.65318195611587, "cagr_pct": 43.8745701246496, "max_drawdown_pct": 40.09358676575704, "mean_exposure_while_solvent": 0.749963044394577, "realized_annual_volatility_pct": 34.975363023353324, "trading_costs_quote_units": 357.51745248070034, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23822.835648092405, "turnover_quote_units": 119172.4841602335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46406.496394944596, "return_pct": 364.064963949446, "cagr_pct": 58.76072767281466, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9998625807338188, "realized_annual_volatility_pct": 46.62837660273919, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36436.40666413701, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46406.496394944596, "return_pct": 364.064963949446, "cagr_pct": 58.76072767281466, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9998625807338188, "realized_annual_volatility_pct": 46.62837660273919, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36436.40666413701, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 50490.23585808066, "return_pct": 404.9023585808066, "cagr_pct": 62.84481963520945, "max_drawdown_pct": 59.252720288926675, "mean_exposure_while_solvent": 1.249825313140933, "realized_annual_volatility_pct": 58.29474016234213, "trading_costs_quote_units": 976.8972406632893, "borrowing_costs_quote_units": 8069.279619624843, "price_pnl_quote_units": 49536.412718368505, "turnover_quote_units": 325632.41355442954, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 50490.23585808066, "return_pct": 404.9023585808066, "cagr_pct": 62.84481963520945, "max_drawdown_pct": 59.252720288926675, "mean_exposure_while_solvent": 1.249825313140933, "realized_annual_volatility_pct": 58.29474016234213, "trading_costs_quote_units": 976.8972406632893, "borrowing_costs_quote_units": 8069.279619624843, "price_pnl_quote_units": 49536.412718368505, "turnover_quote_units": 325632.41355442954, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52082.899865563144, "return_pct": 420.82899865563144, "cagr_pct": 64.37502955400119, "max_drawdown_pct": 67.10070880096201, "mean_exposure_while_solvent": 1.4998300664940496, "realized_annual_volatility_pct": 69.97661946107945, "trading_costs_quote_units": 2694.7200805036982, "borrowing_costs_quote_units": 18982.530314337328, "price_pnl_quote_units": 63760.15026040437, "turnover_quote_units": 898240.0268345656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52082.899865563144, "return_pct": 420.82899865563144, "cagr_pct": 64.37502955400119, "max_drawdown_pct": 67.10070880096201, "mean_exposure_while_solvent": 1.4998300664940496, "realized_annual_volatility_pct": 69.97661946107945, "trading_costs_quote_units": 2694.7200805036982, "borrowing_costs_quote_units": 18982.530314337328, "price_pnl_quote_units": 63760.15026040437, "turnover_quote_units": 898240.0268345656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44456.67207251484, "return_pct": 344.5667207251484, "cagr_pct": 56.72165620283687, "max_drawdown_pct": 53.94498807216445, "mean_exposure_while_solvent": 0.9454913308061361, "realized_annual_volatility_pct": 42.3309887791729, "trading_costs_quote_units": 2929.655423280351, "borrowing_costs_quote_units": 542.8921668783158, "price_pnl_quote_units": 37929.21966267374, "turnover_quote_units": 976551.8077601179, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 43169.6963478687, "return_pct": 331.69696347868705, "cagr_pct": 55.341287067530985, "max_drawdown_pct": 55.27823412019819, "mean_exposure_while_solvent": 0.9483106954103314, "realized_annual_volatility_pct": 42.48813203213116, "trading_costs_quote_units": 2880.5421143101994, "borrowing_costs_quote_units": 541.9261370247999, "price_pnl_quote_units": 36592.16459920402, "turnover_quote_units": 960180.7047700656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 12.869757246461347 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 61651.69252811199, "return_pct": 516.5169252811199, "cagr_pct": 72.93995909234152, "max_drawdown_pct": 64.1775039176931, "mean_exposure_while_solvent": 1.3023228709705823, "realized_annual_volatility_pct": 59.06436878107998, "trading_costs_quote_units": 4067.9381366665407, "borrowing_costs_quote_units": 3006.2172815005783, "price_pnl_quote_units": 58725.84794627878, "turnover_quote_units": 1355979.3788888475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 67778.57660343326, "return_pct": 577.7857660343327, "cagr_pct": 77.94552934902661, "max_drawdown_pct": 60.61749977531101, "mean_exposure_while_solvent": 1.2941022155492394, "realized_annual_volatility_pct": 58.67853263389592, "trading_costs_quote_units": 4111.558632321042, "borrowing_costs_quote_units": 2916.5090530446796, "price_pnl_quote_units": 64806.64428879879, "turnover_quote_units": 1370519.5441070125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -61.26884075321277 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64066.93986586016, "return_pct": 540.6693986586015, "cagr_pct": 74.95296594232146, "max_drawdown_pct": 66.24080036716131, "mean_exposure_while_solvent": 1.455987706118637, "realized_annual_volatility_pct": 67.49775435723619, "trading_costs_quote_units": 3485.189360720696, "borrowing_costs_quote_units": 4845.807269575767, "price_pnl_quote_units": 62397.9364961567, "turnover_quote_units": 1161729.7869069, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 73800.79150484754, "return_pct": 638.0079150484754, "cagr_pct": 82.56617964672787, "max_drawdown_pct": 61.111680085077815, "mean_exposure_while_solvent": 1.4435184761098507, "realized_annual_volatility_pct": 66.92949408074381, "trading_costs_quote_units": 3733.6433254579542, "borrowing_costs_quote_units": 4739.441675320394, "price_pnl_quote_units": 72273.87650562575, "turnover_quote_units": 1244547.775152653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -97.33851638987392 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 51939.82273630724, "return_pct": 419.39822736307235, "cagr_pct": 64.23891099788261, "max_drawdown_pct": 62.68917354770043, "mean_exposure_while_solvent": 1.3098384096291813, "realized_annual_volatility_pct": 58.866244570899504, "trading_costs_quote_units": 5568.89063652793, "borrowing_costs_quote_units": 2842.643411523246, "price_pnl_quote_units": 50351.35678435827, "turnover_quote_units": 1856296.8788426458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 54245.88095441119, "return_pct": 442.4588095441119, "cagr_pct": 66.40168724971949, "max_drawdown_pct": 61.032623073868564, "mean_exposure_while_solvent": 1.3053604716091975, "realized_annual_volatility_pct": 58.69779942761662, "trading_costs_quote_units": 5623.048276581474, "borrowing_costs_quote_units": 2797.552196843353, "price_pnl_quote_units": 52666.48142783569, "turnover_quote_units": 1874349.4255271566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -23.060582181039535 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 59828.20459130147, "return_pct": 498.28204591301477, "cagr_pct": 71.38333536199879, "max_drawdown_pct": 65.7733300745438, "mean_exposure_while_solvent": 1.2974861277908898, "realized_annual_volatility_pct": 59.42083735676238, "trading_costs_quote_units": 2740.236653753761, "borrowing_costs_quote_units": 2978.2507028116624, "price_pnl_quote_units": 55546.69194786715, "turnover_quote_units": 913412.2179179193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 68624.98034349992, "return_pct": 586.2498034349992, "cagr_pct": 78.6118380145721, "max_drawdown_pct": 60.74084845261443, "mean_exposure_while_solvent": 1.2796472367645635, "realized_annual_volatility_pct": 58.57608074096095, "trading_costs_quote_units": 2794.465450096353, "borrowing_costs_quote_units": 2750.0507505499368, "price_pnl_quote_units": 64169.49654414664, "turnover_quote_units": 931488.4833654494, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -87.96775752198442 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45572.07671427915, "return_pct": 355.7207671427915, "cagr_pct": 57.895588533904, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9891552486454345, "realized_annual_volatility_pct": 46.05672204237352, "trading_costs_quote_units": 257.30304550639175, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35829.37975978553, "turnover_quote_units": 85767.68183546387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45572.07671427915, "return_pct": 355.7207671427915, "cagr_pct": 57.895588533904, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9891552486454345, "realized_annual_volatility_pct": 46.05672204237352, "trading_costs_quote_units": 257.30304550639175, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35829.37975978553, "turnover_quote_units": 85767.68183546387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 59828.20459130147, "return_pct": 498.28204591301477, "cagr_pct": 71.38333536199879, "max_drawdown_pct": 65.7733300745438, "mean_exposure_while_solvent": 1.2974861277908898, "realized_annual_volatility_pct": 59.42083735676238, "trading_costs_quote_units": 2740.236653753761, "borrowing_costs_quote_units": 2978.2507028116624, "price_pnl_quote_units": 55546.69194786715, "turnover_quote_units": 913412.2179179193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 68624.98034349992, "return_pct": 586.2498034349992, "cagr_pct": 78.6118380145721, "max_drawdown_pct": 60.74084845261443, "mean_exposure_while_solvent": 1.2796472367645635, "realized_annual_volatility_pct": 58.57608074096095, "trading_costs_quote_units": 2794.465450096353, "borrowing_costs_quote_units": 2750.0507505499368, "price_pnl_quote_units": 64169.49654414664, "turnover_quote_units": 931488.4833654494, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -87.96775752198442 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 59828.20459130147, "return_pct": 498.28204591301477, "cagr_pct": 71.38333536199879, "max_drawdown_pct": 65.7733300745438, "mean_exposure_while_solvent": 1.2974861277908898, "realized_annual_volatility_pct": 59.42083735676238, "trading_costs_quote_units": 2740.236653753761, "borrowing_costs_quote_units": 2978.2507028116624, "price_pnl_quote_units": 55546.69194786715, "turnover_quote_units": 913412.2179179193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 68624.98034349992, "return_pct": 586.2498034349992, "cagr_pct": 78.6118380145721, "max_drawdown_pct": 60.74084845261443, "mean_exposure_while_solvent": 1.2796472367645635, "realized_annual_volatility_pct": 58.57608074096095, "trading_costs_quote_units": 2794.465450096353, "borrowing_costs_quote_units": 2750.0507505499368, "price_pnl_quote_units": 64169.49654414664, "turnover_quote_units": 931488.4833654494, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -87.96775752198442 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33405.03465612158, "return_pct": 234.05034656121578, "cagr_pct": 43.79647022429915, "max_drawdown_pct": 40.07419957037587, "mean_exposure_while_solvent": 0.7497474023222125, "realized_annual_volatility_pct": 34.96466487199916, "trading_costs_quote_units": 348.46217063959267, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23753.49682676115, "turnover_quote_units": 116154.05687986412, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33405.03465612158, "return_pct": 234.05034656121578, "cagr_pct": 43.79647022429915, "max_drawdown_pct": 40.07419957037587, "mean_exposure_while_solvent": 0.7497474023222125, "realized_annual_volatility_pct": 34.96466487199916, "trading_costs_quote_units": 348.46217063959267, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23753.49682676115, "turnover_quote_units": 116154.05687986412, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46308.78351477669, "return_pct": 363.0878351477669, "cagr_pct": 58.65998232377032, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9995877422014566, "realized_annual_volatility_pct": 46.628290384519204, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36338.69378396905, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46308.78351477669, "return_pct": 363.0878351477669, "cagr_pct": 58.65998232377032, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9995877422014566, "realized_annual_volatility_pct": 46.628290384519204, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36338.69378396905, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 57098.220775094305, "return_pct": 470.9822077509431, "cagr_pct": 68.98967028720318, "max_drawdown_pct": 58.757748897798564, "mean_exposure_while_solvent": 1.2494577913373075, "realized_annual_volatility_pct": 58.30685324542888, "trading_costs_quote_units": 1024.0936500972985, "borrowing_costs_quote_units": 2174.5049294388587, "price_pnl_quote_units": 50296.81935463098, "turnover_quote_units": 341364.5500324327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 57098.220775094305, "return_pct": 470.9822077509431, "cagr_pct": 68.98967028720318, "max_drawdown_pct": 58.757748897798564, "mean_exposure_while_solvent": 1.2494577913373075, "realized_annual_volatility_pct": 58.30685324542888, "trading_costs_quote_units": 1024.0936500972985, "borrowing_costs_quote_units": 2174.5049294388587, "price_pnl_quote_units": 50296.81935463098, "turnover_quote_units": 341364.5500324327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 66752.83010395043, "return_pct": 567.5283010395043, "cagr_pct": 77.13019807995852, "max_drawdown_pct": 66.24136618004532, "mean_exposure_while_solvent": 1.4993767601750152, "realized_annual_volatility_pct": 70.00635580471216, "trading_costs_quote_units": 3049.0122993198356, "borrowing_costs_quote_units": 5530.63135115957, "price_pnl_quote_units": 65332.47375442947, "turnover_quote_units": 1016337.4331066122, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 66752.83010395043, "return_pct": 567.5283010395043, "cagr_pct": 77.13019807995852, "max_drawdown_pct": 66.24136618004532, "mean_exposure_while_solvent": 1.4993767601750152, "realized_annual_volatility_pct": 70.00635580471216, "trading_costs_quote_units": 3049.0122993198356, "borrowing_costs_quote_units": 5530.63135115957, "price_pnl_quote_units": 65332.47375442947, "turnover_quote_units": 1016337.4331066122, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 43891.3692343725, "return_pct": 338.913692343725, "cagr_pct": 56.118816754584365, "max_drawdown_pct": 53.998856110493286, "mean_exposure_while_solvent": 0.9454971230893713, "realized_annual_volatility_pct": 42.331100412977946, "trading_costs_quote_units": 2907.6149112731273, "borrowing_costs_quote_units": 1076.8560440273247, "price_pnl_quote_units": 37875.84018967287, "turnover_quote_units": 969204.9704243763, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 42620.758455545474, "return_pct": 326.20758455545473, "cagr_pct": 54.74375729369159, "max_drawdown_pct": 55.33054273326125, "mean_exposure_while_solvent": 0.9483164876935666, "realized_annual_volatility_pct": 42.48823958882199, "trading_costs_quote_units": 2859.098194810272, "borrowing_costs_quote_units": 1074.9477912099912, "price_pnl_quote_units": 36554.80444156555, "turnover_quote_units": 953032.7316034242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 12.706107788270288 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58530.75705523921, "return_pct": 485.3075705523922, "cagr_pct": 70.25546090584447, "max_drawdown_pct": 64.39839257371807, "mean_exposure_while_solvent": 1.3023483937881086, "realized_annual_volatility_pct": 59.06546115980357, "trading_costs_quote_units": 3941.336896909239, "borrowing_costs_quote_units": 5813.067992763228, "price_pnl_quote_units": 58285.16194491188, "turnover_quote_units": 1313778.965636414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 64435.93220985584, "return_pct": 544.3593220985584, "cagr_pct": 75.25581186687272, "max_drawdown_pct": 60.80654209688784, "mean_exposure_while_solvent": 1.294127107274384, "realized_annual_volatility_pct": 58.67946563814358, "trading_costs_quote_units": 3983.646450847402, "borrowing_costs_quote_units": 5642.497881564964, "price_pnl_quote_units": 64062.076542268056, "turnover_quote_units": 1327882.1502824677, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -59.05175154616626 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 59394.56479106429, "return_pct": 493.9456479106429, "cagr_pct": 71.00828990852781, "max_drawdown_pct": 66.52453828720076, "mean_exposure_while_solvent": 1.4560261383764652, "realized_annual_volatility_pct": 67.49982370675009, "trading_costs_quote_units": 3331.60672768467, "borrowing_costs_quote_units": 9239.924111375356, "price_pnl_quote_units": 61966.095630124466, "turnover_quote_units": 1110535.5758948906, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 68561.39923956234, "return_pct": 585.6139923956234, "cagr_pct": 78.56198564332031, "max_drawdown_pct": 61.35800467107375, "mean_exposure_while_solvent": 1.4435558353084026, "realized_annual_volatility_pct": 66.9313385016988, "trading_costs_quote_units": 3565.200827705481, "borrowing_costs_quote_units": 9042.505411535089, "price_pnl_quote_units": 71169.10547880286, "turnover_quote_units": 1188400.2759018273, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -91.66834448498054 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 49177.71759459209, "return_pct": 391.77717594592093, "cagr_pct": 61.55821045276213, "max_drawdown_pct": 62.9127171359203, "mean_exposure_while_solvent": 1.3098654839527724, "realized_annual_volatility_pct": 58.867609003150555, "trading_costs_quote_units": 5393.222528954718, "borrowing_costs_quote_units": 5492.803328335022, "price_pnl_quote_units": 50063.74345188182, "turnover_quote_units": 1797740.8429849043, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 51399.56419431635, "return_pct": 413.9956419431635, "cagr_pct": 63.72255256356536, "max_drawdown_pct": 61.2371157181427, "mean_exposure_while_solvent": 1.3053871872389804, "realized_annual_volatility_pct": 58.699086865931804, "trading_costs_quote_units": 5445.509615818277, "borrowing_costs_quote_units": 5407.26093568581, "price_pnl_quote_units": 52252.334745820495, "turnover_quote_units": 1815169.871939426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -22.21846599724256 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 56925.03243490665, "return_pct": 469.25032434906655, "cagr_pct": 68.83514264754957, "max_drawdown_pct": 65.99818957853343, "mean_exposure_while_solvent": 1.2975103808632928, "realized_annual_volatility_pct": 59.42203424910305, "trading_costs_quote_units": 2657.106842055502, "borrowing_costs_quote_units": 5767.410170193382, "price_pnl_quote_units": 55349.54944715532, "turnover_quote_units": 885702.2806851695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 65489.567268437066, "return_pct": 554.8956726843707, "cagr_pct": 76.11395150181947, "max_drawdown_pct": 60.88251941899961, "mean_exposure_while_solvent": 1.279670064006069, "realized_annual_volatility_pct": 58.57698808186013, "trading_costs_quote_units": 2709.823856520718, "borrowing_costs_quote_units": 5332.100514232062, "price_pnl_quote_units": 63531.491639189495, "turnover_quote_units": 903274.6188402398, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -85.6453483353041 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45572.07671427915, "return_pct": 355.7207671427915, "cagr_pct": 57.895588533904, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9891552486454345, "realized_annual_volatility_pct": 46.05672204237352, "trading_costs_quote_units": 257.30304550639175, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35829.37975978553, "turnover_quote_units": 85767.68183546387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45572.07671427915, "return_pct": 355.7207671427915, "cagr_pct": 57.895588533904, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9891552486454345, "realized_annual_volatility_pct": 46.05672204237352, "trading_costs_quote_units": 257.30304550639175, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35829.37975978553, "turnover_quote_units": 85767.68183546387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 56925.03243490665, "return_pct": 469.25032434906655, "cagr_pct": 68.83514264754957, "max_drawdown_pct": 65.99818957853343, "mean_exposure_while_solvent": 1.2975103808632928, "realized_annual_volatility_pct": 59.42203424910305, "trading_costs_quote_units": 2657.106842055502, "borrowing_costs_quote_units": 5767.410170193382, "price_pnl_quote_units": 55349.54944715532, "turnover_quote_units": 885702.2806851695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 65489.567268437066, "return_pct": 554.8956726843707, "cagr_pct": 76.11395150181947, "max_drawdown_pct": 60.88251941899961, "mean_exposure_while_solvent": 1.279670064006069, "realized_annual_volatility_pct": 58.57698808186013, "trading_costs_quote_units": 2709.823856520718, "borrowing_costs_quote_units": 5332.100514232062, "price_pnl_quote_units": 63531.491639189495, "turnover_quote_units": 903274.6188402398, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -85.6453483353041 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 56925.03243490665, "return_pct": 469.25032434906655, "cagr_pct": 68.83514264754957, "max_drawdown_pct": 65.99818957853343, "mean_exposure_while_solvent": 1.2975103808632928, "realized_annual_volatility_pct": 59.42203424910305, "trading_costs_quote_units": 2657.106842055502, "borrowing_costs_quote_units": 5767.410170193382, "price_pnl_quote_units": 55349.54944715532, "turnover_quote_units": 885702.2806851695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 65489.567268437066, "return_pct": 554.8956726843707, "cagr_pct": 76.11395150181947, "max_drawdown_pct": 60.88251941899961, "mean_exposure_while_solvent": 1.279670064006069, "realized_annual_volatility_pct": 58.57698808186013, "trading_costs_quote_units": 2709.823856520718, "borrowing_costs_quote_units": 5332.100514232062, "price_pnl_quote_units": 63531.491639189495, "turnover_quote_units": 903274.6188402398, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -85.6453483353041 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33405.03465612158, "return_pct": 234.05034656121578, "cagr_pct": 43.79647022429915, "max_drawdown_pct": 40.07419957037587, "mean_exposure_while_solvent": 0.7497474023222125, "realized_annual_volatility_pct": 34.96466487199916, "trading_costs_quote_units": 348.46217063959267, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23753.49682676115, "turnover_quote_units": 116154.05687986412, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33405.03465612158, "return_pct": 234.05034656121578, "cagr_pct": 43.79647022429915, "max_drawdown_pct": 40.07419957037587, "mean_exposure_while_solvent": 0.7497474023222125, "realized_annual_volatility_pct": 34.96466487199916, "trading_costs_quote_units": 348.46217063959267, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23753.49682676115, "turnover_quote_units": 116154.05687986412, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46308.78351477669, "return_pct": 363.0878351477669, "cagr_pct": 58.65998232377032, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9995877422014566, "realized_annual_volatility_pct": 46.628290384519204, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36338.69378396905, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46308.78351477669, "return_pct": 363.0878351477669, "cagr_pct": 58.65998232377032, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9995877422014566, "realized_annual_volatility_pct": 46.628290384519204, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36338.69378396905, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 54779.72612581719, "return_pct": 447.7972612581719, "cagr_pct": 66.8931693133496, "max_drawdown_pct": 58.93115922769301, "mean_exposure_while_solvent": 1.249475600418303, "realized_annual_volatility_pct": 58.307824670823635, "trading_costs_quote_units": 999.0327178388459, "borrowing_costs_quote_units": 4238.603037992237, "price_pnl_quote_units": 50017.36188164771, "turnover_quote_units": 333010.90594628174, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 54779.72612581719, "return_pct": 447.7972612581719, "cagr_pct": 66.8931693133496, "max_drawdown_pct": 58.93115922769301, "mean_exposure_while_solvent": 1.249475600418303, "realized_annual_volatility_pct": 58.307824670823635, "trading_costs_quote_units": 999.0327178388459, "borrowing_costs_quote_units": 4238.603037992237, "price_pnl_quote_units": 50017.36188164771, "turnover_quote_units": 333010.90594628174, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 61441.35660389437, "return_pct": 514.4135660389437, "cagr_pct": 72.76206098561211, "max_drawdown_pct": 66.52518585136251, "mean_exposure_while_solvent": 1.49941951654933, "realized_annual_volatility_pct": 70.00869744128939, "trading_costs_quote_units": 2898.448475255306, "borrowing_costs_quote_units": 10501.473736240932, "price_pnl_quote_units": 64841.27881539023, "turnover_quote_units": 966149.4917517676, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 61441.35660389437, "return_pct": 514.4135660389437, "cagr_pct": 72.76206098561211, "max_drawdown_pct": 66.52518585136251, "mean_exposure_while_solvent": 1.49941951654933, "realized_annual_volatility_pct": 70.00869744128939, "trading_costs_quote_units": 2898.448475255306, "borrowing_costs_quote_units": 10501.473736240932, "price_pnl_quote_units": 64841.27881539023, "turnover_quote_units": 966149.4917517676, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 42781.92282852655, "return_pct": 327.81922828526547, "cagr_pct": 54.91974289005519, "max_drawdown_pct": 54.10642852103591, "mean_exposure_while_solvent": 0.9455087096773812, "realized_annual_volatility_pct": 42.331338125878354, "trading_costs_quote_units": 2864.147030713393, "borrowing_costs_quote_units": 2118.486603610999, "price_pnl_quote_units": 37764.556462850946, "turnover_quote_units": 954715.6769044641, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 41543.4294018438, "return_pct": 315.434294018438, "cagr_pct": 53.55524460235082, "max_drawdown_pct": 55.43500103124085, "mean_exposure_while_solvent": 0.9483280742815765, "realized_annual_volatility_pct": 42.48846909203273, "trading_costs_quote_units": 2816.8021785092055, "borrowing_costs_quote_units": 2114.7635990885415, "price_pnl_quote_units": 36474.9951794417, "turnover_quote_units": 938934.0595030675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 12.384934266827486 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52753.10186653778, "return_pct": 427.5310186653778, "cagr_pct": 65.00918032781937, "max_drawdown_pct": 64.83620367223335, "mean_exposure_while_solvent": 1.302399449697392, "realized_annual_volatility_pct": 59.06766735056238, "trading_costs_quote_units": 3701.6331200538284, "borrowing_costs_quote_units": 10872.274508423976, "price_pnl_quote_units": 57327.00949501596, "turnover_quote_units": 1233877.706684612, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58235.16798733584, "return_pct": 482.35167987335836, "cagr_pct": 69.9960655062227, "max_drawdown_pct": 61.182006104575805, "mean_exposure_while_solvent": 1.29417690077406, "realized_annual_volatility_pct": 58.68135451719022, "trading_costs_quote_units": 3741.4018505476115, "borrowing_costs_quote_units": 10563.952688994494, "price_pnl_quote_units": 62540.52252687805, "turnover_quote_units": 1247133.9501825408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -54.82066120798055 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51044.599649830394, "return_pct": 410.44599649830394, "cagr_pct": 63.38122293263497, "max_drawdown_pct": 67.08503252795161, "mean_exposure_while_solvent": 1.4561030191669002, "realized_annual_volatility_pct": 67.50396906982603, "trading_costs_quote_units": 3047.655035563299, "borrowing_costs_quote_units": 16812.11460595407, "price_pnl_quote_units": 60904.3692913479, "turnover_quote_units": 1015885.0118544326, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59169.122304871315, "return_pct": 491.69122304871314, "cagr_pct": 70.81255324293625, "max_drawdown_pct": 61.846115957910875, "mean_exposure_while_solvent": 1.4436305695115852, "realized_annual_volatility_pct": 66.93503652333396, "trading_costs_quote_units": 3254.1108631785078, "borrowing_costs_quote_units": 16472.087206489494, "price_pnl_quote_units": 68895.32037453947, "turnover_quote_units": 1084703.6210595032, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1184, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -81.2452265504092 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44084.85399232446, "return_pct": 340.8485399232446, "cagr_pct": 56.325756622428045, "max_drawdown_pct": 63.35590686603352, "mean_exposure_while_solvent": 1.3099196436505534, "realized_annual_volatility_pct": 58.87036007490107, "trading_costs_quote_units": 5061.110251059797, "borrowing_costs_quote_units": 10259.125592407134, "price_pnl_quote_units": 49405.0898357917, "turnover_quote_units": 1687036.7503532663, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46145.58641007486, "return_pct": 361.4558641007486, "cagr_pct": 58.49138871387682, "max_drawdown_pct": 61.64299043778865, "mean_exposure_while_solvent": 1.3054406294104706, "realized_annual_volatility_pct": 58.70168464337462, "trading_costs_quote_units": 5109.816213376142, "borrowing_costs_quote_units": 10105.19502213299, "price_pnl_quote_units": 51360.59764558421, "turnover_quote_units": 1703272.0711253812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -20.60732417750404 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51532.843438067765, "return_pct": 415.3284343806776, "cagr_pct": 63.850286881874084, "max_drawdown_pct": 66.44360097150827, "mean_exposure_while_solvent": 1.2975588966515597, "realized_annual_volatility_pct": 59.42444947150811, "trading_costs_quote_units": 2499.641189807424, "borrowing_costs_quote_units": 10817.985659870375, "price_pnl_quote_units": 54850.47028774555, "turnover_quote_units": 833213.7299358081, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59640.15150282116, "return_pct": 496.4015150282115, "cagr_pct": 71.22092648252483, "max_drawdown_pct": 61.164403350776794, "mean_exposure_while_solvent": 1.2797157275794455, "realized_annual_volatility_pct": 58.5788263318466, "trading_costs_quote_units": 2549.4125436234926, "borrowing_costs_quote_units": 10025.986935617091, "price_pnl_quote_units": 62215.55098206205, "turnover_quote_units": 849804.1812078308, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -81.07308064753391 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45572.07671427915, "return_pct": 355.7207671427915, "cagr_pct": 57.895588533904, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9891552486454345, "realized_annual_volatility_pct": 46.05672204237352, "trading_costs_quote_units": 257.30304550639175, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35829.37975978553, "turnover_quote_units": 85767.68183546387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45572.07671427915, "return_pct": 355.7207671427915, "cagr_pct": 57.895588533904, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9891552486454345, "realized_annual_volatility_pct": 46.05672204237352, "trading_costs_quote_units": 257.30304550639175, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35829.37975978553, "turnover_quote_units": 85767.68183546387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 143, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51532.843438067765, "return_pct": 415.3284343806776, "cagr_pct": 63.850286881874084, "max_drawdown_pct": 66.44360097150827, "mean_exposure_while_solvent": 1.2975588966515597, "realized_annual_volatility_pct": 59.42444947150811, "trading_costs_quote_units": 2499.641189807424, "borrowing_costs_quote_units": 10817.985659870375, "price_pnl_quote_units": 54850.47028774555, "turnover_quote_units": 833213.7299358081, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59640.15150282116, "return_pct": 496.4015150282115, "cagr_pct": 71.22092648252483, "max_drawdown_pct": 61.164403350776794, "mean_exposure_while_solvent": 1.2797157275794455, "realized_annual_volatility_pct": 58.5788263318466, "trading_costs_quote_units": 2549.4125436234926, "borrowing_costs_quote_units": 10025.986935617091, "price_pnl_quote_units": 62215.55098206205, "turnover_quote_units": 849804.1812078308, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -81.07308064753391 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51532.843438067765, "return_pct": 415.3284343806776, "cagr_pct": 63.850286881874084, "max_drawdown_pct": 66.44360097150827, "mean_exposure_while_solvent": 1.2975588966515597, "realized_annual_volatility_pct": 59.42444947150811, "trading_costs_quote_units": 2499.641189807424, "borrowing_costs_quote_units": 10817.985659870375, "price_pnl_quote_units": 54850.47028774555, "turnover_quote_units": 833213.7299358081, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59640.15150282116, "return_pct": 496.4015150282115, "cagr_pct": 71.22092648252483, "max_drawdown_pct": 61.164403350776794, "mean_exposure_while_solvent": 1.2797157275794455, "realized_annual_volatility_pct": 58.5788263318466, "trading_costs_quote_units": 2549.4125436234926, "borrowing_costs_quote_units": 10025.986935617091, "price_pnl_quote_units": 62215.55098206205, "turnover_quote_units": 849804.1812078308, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1154, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -81.07308064753391 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33405.03465612158, "return_pct": 234.05034656121578, "cagr_pct": 43.79647022429915, "max_drawdown_pct": 40.07419957037587, "mean_exposure_while_solvent": 0.7497474023222125, "realized_annual_volatility_pct": 34.96466487199916, "trading_costs_quote_units": 348.46217063959267, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23753.49682676115, "turnover_quote_units": 116154.05687986412, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33405.03465612158, "return_pct": 234.05034656121578, "cagr_pct": 43.79647022429915, "max_drawdown_pct": 40.07419957037587, "mean_exposure_while_solvent": 0.7497474023222125, "realized_annual_volatility_pct": 34.96466487199916, "trading_costs_quote_units": 348.46217063959267, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23753.49682676115, "turnover_quote_units": 116154.05687986412, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46308.78351477669, "return_pct": 363.0878351477669, "cagr_pct": 58.65998232377032, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9995877422014566, "realized_annual_volatility_pct": 46.628290384519204, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36338.69378396905, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46308.78351477669, "return_pct": 363.0878351477669, "cagr_pct": 58.65998232377032, "max_drawdown_pct": 49.95733410650238, "mean_exposure_while_solvent": 0.9995877422014566, "realized_annual_volatility_pct": 46.628290384519204, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36338.69378396905, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 50420.1639364447, "return_pct": 404.2016393644469, "cagr_pct": 62.776725392082746, "max_drawdown_pct": 59.275871973185964, "mean_exposure_while_solvent": 1.249511224065706, "realized_annual_volatility_pct": 58.309768061045766, "trading_costs_quote_units": 951.2811141311466, "borrowing_costs_quote_units": 8054.506373189669, "price_pnl_quote_units": 49425.95142376531, "turnover_quote_units": 317093.70471038204, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 50420.1639364447, "return_pct": 404.2016393644469, "cagr_pct": 62.776725392082746, "max_drawdown_pct": 59.275871973185964, "mean_exposure_while_solvent": 1.249511224065706, "realized_annual_volatility_pct": 58.309768061045766, "trading_costs_quote_units": 951.2811141311466, "borrowing_costs_quote_units": 8054.506373189669, "price_pnl_quote_units": 49425.95142376531, "turnover_quote_units": 317093.70471038204, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52049.68715634603, "return_pct": 420.49687156346033, "cagr_pct": 64.3434554608866, "max_drawdown_pct": 67.08583942936497, "mean_exposure_while_solvent": 1.4995050478443739, "realized_annual_volatility_pct": 70.0133824326104, "trading_costs_quote_units": 2622.922963838906, "borrowing_costs_quote_units": 18951.226220579963, "price_pnl_quote_units": 63623.83634076442, "turnover_quote_units": 874307.6546129711, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52049.68715634603, "return_pct": 420.49687156346033, "cagr_pct": 64.3434554608866, "max_drawdown_pct": 67.08583942936497, "mean_exposure_while_solvent": 1.4995050478443739, "realized_annual_volatility_pct": 70.0133824326104, "trading_costs_quote_units": 2622.922963838906, "borrowing_costs_quote_units": 18951.226220579963, "price_pnl_quote_units": 63623.83634076442, "turnover_quote_units": 874307.6546129711, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46733.73225448008, "return_pct": 367.33732254480077, "cagr_pct": 59.09704337755437, "max_drawdown_pct": 53.78357136695286, "mean_exposure_while_solvent": 0.9517927399017074, "realized_annual_volatility_pct": 42.2886079397208, "trading_costs_quote_units": 612.1422027681575, "borrowing_costs_quote_units": 580.4536119583894, "price_pnl_quote_units": 37926.328069206844, "turnover_quote_units": 1020237.0046135961, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46733.73225448008, "return_pct": 367.33732254480077, "cagr_pct": 59.09704337755437, "max_drawdown_pct": 53.78357136695286, "mean_exposure_while_solvent": 0.9517927399017074, "realized_annual_volatility_pct": 42.2886079397208, "trading_costs_quote_units": 612.1422027681575, "borrowing_costs_quote_units": 580.4536119583894, "price_pnl_quote_units": 37926.328069206844, "turnover_quote_units": 1020237.0046135961, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 65169.66581808988, "return_pct": 551.6966581808988, "cagr_pct": 75.8544322100663, "max_drawdown_pct": 63.96548375251623, "mean_exposure_while_solvent": 1.3079938712548118, "realized_annual_volatility_pct": 58.84938456821451, "trading_costs_quote_units": 847.9802333604803, "borrowing_costs_quote_units": 3164.245664791184, "price_pnl_quote_units": 59181.89171624203, "turnover_quote_units": 1413300.3889341347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 65169.66581808988, "return_pct": 551.6966581808988, "cagr_pct": 75.8544322100663, "max_drawdown_pct": 63.96548375251623, "mean_exposure_while_solvent": 1.3079938712548118, "realized_annual_volatility_pct": 58.84938456821451, "trading_costs_quote_units": 847.9802333604803, "borrowing_costs_quote_units": 3164.245664791184, "price_pnl_quote_units": 59181.89171624203, "turnover_quote_units": 1413300.3889341347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 67698.56253305072, "return_pct": 576.9856253305072, "cagr_pct": 77.88224018909634, "max_drawdown_pct": 65.93879234185238, "mean_exposure_while_solvent": 1.4592736941169941, "realized_annual_volatility_pct": 67.1144466649177, "trading_costs_quote_units": 714.0599732227518, "borrowing_costs_quote_units": 5029.579070978414, "price_pnl_quote_units": 63442.201577251166, "turnover_quote_units": 1190099.9553712534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 67698.56253305072, "return_pct": 576.9856253305072, "cagr_pct": 77.88224018909634, "max_drawdown_pct": 65.93879234185238, "mean_exposure_while_solvent": 1.4592736941169941, "realized_annual_volatility_pct": 67.1144466649177, "trading_costs_quote_units": 714.0599732227518, "borrowing_costs_quote_units": 5029.579070978414, "price_pnl_quote_units": 63442.201577251166, "turnover_quote_units": 1190099.9553712534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 55914.9228229479, "return_pct": 459.149228229479, "cagr_pct": 67.92726181144953, "max_drawdown_pct": 61.87456979726913, "mean_exposure_while_solvent": 1.3148482259300052, "realized_annual_volatility_pct": 58.57138279778543, "trading_costs_quote_units": 1151.6992714981254, "borrowing_costs_quote_units": 2972.7186911340996, "price_pnl_quote_units": 50039.3407855801, "turnover_quote_units": 1919498.7858302062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 55914.9228229479, "return_pct": 459.149228229479, "cagr_pct": 67.92726181144953, "max_drawdown_pct": 61.87456979726913, "mean_exposure_while_solvent": 1.3148482259300052, "realized_annual_volatility_pct": 58.57138279778543, "trading_costs_quote_units": 1151.6992714981254, "borrowing_costs_quote_units": 2972.7186911340996, "price_pnl_quote_units": 50039.3407855801, "turnover_quote_units": 1919498.7858302062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61912.03304713057, "return_pct": 519.1203304713057, "cagr_pct": 73.15956370450489, "max_drawdown_pct": 65.52115988987222, "mean_exposure_while_solvent": 1.3038661901202042, "realized_annual_volatility_pct": 59.25449042038843, "trading_costs_quote_units": 572.2680431546581, "borrowing_costs_quote_units": 3100.8067373820572, "price_pnl_quote_units": 55585.10782766759, "turnover_quote_units": 953780.071924431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61912.03304713057, "return_pct": 519.1203304713057, "cagr_pct": 73.15956370450489, "max_drawdown_pct": 65.52115988987222, "mean_exposure_while_solvent": 1.3038661901202042, "realized_annual_volatility_pct": 59.25449042038843, "trading_costs_quote_units": 572.2680431546581, "borrowing_costs_quote_units": 3100.8067373820572, "price_pnl_quote_units": 55585.10782766759, "turnover_quote_units": 953780.071924431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 45980.81154139976, "return_pct": 359.8081154139976, "cagr_pct": 58.320741891165476, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9901623957828597, "realized_annual_volatility_pct": 45.779717438035455, "trading_costs_quote_units": 48.46091164726669, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36029.27245304695, "turnover_quote_units": 80768.18607877777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 45980.81154139976, "return_pct": 359.8081154139976, "cagr_pct": 58.320741891165476, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9901623957828597, "realized_annual_volatility_pct": 45.779717438035455, "trading_costs_quote_units": 48.46091164726669, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36029.27245304695, "turnover_quote_units": 80768.18607877777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61912.03304713057, "return_pct": 519.1203304713057, "cagr_pct": 73.15956370450489, "max_drawdown_pct": 65.52115988987222, "mean_exposure_while_solvent": 1.3038661901202042, "realized_annual_volatility_pct": 59.25449042038843, "trading_costs_quote_units": 572.2680431546581, "borrowing_costs_quote_units": 3100.8067373820572, "price_pnl_quote_units": 55585.10782766759, "turnover_quote_units": 953780.071924431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61912.03304713057, "return_pct": 519.1203304713057, "cagr_pct": 73.15956370450489, "max_drawdown_pct": 65.52115988987222, "mean_exposure_while_solvent": 1.3038661901202042, "realized_annual_volatility_pct": 59.25449042038843, "trading_costs_quote_units": 572.2680431546581, "borrowing_costs_quote_units": 3100.8067373820572, "price_pnl_quote_units": 55585.10782766759, "turnover_quote_units": 953780.071924431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61912.03304713057, "return_pct": 519.1203304713057, "cagr_pct": 73.15956370450489, "max_drawdown_pct": 65.52115988987222, "mean_exposure_while_solvent": 1.3038661901202042, "realized_annual_volatility_pct": 59.25449042038843, "trading_costs_quote_units": 572.2680431546581, "borrowing_costs_quote_units": 3100.8067373820572, "price_pnl_quote_units": 55585.10782766759, "turnover_quote_units": 953780.071924431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61912.03304713057, "return_pct": 519.1203304713057, "cagr_pct": 73.15956370450489, "max_drawdown_pct": 65.52115988987222, "mean_exposure_while_solvent": 1.3038661901202042, "realized_annual_volatility_pct": 59.25449042038843, "trading_costs_quote_units": 572.2680431546581, "borrowing_costs_quote_units": 3100.8067373820572, "price_pnl_quote_units": 55585.10782766759, "turnover_quote_units": 953780.071924431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33972.78404337102, "return_pct": 239.7278404337102, "cagr_pct": 44.528148060806885, "max_drawdown_pct": 39.93058453140416, "mean_exposure_while_solvent": 0.7499642907269567, "realized_annual_volatility_pct": 34.72935276746685, "trading_costs_quote_units": 71.61545444609138, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24044.399497817103, "turnover_quote_units": 119359.09074348563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33972.78404337102, "return_pct": 239.7278404337102, "cagr_pct": 44.528148060806885, "max_drawdown_pct": 39.93058453140416, "mean_exposure_while_solvent": 0.7499642907269567, "realized_annual_volatility_pct": 34.72935276746685, "trading_costs_quote_units": 71.61545444609138, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24044.399497817103, "turnover_quote_units": 119359.09074348563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46789.32351919773, "return_pct": 367.8932351919773, "cagr_pct": 59.15401346250455, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9998625996152789, "realized_annual_volatility_pct": 46.300709788704694, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36795.31992135646, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46789.32351919773, "return_pct": 367.8932351919773, "cagr_pct": 59.15401346250455, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9998625996152789, "realized_annual_volatility_pct": 46.300709788704694, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36795.31992135646, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58728.88583529331, "return_pct": 487.2888583529331, "cagr_pct": 70.42881758013628, "max_drawdown_pct": 58.54207663150337, "mean_exposure_while_solvent": 1.2497692721563742, "realized_annual_volatility_pct": 57.88038647662257, "trading_costs_quote_units": 211.57685191224337, "borrowing_costs_quote_units": 2206.1450389080287, "price_pnl_quote_units": 51146.607726113405, "turnover_quote_units": 352628.08652040624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58728.88583529331, "return_pct": 487.2888583529331, "cagr_pct": 70.42881758013628, "max_drawdown_pct": 58.54207663150337, "mean_exposure_while_solvent": 1.2497692721563742, "realized_annual_volatility_pct": 57.88038647662257, "trading_costs_quote_units": 211.57685191224337, "borrowing_costs_quote_units": 2206.1450389080287, "price_pnl_quote_units": 51146.607726113405, "turnover_quote_units": 352628.08652040624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 70353.74297361125, "return_pct": 603.5374297361125, "cagr_pct": 79.95511873871952, "max_drawdown_pct": 65.93649939737404, "mean_exposure_while_solvent": 1.4996948263994676, "realized_annual_volatility_pct": 69.47322736897307, "trading_costs_quote_units": 639.1539864205499, "borrowing_costs_quote_units": 5696.466281906856, "price_pnl_quote_units": 66689.36324193857, "turnover_quote_units": 1065256.6440342483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 70353.74297361125, "return_pct": 603.5374297361125, "cagr_pct": 79.95511873871952, "max_drawdown_pct": 65.93649939737404, "mean_exposure_while_solvent": 1.4996948263994676, "realized_annual_volatility_pct": 69.47322736897307, "trading_costs_quote_units": 639.1539864205499, "borrowing_costs_quote_units": 5696.466281906856, "price_pnl_quote_units": 66689.36324193857, "turnover_quote_units": 1065256.6440342483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46120.04070724459, "return_pct": 361.2004070724459, "cagr_pct": 58.464960580859284, "max_drawdown_pct": 53.83860493990762, "mean_exposure_while_solvent": 0.9517987475966777, "realized_annual_volatility_pct": 42.28887677967816, "trading_costs_quote_units": 607.3895551133295, "borrowing_costs_quote_units": 1151.019587174762, "price_pnl_quote_units": 37878.44984953267, "turnover_quote_units": 1012315.9251888816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46120.04070724459, "return_pct": 361.2004070724459, "cagr_pct": 58.464960580859284, "max_drawdown_pct": 53.83860493990762, "mean_exposure_while_solvent": 0.9517987475966777, "realized_annual_volatility_pct": 42.28887677967816, "trading_costs_quote_units": 607.3895551133295, "borrowing_costs_quote_units": 1151.019587174762, "price_pnl_quote_units": 37878.44984953267, "turnover_quote_units": 1012315.9251888816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 61823.60785340304, "return_pct": 518.2360785340304, "cagr_pct": 73.08504704160808, "max_drawdown_pct": 64.18956007592607, "mean_exposure_while_solvent": 1.3080197971477323, "realized_annual_volatility_pct": 58.85089425925726, "trading_costs_quote_units": 821.0327292974257, "borrowing_costs_quote_units": 6115.042325902873, "price_pnl_quote_units": 58759.68290860276, "turnover_quote_units": 1368387.8821623786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 61823.60785340304, "return_pct": 518.2360785340304, "cagr_pct": 73.08504704160808, "max_drawdown_pct": 64.18956007592607, "mean_exposure_while_solvent": 1.3080197971477323, "realized_annual_volatility_pct": 58.85089425925726, "trading_costs_quote_units": 821.0327292974257, "borrowing_costs_quote_units": 6115.042325902873, "price_pnl_quote_units": 58759.68290860276, "turnover_quote_units": 1368387.8821623786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62729.99345399896, "return_pct": 527.2999345399896, "cagr_pct": 73.84536482955843, "max_drawdown_pct": 66.22510117799398, "mean_exposure_while_solvent": 1.4593124285326036, "realized_annual_volatility_pct": 67.1171055112667, "trading_costs_quote_units": 682.4431359296602, "borrowing_costs_quote_units": 9585.68522478593, "price_pnl_quote_units": 62998.12181471466, "turnover_quote_units": 1137405.2265494333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62729.99345399896, "return_pct": 527.2999345399896, "cagr_pct": 73.84536482955843, "max_drawdown_pct": 66.22510117799398, "mean_exposure_while_solvent": 1.4593124285326036, "realized_annual_volatility_pct": 67.1171055112667, "trading_costs_quote_units": 682.4431359296602, "borrowing_costs_quote_units": 9585.68522478593, "price_pnl_quote_units": 62998.12181471466, "turnover_quote_units": 1137405.2265494333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 52909.067652539576, "return_pct": 429.0906765253958, "cagr_pct": 65.15594799898177, "max_drawdown_pct": 62.10419755818213, "mean_exposure_while_solvent": 1.314875645975009, "realized_annual_volatility_pct": 58.57319197920167, "trading_costs_quote_units": 1114.7180820326862, "borrowing_costs_quote_units": 5741.242660701955, "price_pnl_quote_units": 49765.02839527463, "turnover_quote_units": 1857863.4700544786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 52909.067652539576, "return_pct": 429.0906765253958, "cagr_pct": 65.15594799898177, "max_drawdown_pct": 62.10419755818213, "mean_exposure_while_solvent": 1.314875645975009, "realized_annual_volatility_pct": 58.57319197920167, "trading_costs_quote_units": 1114.7180820326862, "borrowing_costs_quote_units": 5741.242660701955, "price_pnl_quote_units": 49765.02839527463, "turnover_quote_units": 1857863.4700544786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58852.41046959101, "return_pct": 488.52410469591, "cagr_pct": 70.53669114408613, "max_drawdown_pct": 65.74961826888286, "mean_exposure_while_solvent": 1.303890917128407, "realized_annual_volatility_pct": 59.25611356842736, "trading_costs_quote_units": 554.6598460650021, "borrowing_costs_quote_units": 6000.894123699444, "price_pnl_quote_units": 55407.96443935557, "turnover_quote_units": 924433.0767750024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58852.41046959101, "return_pct": 488.52410469591, "cagr_pct": 70.53669114408613, "max_drawdown_pct": 65.74961826888286, "mean_exposure_while_solvent": 1.303890917128407, "realized_annual_volatility_pct": 59.25611356842736, "trading_costs_quote_units": 554.6598460650021, "borrowing_costs_quote_units": 6000.894123699444, "price_pnl_quote_units": 55407.96443935557, "turnover_quote_units": 924433.0767750024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45980.81154139976, "return_pct": 359.8081154139976, "cagr_pct": 58.320741891165476, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9901623957828597, "realized_annual_volatility_pct": 45.779717438035455, "trading_costs_quote_units": 48.46091164726669, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36029.27245304695, "turnover_quote_units": 80768.18607877777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45980.81154139976, "return_pct": 359.8081154139976, "cagr_pct": 58.320741891165476, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9901623957828597, "realized_annual_volatility_pct": 45.779717438035455, "trading_costs_quote_units": 48.46091164726669, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36029.27245304695, "turnover_quote_units": 80768.18607877777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58852.41046959101, "return_pct": 488.52410469591, "cagr_pct": 70.53669114408613, "max_drawdown_pct": 65.74961826888286, "mean_exposure_while_solvent": 1.303890917128407, "realized_annual_volatility_pct": 59.25611356842736, "trading_costs_quote_units": 554.6598460650021, "borrowing_costs_quote_units": 6000.894123699444, "price_pnl_quote_units": 55407.96443935557, "turnover_quote_units": 924433.0767750024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58852.41046959101, "return_pct": 488.52410469591, "cagr_pct": 70.53669114408613, "max_drawdown_pct": 65.74961826888286, "mean_exposure_while_solvent": 1.303890917128407, "realized_annual_volatility_pct": 59.25611356842736, "trading_costs_quote_units": 554.6598460650021, "borrowing_costs_quote_units": 6000.894123699444, "price_pnl_quote_units": 55407.96443935557, "turnover_quote_units": 924433.0767750024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58852.41046959101, "return_pct": 488.52410469591, "cagr_pct": 70.53669114408613, "max_drawdown_pct": 65.74961826888286, "mean_exposure_while_solvent": 1.303890917128407, "realized_annual_volatility_pct": 59.25611356842736, "trading_costs_quote_units": 554.6598460650021, "borrowing_costs_quote_units": 6000.894123699444, "price_pnl_quote_units": 55407.96443935557, "turnover_quote_units": 924433.0767750024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58852.41046959101, "return_pct": 488.52410469591, "cagr_pct": 70.53669114408613, "max_drawdown_pct": 65.74961826888286, "mean_exposure_while_solvent": 1.303890917128407, "realized_annual_volatility_pct": 59.25611356842736, "trading_costs_quote_units": 554.6598460650021, "borrowing_costs_quote_units": 6000.894123699444, "price_pnl_quote_units": 55407.96443935557, "turnover_quote_units": 924433.0767750024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33972.78404337102, "return_pct": 239.7278404337102, "cagr_pct": 44.528148060806885, "max_drawdown_pct": 39.93058453140416, "mean_exposure_while_solvent": 0.7499642907269567, "realized_annual_volatility_pct": 34.72935276746685, "trading_costs_quote_units": 71.61545444609138, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24044.399497817103, "turnover_quote_units": 119359.09074348563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33972.78404337102, "return_pct": 239.7278404337102, "cagr_pct": 44.528148060806885, "max_drawdown_pct": 39.93058453140416, "mean_exposure_while_solvent": 0.7499642907269567, "realized_annual_volatility_pct": 34.72935276746685, "trading_costs_quote_units": 71.61545444609138, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24044.399497817103, "turnover_quote_units": 119359.09074348563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46789.32351919773, "return_pct": 367.8932351919773, "cagr_pct": 59.15401346250455, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9998625996152789, "realized_annual_volatility_pct": 46.300709788704694, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36795.31992135646, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46789.32351919773, "return_pct": 367.8932351919773, "cagr_pct": 59.15401346250455, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9998625996152789, "realized_annual_volatility_pct": 46.300709788704694, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36795.31992135646, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56343.333851450305, "return_pct": 463.433338514503, "cagr_pct": 68.3137035166683, "max_drawdown_pct": 58.716387634899355, "mean_exposure_while_solvent": 1.2497870860761082, "realized_annual_volatility_pct": 57.88162047516137, "trading_costs_quote_units": 206.48794077488537, "borrowing_costs_quote_units": 4300.026561185801, "price_pnl_quote_units": 50849.848353411035, "turnover_quote_units": 344146.56795814226, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56343.333851450305, "return_pct": 463.433338514503, "cagr_pct": 68.3137035166683, "max_drawdown_pct": 58.716387634899355, "mean_exposure_while_solvent": 1.2497870860761082, "realized_annual_volatility_pct": 57.88162047516137, "trading_costs_quote_units": 206.48794077488537, "borrowing_costs_quote_units": 4300.026561185801, "price_pnl_quote_units": 50849.848353411035, "turnover_quote_units": 344146.56795814226, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 64753.91127667201, "return_pct": 547.5391127667201, "cagr_pct": 75.51581855374079, "max_drawdown_pct": 66.24398374145525, "mean_exposure_while_solvent": 1.4997375883190815, "realized_annual_volatility_pct": 69.47619506609442, "trading_costs_quote_units": 607.8630091262183, "borrowing_costs_quote_units": 10813.87655669431, "price_pnl_quote_units": 66175.65084249238, "turnover_quote_units": 1013105.0152103628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 64753.91127667201, "return_pct": 547.5391127667201, "cagr_pct": 75.51581855374079, "max_drawdown_pct": 66.24398374145525, "mean_exposure_while_solvent": 1.4997375883190815, "realized_annual_volatility_pct": 69.47619506609442, "trading_costs_quote_units": 607.8630091262183, "borrowing_costs_quote_units": 10813.87655669431, "price_pnl_quote_units": 66175.65084249238, "turnover_quote_units": 1013105.0152103628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 44916.435229244766, "return_pct": 349.1643522924477, "cagr_pct": 57.20800993201007, "max_drawdown_pct": 53.948501462227426, "mean_exposure_while_solvent": 0.9518107650985562, "realized_annual_volatility_pct": 42.289430160627575, "trading_costs_quote_units": 598.0167660033627, "borrowing_costs_quote_units": 2263.048933374371, "price_pnl_quote_units": 37777.500928622685, "turnover_quote_units": 996694.610005604, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 44916.435229244766, "return_pct": 349.1643522924477, "cagr_pct": 57.20800993201007, "max_drawdown_pct": 53.948501462227426, "mean_exposure_while_solvent": 0.9518107650985562, "realized_annual_volatility_pct": 42.289430160627575, "trading_costs_quote_units": 598.0167660033627, "borrowing_costs_quote_units": 2263.048933374371, "price_pnl_quote_units": 37777.500928622685, "turnover_quote_units": 996694.610005604, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 55636.48084912605, "return_pct": 456.3648084912605, "cagr_pct": 67.6749866769631, "max_drawdown_pct": 64.63366656103308, "mean_exposure_while_solvent": 1.3080716593801864, "realized_annual_volatility_pct": 58.853934966349705, "trading_costs_quote_units": 770.0545890053974, "borrowing_costs_quote_units": 11423.746540796774, "price_pnl_quote_units": 57830.281978927946, "turnover_quote_units": 1283424.3150089928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 55636.48084912605, "return_pct": 456.3648084912605, "cagr_pct": 67.6749866769631, "max_drawdown_pct": 64.63366656103308, "mean_exposure_while_solvent": 1.3080716593801864, "realized_annual_volatility_pct": 58.853934966349705, "trading_costs_quote_units": 770.0545890053974, "borrowing_costs_quote_units": 11423.746540796774, "price_pnl_quote_units": 57830.281978927946, "turnover_quote_units": 1283424.3150089928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 53857.752834390565, "return_pct": 438.57752834390567, "cagr_pct": 66.04223268127667, "max_drawdown_pct": 66.79068966718577, "mean_exposure_while_solvent": 1.4593899137942472, "realized_annual_volatility_pct": 67.12242888881909, "trading_costs_quote_units": 624.0041535583566, "borrowing_costs_quote_units": 17424.549157027282, "price_pnl_quote_units": 61906.30614497597, "turnover_quote_units": 1040006.9225972628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 53857.752834390565, "return_pct": 438.57752834390567, "cagr_pct": 66.04223268127667, "max_drawdown_pct": 66.79068966718577, "mean_exposure_while_solvent": 1.4593899137942472, "realized_annual_volatility_pct": 67.12242888881909, "trading_costs_quote_units": 624.0041535583566, "borrowing_costs_quote_units": 17424.549157027282, "price_pnl_quote_units": 61906.30614497597, "turnover_quote_units": 1040006.9225972628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 47371.9906822997, "return_pct": 373.71990682299696, "cagr_pct": 59.74830541600642, "max_drawdown_pct": 62.55944057676805, "mean_exposure_while_solvent": 1.3149304972743572, "realized_annual_volatility_pct": 58.57683244578447, "trading_costs_quote_units": 1044.8612753522334, "borrowing_costs_quote_units": 10712.44546577573, "price_pnl_quote_units": 49129.29742342784, "turnover_quote_units": 1741435.458920389, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 47371.9906822997, "return_pct": 373.71990682299696, "cagr_pct": 59.74830541600642, "max_drawdown_pct": 62.55944057676805, "mean_exposure_while_solvent": 1.3149304972743572, "realized_annual_volatility_pct": 58.57683244578447, "trading_costs_quote_units": 1044.8612753522334, "borrowing_costs_quote_units": 10712.44546577573, "price_pnl_quote_units": 49129.29742342784, "turnover_quote_units": 1741435.458920389, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 53177.895643597214, "return_pct": 431.7789564359721, "cagr_pct": 65.40821368555127, "max_drawdown_pct": 66.20212037256313, "mean_exposure_while_solvent": 1.303940380983839, "realized_annual_volatility_pct": 59.25938059307833, "trading_costs_quote_units": 521.2596919537161, "borrowing_costs_quote_units": 11241.713706494074, "price_pnl_quote_units": 54940.869042044644, "turnover_quote_units": 868766.153256192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 53177.895643597214, "return_pct": 431.7789564359721, "cagr_pct": 65.40821368555127, "max_drawdown_pct": 66.20212037256313, "mean_exposure_while_solvent": 1.303940380983839, "realized_annual_volatility_pct": 59.25938059307833, "trading_costs_quote_units": 521.2596919537161, "borrowing_costs_quote_units": 11241.713706494074, "price_pnl_quote_units": 54940.869042044644, "turnover_quote_units": 868766.153256192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45980.81154139976, "return_pct": 359.8081154139976, "cagr_pct": 58.320741891165476, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9901623957828597, "realized_annual_volatility_pct": 45.779717438035455, "trading_costs_quote_units": 48.46091164726669, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36029.27245304695, "turnover_quote_units": 80768.18607877777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45980.81154139976, "return_pct": 359.8081154139976, "cagr_pct": 58.320741891165476, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9901623957828597, "realized_annual_volatility_pct": 45.779717438035455, "trading_costs_quote_units": 48.46091164726669, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36029.27245304695, "turnover_quote_units": 80768.18607877777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 53177.895643597214, "return_pct": 431.7789564359721, "cagr_pct": 65.40821368555127, "max_drawdown_pct": 66.20212037256313, "mean_exposure_while_solvent": 1.303940380983839, "realized_annual_volatility_pct": 59.25938059307833, "trading_costs_quote_units": 521.2596919537161, "borrowing_costs_quote_units": 11241.713706494074, "price_pnl_quote_units": 54940.869042044644, "turnover_quote_units": 868766.153256192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 53177.895643597214, "return_pct": 431.7789564359721, "cagr_pct": 65.40821368555127, "max_drawdown_pct": 66.20212037256313, "mean_exposure_while_solvent": 1.303940380983839, "realized_annual_volatility_pct": 59.25938059307833, "trading_costs_quote_units": 521.2596919537161, "borrowing_costs_quote_units": 11241.713706494074, "price_pnl_quote_units": 54940.869042044644, "turnover_quote_units": 868766.153256192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 53177.895643597214, "return_pct": 431.7789564359721, "cagr_pct": 65.40821368555127, "max_drawdown_pct": 66.20212037256313, "mean_exposure_while_solvent": 1.303940380983839, "realized_annual_volatility_pct": 59.25938059307833, "trading_costs_quote_units": 521.2596919537161, "borrowing_costs_quote_units": 11241.713706494074, "price_pnl_quote_units": 54940.869042044644, "turnover_quote_units": 868766.153256192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 53177.895643597214, "return_pct": 431.7789564359721, "cagr_pct": 65.40821368555127, "max_drawdown_pct": 66.20212037256313, "mean_exposure_while_solvent": 1.303940380983839, "realized_annual_volatility_pct": 59.25938059307833, "trading_costs_quote_units": 521.2596919537161, "borrowing_costs_quote_units": 11241.713706494074, "price_pnl_quote_units": 54940.869042044644, "turnover_quote_units": 868766.153256192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33972.78404337102, "return_pct": 239.7278404337102, "cagr_pct": 44.528148060806885, "max_drawdown_pct": 39.93058453140416, "mean_exposure_while_solvent": 0.7499642907269567, "realized_annual_volatility_pct": 34.72935276746685, "trading_costs_quote_units": 71.61545444609138, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24044.399497817103, "turnover_quote_units": 119359.09074348563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33972.78404337102, "return_pct": 239.7278404337102, "cagr_pct": 44.528148060806885, "max_drawdown_pct": 39.93058453140416, "mean_exposure_while_solvent": 0.7499642907269567, "realized_annual_volatility_pct": 34.72935276746685, "trading_costs_quote_units": 71.61545444609138, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 24044.399497817103, "turnover_quote_units": 119359.09074348563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46789.32351919773, "return_pct": 367.8932351919773, "cagr_pct": 59.15401346250455, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9998625996152789, "realized_annual_volatility_pct": 46.300709788704694, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36795.31992135646, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46789.32351919773, "return_pct": 367.8932351919773, "cagr_pct": 59.15401346250455, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9998625996152789, "realized_annual_volatility_pct": 46.300709788704694, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36795.31992135646, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51857.99957557214, "return_pct": 418.5799957557214, "cagr_pct": 64.16094950343252, "max_drawdown_pct": 59.06289932856055, "mean_exposure_while_solvent": 1.2498227194026454, "realized_annual_volatility_pct": 57.88408890010085, "trading_costs_quote_units": 196.7728263492659, "borrowing_costs_quote_units": 8170.2984193762295, "price_pnl_quote_units": 50225.07082129747, "turnover_quote_units": 327954.71058210963, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51857.99957557214, "return_pct": 418.5799957557214, "cagr_pct": 64.16094950343252, "max_drawdown_pct": 59.06289932856055, "mean_exposure_while_solvent": 1.2498227194026454, "realized_annual_volatility_pct": 57.88408890010085, "trading_costs_quote_units": 196.7728263492659, "borrowing_costs_quote_units": 8170.2984193762295, "price_pnl_quote_units": 50225.07082129747, "turnover_quote_units": 327954.71058210963, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 54853.34150920494, "return_pct": 448.5334150920494, "cagr_pct": 66.96068000531372, "max_drawdown_pct": 66.89274929672652, "mean_exposure_while_solvent": 1.4998231307049579, "realized_annual_volatility_pct": 69.4821320052703, "trading_costs_quote_units": 550.5257067734138, "borrowing_costs_quote_units": 19506.06642048344, "price_pnl_quote_units": 64909.933636461705, "turnover_quote_units": 917542.8446223559, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 54853.34150920494, "return_pct": 448.5334150920494, "cagr_pct": 66.96068000531372, "max_drawdown_pct": 66.89274929672652, "mean_exposure_while_solvent": 1.4998231307049579, "realized_annual_volatility_pct": 69.4821320052703, "trading_costs_quote_units": 550.5257067734138, "borrowing_costs_quote_units": 19506.06642048344, "price_pnl_quote_units": 64909.933636461705, "turnover_quote_units": 917542.8446223559, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 47733.87096520078, "return_pct": 377.33870965200776, "cagr_pct": 60.114838215316894, "max_drawdown_pct": 53.81540804669718, "mean_exposure_while_solvent": 0.9514293212722886, "realized_annual_volatility_pct": 42.356379089315375, "trading_costs_quote_units": 615.6393622549366, "borrowing_costs_quote_units": 588.6454707197393, "price_pnl_quote_units": 38938.155798175736, "turnover_quote_units": 1026065.6037582271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 47733.87096520078, "return_pct": 377.33870965200776, "cagr_pct": 60.114838215316894, "max_drawdown_pct": 53.81540804669718, "mean_exposure_while_solvent": 0.9514293212722886, "realized_annual_volatility_pct": 42.356379089315375, "trading_costs_quote_units": 615.6393622549366, "borrowing_costs_quote_units": 588.6454707197393, "price_pnl_quote_units": 38938.155798175736, "turnover_quote_units": 1026065.6037582271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 66247.97377035665, "return_pct": 562.4797377035665, "cagr_pct": 76.72568649677609, "max_drawdown_pct": 63.956020541949556, "mean_exposure_while_solvent": 1.307498966972974, "realized_annual_volatility_pct": 58.971824898530144, "trading_costs_quote_units": 849.9706811425705, "borrowing_costs_quote_units": 3190.659522720446, "price_pnl_quote_units": 60288.60397422004, "turnover_quote_units": 1416617.8019042837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 66247.97377035665, "return_pct": 562.4797377035665, "cagr_pct": 76.72568649677609, "max_drawdown_pct": 63.956020541949556, "mean_exposure_while_solvent": 1.307498966972974, "realized_annual_volatility_pct": 58.971824898530144, "trading_costs_quote_units": 849.9706811425705, "borrowing_costs_quote_units": 3190.659522720446, "price_pnl_quote_units": 60288.60397422004, "turnover_quote_units": 1416617.8019042837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 68101.46751605297, "return_pct": 581.0146751605298, "cagr_pct": 78.200398909602, "max_drawdown_pct": 65.98342063127515, "mean_exposure_while_solvent": 1.4588605097308314, "realized_annual_volatility_pct": 67.1854343265407, "trading_costs_quote_units": 710.0918602955467, "borrowing_costs_quote_units": 5053.694521940855, "price_pnl_quote_units": 63865.253898289404, "turnover_quote_units": 1183486.4338259136, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 68101.46751605297, "return_pct": 581.0146751605298, "cagr_pct": 78.200398909602, "max_drawdown_pct": 65.98342063127515, "mean_exposure_while_solvent": 1.4588605097308314, "realized_annual_volatility_pct": 67.1854343265407, "trading_costs_quote_units": 710.0918602955467, "borrowing_costs_quote_units": 5053.694521940855, "price_pnl_quote_units": 63865.253898289404, "turnover_quote_units": 1183486.4338259136, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 57862.22995904436, "return_pct": 478.62229959044356, "cagr_pct": 69.66747608590947, "max_drawdown_pct": 62.21422003083976, "mean_exposure_while_solvent": 1.3142745146501609, "realized_annual_volatility_pct": 58.743944689757264, "trading_costs_quote_units": 1181.1320572330387, "borrowing_costs_quote_units": 3068.9383795132844, "price_pnl_quote_units": 52112.30039579068, "turnover_quote_units": 1968553.4287217285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 57862.22995904436, "return_pct": 478.62229959044356, "cagr_pct": 69.66747608590947, "max_drawdown_pct": 62.21422003083976, "mean_exposure_while_solvent": 1.3142745146501609, "realized_annual_volatility_pct": 58.743944689757264, "trading_costs_quote_units": 1181.1320572330387, "borrowing_costs_quote_units": 3068.9383795132844, "price_pnl_quote_units": 52112.30039579068, "turnover_quote_units": 1968553.4287217285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 63162.22985025091, "return_pct": 531.622298502509, "cagr_pct": 74.20524297896513, "max_drawdown_pct": 65.58707368111149, "mean_exposure_while_solvent": 1.3034741352510943, "realized_annual_volatility_pct": 59.336046094662954, "trading_costs_quote_units": 566.6428467816417, "borrowing_costs_quote_units": 3137.2376517203447, "price_pnl_quote_units": 56866.11034875227, "turnover_quote_units": 944404.7446360694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 63162.22985025091, "return_pct": 531.622298502509, "cagr_pct": 74.20524297896513, "max_drawdown_pct": 65.58707368111149, "mean_exposure_while_solvent": 1.3034741352510943, "realized_annual_volatility_pct": 59.336046094662954, "trading_costs_quote_units": 566.6428467816417, "borrowing_costs_quote_units": 3137.2376517203447, "price_pnl_quote_units": 56866.11034875227, "turnover_quote_units": 944404.7446360694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46223.40836084156, "return_pct": 362.23408360841563, "cagr_pct": 58.57183591917412, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9898724255187619, "realized_annual_volatility_pct": 45.78363380871445, "trading_costs_quote_units": 48.904996778398726, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36272.313357619845, "turnover_quote_units": 81508.3279639979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46223.40836084156, "return_pct": 362.23408360841563, "cagr_pct": 58.57183591917412, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9898724255187619, "realized_annual_volatility_pct": 45.78363380871445, "trading_costs_quote_units": 48.904996778398726, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36272.313357619845, "turnover_quote_units": 81508.3279639979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 63162.22985025091, "return_pct": 531.622298502509, "cagr_pct": 74.20524297896513, "max_drawdown_pct": 65.58707368111149, "mean_exposure_while_solvent": 1.3034741352510943, "realized_annual_volatility_pct": 59.336046094662954, "trading_costs_quote_units": 566.6428467816417, "borrowing_costs_quote_units": 3137.2376517203447, "price_pnl_quote_units": 56866.11034875227, "turnover_quote_units": 944404.7446360694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 63162.22985025091, "return_pct": 531.622298502509, "cagr_pct": 74.20524297896513, "max_drawdown_pct": 65.58707368111149, "mean_exposure_while_solvent": 1.3034741352510943, "realized_annual_volatility_pct": 59.336046094662954, "trading_costs_quote_units": 566.6428467816417, "borrowing_costs_quote_units": 3137.2376517203447, "price_pnl_quote_units": 56866.11034875227, "turnover_quote_units": 944404.7446360694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 63162.22985025091, "return_pct": 531.622298502509, "cagr_pct": 74.20524297896513, "max_drawdown_pct": 65.58707368111149, "mean_exposure_while_solvent": 1.3034741352510943, "realized_annual_volatility_pct": 59.336046094662954, "trading_costs_quote_units": 566.6428467816417, "borrowing_costs_quote_units": 3137.2376517203447, "price_pnl_quote_units": 56866.11034875227, "turnover_quote_units": 944404.7446360694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 63162.22985025091, "return_pct": 531.622298502509, "cagr_pct": 74.20524297896513, "max_drawdown_pct": 65.58707368111149, "mean_exposure_while_solvent": 1.3034741352510943, "realized_annual_volatility_pct": 59.336046094662954, "trading_costs_quote_units": 566.6428467816417, "borrowing_costs_quote_units": 3137.2376517203447, "price_pnl_quote_units": 56866.11034875227, "turnover_quote_units": 944404.7446360694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33908.61371885624, "return_pct": 239.08613718856242, "cagr_pct": 44.44587995679083, "max_drawdown_pct": 39.911896086919874, "mean_exposure_while_solvent": 0.7497390026495924, "realized_annual_volatility_pct": 34.717974537389296, "trading_costs_quote_units": 69.85100934941165, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23978.464728205654, "turnover_quote_units": 116418.34891568612, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33908.61371885624, "return_pct": 239.08613718856242, "cagr_pct": 44.44587995679083, "max_drawdown_pct": 39.911896086919874, "mean_exposure_while_solvent": 0.7497390026495924, "realized_annual_volatility_pct": 34.717974537389296, "trading_costs_quote_units": 69.85100934941165, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23978.464728205654, "turnover_quote_units": 116418.34891568612, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46697.3765771729, "return_pct": 366.973765771729, "cagr_pct": 59.05976035857727, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9995877988458368, "realized_annual_volatility_pct": 46.30062603209002, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36703.37297933163, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46697.3765771729, "return_pct": 366.973765771729, "cagr_pct": 59.05976035857727, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9995877988458368, "realized_annual_volatility_pct": 46.30062603209002, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36703.37297933163, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 58619.49412001288, "return_pct": 486.1949412001288, "cagr_pct": 70.33315377083827, "max_drawdown_pct": 58.565078640345945, "mean_exposure_while_solvent": 1.2494712904964986, "realized_annual_volatility_pct": 57.898924164669374, "trading_costs_quote_units": 206.40078006724787, "borrowing_costs_quote_units": 2201.3857850857266, "price_pnl_quote_units": 51027.280685165795, "turnover_quote_units": 344001.3001120806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 58619.49412001288, "return_pct": 486.1949412001288, "cagr_pct": 70.33315377083827, "max_drawdown_pct": 58.565078640345945, "mean_exposure_while_solvent": 1.2494712904964986, "realized_annual_volatility_pct": 57.898924164669374, "trading_costs_quote_units": 206.40078006724787, "borrowing_costs_quote_units": 2201.3857850857266, "price_pnl_quote_units": 51027.280685165795, "turnover_quote_units": 344001.3001120806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 70216.1433201028, "return_pct": 602.161433201028, "cagr_pct": 79.84905169465952, "max_drawdown_pct": 65.98362386751518, "mean_exposure_while_solvent": 1.4994083184955447, "realized_annual_volatility_pct": 69.51849804497733, "trading_costs_quote_units": 623.2237292475538, "borrowing_costs_quote_units": 5680.849943681547, "price_pnl_quote_units": 66520.2169930318, "turnover_quote_units": 1038706.2154125877, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 70216.1433201028, "return_pct": 602.161433201028, "cagr_pct": 79.84905169465952, "max_drawdown_pct": 65.98362386751518, "mean_exposure_while_solvent": 1.4994083184955447, "realized_annual_volatility_pct": 69.51849804497733, "trading_costs_quote_units": 623.2237292475538, "borrowing_costs_quote_units": 5680.849943681547, "price_pnl_quote_units": 66520.2169930318, "turnover_quote_units": 1038706.2154125877, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 47107.27564665196, "return_pct": 371.0727564665196, "cagr_pct": 59.47894598279247, "max_drawdown_pct": 53.871452825017045, "mean_exposure_while_solvent": 0.9514353248923235, "realized_annual_volatility_pct": 42.3565054079646, "trading_costs_quote_units": 610.8409603319744, "borrowing_costs_quote_units": 1167.246007521934, "price_pnl_quote_units": 38885.36261450598, "turnover_quote_units": 1018068.2672199587, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 47107.27564665196, "return_pct": 371.0727564665196, "cagr_pct": 59.47894598279247, "max_drawdown_pct": 53.871452825017045, "mean_exposure_while_solvent": 0.9514353248923235, "realized_annual_volatility_pct": 42.3565054079646, "trading_costs_quote_units": 610.8409603319744, "borrowing_costs_quote_units": 1167.246007521934, "price_pnl_quote_units": 38885.36261450598, "turnover_quote_units": 1018068.2672199587, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62848.18517210236, "return_pct": 528.4818517210236, "cagr_pct": 73.94394244494774, "max_drawdown_pct": 64.18016211203748, "mean_exposure_while_solvent": 1.3075248648538023, "realized_annual_volatility_pct": 58.97292803913422, "trading_costs_quote_units": 822.9669819185741, "borrowing_costs_quote_units": 6165.889538374162, "price_pnl_quote_units": 59837.041692395105, "turnover_quote_units": 1371611.6365309567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62848.18517210236, "return_pct": 528.4818517210236, "cagr_pct": 73.94394244494774, "max_drawdown_pct": 64.18016211203748, "mean_exposure_while_solvent": 1.3075248648538023, "realized_annual_volatility_pct": 58.97292803913422, "trading_costs_quote_units": 822.9669819185741, "borrowing_costs_quote_units": 6165.889538374162, "price_pnl_quote_units": 59837.041692395105, "turnover_quote_units": 1371611.6365309567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63104.9683940337, "return_pct": 531.049683940337, "cagr_pct": 74.15766643614847, "max_drawdown_pct": 66.26921788552471, "mean_exposure_while_solvent": 1.4588992222772275, "realized_annual_volatility_pct": 67.18748958133958, "trading_costs_quote_units": 678.422670658528, "borrowing_costs_quote_units": 9631.64323448161, "price_pnl_quote_units": 63415.034299174025, "turnover_quote_units": 1130704.451097548, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63104.9683940337, "return_pct": 531.049683940337, "cagr_pct": 74.15766643614847, "max_drawdown_pct": 66.26921788552471, "mean_exposure_while_solvent": 1.4588992222772275, "realized_annual_volatility_pct": 67.18748958133958, "trading_costs_quote_units": 678.422670658528, "borrowing_costs_quote_units": 9631.64323448161, "price_pnl_quote_units": 63415.034299174025, "turnover_quote_units": 1130704.451097548, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 54753.31832401235, "return_pct": 447.5331832401235, "cagr_pct": 66.86893597607299, "max_drawdown_pct": 62.44217929485376, "mean_exposure_while_solvent": 1.3143018978825474, "realized_annual_volatility_pct": 58.74530496115417, "trading_costs_quote_units": 1143.0990726432995, "borrowing_costs_quote_units": 5926.270030796754, "price_pnl_quote_units": 51822.6874274518, "turnover_quote_units": 1905165.121072165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 54753.31832401235, "return_pct": 447.5331832401235, "cagr_pct": 66.86893597607299, "max_drawdown_pct": 62.44217929485376, "mean_exposure_while_solvent": 1.3143018978825474, "realized_annual_volatility_pct": 58.74530496115417, "trading_costs_quote_units": 1143.0990726432995, "borrowing_costs_quote_units": 5926.270030796754, "price_pnl_quote_units": 51822.6874274518, "turnover_quote_units": 1905165.121072165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60042.23727692609, "return_pct": 500.4223727692609, "cagr_pct": 71.56774758072338, "max_drawdown_pct": 65.81505523293856, "mean_exposure_while_solvent": 1.3034988459926145, "realized_annual_volatility_pct": 59.33725247987795, "trading_costs_quote_units": 549.0716571379695, "borrowing_costs_quote_units": 6071.155281245139, "price_pnl_quote_units": 56662.46421530939, "turnover_quote_units": 915119.4285632842, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60042.23727692609, "return_pct": 500.4223727692609, "cagr_pct": 71.56774758072338, "max_drawdown_pct": 65.81505523293856, "mean_exposure_while_solvent": 1.3034988459926145, "realized_annual_volatility_pct": 59.33725247987795, "trading_costs_quote_units": 549.0716571379695, "borrowing_costs_quote_units": 6071.155281245139, "price_pnl_quote_units": 56662.46421530939, "turnover_quote_units": 915119.4285632842, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46223.40836084156, "return_pct": 362.23408360841563, "cagr_pct": 58.57183591917412, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9898724255187619, "realized_annual_volatility_pct": 45.78363380871445, "trading_costs_quote_units": 48.904996778398726, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36272.313357619845, "turnover_quote_units": 81508.3279639979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46223.40836084156, "return_pct": 362.23408360841563, "cagr_pct": 58.57183591917412, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9898724255187619, "realized_annual_volatility_pct": 45.78363380871445, "trading_costs_quote_units": 48.904996778398726, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36272.313357619845, "turnover_quote_units": 81508.3279639979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60042.23727692609, "return_pct": 500.4223727692609, "cagr_pct": 71.56774758072338, "max_drawdown_pct": 65.81505523293856, "mean_exposure_while_solvent": 1.3034988459926145, "realized_annual_volatility_pct": 59.33725247987795, "trading_costs_quote_units": 549.0716571379695, "borrowing_costs_quote_units": 6071.155281245139, "price_pnl_quote_units": 56662.46421530939, "turnover_quote_units": 915119.4285632842, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60042.23727692609, "return_pct": 500.4223727692609, "cagr_pct": 71.56774758072338, "max_drawdown_pct": 65.81505523293856, "mean_exposure_while_solvent": 1.3034988459926145, "realized_annual_volatility_pct": 59.33725247987795, "trading_costs_quote_units": 549.0716571379695, "borrowing_costs_quote_units": 6071.155281245139, "price_pnl_quote_units": 56662.46421530939, "turnover_quote_units": 915119.4285632842, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60042.23727692609, "return_pct": 500.4223727692609, "cagr_pct": 71.56774758072338, "max_drawdown_pct": 65.81505523293856, "mean_exposure_while_solvent": 1.3034988459926145, "realized_annual_volatility_pct": 59.33725247987795, "trading_costs_quote_units": 549.0716571379695, "borrowing_costs_quote_units": 6071.155281245139, "price_pnl_quote_units": 56662.46421530939, "turnover_quote_units": 915119.4285632842, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60042.23727692609, "return_pct": 500.4223727692609, "cagr_pct": 71.56774758072338, "max_drawdown_pct": 65.81505523293856, "mean_exposure_while_solvent": 1.3034988459926145, "realized_annual_volatility_pct": 59.33725247987795, "trading_costs_quote_units": 549.0716571379695, "borrowing_costs_quote_units": 6071.155281245139, "price_pnl_quote_units": 56662.46421530939, "turnover_quote_units": 915119.4285632842, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33908.61371885624, "return_pct": 239.08613718856242, "cagr_pct": 44.44587995679083, "max_drawdown_pct": 39.911896086919874, "mean_exposure_while_solvent": 0.7497390026495924, "realized_annual_volatility_pct": 34.717974537389296, "trading_costs_quote_units": 69.85100934941165, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23978.464728205654, "turnover_quote_units": 116418.34891568612, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33908.61371885624, "return_pct": 239.08613718856242, "cagr_pct": 44.44587995679083, "max_drawdown_pct": 39.911896086919874, "mean_exposure_while_solvent": 0.7497390026495924, "realized_annual_volatility_pct": 34.717974537389296, "trading_costs_quote_units": 69.85100934941165, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23978.464728205654, "turnover_quote_units": 116418.34891568612, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46697.3765771729, "return_pct": 366.973765771729, "cagr_pct": 59.05976035857727, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9995877988458368, "realized_annual_volatility_pct": 46.30062603209002, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36703.37297933163, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46697.3765771729, "return_pct": 366.973765771729, "cagr_pct": 59.05976035857727, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9995877988458368, "realized_annual_volatility_pct": 46.30062603209002, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36703.37297933163, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 56239.08466489698, "return_pct": 462.39084664896984, "cagr_pct": 68.21985666801167, "max_drawdown_pct": 58.739225737514666, "mean_exposure_while_solvent": 1.2494891003764144, "realized_annual_volatility_pct": 57.89987992133901, "trading_costs_quote_units": 201.33658702777865, "borrowing_costs_quote_units": 4290.820527620907, "price_pnl_quote_units": 50731.241779545475, "turnover_quote_units": 335560.9783796312, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 56239.08466489698, "return_pct": 462.39084664896984, "cagr_pct": 68.21985666801167, "max_drawdown_pct": 58.739225737514666, "mean_exposure_while_solvent": 1.2494891003764144, "realized_annual_volatility_pct": 57.89987992133901, "trading_costs_quote_units": 201.33658702777865, "borrowing_costs_quote_units": 4290.820527620907, "price_pnl_quote_units": 50731.241779545475, "turnover_quote_units": 335560.9783796312, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 64628.88841981866, "return_pct": 546.2888841981866, "cagr_pct": 75.41369592333027, "max_drawdown_pct": 66.26945603754422, "mean_exposure_while_solvent": 1.4994510776537284, "realized_annual_volatility_pct": 69.52080160373171, "trading_costs_quote_units": 592.3253412778804, "borrowing_costs_quote_units": 10784.777103264136, "price_pnl_quote_units": 66005.99086436108, "turnover_quote_units": 987208.9021297988, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 64628.88841981866, "return_pct": 546.2888841981866, "cagr_pct": 75.41369592333027, "max_drawdown_pct": 66.26945603754422, "mean_exposure_while_solvent": 1.4994510776537284, "realized_annual_volatility_pct": 69.52080160373171, "trading_costs_quote_units": 592.3253412778804, "borrowing_costs_quote_units": 10784.777103264136, "price_pnl_quote_units": 66005.99086436108, "turnover_quote_units": 987208.9021297988, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45878.36447165729, "return_pct": 358.7836447165729, "cagr_pct": 58.214428436468154, "max_drawdown_pct": 53.983364881850406, "mean_exposure_while_solvent": 0.9514473342434724, "realized_annual_volatility_pct": 42.35677365568898, "trading_costs_quote_units": 601.3744308356186, "borrowing_costs_quote_units": 2294.882321397413, "price_pnl_quote_units": 38774.62122389035, "turnover_quote_units": 1002290.718059364, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45878.36447165729, "return_pct": 358.7836447165729, "cagr_pct": 58.214428436468154, "max_drawdown_pct": 53.983364881850406, "mean_exposure_while_solvent": 0.9514473342434724, "realized_annual_volatility_pct": 42.35677365568898, "trading_costs_quote_units": 601.3744308356186, "borrowing_costs_quote_units": 2294.882321397413, "price_pnl_quote_units": 38774.62122389035, "turnover_quote_units": 1002290.718059364, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 56561.48569820807, "return_pct": 465.61485698208065, "cagr_pct": 68.50969547778112, "max_drawdown_pct": 64.62439218887762, "mean_exposure_while_solvent": 1.3075766710489078, "realized_annual_volatility_pct": 58.975155510983456, "trading_costs_quote_units": 771.8730389380387, "borrowing_costs_quote_units": 11517.964538436674, "price_pnl_quote_units": 58851.323275582545, "turnover_quote_units": 1286455.0648967312, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 56561.48569820807, "return_pct": 465.61485698208065, "cagr_pct": 68.50969547778112, "max_drawdown_pct": 64.62439218887762, "mean_exposure_while_solvent": 1.3075766710489078, "realized_annual_volatility_pct": 58.975155510983456, "trading_costs_quote_units": 771.8730389380387, "borrowing_costs_quote_units": 11517.964538436674, "price_pnl_quote_units": 58851.323275582545, "turnover_quote_units": 1286455.0648967312, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54182.531953912796, "return_pct": 441.82531953912803, "cagr_pct": 66.34314126357926, "max_drawdown_pct": 66.83378884930346, "mean_exposure_while_solvent": 1.4589766637893908, "realized_annual_volatility_pct": 67.1916055600309, "trading_costs_quote_units": 619.9044523792147, "borrowing_costs_quote_units": 17508.048362978043, "price_pnl_quote_units": 62310.48476927029, "turnover_quote_units": 1033174.0872986927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54182.531953912796, "return_pct": 441.82531953912803, "cagr_pct": 66.34314126357926, "max_drawdown_pct": 66.83378884930346, "mean_exposure_while_solvent": 1.4589766637893908, "realized_annual_volatility_pct": 67.1916055600309, "trading_costs_quote_units": 619.9044523792147, "borrowing_costs_quote_units": 17508.048362978043, "price_pnl_quote_units": 62310.48476927029, "turnover_quote_units": 1033174.0872986927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 49026.18060454023, "return_pct": 390.26180604540235, "cagr_pct": 61.408125691232684, "max_drawdown_pct": 62.894101957865736, "mean_exposure_while_solvent": 1.314356675536282, "realized_annual_volatility_pct": 58.748047391024315, "trading_costs_quote_units": 1071.249271940351, "borrowing_costs_quote_units": 11054.602826988918, "price_pnl_quote_units": 51152.03270346943, "turnover_quote_units": 1785415.4532339168, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 49026.18060454023, "return_pct": 390.26180604540235, "cagr_pct": 61.408125691232684, "max_drawdown_pct": 62.894101957865736, "mean_exposure_while_solvent": 1.314356675536282, "realized_annual_volatility_pct": 58.748047391024315, "trading_costs_quote_units": 1071.249271940351, "borrowing_costs_quote_units": 11054.602826988918, "price_pnl_quote_units": 51152.03270346943, "turnover_quote_units": 1785415.4532339168, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54255.538715248695, "return_pct": 442.555387152487, "cagr_pct": 66.41060857737091, "max_drawdown_pct": 66.26661352337167, "mean_exposure_while_solvent": 1.3035482773078206, "realized_annual_volatility_pct": 59.339685660322175, "trading_costs_quote_units": 515.7858017440104, "borrowing_costs_quote_units": 11372.394943823736, "price_pnl_quote_units": 56143.71946081658, "turnover_quote_units": 859643.0029066823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54255.538715248695, "return_pct": 442.555387152487, "cagr_pct": 66.41060857737091, "max_drawdown_pct": 66.26661352337167, "mean_exposure_while_solvent": 1.3035482773078206, "realized_annual_volatility_pct": 59.339685660322175, "trading_costs_quote_units": 515.7858017440104, "borrowing_costs_quote_units": 11372.394943823736, "price_pnl_quote_units": 56143.71946081658, "turnover_quote_units": 859643.0029066823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46223.40836084156, "return_pct": 362.23408360841563, "cagr_pct": 58.57183591917412, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9898724255187619, "realized_annual_volatility_pct": 45.78363380871445, "trading_costs_quote_units": 48.904996778398726, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36272.313357619845, "turnover_quote_units": 81508.3279639979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46223.40836084156, "return_pct": 362.23408360841563, "cagr_pct": 58.57183591917412, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9898724255187619, "realized_annual_volatility_pct": 45.78363380871445, "trading_costs_quote_units": 48.904996778398726, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36272.313357619845, "turnover_quote_units": 81508.3279639979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54255.538715248695, "return_pct": 442.555387152487, "cagr_pct": 66.41060857737091, "max_drawdown_pct": 66.26661352337167, "mean_exposure_while_solvent": 1.3035482773078206, "realized_annual_volatility_pct": 59.339685660322175, "trading_costs_quote_units": 515.7858017440104, "borrowing_costs_quote_units": 11372.394943823736, "price_pnl_quote_units": 56143.71946081658, "turnover_quote_units": 859643.0029066823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54255.538715248695, "return_pct": 442.555387152487, "cagr_pct": 66.41060857737091, "max_drawdown_pct": 66.26661352337167, "mean_exposure_while_solvent": 1.3035482773078206, "realized_annual_volatility_pct": 59.339685660322175, "trading_costs_quote_units": 515.7858017440104, "borrowing_costs_quote_units": 11372.394943823736, "price_pnl_quote_units": 56143.71946081658, "turnover_quote_units": 859643.0029066823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54255.538715248695, "return_pct": 442.555387152487, "cagr_pct": 66.41060857737091, "max_drawdown_pct": 66.26661352337167, "mean_exposure_while_solvent": 1.3035482773078206, "realized_annual_volatility_pct": 59.339685660322175, "trading_costs_quote_units": 515.7858017440104, "borrowing_costs_quote_units": 11372.394943823736, "price_pnl_quote_units": 56143.71946081658, "turnover_quote_units": 859643.0029066823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54255.538715248695, "return_pct": 442.555387152487, "cagr_pct": 66.41060857737091, "max_drawdown_pct": 66.26661352337167, "mean_exposure_while_solvent": 1.3035482773078206, "realized_annual_volatility_pct": 59.339685660322175, "trading_costs_quote_units": 515.7858017440104, "borrowing_costs_quote_units": 11372.394943823736, "price_pnl_quote_units": 56143.71946081658, "turnover_quote_units": 859643.0029066823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33908.61371885624, "return_pct": 239.08613718856242, "cagr_pct": 44.44587995679083, "max_drawdown_pct": 39.911896086919874, "mean_exposure_while_solvent": 0.7497390026495924, "realized_annual_volatility_pct": 34.717974537389296, "trading_costs_quote_units": 69.85100934941165, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23978.464728205654, "turnover_quote_units": 116418.34891568612, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33908.61371885624, "return_pct": 239.08613718856242, "cagr_pct": 44.44587995679083, "max_drawdown_pct": 39.911896086919874, "mean_exposure_while_solvent": 0.7497390026495924, "realized_annual_volatility_pct": 34.717974537389296, "trading_costs_quote_units": 69.85100934941165, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23978.464728205654, "turnover_quote_units": 116418.34891568612, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46697.3765771729, "return_pct": 366.973765771729, "cagr_pct": 59.05976035857727, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9995877988458368, "realized_annual_volatility_pct": 46.30062603209002, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36703.37297933163, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46697.3765771729, "return_pct": 366.973765771729, "cagr_pct": 59.05976035857727, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9995877988458368, "realized_annual_volatility_pct": 46.30062603209002, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36703.37297933163, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51763.34387298968, "return_pct": 417.6334387298968, "cagr_pct": 64.07065378270758, "max_drawdown_pct": 59.08540714317635, "mean_exposure_while_solvent": 1.2495247256220476, "realized_annual_volatility_pct": 57.90179168036191, "trading_costs_quote_units": 191.6725680375402, "borrowing_costs_quote_units": 8153.073100656086, "price_pnl_quote_units": 50108.08954168342, "turnover_quote_units": 319454.2800625672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51763.34387298968, "return_pct": 417.6334387298968, "cagr_pct": 64.07065378270758, "max_drawdown_pct": 59.08540714317635, "mean_exposure_while_solvent": 1.2495247256220476, "realized_annual_volatility_pct": 57.90179168036191, "trading_costs_quote_units": 191.6725680375402, "borrowing_costs_quote_units": 8153.073100656086, "price_pnl_quote_units": 50108.08954168342, "turnover_quote_units": 319454.2800625672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54750.2058481234, "return_pct": 447.502058481234, "cagr_pct": 66.86607924884265, "max_drawdown_pct": 66.83409506280636, "mean_exposure_while_solvent": 1.4995366145180506, "realized_annual_volatility_pct": 69.52540971215863, "trading_costs_quote_units": 535.7521342505536, "borrowing_costs_quote_units": 19455.55053336435, "price_pnl_quote_units": 64741.50851573892, "turnover_quote_units": 892920.223750924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54750.2058481234, "return_pct": 447.502058481234, "cagr_pct": 66.86607924884265, "max_drawdown_pct": 66.83409506280636, "mean_exposure_while_solvent": 1.4995366145180506, "realized_annual_volatility_pct": 69.52540971215863, "trading_costs_quote_units": 535.7521342505536, "borrowing_costs_quote_units": 19455.55053336435, "price_pnl_quote_units": 64741.50851573892, "turnover_quote_units": 892920.223750924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43979.24811778603, "return_pct": 339.79248117786034, "cagr_pct": 56.21288567344045, "max_drawdown_pct": 54.100439060195114, "mean_exposure_while_solvent": 0.9517927399017073, "realized_annual_volatility_pct": 42.290783105263486, "trading_costs_quote_units": 2945.9096333211264, "borrowing_costs_quote_units": 556.5169329568431, "price_pnl_quote_units": 37481.67468406415, "turnover_quote_units": 981969.877773708, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43979.24811778603, "return_pct": 339.79248117786034, "cagr_pct": 56.21288567344045, "max_drawdown_pct": 54.100439060195114, "mean_exposure_while_solvent": 0.9517927399017073, "realized_annual_volatility_pct": 42.290783105263486, "trading_costs_quote_units": 2945.9096333211264, "borrowing_costs_quote_units": 556.5169329568431, "price_pnl_quote_units": 37481.67468406415, "turnover_quote_units": 981969.877773708, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61413.65348631646, "return_pct": 514.1365348631647, "cagr_pct": 72.73859851396578, "max_drawdown_pct": 64.19293003978537, "mean_exposure_while_solvent": 1.3079938712548118, "realized_annual_volatility_pct": 58.84738817909003, "trading_costs_quote_units": 4083.0080341207004, "borrowing_costs_quote_units": 3039.6926282570266, "price_pnl_quote_units": 58536.35414869412, "turnover_quote_units": 1361002.678040234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61413.65348631646, "return_pct": 514.1365348631647, "cagr_pct": 72.73859851396578, "max_drawdown_pct": 64.19293003978537, "mean_exposure_while_solvent": 1.3079938712548118, "realized_annual_volatility_pct": 58.84738817909003, "trading_costs_quote_units": 4083.0080341207004, "borrowing_costs_quote_units": 3039.6926282570266, "price_pnl_quote_units": 58536.35414869412, "turnover_quote_units": 1361002.678040234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 64591.916115807275, "return_pct": 545.9191611580727, "cagr_pct": 75.38346932597588, "max_drawdown_pct": 66.06872099819412, "mean_exposure_while_solvent": 1.4592736941169941, "realized_annual_volatility_pct": 67.11709805159721, "trading_costs_quote_units": 3464.7428166824466, "borrowing_costs_quote_units": 4872.193498211564, "price_pnl_quote_units": 62928.85243070146, "turnover_quote_units": 1154914.2722274824, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 64591.916115807275, "return_pct": 545.9191611580727, "cagr_pct": 75.38346932597588, "max_drawdown_pct": 66.06872099819412, "mean_exposure_while_solvent": 1.4592736941169941, "realized_annual_volatility_pct": 67.11709805159721, "trading_costs_quote_units": 3464.7428166824466, "borrowing_costs_quote_units": 4872.193498211564, "price_pnl_quote_units": 62928.85243070146, "turnover_quote_units": 1154914.2722274824, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 51060.437455216364, "return_pct": 410.6043745521636, "cagr_pct": 63.39648767095274, "max_drawdown_pct": 62.3436100657272, "mean_exposure_while_solvent": 1.3148482259300052, "realized_annual_volatility_pct": 58.57311405629455, "trading_costs_quote_units": 5445.638491983824, "borrowing_costs_quote_units": 2799.816425152406, "price_pnl_quote_units": 49305.89237235236, "turnover_quote_units": 1815212.830661272, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 51060.437455216364, "return_pct": 410.6043745521636, "cagr_pct": 63.39648767095274, "max_drawdown_pct": 62.3436100657272, "mean_exposure_while_solvent": 1.3148482259300052, "realized_annual_volatility_pct": 58.57311405629455, "trading_costs_quote_units": 5445.638491983824, "borrowing_costs_quote_units": 2799.816425152406, "price_pnl_quote_units": 49305.89237235236, "turnover_quote_units": 1815212.830661272, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59442.369203211834, "return_pct": 494.42369203211837, "cagr_pct": 71.04972854346035, "max_drawdown_pct": 65.66766129341705, "mean_exposure_while_solvent": 1.3038661901202042, "realized_annual_volatility_pct": 59.25477593216414, "trading_costs_quote_units": 2786.8686634782193, "borrowing_costs_quote_units": 3015.854789141744, "price_pnl_quote_units": 55245.09265583217, "turnover_quote_units": 928956.2211594079, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59442.369203211834, "return_pct": 494.42369203211837, "cagr_pct": 71.04972854346035, "max_drawdown_pct": 65.66766129341705, "mean_exposure_while_solvent": 1.3038661901202042, "realized_annual_volatility_pct": 59.25477593216414, "trading_costs_quote_units": 2786.8686634782193, "borrowing_costs_quote_units": 3015.854789141744, "price_pnl_quote_units": 55245.09265583217, "turnover_quote_units": 928956.2211594079, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 45650.48865296268, "return_pct": 356.50488652962684, "cagr_pct": 57.97735618775168, "max_drawdown_pct": 49.83697178895504, "mean_exposure_while_solvent": 0.9901623957828597, "realized_annual_volatility_pct": 45.78057623706882, "trading_costs_quote_units": 241.1387598328519, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35891.62741279536, "turnover_quote_units": 80379.58661095057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 45650.48865296268, "return_pct": 356.50488652962684, "cagr_pct": 57.97735618775168, "max_drawdown_pct": 49.83697178895504, "mean_exposure_while_solvent": 0.9901623957828597, "realized_annual_volatility_pct": 45.78057623706882, "trading_costs_quote_units": 241.1387598328519, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35891.62741279536, "turnover_quote_units": 80379.58661095057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59442.369203211834, "return_pct": 494.42369203211837, "cagr_pct": 71.04972854346035, "max_drawdown_pct": 65.66766129341705, "mean_exposure_while_solvent": 1.3038661901202042, "realized_annual_volatility_pct": 59.25477593216414, "trading_costs_quote_units": 2786.8686634782193, "borrowing_costs_quote_units": 3015.854789141744, "price_pnl_quote_units": 55245.09265583217, "turnover_quote_units": 928956.2211594079, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59442.369203211834, "return_pct": 494.42369203211837, "cagr_pct": 71.04972854346035, "max_drawdown_pct": 65.66766129341705, "mean_exposure_while_solvent": 1.3038661901202042, "realized_annual_volatility_pct": 59.25477593216414, "trading_costs_quote_units": 2786.8686634782193, "borrowing_costs_quote_units": 3015.854789141744, "price_pnl_quote_units": 55245.09265583217, "turnover_quote_units": 928956.2211594079, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59442.369203211834, "return_pct": 494.42369203211837, "cagr_pct": 71.04972854346035, "max_drawdown_pct": 65.66766129341705, "mean_exposure_while_solvent": 1.3038661901202042, "realized_annual_volatility_pct": 59.25477593216414, "trading_costs_quote_units": 2786.8686634782193, "borrowing_costs_quote_units": 3015.854789141744, "price_pnl_quote_units": 55245.09265583217, "turnover_quote_units": 928956.2211594079, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59442.369203211834, "return_pct": 494.42369203211837, "cagr_pct": 71.04972854346035, "max_drawdown_pct": 65.66766129341705, "mean_exposure_while_solvent": 1.3038661901202042, "realized_annual_volatility_pct": 59.25477593216414, "trading_costs_quote_units": 2786.8686634782193, "borrowing_costs_quote_units": 3015.854789141744, "price_pnl_quote_units": 55245.09265583217, "turnover_quote_units": 928956.2211594079, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33596.85796912416, "return_pct": 235.96857969124164, "cagr_pct": 44.04464482073882, "max_drawdown_pct": 39.98710110896544, "mean_exposure_while_solvent": 0.7499642907269567, "realized_annual_volatility_pct": 34.72988993883926, "trading_costs_quote_units": 355.64130491848704, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23952.499274042566, "turnover_quote_units": 118547.10163949568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33596.85796912416, "return_pct": 235.96857969124164, "cagr_pct": 44.04464482073882, "max_drawdown_pct": 39.98710110896544, "mean_exposure_while_solvent": 0.7499642907269567, "realized_annual_volatility_pct": 34.72988993883926, "trading_costs_quote_units": 355.64130491848704, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23952.499274042566, "turnover_quote_units": 118547.10163949568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46677.36501825448, "return_pct": 366.7736501825448, "cagr_pct": 59.03922969884139, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9998625996152789, "realized_annual_volatility_pct": 46.30102296462082, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36707.27528744711, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46677.36501825448, "return_pct": 366.7736501825448, "cagr_pct": 59.03922969884139, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9998625996152789, "realized_annual_volatility_pct": 46.30102296462082, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36707.27528744711, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 57651.25331593121, "return_pct": 476.51253315931206, "cagr_pct": 69.48093219964618, "max_drawdown_pct": 58.60775317214182, "mean_exposure_while_solvent": 1.2497692721563742, "realized_annual_volatility_pct": 57.881561466332144, "trading_costs_quote_units": 1044.9983639167915, "borrowing_costs_quote_units": 2178.2000165720115, "price_pnl_quote_units": 50874.45169642, "turnover_quote_units": 348332.7879722634, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 57651.25331593121, "return_pct": 476.51253315931206, "cagr_pct": 69.48093219964618, "max_drawdown_pct": 58.60775317214182, "mean_exposure_while_solvent": 1.2497692721563742, "realized_annual_volatility_pct": 57.881561466332144, "trading_costs_quote_units": 1044.9983639167915, "borrowing_costs_quote_units": 2178.2000165720115, "price_pnl_quote_units": 50874.45169642, "turnover_quote_units": 348332.7879722634, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 67537.69844090467, "return_pct": 575.3769844090467, "cagr_pct": 77.7548422851816, "max_drawdown_pct": 66.07650764437525, "mean_exposure_while_solvent": 1.4996948263994676, "realized_annual_volatility_pct": 69.47590955981599, "trading_costs_quote_units": 3112.487906328152, "borrowing_costs_quote_units": 5543.230095244888, "price_pnl_quote_units": 66193.41644247771, "turnover_quote_units": 1037495.96877605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 67537.69844090467, "return_pct": 575.3769844090467, "cagr_pct": 77.7548422851816, "max_drawdown_pct": 66.07650764437525, "mean_exposure_while_solvent": 1.4996948263994676, "realized_annual_volatility_pct": 69.47590955981599, "trading_costs_quote_units": 3112.487906328152, "borrowing_costs_quote_units": 5543.230095244888, "price_pnl_quote_units": 66193.41644247771, "turnover_quote_units": 1037495.96877605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 43401.6417696024, "return_pct": 334.016417696024, "cagr_pct": 55.592168876898974, "max_drawdown_pct": 54.15519284088598, "mean_exposure_while_solvent": 0.9517987475966777, "realized_annual_volatility_pct": 42.29105908383823, "trading_costs_quote_units": 2923.1751239942573, "borrowing_costs_quote_units": 1103.5984261462927, "price_pnl_quote_units": 37428.415319743, "turnover_quote_units": 974391.7079980865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 43401.6417696024, "return_pct": 334.016417696024, "cagr_pct": 55.592168876898974, "max_drawdown_pct": 54.15519284088598, "mean_exposure_while_solvent": 0.9517987475966777, "realized_annual_volatility_pct": 42.29105908383823, "trading_costs_quote_units": 2923.1751239942573, "borrowing_costs_quote_units": 1103.5984261462927, "price_pnl_quote_units": 37428.415319743, "turnover_quote_units": 974391.7079980865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58260.23118985028, "return_pct": 482.6023118985028, "cagr_pct": 70.0180954759625, "max_drawdown_pct": 64.41571665245564, "mean_exposure_while_solvent": 1.3080197971477323, "realized_annual_volatility_pct": 58.84891795354665, "trading_costs_quote_units": 3953.9086401615164, "borrowing_costs_quote_units": 5875.279812867033, "price_pnl_quote_units": 58089.41964287854, "turnover_quote_units": 1317969.5467205066, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58260.23118985028, "return_pct": 482.6023118985028, "cagr_pct": 70.0180954759625, "max_drawdown_pct": 64.41571665245564, "mean_exposure_while_solvent": 1.3080197971477323, "realized_annual_volatility_pct": 58.84891795354665, "trading_costs_quote_units": 3953.9086401615164, "borrowing_costs_quote_units": 5875.279812867033, "price_pnl_quote_units": 58089.41964287854, "turnover_quote_units": 1317969.5467205066, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 59851.097280462374, "return_pct": 498.5109728046237, "cagr_pct": 71.4030818776608, "max_drawdown_pct": 66.35407164781671, "mean_exposure_while_solvent": 1.4593124285326036, "realized_annual_volatility_pct": 67.11979320501071, "trading_costs_quote_units": 3312.002688294276, "borrowing_costs_quote_units": 9287.407911333621, "price_pnl_quote_units": 62450.50788008973, "turnover_quote_units": 1104000.896098094, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 59851.097280462374, "return_pct": 498.5109728046237, "cagr_pct": 71.4030818776608, "max_drawdown_pct": 66.35407164781671, "mean_exposure_while_solvent": 1.4593124285326036, "realized_annual_volatility_pct": 67.11979320501071, "trading_costs_quote_units": 3312.002688294276, "borrowing_costs_quote_units": 9287.407911333621, "price_pnl_quote_units": 62450.50788008973, "turnover_quote_units": 1104000.896098094, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 48315.25916736564, "return_pct": 383.1525916736564, "cagr_pct": 60.699656150584815, "max_drawdown_pct": 62.570484592398124, "mean_exposure_while_solvent": 1.314875645975009, "realized_annual_volatility_pct": 58.57494069532102, "trading_costs_quote_units": 5272.237079027809, "borrowing_costs_quote_units": 5408.737307108888, "price_pnl_quote_units": 48996.233553501814, "turnover_quote_units": 1757412.359675937, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 48315.25916736564, "return_pct": 383.1525916736564, "cagr_pct": 60.699656150584815, "max_drawdown_pct": 62.570484592398124, "mean_exposure_while_solvent": 1.314875645975009, "realized_annual_volatility_pct": 58.57494069532102, "trading_costs_quote_units": 5272.237079027809, "borrowing_costs_quote_units": 5408.737307108888, "price_pnl_quote_units": 48996.233553501814, "turnover_quote_units": 1757412.359675937, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56504.703502493765, "return_pct": 465.04703502493766, "cagr_pct": 68.45873215077035, "max_drawdown_pct": 65.89532944101606, "mean_exposure_while_solvent": 1.303890917128407, "realized_annual_volatility_pct": 59.25642260477881, "trading_costs_quote_units": 2701.43267153219, "borrowing_costs_quote_units": 5837.091313393917, "price_pnl_quote_units": 55043.22748741952, "turnover_quote_units": 900477.5571773947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56504.703502493765, "return_pct": 465.04703502493766, "cagr_pct": 68.45873215077035, "max_drawdown_pct": 65.89532944101606, "mean_exposure_while_solvent": 1.303890917128407, "realized_annual_volatility_pct": 59.25642260477881, "trading_costs_quote_units": 2701.43267153219, "borrowing_costs_quote_units": 5837.091313393917, "price_pnl_quote_units": 55043.22748741952, "turnover_quote_units": 900477.5571773947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45650.48865296268, "return_pct": 356.50488652962684, "cagr_pct": 57.97735618775168, "max_drawdown_pct": 49.83697178895504, "mean_exposure_while_solvent": 0.9901623957828597, "realized_annual_volatility_pct": 45.78057623706882, "trading_costs_quote_units": 241.1387598328519, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35891.62741279536, "turnover_quote_units": 80379.58661095057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45650.48865296268, "return_pct": 356.50488652962684, "cagr_pct": 57.97735618775168, "max_drawdown_pct": 49.83697178895504, "mean_exposure_while_solvent": 0.9901623957828597, "realized_annual_volatility_pct": 45.78057623706882, "trading_costs_quote_units": 241.1387598328519, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35891.62741279536, "turnover_quote_units": 80379.58661095057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56504.703502493765, "return_pct": 465.04703502493766, "cagr_pct": 68.45873215077035, "max_drawdown_pct": 65.89532944101606, "mean_exposure_while_solvent": 1.303890917128407, "realized_annual_volatility_pct": 59.25642260477881, "trading_costs_quote_units": 2701.43267153219, "borrowing_costs_quote_units": 5837.091313393917, "price_pnl_quote_units": 55043.22748741952, "turnover_quote_units": 900477.5571773947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56504.703502493765, "return_pct": 465.04703502493766, "cagr_pct": 68.45873215077035, "max_drawdown_pct": 65.89532944101606, "mean_exposure_while_solvent": 1.303890917128407, "realized_annual_volatility_pct": 59.25642260477881, "trading_costs_quote_units": 2701.43267153219, "borrowing_costs_quote_units": 5837.091313393917, "price_pnl_quote_units": 55043.22748741952, "turnover_quote_units": 900477.5571773947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56504.703502493765, "return_pct": 465.04703502493766, "cagr_pct": 68.45873215077035, "max_drawdown_pct": 65.89532944101606, "mean_exposure_while_solvent": 1.303890917128407, "realized_annual_volatility_pct": 59.25642260477881, "trading_costs_quote_units": 2701.43267153219, "borrowing_costs_quote_units": 5837.091313393917, "price_pnl_quote_units": 55043.22748741952, "turnover_quote_units": 900477.5571773947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56504.703502493765, "return_pct": 465.04703502493766, "cagr_pct": 68.45873215077035, "max_drawdown_pct": 65.89532944101606, "mean_exposure_while_solvent": 1.303890917128407, "realized_annual_volatility_pct": 59.25642260477881, "trading_costs_quote_units": 2701.43267153219, "borrowing_costs_quote_units": 5837.091313393917, "price_pnl_quote_units": 55043.22748741952, "turnover_quote_units": 900477.5571773947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33596.85796912416, "return_pct": 235.96857969124164, "cagr_pct": 44.04464482073882, "max_drawdown_pct": 39.98710110896544, "mean_exposure_while_solvent": 0.7499642907269567, "realized_annual_volatility_pct": 34.72988993883926, "trading_costs_quote_units": 355.64130491848704, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23952.499274042566, "turnover_quote_units": 118547.10163949568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33596.85796912416, "return_pct": 235.96857969124164, "cagr_pct": 44.04464482073882, "max_drawdown_pct": 39.98710110896544, "mean_exposure_while_solvent": 0.7499642907269567, "realized_annual_volatility_pct": 34.72988993883926, "trading_costs_quote_units": 355.64130491848704, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23952.499274042566, "turnover_quote_units": 118547.10163949568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46677.36501825448, "return_pct": 366.7736501825448, "cagr_pct": 59.03922969884139, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9998625996152789, "realized_annual_volatility_pct": 46.30102296462082, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36707.27528744711, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46677.36501825448, "return_pct": 366.7736501825448, "cagr_pct": 59.03922969884139, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9998625996152789, "realized_annual_volatility_pct": 46.30102296462082, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36707.27528744711, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 55309.40310948465, "return_pct": 453.0940310948465, "cagr_pct": 67.37751686114957, "max_drawdown_pct": 58.78185124010869, "mean_exposure_while_solvent": 1.2497870860761082, "realized_annual_volatility_pct": 57.8828112610481, "trading_costs_quote_units": 1019.9297048771555, "borrowing_costs_quote_units": 4245.71765699941, "price_pnl_quote_units": 50575.05047136128, "turnover_quote_units": 339976.56829238514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 55309.40310948465, "return_pct": 453.0940310948465, "cagr_pct": 67.37751686114957, "max_drawdown_pct": 58.78185124010869, "mean_exposure_while_solvent": 1.2497870860761082, "realized_annual_volatility_pct": 57.8828112610481, "trading_costs_quote_units": 1019.9297048771555, "borrowing_costs_quote_units": 4245.71765699941, "price_pnl_quote_units": 50575.05047136128, "turnover_quote_units": 339976.56829238514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62161.64297327078, "return_pct": 521.6164297327077, "cagr_pct": 73.36951159470931, "max_drawdown_pct": 66.40415140852988, "mean_exposure_while_solvent": 1.4997375883190815, "realized_annual_volatility_pct": 69.47891587245894, "trading_costs_quote_units": 2960.706990028402, "borrowing_costs_quote_units": 10524.72736408671, "price_pnl_quote_units": 65647.07732738645, "turnover_quote_units": 986902.3300094667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62161.64297327078, "return_pct": 521.6164297327077, "cagr_pct": 73.36951159470931, "max_drawdown_pct": 66.40415140852988, "mean_exposure_while_solvent": 1.4997375883190815, "realized_annual_volatility_pct": 69.47891587245894, "trading_costs_quote_units": 2960.706990028402, "borrowing_costs_quote_units": 10524.72736408671, "price_pnl_quote_units": 65647.07732738645, "turnover_quote_units": 986902.3300094667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 42268.76922984785, "return_pct": 322.6876922984785, "cagr_pct": 54.35777465249172, "max_drawdown_pct": 54.26453031240446, "mean_exposure_while_solvent": 0.9518107650985562, "realized_annual_volatility_pct": 42.29162670052243, "trading_costs_quote_units": 2878.335568097557, "borrowing_costs_quote_units": 2169.9868120930173, "price_pnl_quote_units": 37317.091610038544, "turnover_quote_units": 959445.1893658552, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 42268.76922984785, "return_pct": 322.6876922984785, "cagr_pct": 54.35777465249172, "max_drawdown_pct": 54.26453031240446, "mean_exposure_while_solvent": 0.9518107650985562, "realized_annual_volatility_pct": 42.29162670052243, "trading_costs_quote_units": 2878.335568097557, "borrowing_costs_quote_units": 2169.9868120930173, "price_pnl_quote_units": 37317.091610038544, "turnover_quote_units": 959445.1893658552, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52429.08329068425, "return_pct": 424.29083290684247, "cagr_pct": 64.70329865701625, "max_drawdown_pct": 64.85731225604911, "mean_exposure_while_solvent": 1.3080716593801864, "realized_annual_volatility_pct": 58.851998526849734, "trading_costs_quote_units": 3709.6334594994137, "borrowing_costs_quote_units": 10979.386221503306, "price_pnl_quote_units": 57118.10297168682, "turnover_quote_units": 1236544.4864998031, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52429.08329068425, "return_pct": 424.29083290684247, "cagr_pct": 64.70329865701625, "max_drawdown_pct": 64.85731225604911, "mean_exposure_while_solvent": 1.3080716593801864, "realized_annual_volatility_pct": 58.851998526849734, "trading_costs_quote_units": 3709.6334594994137, "borrowing_costs_quote_units": 10979.386221503306, "price_pnl_quote_units": 57118.10297168682, "turnover_quote_units": 1236544.4864998031, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51385.232556160096, "return_pct": 413.85232556160094, "cagr_pct": 63.708803398610584, "max_drawdown_pct": 66.91782875960057, "mean_exposure_while_solvent": 1.4593899137942472, "realized_annual_volatility_pct": 67.12518925097028, "trading_costs_quote_units": 3029.616175047666, "borrowing_costs_quote_units": 16888.498237676267, "price_pnl_quote_units": 61303.34696888398, "turnover_quote_units": 1009872.058349222, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51385.232556160096, "return_pct": 413.85232556160094, "cagr_pct": 63.708803398610584, "max_drawdown_pct": 66.91782875960057, "mean_exposure_while_solvent": 1.4593899137942472, "realized_annual_volatility_pct": 67.12518925097028, "trading_costs_quote_units": 3029.616175047666, "borrowing_costs_quote_units": 16888.498237676267, "price_pnl_quote_units": 61303.34696888398, "turnover_quote_units": 1009872.058349222, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 43258.15897244084, "return_pct": 332.5815897244084, "cagr_pct": 55.43708278759772, "max_drawdown_pct": 63.0203180038898, "mean_exposure_while_solvent": 1.3149304972743572, "realized_annual_volatility_pct": 58.578616144135275, "trading_costs_quote_units": 4944.576074903482, "borrowing_costs_quote_units": 10097.383887965516, "price_pnl_quote_units": 48300.11893531016, "turnover_quote_units": 1648192.0249678309, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 43258.15897244084, "return_pct": 332.5815897244084, "cagr_pct": 55.43708278759772, "max_drawdown_pct": 63.0203180038898, "mean_exposure_while_solvent": 1.3149304972743572, "realized_annual_volatility_pct": 58.578616144135275, "trading_costs_quote_units": 4944.576074903482, "borrowing_costs_quote_units": 10097.383887965516, "price_pnl_quote_units": 48300.11893531016, "turnover_quote_units": 1648192.0249678309, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51056.30995803287, "return_pct": 410.56309958032875, "cagr_pct": 63.39250983985563, "max_drawdown_pct": 66.34626282172191, "mean_exposure_while_solvent": 1.303940380983839, "realized_annual_volatility_pct": 59.259736679469036, "trading_costs_quote_units": 2539.3517935790273, "borrowing_costs_quote_units": 10937.130304377646, "price_pnl_quote_units": 54532.792055989485, "turnover_quote_units": 846450.597859674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51056.30995803287, "return_pct": 410.56309958032875, "cagr_pct": 63.39250983985563, "max_drawdown_pct": 66.34626282172191, "mean_exposure_while_solvent": 1.303940380983839, "realized_annual_volatility_pct": 59.259736679469036, "trading_costs_quote_units": 2539.3517935790273, "borrowing_costs_quote_units": 10937.130304377646, "price_pnl_quote_units": 54532.792055989485, "turnover_quote_units": 846450.597859674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45650.48865296268, "return_pct": 356.50488652962684, "cagr_pct": 57.97735618775168, "max_drawdown_pct": 49.83697178895504, "mean_exposure_while_solvent": 0.9901623957828597, "realized_annual_volatility_pct": 45.78057623706882, "trading_costs_quote_units": 241.1387598328519, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35891.62741279536, "turnover_quote_units": 80379.58661095057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45650.48865296268, "return_pct": 356.50488652962684, "cagr_pct": 57.97735618775168, "max_drawdown_pct": 49.83697178895504, "mean_exposure_while_solvent": 0.9901623957828597, "realized_annual_volatility_pct": 45.78057623706882, "trading_costs_quote_units": 241.1387598328519, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 35891.62741279536, "turnover_quote_units": 80379.58661095057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51056.30995803287, "return_pct": 410.56309958032875, "cagr_pct": 63.39250983985563, "max_drawdown_pct": 66.34626282172191, "mean_exposure_while_solvent": 1.303940380983839, "realized_annual_volatility_pct": 59.259736679469036, "trading_costs_quote_units": 2539.3517935790273, "borrowing_costs_quote_units": 10937.130304377646, "price_pnl_quote_units": 54532.792055989485, "turnover_quote_units": 846450.597859674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51056.30995803287, "return_pct": 410.56309958032875, "cagr_pct": 63.39250983985563, "max_drawdown_pct": 66.34626282172191, "mean_exposure_while_solvent": 1.303940380983839, "realized_annual_volatility_pct": 59.259736679469036, "trading_costs_quote_units": 2539.3517935790273, "borrowing_costs_quote_units": 10937.130304377646, "price_pnl_quote_units": 54532.792055989485, "turnover_quote_units": 846450.597859674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51056.30995803287, "return_pct": 410.56309958032875, "cagr_pct": 63.39250983985563, "max_drawdown_pct": 66.34626282172191, "mean_exposure_while_solvent": 1.303940380983839, "realized_annual_volatility_pct": 59.259736679469036, "trading_costs_quote_units": 2539.3517935790273, "borrowing_costs_quote_units": 10937.130304377646, "price_pnl_quote_units": 54532.792055989485, "turnover_quote_units": 846450.597859674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51056.30995803287, "return_pct": 410.56309958032875, "cagr_pct": 63.39250983985563, "max_drawdown_pct": 66.34626282172191, "mean_exposure_while_solvent": 1.303940380983839, "realized_annual_volatility_pct": 59.259736679469036, "trading_costs_quote_units": 2539.3517935790273, "borrowing_costs_quote_units": 10937.130304377646, "price_pnl_quote_units": 54532.792055989485, "turnover_quote_units": 846450.597859674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33596.85796912416, "return_pct": 235.96857969124164, "cagr_pct": 44.04464482073882, "max_drawdown_pct": 39.98710110896544, "mean_exposure_while_solvent": 0.7499642907269567, "realized_annual_volatility_pct": 34.72988993883926, "trading_costs_quote_units": 355.64130491848704, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23952.499274042566, "turnover_quote_units": 118547.10163949568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33596.85796912416, "return_pct": 235.96857969124164, "cagr_pct": 44.04464482073882, "max_drawdown_pct": 39.98710110896544, "mean_exposure_while_solvent": 0.7499642907269567, "realized_annual_volatility_pct": 34.72988993883926, "trading_costs_quote_units": 355.64130491848704, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23952.499274042566, "turnover_quote_units": 118547.10163949568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46677.36501825448, "return_pct": 366.7736501825448, "cagr_pct": 59.03922969884139, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9998625996152789, "realized_annual_volatility_pct": 46.30102296462082, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36707.27528744711, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46677.36501825448, "return_pct": 366.7736501825448, "cagr_pct": 59.03922969884139, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9998625996152789, "realized_annual_volatility_pct": 46.30102296462082, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36707.27528744711, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 50906.09215379432, "return_pct": 409.0609215379432, "cagr_pct": 63.24758586696684, "max_drawdown_pct": 59.12797220754914, "mean_exposure_while_solvent": 1.2498227194026454, "realized_annual_volatility_pct": 57.8853112343195, "trading_costs_quote_units": 972.0672205011643, "borrowing_costs_quote_units": 8067.70443476272, "price_pnl_quote_units": 49945.86380905889, "turnover_quote_units": 324022.4068337214, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 50906.09215379432, "return_pct": 409.0609215379432, "cagr_pct": 63.24758586696684, "max_drawdown_pct": 59.12797220754914, "mean_exposure_while_solvent": 1.2498227194026454, "realized_annual_volatility_pct": 57.8853112343195, "trading_costs_quote_units": 972.0672205011643, "borrowing_costs_quote_units": 8067.70443476272, "price_pnl_quote_units": 49945.86380905889, "turnover_quote_units": 324022.4068337214, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52656.4140396218, "return_pct": 426.56414039621797, "cagr_pct": 64.9180423595589, "max_drawdown_pct": 67.05023268758686, "mean_exposure_while_solvent": 1.4998231307049579, "realized_annual_volatility_pct": 69.48492996356151, "trading_costs_quote_units": 2682.519865999771, "borrowing_costs_quote_units": 18990.84158467536, "price_pnl_quote_units": 64329.77549029688, "turnover_quote_units": 894173.288666591, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52656.4140396218, "return_pct": 426.56414039621797, "cagr_pct": 64.9180423595589, "max_drawdown_pct": 67.05023268758686, "mean_exposure_while_solvent": 1.4998231307049579, "realized_annual_volatility_pct": 69.48492996356151, "trading_costs_quote_units": 2682.519865999771, "borrowing_costs_quote_units": 18990.84158467536, "price_pnl_quote_units": 64329.77549029688, "turnover_quote_units": 894173.288666591, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44930.01770944217, "return_pct": 349.30017709442166, "cagr_pct": 57.222324942995286, "max_drawdown_pct": 54.13300390199968, "mean_exposure_while_solvent": 0.9514293212722886, "realized_annual_volatility_pct": 42.35439345185902, "trading_costs_quote_units": 2962.9273226101723, "borrowing_costs_quote_units": 564.38551118027, "price_pnl_quote_units": 38457.33054323244, "turnover_quote_units": 987642.4408700594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44930.01770944217, "return_pct": 349.30017709442166, "cagr_pct": 57.222324942995286, "max_drawdown_pct": 54.13300390199968, "mean_exposure_while_solvent": 0.9514293212722886, "realized_annual_volatility_pct": 42.35439345185902, "trading_costs_quote_units": 2962.9273226101723, "borrowing_costs_quote_units": 564.38551118027, "price_pnl_quote_units": 38457.33054323244, "turnover_quote_units": 987642.4408700594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 62452.259213746875, "return_pct": 524.5225921374687, "cagr_pct": 73.6132090804005, "max_drawdown_pct": 64.1796428821418, "mean_exposure_while_solvent": 1.307498966972974, "realized_annual_volatility_pct": 58.96998609794137, "trading_costs_quote_units": 4093.33013978084, "borrowing_costs_quote_units": 3065.164990437793, "price_pnl_quote_units": 59610.75434396537, "turnover_quote_units": 1364443.3799269467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 62452.259213746875, "return_pct": 524.5225921374687, "cagr_pct": 73.6132090804005, "max_drawdown_pct": 64.1796428821418, "mean_exposure_while_solvent": 1.307498966972974, "realized_annual_volatility_pct": 58.96998609794137, "trading_costs_quote_units": 4093.33013978084, "borrowing_costs_quote_units": 3065.164990437793, "price_pnl_quote_units": 59610.75434396537, "turnover_quote_units": 1364443.3799269467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 65016.66847548934, "return_pct": 550.1666847548935, "cagr_pct": 75.72999868452335, "max_drawdown_pct": 66.11303291227564, "mean_exposure_while_solvent": 1.4588605097308314, "realized_annual_volatility_pct": 67.18589157388128, "trading_costs_quote_units": 3447.1109422268796, "borrowing_costs_quote_units": 4898.179347559447, "price_pnl_quote_units": 63361.95876527547, "turnover_quote_units": 1149036.9807422918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 65016.66847548934, "return_pct": 550.1666847548935, "cagr_pct": 75.72999868452335, "max_drawdown_pct": 66.11303291227564, "mean_exposure_while_solvent": 1.4588605097308314, "realized_annual_volatility_pct": 67.18589157388128, "trading_costs_quote_units": 3447.1109422268796, "borrowing_costs_quote_units": 4898.179347559447, "price_pnl_quote_units": 63361.95876527547, "turnover_quote_units": 1149036.9807422918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 52857.658665849885, "return_pct": 428.57658665849885, "cagr_pct": 65.10760431298803, "max_drawdown_pct": 62.66998597247717, "mean_exposure_while_solvent": 1.3142745146501609, "realized_annual_volatility_pct": 58.742163606968155, "trading_costs_quote_units": 5585.067544801784, "borrowing_costs_quote_units": 2890.1942670634603, "price_pnl_quote_units": 51332.92047771516, "turnover_quote_units": 1861689.1816005919, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 52857.658665849885, "return_pct": 428.57658665849885, "cagr_pct": 65.10760431298803, "max_drawdown_pct": 62.66998597247717, "mean_exposure_while_solvent": 1.3142745146501609, "realized_annual_volatility_pct": 58.742163606968155, "trading_costs_quote_units": 5585.067544801784, "borrowing_costs_quote_units": 2890.1942670634603, "price_pnl_quote_units": 51332.92047771516, "turnover_quote_units": 1861689.1816005919, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60694.44899041999, "return_pct": 506.9444899041999, "cagr_pct": 72.12688045546858, "max_drawdown_pct": 65.7305462036956, "mean_exposure_while_solvent": 1.3034741352510943, "realized_annual_volatility_pct": 59.33578855488607, "trading_costs_quote_units": 2760.924161450053, "borrowing_costs_quote_units": 3052.886595738722, "price_pnl_quote_units": 56508.25974760875, "turnover_quote_units": 920308.0538166818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60694.44899041999, "return_pct": 506.9444899041999, "cagr_pct": 72.12688045546858, "max_drawdown_pct": 65.7305462036956, "mean_exposure_while_solvent": 1.3034741352510943, "realized_annual_volatility_pct": 59.33578855488607, "trading_costs_quote_units": 2760.924161450053, "borrowing_costs_quote_units": 3052.886595738722, "price_pnl_quote_units": 56508.25974760875, "turnover_quote_units": 920308.0538166818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45890.824708161206, "return_pct": 358.90824708161205, "cagr_pct": 58.2273677827208, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9898724255187619, "realized_annual_volatility_pct": 45.78346701232119, "trading_costs_quote_units": 243.34675852486563, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36134.17146668633, "turnover_quote_units": 81115.58617495521, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45890.824708161206, "return_pct": 358.90824708161205, "cagr_pct": 58.2273677827208, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9898724255187619, "realized_annual_volatility_pct": 45.78346701232119, "trading_costs_quote_units": 243.34675852486563, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36134.17146668633, "turnover_quote_units": 81115.58617495521, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60694.44899041999, "return_pct": 506.9444899041999, "cagr_pct": 72.12688045546858, "max_drawdown_pct": 65.7305462036956, "mean_exposure_while_solvent": 1.3034741352510943, "realized_annual_volatility_pct": 59.33578855488607, "trading_costs_quote_units": 2760.924161450053, "borrowing_costs_quote_units": 3052.886595738722, "price_pnl_quote_units": 56508.25974760875, "turnover_quote_units": 920308.0538166818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60694.44899041999, "return_pct": 506.9444899041999, "cagr_pct": 72.12688045546858, "max_drawdown_pct": 65.7305462036956, "mean_exposure_while_solvent": 1.3034741352510943, "realized_annual_volatility_pct": 59.33578855488607, "trading_costs_quote_units": 2760.924161450053, "borrowing_costs_quote_units": 3052.886595738722, "price_pnl_quote_units": 56508.25974760875, "turnover_quote_units": 920308.0538166818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60694.44899041999, "return_pct": 506.9444899041999, "cagr_pct": 72.12688045546858, "max_drawdown_pct": 65.7305462036956, "mean_exposure_while_solvent": 1.3034741352510943, "realized_annual_volatility_pct": 59.33578855488607, "trading_costs_quote_units": 2760.924161450053, "borrowing_costs_quote_units": 3052.886595738722, "price_pnl_quote_units": 56508.25974760875, "turnover_quote_units": 920308.0538166818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60694.44899041999, "return_pct": 506.9444899041999, "cagr_pct": 72.12688045546858, "max_drawdown_pct": 65.7305462036956, "mean_exposure_while_solvent": 1.3034741352510943, "realized_annual_volatility_pct": 59.33578855488607, "trading_costs_quote_units": 2760.924161450053, "borrowing_costs_quote_units": 3052.886595738722, "price_pnl_quote_units": 56508.25974760875, "turnover_quote_units": 920308.0538166818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33542.18567601225, "return_pct": 235.42185676012247, "cagr_pct": 43.97401274844384, "max_drawdown_pct": 39.96815364113554, "mean_exposure_while_solvent": 0.7497390026495924, "realized_annual_volatility_pct": 34.7180828374465, "trading_costs_quote_units": 346.9350005313893, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23889.12067654348, "turnover_quote_units": 115645.00017712981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33542.18567601225, "return_pct": 235.42185676012247, "cagr_pct": 43.97401274844384, "max_drawdown_pct": 39.96815364113554, "mean_exposure_while_solvent": 0.7497390026495924, "realized_annual_volatility_pct": 34.7180828374465, "trading_costs_quote_units": 346.9350005313893, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23889.12067654348, "turnover_quote_units": 115645.00017712981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46585.63808885264, "return_pct": 365.85638088852636, "cagr_pct": 58.94504457137144, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9995877988458368, "realized_annual_volatility_pct": 46.300939166446256, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36615.54835804511, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46585.63808885264, "return_pct": 365.85638088852636, "cagr_pct": 58.94504457137144, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9995877988458368, "realized_annual_volatility_pct": 46.300939166446256, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36615.54835804511, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 57568.35934151904, "return_pct": 475.6835934151904, "cagr_pct": 69.40750745003214, "max_drawdown_pct": 58.630585928517974, "mean_exposure_while_solvent": 1.2494712904964986, "realized_annual_volatility_pct": 57.8992922179748, "trading_costs_quote_units": 1019.729537340642, "borrowing_costs_quote_units": 2174.3007643242886, "price_pnl_quote_units": 50762.38964318426, "turnover_quote_units": 339909.8457802138, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 57568.35934151904, "return_pct": 475.6835934151904, "cagr_pct": 69.40750745003214, "max_drawdown_pct": 58.630585928517974, "mean_exposure_while_solvent": 1.2494712904964986, "realized_annual_volatility_pct": 57.8992922179748, "trading_costs_quote_units": 1019.729537340642, "borrowing_costs_quote_units": 2174.3007643242886, "price_pnl_quote_units": 50762.38964318426, "turnover_quote_units": 339909.8457802138, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 67473.14791549099, "return_pct": 574.73147915491, "cagr_pct": 77.70366123886096, "max_drawdown_pct": 66.11332656498583, "mean_exposure_while_solvent": 1.4994083184955447, "realized_annual_volatility_pct": 69.5191517889763, "trading_costs_quote_units": 3037.0864296855566, "borrowing_costs_quote_units": 5532.964031564208, "price_pnl_quote_units": 66043.19837674072, "turnover_quote_units": 1012362.1432285184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 67473.14791549099, "return_pct": 574.73147915491, "cagr_pct": 77.70366123886096, "max_drawdown_pct": 66.11332656498583, "mean_exposure_while_solvent": 1.4994083184955447, "realized_annual_volatility_pct": 69.5191517889763, "trading_costs_quote_units": 3037.0864296855566, "borrowing_costs_quote_units": 5532.964031564208, "price_pnl_quote_units": 66043.19837674072, "turnover_quote_units": 1012362.1432285184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 44340.16463884935, "return_pct": 343.4016463884935, "cagr_pct": 56.597852707827315, "max_drawdown_pct": 54.18875937500478, "mean_exposure_while_solvent": 0.9514353248923235, "realized_annual_volatility_pct": 42.354521354343646, "trading_costs_quote_units": 2939.97148017406, "borrowing_costs_quote_units": 1119.1841440678756, "price_pnl_quote_units": 38399.32026309147, "turnover_quote_units": 979990.493391355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 44340.16463884935, "return_pct": 343.4016463884935, "cagr_pct": 56.597852707827315, "max_drawdown_pct": 54.18875937500478, "mean_exposure_while_solvent": 0.9514353248923235, "realized_annual_volatility_pct": 42.354521354343646, "trading_costs_quote_units": 2939.97148017406, "borrowing_costs_quote_units": 1119.1841440678756, "price_pnl_quote_units": 38399.32026309147, "turnover_quote_units": 979990.493391355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 59247.25621125388, "return_pct": 492.4725621125388, "cagr_pct": 70.88045062147876, "max_drawdown_pct": 64.40250319008705, "mean_exposure_while_solvent": 1.3075248648538023, "realized_annual_volatility_pct": 58.97110123228519, "trading_costs_quote_units": 3963.9410576666364, "borrowing_costs_quote_units": 5924.3222951422495, "price_pnl_quote_units": 59135.51956406274, "turnover_quote_units": 1321313.685888877, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 59247.25621125388, "return_pct": 492.4725621125388, "cagr_pct": 70.88045062147876, "max_drawdown_pct": 64.40250319008705, "mean_exposure_while_solvent": 1.3075248648538023, "realized_annual_volatility_pct": 58.97110123228519, "trading_costs_quote_units": 3963.9410576666364, "borrowing_costs_quote_units": 5924.3222951422495, "price_pnl_quote_units": 59135.51956406274, "turnover_quote_units": 1321313.685888877, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60246.74331350463, "return_pct": 502.4674331350463, "cagr_pct": 71.74352287314183, "max_drawdown_pct": 66.39784850978863, "mean_exposure_while_solvent": 1.4588992222772275, "realized_annual_volatility_pct": 67.1879719306929, "trading_costs_quote_units": 3294.0475390467263, "borrowing_costs_quote_units": 9336.944651264936, "price_pnl_quote_units": 62877.73550381628, "turnover_quote_units": 1098015.846348908, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60246.74331350463, "return_pct": 502.4674331350463, "cagr_pct": 71.74352287314183, "max_drawdown_pct": 66.39784850978863, "mean_exposure_while_solvent": 1.4588992222772275, "realized_annual_volatility_pct": 67.1879719306929, "trading_costs_quote_units": 3294.0475390467263, "borrowing_costs_quote_units": 9336.944651264936, "price_pnl_quote_units": 62877.73550381628, "turnover_quote_units": 1098015.846348908, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 50017.48987911298, "return_pct": 400.17489879112975, "cagr_pct": 62.38412876590742, "max_drawdown_pct": 62.89525670992355, "mean_exposure_while_solvent": 1.3143018978825474, "realized_annual_volatility_pct": 58.74353679151959, "trading_costs_quote_units": 5406.712660497379, "borrowing_costs_quote_units": 5582.545860156782, "price_pnl_quote_units": 51006.74839976732, "turnover_quote_units": 1802237.5534991242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 50017.48987911298, "return_pct": 400.17489879112975, "cagr_pct": 62.38412876590742, "max_drawdown_pct": 62.89525670992355, "mean_exposure_while_solvent": 1.3143018978825474, "realized_annual_volatility_pct": 58.74353679151959, "trading_costs_quote_units": 5406.712660497379, "borrowing_costs_quote_units": 5582.545860156782, "price_pnl_quote_units": 51006.74839976732, "turnover_quote_units": 1802237.5534991242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57696.66612426643, "return_pct": 476.96666124266426, "cagr_pct": 69.5211260905761, "max_drawdown_pct": 65.95769886457965, "mean_exposure_while_solvent": 1.3034988459926145, "realized_annual_volatility_pct": 59.33700895376205, "trading_costs_quote_units": 2675.6271401901654, "borrowing_costs_quote_units": 5908.537132596911, "price_pnl_quote_units": 56280.830397054204, "turnover_quote_units": 891875.7133967233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57696.66612426643, "return_pct": 476.96666124266426, "cagr_pct": 69.5211260905761, "max_drawdown_pct": 65.95769886457965, "mean_exposure_while_solvent": 1.3034988459926145, "realized_annual_volatility_pct": 59.33700895376205, "trading_costs_quote_units": 2675.6271401901654, "borrowing_costs_quote_units": 5908.537132596911, "price_pnl_quote_units": 56280.830397054204, "turnover_quote_units": 891875.7133967233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45890.824708161206, "return_pct": 358.90824708161205, "cagr_pct": 58.2273677827208, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9898724255187619, "realized_annual_volatility_pct": 45.78346701232119, "trading_costs_quote_units": 243.34675852486563, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36134.17146668633, "turnover_quote_units": 81115.58617495521, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45890.824708161206, "return_pct": 358.90824708161205, "cagr_pct": 58.2273677827208, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9898724255187619, "realized_annual_volatility_pct": 45.78346701232119, "trading_costs_quote_units": 243.34675852486563, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36134.17146668633, "turnover_quote_units": 81115.58617495521, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57696.66612426643, "return_pct": 476.96666124266426, "cagr_pct": 69.5211260905761, "max_drawdown_pct": 65.95769886457965, "mean_exposure_while_solvent": 1.3034988459926145, "realized_annual_volatility_pct": 59.33700895376205, "trading_costs_quote_units": 2675.6271401901654, "borrowing_costs_quote_units": 5908.537132596911, "price_pnl_quote_units": 56280.830397054204, "turnover_quote_units": 891875.7133967233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57696.66612426643, "return_pct": 476.96666124266426, "cagr_pct": 69.5211260905761, "max_drawdown_pct": 65.95769886457965, "mean_exposure_while_solvent": 1.3034988459926145, "realized_annual_volatility_pct": 59.33700895376205, "trading_costs_quote_units": 2675.6271401901654, "borrowing_costs_quote_units": 5908.537132596911, "price_pnl_quote_units": 56280.830397054204, "turnover_quote_units": 891875.7133967233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57696.66612426643, "return_pct": 476.96666124266426, "cagr_pct": 69.5211260905761, "max_drawdown_pct": 65.95769886457965, "mean_exposure_while_solvent": 1.3034988459926145, "realized_annual_volatility_pct": 59.33700895376205, "trading_costs_quote_units": 2675.6271401901654, "borrowing_costs_quote_units": 5908.537132596911, "price_pnl_quote_units": 56280.830397054204, "turnover_quote_units": 891875.7133967233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57696.66612426643, "return_pct": 476.96666124266426, "cagr_pct": 69.5211260905761, "max_drawdown_pct": 65.95769886457965, "mean_exposure_while_solvent": 1.3034988459926145, "realized_annual_volatility_pct": 59.33700895376205, "trading_costs_quote_units": 2675.6271401901654, "borrowing_costs_quote_units": 5908.537132596911, "price_pnl_quote_units": 56280.830397054204, "turnover_quote_units": 891875.7133967233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33542.18567601225, "return_pct": 235.42185676012247, "cagr_pct": 43.97401274844384, "max_drawdown_pct": 39.96815364113554, "mean_exposure_while_solvent": 0.7497390026495924, "realized_annual_volatility_pct": 34.7180828374465, "trading_costs_quote_units": 346.9350005313893, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23889.12067654348, "turnover_quote_units": 115645.00017712981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33542.18567601225, "return_pct": 235.42185676012247, "cagr_pct": 43.97401274844384, "max_drawdown_pct": 39.96815364113554, "mean_exposure_while_solvent": 0.7497390026495924, "realized_annual_volatility_pct": 34.7180828374465, "trading_costs_quote_units": 346.9350005313893, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23889.12067654348, "turnover_quote_units": 115645.00017712981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46585.63808885264, "return_pct": 365.85638088852636, "cagr_pct": 58.94504457137144, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9995877988458368, "realized_annual_volatility_pct": 46.300939166446256, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36615.54835804511, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46585.63808885264, "return_pct": 365.85638088852636, "cagr_pct": 58.94504457137144, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9995877988458368, "realized_annual_volatility_pct": 46.300939166446256, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36615.54835804511, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 55230.801831604644, "return_pct": 452.30801831604646, "cagr_pct": 67.30584764837096, "max_drawdown_pct": 58.8045157765402, "mean_exposure_while_solvent": 1.2494891003764144, "realized_annual_volatility_pct": 57.90026178876862, "trading_costs_quote_units": 994.7758305807296, "borrowing_costs_quote_units": 4238.191885272029, "price_pnl_quote_units": 50463.769547457596, "turnover_quote_units": 331591.9435269097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 55230.801831604644, "return_pct": 452.30801831604646, "cagr_pct": 67.30584764837096, "max_drawdown_pct": 58.8045157765402, "mean_exposure_while_solvent": 1.2494891003764144, "realized_annual_volatility_pct": 57.90026178876862, "trading_costs_quote_units": 994.7758305807296, "borrowing_costs_quote_units": 4238.191885272029, "price_pnl_quote_units": 50463.769547457596, "turnover_quote_units": 331591.9435269097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62104.44027341489, "return_pct": 521.0444027341489, "cagr_pct": 73.32145028903983, "max_drawdown_pct": 66.39819261055409, "mean_exposure_while_solvent": 1.4994510776537284, "realized_annual_volatility_pct": 69.52148898741065, "trading_costs_quote_units": 2887.0972305525493, "borrowing_costs_quote_units": 10505.778329287014, "price_pnl_quote_units": 65497.31583325412, "turnover_quote_units": 962365.7435175163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62104.44027341489, "return_pct": 521.0444027341489, "cagr_pct": 73.32145028903983, "max_drawdown_pct": 66.39819261055409, "mean_exposure_while_solvent": 1.4994510776537284, "realized_annual_volatility_pct": 69.52148898741065, "trading_costs_quote_units": 2887.0972305525493, "borrowing_costs_quote_units": 10505.778329287014, "price_pnl_quote_units": 65497.31583325412, "turnover_quote_units": 962365.7435175163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 43183.313876996835, "return_pct": 331.83313876996834, "cagr_pct": 55.356042347527556, "max_drawdown_pct": 54.30009340181977, "mean_exposure_while_solvent": 0.9514473342434724, "realized_annual_volatility_pct": 42.35479279482233, "trading_costs_quote_units": 2894.6807044969746, "borrowing_costs_quote_units": 2200.5636957161173, "price_pnl_quote_units": 38278.55827720992, "turnover_quote_units": 964893.5681656578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 43183.313876996835, "return_pct": 331.83313876996834, "cagr_pct": 55.356042347527556, "max_drawdown_pct": 54.30009340181977, "mean_exposure_while_solvent": 0.9514473342434724, "realized_annual_volatility_pct": 42.35479279482233, "trading_costs_quote_units": 2894.6807044969746, "borrowing_costs_quote_units": 2200.5636957161173, "price_pnl_quote_units": 38278.55827720992, "turnover_quote_units": 964893.5681656578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53320.573801171486, "return_pct": 433.2057380117148, "cagr_pct": 65.54173966946205, "max_drawdown_pct": 64.84421778912086, "mean_exposure_while_solvent": 1.3075766710489078, "realized_annual_volatility_pct": 58.973352630957976, "trading_costs_quote_units": 3719.0749319926103, "borrowing_costs_quote_units": 11070.297118040362, "price_pnl_quote_units": 58109.94585120444, "turnover_quote_units": 1239691.6439975386, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53320.573801171486, "return_pct": 433.2057380117148, "cagr_pct": 65.54173966946205, "max_drawdown_pct": 64.84421778912086, "mean_exposure_while_solvent": 1.3075766710489078, "realized_annual_volatility_pct": 58.973352630957976, "trading_costs_quote_units": 3719.0749319926103, "borrowing_costs_quote_units": 11070.297118040362, "price_pnl_quote_units": 58109.94585120444, "turnover_quote_units": 1239691.6439975386, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51728.57118297025, "return_pct": 417.2857118297025, "cagr_pct": 64.03745379349648, "max_drawdown_pct": 66.96050195057114, "mean_exposure_while_solvent": 1.4589766637893908, "realized_annual_volatility_pct": 67.19213852999599, "trading_costs_quote_units": 3011.1490756656785, "borrowing_costs_quote_units": 16978.562632865163, "price_pnl_quote_units": 61718.28289150119, "turnover_quote_units": 1003716.3585552262, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 51728.57118297025, "return_pct": 417.2857118297025, "cagr_pct": 64.03745379349648, "max_drawdown_pct": 66.96050195057114, "mean_exposure_while_solvent": 1.4589766637893908, "realized_annual_volatility_pct": 67.19213852999599, "trading_costs_quote_units": 3011.1490756656785, "borrowing_costs_quote_units": 16978.562632865163, "price_pnl_quote_units": 61718.28289150119, "turnover_quote_units": 1003716.3585552262, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44785.29198934592, "return_pct": 347.85291989345916, "cagr_pct": 57.0696380082659, "max_drawdown_pct": 63.34187535669413, "mean_exposure_while_solvent": 1.314356675536282, "realized_annual_volatility_pct": 58.74630491575087, "trading_costs_quote_units": 5069.6708043788985, "borrowing_costs_quote_units": 10418.870560515074, "price_pnl_quote_units": 50273.83335423967, "turnover_quote_units": 1689890.2681262996, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44785.29198934592, "return_pct": 347.85291989345916, "cagr_pct": 57.0696380082659, "max_drawdown_pct": 63.34187535669413, "mean_exposure_while_solvent": 1.314356675536282, "realized_annual_volatility_pct": 58.74630491575087, "trading_costs_quote_units": 5069.6708043788985, "borrowing_costs_quote_units": 10418.870560515074, "price_pnl_quote_units": 50273.83335423967, "turnover_quote_units": 1689890.2681262996, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52136.4440496732, "return_pct": 421.36444049673196, "cagr_pct": 64.42590241299142, "max_drawdown_pct": 66.40761301378649, "mean_exposure_while_solvent": 1.3035482773078206, "realized_annual_volatility_pct": 59.33947003131762, "trading_costs_quote_units": 2514.0219871770396, "borrowing_costs_quote_units": 11070.105452622747, "price_pnl_quote_units": 55720.57148947252, "turnover_quote_units": 838007.3290590121, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52136.4440496732, "return_pct": 421.36444049673196, "cagr_pct": 64.42590241299142, "max_drawdown_pct": 66.40761301378649, "mean_exposure_while_solvent": 1.3035482773078206, "realized_annual_volatility_pct": 59.33947003131762, "trading_costs_quote_units": 2514.0219871770396, "borrowing_costs_quote_units": 11070.105452622747, "price_pnl_quote_units": 55720.57148947252, "turnover_quote_units": 838007.3290590121, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45890.824708161206, "return_pct": 358.90824708161205, "cagr_pct": 58.2273677827208, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9898724255187619, "realized_annual_volatility_pct": 45.78346701232119, "trading_costs_quote_units": 243.34675852486563, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36134.17146668633, "turnover_quote_units": 81115.58617495521, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45890.824708161206, "return_pct": 358.90824708161205, "cagr_pct": 58.2273677827208, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9898724255187619, "realized_annual_volatility_pct": 45.78346701232119, "trading_costs_quote_units": 243.34675852486563, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36134.17146668633, "turnover_quote_units": 81115.58617495521, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 139, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52136.4440496732, "return_pct": 421.36444049673196, "cagr_pct": 64.42590241299142, "max_drawdown_pct": 66.40761301378649, "mean_exposure_while_solvent": 1.3035482773078206, "realized_annual_volatility_pct": 59.33947003131762, "trading_costs_quote_units": 2514.0219871770396, "borrowing_costs_quote_units": 11070.105452622747, "price_pnl_quote_units": 55720.57148947252, "turnover_quote_units": 838007.3290590121, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52136.4440496732, "return_pct": 421.36444049673196, "cagr_pct": 64.42590241299142, "max_drawdown_pct": 66.40761301378649, "mean_exposure_while_solvent": 1.3035482773078206, "realized_annual_volatility_pct": 59.33947003131762, "trading_costs_quote_units": 2514.0219871770396, "borrowing_costs_quote_units": 11070.105452622747, "price_pnl_quote_units": 55720.57148947252, "turnover_quote_units": 838007.3290590121, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52136.4440496732, "return_pct": 421.36444049673196, "cagr_pct": 64.42590241299142, "max_drawdown_pct": 66.40761301378649, "mean_exposure_while_solvent": 1.3035482773078206, "realized_annual_volatility_pct": 59.33947003131762, "trading_costs_quote_units": 2514.0219871770396, "borrowing_costs_quote_units": 11070.105452622747, "price_pnl_quote_units": 55720.57148947252, "turnover_quote_units": 838007.3290590121, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52136.4440496732, "return_pct": 421.36444049673196, "cagr_pct": 64.42590241299142, "max_drawdown_pct": 66.40761301378649, "mean_exposure_while_solvent": 1.3035482773078206, "realized_annual_volatility_pct": 59.33947003131762, "trading_costs_quote_units": 2514.0219871770396, "borrowing_costs_quote_units": 11070.105452622747, "price_pnl_quote_units": 55720.57148947252, "turnover_quote_units": 838007.3290590121, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33542.18567601225, "return_pct": 235.42185676012247, "cagr_pct": 43.97401274844384, "max_drawdown_pct": 39.96815364113554, "mean_exposure_while_solvent": 0.7497390026495924, "realized_annual_volatility_pct": 34.7180828374465, "trading_costs_quote_units": 346.9350005313893, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23889.12067654348, "turnover_quote_units": 115645.00017712981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33542.18567601225, "return_pct": 235.42185676012247, "cagr_pct": 43.97401274844384, "max_drawdown_pct": 39.96815364113554, "mean_exposure_while_solvent": 0.7497390026495924, "realized_annual_volatility_pct": 34.7180828374465, "trading_costs_quote_units": 346.9350005313893, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 23889.12067654348, "turnover_quote_units": 115645.00017712981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46585.63808885264, "return_pct": 365.85638088852636, "cagr_pct": 58.94504457137144, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9995877988458368, "realized_annual_volatility_pct": 46.300939166446256, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36615.54835804511, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46585.63808885264, "return_pct": 365.85638088852636, "cagr_pct": 58.94504457137144, "max_drawdown_pct": 49.83697178895503, "mean_exposure_while_solvent": 0.9995877988458368, "realized_annual_volatility_pct": 46.300939166446256, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 36615.54835804511, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 50835.488251771894, "return_pct": 408.3548825177189, "cagr_pct": 63.17936685919969, "max_drawdown_pct": 59.150277127617656, "mean_exposure_while_solvent": 1.2495247256220476, "realized_annual_volatility_pct": 57.90220111252561, "trading_costs_quote_units": 947.1522525943831, "borrowing_costs_quote_units": 8053.6881634684005, "price_pnl_quote_units": 49836.328667834656, "turnover_quote_units": 315717.4175314615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 50835.488251771894, "return_pct": 408.3548825177189, "cagr_pct": 63.17936685919969, "max_drawdown_pct": 59.150277127617656, "mean_exposure_while_solvent": 1.2495247256220476, "realized_annual_volatility_pct": 57.90220111252561, "trading_costs_quote_units": 947.1522525943831, "borrowing_costs_quote_units": 8053.6881634684005, "price_pnl_quote_units": 49836.328667834656, "turnover_quote_units": 315717.4175314615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52611.79176293915, "return_pct": 426.1179176293915, "cagr_pct": 64.8759419464724, "max_drawdown_pct": 66.96094438855408, "mean_exposure_while_solvent": 1.4995366145180506, "realized_annual_volatility_pct": 69.5261642498351, "trading_costs_quote_units": 2612.4116849534034, "borrowing_costs_quote_units": 18958.61272026318, "price_pnl_quote_units": 64182.8161681561, "turnover_quote_units": 870803.8949844681, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52611.79176293915, "return_pct": 426.1179176293915, "cagr_pct": 64.8759419464724, "max_drawdown_pct": 66.96094438855408, "mean_exposure_while_solvent": 1.4995366145180506, "realized_annual_volatility_pct": 69.5261642498351, "trading_costs_quote_units": 2612.4116849534034, "borrowing_costs_quote_units": 18958.61272026318, "price_pnl_quote_units": 64182.8161681561, "turnover_quote_units": 870803.8949844681, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4155.9706029999525, "return_pct": -58.44029397000048, "cagr_pct": -58.48194855698168, "max_drawdown_pct": 63.317755033962975, "mean_exposure_while_solvent": 0.6127521898226633, "realized_annual_volatility_pct": 42.89005641140158, "trading_costs_quote_units": 29.129357733341404, "borrowing_costs_quote_units": 12.54885799457595, "price_pnl_quote_units": -5802.351181272136, "turnover_quote_units": 48548.92955556902, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4234.995454833662, "return_pct": -57.65004545166339, "cagr_pct": -57.69158194559614, "max_drawdown_pct": 62.620250347265625, "mean_exposure_while_solvent": 0.6416085812410212, "realized_annual_volatility_pct": 44.699651624865346, "trading_costs_quote_units": 30.593204373094604, "borrowing_costs_quote_units": 12.787471723698044, "price_pnl_quote_units": -5721.623869069555, "turnover_quote_units": 50988.67395515768, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.7902485183370942 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2819.3736857989643, "return_pct": -71.80626314201035, "cagr_pct": -71.84700030447627, "max_drawdown_pct": 76.53273930040174, "mean_exposure_while_solvent": 0.864192783640303, "realized_annual_volatility_pct": 61.52567537854713, "trading_costs_quote_units": 29.49465413348965, "borrowing_costs_quote_units": 24.5079107901915, "price_pnl_quote_units": -7126.623749277366, "turnover_quote_units": 49157.756889149416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2878.4862602179337, "return_pct": -71.21513739782065, "cagr_pct": -71.25604751834005, "max_drawdown_pct": 76.04071151369803, "mean_exposure_while_solvent": 0.8663565733869434, "realized_annual_volatility_pct": 61.5623141824929, "trading_costs_quote_units": 27.671846387945042, "borrowing_costs_quote_units": 24.82465608575936, "price_pnl_quote_units": -7069.017237308356, "turnover_quote_units": 46119.74397990837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.5911257441896964 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2044.5646137948008, "return_pct": -79.55435386205198, "cagr_pct": -79.59138677828022, "max_drawdown_pct": 83.91131660928457, "mean_exposure_while_solvent": 1.0793869201450705, "realized_annual_volatility_pct": 78.46200041564661, "trading_costs_quote_units": 31.58344464865089, "borrowing_costs_quote_units": 52.916976037779065, "price_pnl_quote_units": -7870.934965518775, "turnover_quote_units": 52639.074414418224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2103.6585781223066, "return_pct": -78.96341421877693, "cagr_pct": -79.00083416719205, "max_drawdown_pct": 83.4463060755246, "mean_exposure_while_solvent": 1.0548685181379092, "realized_annual_volatility_pct": 77.07807484178825, "trading_costs_quote_units": 30.73421400744441, "borrowing_costs_quote_units": 47.64192626938024, "price_pnl_quote_units": -7817.965281600867, "turnover_quote_units": 51223.69001240739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.5909396432750498 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3087.3270120960715, "return_pct": -69.12672987903929, "cagr_pct": -69.16814191448249, "max_drawdown_pct": 75.33209507968704, "mean_exposure_while_solvent": 0.892694680821828, "realized_annual_volatility_pct": 61.557737435299245, "trading_costs_quote_units": 43.35346916279653, "borrowing_costs_quote_units": 28.078522083509387, "price_pnl_quote_units": -6841.240996657615, "turnover_quote_units": 72255.78193799422, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3116.619299035409, "return_pct": -68.83380700964591, "cagr_pct": -68.87527628624424, "max_drawdown_pct": 75.0980481691113, "mean_exposure_while_solvent": 0.8966350066642169, "realized_annual_volatility_pct": 61.75224077482233, "trading_costs_quote_units": 42.458078396430125, "borrowing_costs_quote_units": 28.29787844283109, "price_pnl_quote_units": -6812.624744125336, "turnover_quote_units": 70763.46399405014, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.2929228693933794 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3210.8441484222353, "return_pct": -67.89155851577763, "cagr_pct": -67.93319074590582, "max_drawdown_pct": 74.69827110699345, "mean_exposure_while_solvent": 0.833563348302385, "realized_annual_volatility_pct": 62.10458861923468, "trading_costs_quote_units": 23.429342447689933, "borrowing_costs_quote_units": 20.964775846313987, "price_pnl_quote_units": -6744.761733283763, "turnover_quote_units": 39048.90407948319, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3249.3977127825347, "return_pct": -67.50602287217465, "cagr_pct": -67.54771262104302, "max_drawdown_pct": 74.39446569377127, "mean_exposure_while_solvent": 0.8268211544155495, "realized_annual_volatility_pct": 62.027808910014826, "trading_costs_quote_units": 22.251270210583566, "borrowing_costs_quote_units": 18.165721708104616, "price_pnl_quote_units": -6710.185295298784, "turnover_quote_units": 37085.45035097256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.385535643602978 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3612.1222606239553, "return_pct": -63.878777393760444, "cagr_pct": -63.9207605892782, "max_drawdown_pct": 69.93423922630424, "mean_exposure_while_solvent": 0.776997924174908, "realized_annual_volatility_pct": 56.57859030471089, "trading_costs_quote_units": 19.50335077303857, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6368.374388603006, "turnover_quote_units": 32505.58462173096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 239, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3637.9560162564294, "return_pct": -63.620439837435704, "cagr_pct": -63.662427544888715, "max_drawdown_pct": 69.71921009365303, "mean_exposure_while_solvent": 0.7796185067376966, "realized_annual_volatility_pct": 56.726356299689364, "trading_costs_quote_units": 18.337089099738023, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6343.706894643831, "turnover_quote_units": 30561.81516623003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 214, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.2583375563247401 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3249.3977127825347, "return_pct": -67.50602287217465, "cagr_pct": -67.54771262104302, "max_drawdown_pct": 74.39446569377127, "mean_exposure_while_solvent": 0.8268211544155495, "realized_annual_volatility_pct": 62.027808910014826, "trading_costs_quote_units": 22.251270210583566, "borrowing_costs_quote_units": 18.165721708104616, "price_pnl_quote_units": -6710.185295298784, "turnover_quote_units": 37085.45035097256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3249.3977127825347, "return_pct": -67.50602287217465, "cagr_pct": -67.54771262104302, "max_drawdown_pct": 74.39446569377127, "mean_exposure_while_solvent": 0.8268211544155495, "realized_annual_volatility_pct": 62.027808910014826, "trading_costs_quote_units": 22.251270210583566, "borrowing_costs_quote_units": 18.165721708104616, "price_pnl_quote_units": -6710.185295298784, "turnover_quote_units": 37085.45035097256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3210.8441484222353, "return_pct": -67.89155851577763, "cagr_pct": -67.93319074590582, "max_drawdown_pct": 74.69827110699345, "mean_exposure_while_solvent": 0.833563348302385, "realized_annual_volatility_pct": 62.10458861923468, "trading_costs_quote_units": 23.429342447689933, "borrowing_costs_quote_units": 20.964775846313987, "price_pnl_quote_units": -6744.761733283763, "turnover_quote_units": 39048.90407948319, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3249.3977127825347, "return_pct": -67.50602287217465, "cagr_pct": -67.54771262104302, "max_drawdown_pct": 74.39446569377127, "mean_exposure_while_solvent": 0.8268211544155495, "realized_annual_volatility_pct": 62.027808910014826, "trading_costs_quote_units": 22.251270210583566, "borrowing_costs_quote_units": 18.165721708104616, "price_pnl_quote_units": -6710.185295298784, "turnover_quote_units": 37085.45035097256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.385535643602978 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4062.7206284185513, "return_pct": -59.37279371581449, "cagr_pct": -59.41456555067835, "max_drawdown_pct": 69.8887657745692, "mean_exposure_while_solvent": 0.7495505029241744, "realized_annual_volatility_pct": 65.45382436122009, "trading_costs_quote_units": 13.770278070831356, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5923.509093510633, "turnover_quote_units": 22950.463451385567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4062.7206284185513, "return_pct": -59.37279371581449, "cagr_pct": -59.41456555067835, "max_drawdown_pct": 69.8887657745692, "mean_exposure_while_solvent": 0.7495505029241744, "realized_annual_volatility_pct": 65.45382436122009, "trading_costs_quote_units": 13.770278070831356, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5923.509093510633, "turnover_quote_units": 22950.463451385567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2712.7218357349257, "return_pct": -72.87278164265074, "cagr_pct": -72.91317074756036, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9995427526291722, "realized_annual_volatility_pct": 87.56471737306597, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7281.2817621063905, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2712.7218357349257, "return_pct": -72.87278164265074, "cagr_pct": -72.91317074756036, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9995427526291722, "realized_annual_volatility_pct": 87.56471737306597, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7281.2817621063905, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1686.2237549094898, "return_pct": -83.1377624509051, "cagr_pct": -83.1720085324486, "max_drawdown_pct": 89.51719576390053, "mean_exposure_while_solvent": 1.2497595392208423, "realized_annual_volatility_pct": 109.90723241388693, "trading_costs_quote_units": 18.423246289857843, "borrowing_costs_quote_units": 55.98089209184979, "price_pnl_quote_units": -8239.37210670881, "turnover_quote_units": 30705.410483096384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1686.2237549094898, "return_pct": -83.1377624509051, "cagr_pct": -83.1720085324486, "max_drawdown_pct": 89.51719576390053, "mean_exposure_while_solvent": 1.2497595392208423, "realized_annual_volatility_pct": 109.90723241388693, "trading_costs_quote_units": 18.423246289857843, "borrowing_costs_quote_units": 55.98089209184979, "price_pnl_quote_units": -8239.37210670881, "turnover_quote_units": 30705.410483096384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 988.7294199655598, "return_pct": -90.1127058003444, "cagr_pct": -90.13880013692348, "max_drawdown_pct": 94.32929124664147, "mean_exposure_while_solvent": 1.500274722711186, "realized_annual_volatility_pct": 132.53389914081254, "trading_costs_quote_units": 30.6443344514891, "borrowing_costs_quote_units": 89.46369812449642, "price_pnl_quote_units": -8891.16254745843, "turnover_quote_units": 51073.89075248183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 988.7294199655598, "return_pct": -90.1127058003444, "cagr_pct": -90.13880013692348, "max_drawdown_pct": 94.32929124664147, "mean_exposure_while_solvent": 1.500274722711186, "realized_annual_volatility_pct": 132.53389914081254, "trading_costs_quote_units": 30.6443344514891, "borrowing_costs_quote_units": 89.46369812449642, "price_pnl_quote_units": -8891.16254745843, "turnover_quote_units": 51073.89075248183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4148.390098826871, "return_pct": -58.51609901173129, "cagr_pct": -58.55776402978724, "max_drawdown_pct": 63.384663570525376, "mean_exposure_while_solvent": 0.6127551259410082, "realized_annual_volatility_pct": 42.89093714100156, "trading_costs_quote_units": 29.11994942277581, "borrowing_costs_quote_units": 25.077254956056617, "price_pnl_quote_units": -5797.412696794312, "turnover_quote_units": 48533.24903795962, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4227.270809068559, "return_pct": -57.7272919093144, "cagr_pct": -57.76884069466948, "max_drawdown_pct": 62.68843113469151, "mean_exposure_while_solvent": 0.6416115173593661, "realized_annual_volatility_pct": 44.700500233182, "trading_costs_quote_units": 30.583617165607077, "borrowing_costs_quote_units": 25.554093352331122, "price_pnl_quote_units": -5716.591480413499, "turnover_quote_units": 50972.69527601182, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.7888071024168894 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2807.0494006810613, "return_pct": -71.9295059931894, "cagr_pct": -71.97020532301337, "max_drawdown_pct": 76.63532137856144, "mean_exposure_while_solvent": 0.864199846250103, "realized_annual_volatility_pct": 61.527154374873824, "trading_costs_quote_units": 29.477881366385652, "borrowing_costs_quote_units": 48.91789805874095, "price_pnl_quote_units": -7114.554819893804, "turnover_quote_units": 49129.80227730944, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2865.973013855246, "return_pct": -71.34026986144755, "cagr_pct": -71.38114453547513, "max_drawdown_pct": 76.1448664244396, "mean_exposure_while_solvent": 0.866363607981635, "realized_annual_volatility_pct": 61.563737560529894, "trading_costs_quote_units": 27.655614904225303, "borrowing_costs_quote_units": 49.55051968602688, "price_pnl_quote_units": -7056.820851554497, "turnover_quote_units": 46092.69150704217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.589236131741842 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2022.7955969686432, "return_pct": -79.77204403031357, "cagr_pct": -79.80892948793532, "max_drawdown_pct": 84.08261705001418, "mean_exposure_while_solvent": 1.0794041537934222, "realized_annual_volatility_pct": 78.4643732507325, "trading_costs_quote_units": 31.515180357629013, "borrowing_costs_quote_units": 105.32809078775524, "price_pnl_quote_units": -7840.361131885948, "turnover_quote_units": 52525.30059604837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2083.823124417963, "return_pct": -79.16176875582038, "cagr_pct": -79.19906093243766, "max_drawdown_pct": 83.6023913038452, "mean_exposure_while_solvent": 1.0548839185453411, "realized_annual_volatility_pct": 77.08028763780447, "trading_costs_quote_units": 30.676462033760302, "borrowing_costs_quote_units": 94.88097372001764, "price_pnl_quote_units": -7790.619439828251, "turnover_quote_units": 51127.43672293388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.6102752744931905 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3071.3762049129, "return_pct": -69.286237950871, "cagr_pct": -69.32761748361642, "max_drawdown_pct": 75.45954286654444, "mean_exposure_while_solvent": 0.8927030144958602, "realized_annual_volatility_pct": 61.55864445685203, "trading_costs_quote_units": 43.32025123643612, "borrowing_costs_quote_units": 56.02257183549718, "price_pnl_quote_units": -6829.2809720151845, "turnover_quote_units": 72200.4187273936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3100.5171519977, "return_pct": -68.994828480023, "cagr_pct": -69.03626668178319, "max_drawdown_pct": 75.22670516935224, "mean_exposure_while_solvent": 0.8966433403382491, "realized_annual_volatility_pct": 61.753148573511105, "trading_costs_quote_units": 42.42539780262217, "borrowing_costs_quote_units": 56.46003840925356, "price_pnl_quote_units": -6800.597411790439, "turnover_quote_units": 70708.99633770357, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.29140947084799507 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3200.4568953359076, "return_pct": -67.99543104664092, "cagr_pct": -68.03704687850667, "max_drawdown_pct": 74.78012355743469, "mean_exposure_while_solvent": 0.8335685577692629, "realized_annual_volatility_pct": 62.10620148574494, "trading_costs_quote_units": 23.417047525518107, "borrowing_costs_quote_units": 41.86882474215622, "price_pnl_quote_units": -6734.257232396419, "turnover_quote_units": 39028.412542530124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3240.26109176343, "return_pct": -67.5973890823657, "cagr_pct": -67.63906567473245, "max_drawdown_pct": 74.46646305562925, "mean_exposure_while_solvent": 0.8268258159594882, "realized_annual_volatility_pct": 62.02941680748406, "trading_costs_quote_units": 22.242471577654594, "borrowing_costs_quote_units": 36.28628141882005, "price_pnl_quote_units": -6701.210155240101, "turnover_quote_units": 37070.78596275764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.3980419642752224 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3612.1222606239553, "return_pct": -63.878777393760444, "cagr_pct": -63.9207605892782, "max_drawdown_pct": 69.93423922630424, "mean_exposure_while_solvent": 0.776997924174908, "realized_annual_volatility_pct": 56.57859030471089, "trading_costs_quote_units": 19.50335077303857, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6368.374388603006, "turnover_quote_units": 32505.58462173096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 239, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3637.9560162564294, "return_pct": -63.620439837435704, "cagr_pct": -63.662427544888715, "max_drawdown_pct": 69.71921009365303, "mean_exposure_while_solvent": 0.7796185067376966, "realized_annual_volatility_pct": 56.726356299689364, "trading_costs_quote_units": 18.337089099738023, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6343.706894643831, "turnover_quote_units": 30561.81516623003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 214, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.2583375563247401 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3240.26109176343, "return_pct": -67.5973890823657, "cagr_pct": -67.63906567473245, "max_drawdown_pct": 74.46646305562925, "mean_exposure_while_solvent": 0.8268258159594882, "realized_annual_volatility_pct": 62.02941680748406, "trading_costs_quote_units": 22.242471577654594, "borrowing_costs_quote_units": 36.28628141882005, "price_pnl_quote_units": -6701.210155240101, "turnover_quote_units": 37070.78596275764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3240.26109176343, "return_pct": -67.5973890823657, "cagr_pct": -67.63906567473245, "max_drawdown_pct": 74.46646305562925, "mean_exposure_while_solvent": 0.8268258159594882, "realized_annual_volatility_pct": 62.02941680748406, "trading_costs_quote_units": 22.242471577654594, "borrowing_costs_quote_units": 36.28628141882005, "price_pnl_quote_units": -6701.210155240101, "turnover_quote_units": 37070.78596275764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3200.4568953359076, "return_pct": -67.99543104664092, "cagr_pct": -68.03704687850667, "max_drawdown_pct": 74.78012355743469, "mean_exposure_while_solvent": 0.8335685577692629, "realized_annual_volatility_pct": 62.10620148574494, "trading_costs_quote_units": 23.417047525518107, "borrowing_costs_quote_units": 41.86882474215622, "price_pnl_quote_units": -6734.257232396419, "turnover_quote_units": 39028.412542530124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3240.26109176343, "return_pct": -67.5973890823657, "cagr_pct": -67.63906567473245, "max_drawdown_pct": 74.46646305562925, "mean_exposure_while_solvent": 0.8268258159594882, "realized_annual_volatility_pct": 62.02941680748406, "trading_costs_quote_units": 22.242471577654594, "borrowing_costs_quote_units": 36.28628141882005, "price_pnl_quote_units": -6701.210155240101, "turnover_quote_units": 37070.78596275764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.3980419642752224 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4062.7206284185513, "return_pct": -59.37279371581449, "cagr_pct": -59.41456555067835, "max_drawdown_pct": 69.8887657745692, "mean_exposure_while_solvent": 0.7495505029241744, "realized_annual_volatility_pct": 65.45382436122009, "trading_costs_quote_units": 13.770278070831356, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5923.509093510633, "turnover_quote_units": 22950.463451385567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4062.7206284185513, "return_pct": -59.37279371581449, "cagr_pct": -59.41456555067835, "max_drawdown_pct": 69.8887657745692, "mean_exposure_while_solvent": 0.7495505029241744, "realized_annual_volatility_pct": 65.45382436122009, "trading_costs_quote_units": 13.770278070831356, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5923.509093510633, "turnover_quote_units": 22950.463451385567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2712.7218357349257, "return_pct": -72.87278164265074, "cagr_pct": -72.91317074756036, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9995427526291722, "realized_annual_volatility_pct": 87.56471737306597, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7281.2817621063905, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2712.7218357349257, "return_pct": -72.87278164265074, "cagr_pct": -72.91317074756036, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9995427526291722, "realized_annual_volatility_pct": 87.56471737306597, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7281.2817621063905, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1665.1663645054093, "return_pct": -83.3483363549459, "cagr_pct": -83.38239327092184, "max_drawdown_pct": 89.64044983807263, "mean_exposure_while_solvent": 1.249777406606023, "realized_annual_volatility_pct": 109.90956362330454, "trading_costs_quote_units": 18.381957778398526, "borrowing_costs_quote_units": 111.41978216970735, "price_pnl_quote_units": -8205.031895546474, "turnover_quote_units": 30636.5962973309, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1665.1663645054093, "return_pct": -83.3483363549459, "cagr_pct": -83.38239327092184, "max_drawdown_pct": 89.64044983807263, "mean_exposure_while_solvent": 1.249777406606023, "realized_annual_volatility_pct": 109.90956362330454, "trading_costs_quote_units": 18.381957778398526, "borrowing_costs_quote_units": 111.41978216970735, "price_pnl_quote_units": -8205.031895546474, "turnover_quote_units": 30636.5962973309, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 964.1321909256391, "return_pct": -90.35867809074361, "cagr_pct": -90.38439992133515, "max_drawdown_pct": 94.46220503959763, "mean_exposure_while_solvent": 1.5003176965304166, "realized_annual_volatility_pct": 132.53960532996635, "trading_costs_quote_units": 30.498189285173698, "borrowing_costs_quote_units": 177.33611687282635, "price_pnl_quote_units": -8828.033502916409, "turnover_quote_units": 50830.315475289564, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 964.1321909256391, "return_pct": -90.35867809074361, "cagr_pct": -90.38439992133515, "max_drawdown_pct": 94.46220503959763, "mean_exposure_while_solvent": 1.5003176965304166, "realized_annual_volatility_pct": 132.53960532996635, "trading_costs_quote_units": 30.498189285173698, "borrowing_costs_quote_units": 177.33611687282635, "price_pnl_quote_units": -8828.033502916409, "turnover_quote_units": 50830.315475289564, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4133.266675618581, "return_pct": -58.66733324381419, "cagr_pct": -58.7090185993037, "max_drawdown_pct": 63.51814890231553, "mean_exposure_while_solvent": 0.6127609993468599, "realized_annual_volatility_pct": 42.89271017373473, "trading_costs_quote_units": 29.101162350412366, "borrowing_costs_quote_units": 50.0727843153913, "price_pnl_quote_units": -5787.559377715617, "turnover_quote_units": 48501.93725068728, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4211.859817349223, "return_pct": -57.88140182650777, "cagr_pct": -57.92297465176339, "max_drawdown_pct": 62.824454660221306, "mean_exposure_while_solvent": 0.6416173907652177, "realized_annual_volatility_pct": 44.702208560403776, "trading_costs_quote_units": 30.564472861263035, "borrowing_costs_quote_units": 51.02490711399064, "price_pnl_quote_units": -5706.5508026755215, "turnover_quote_units": 50940.788102105056, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.785931417306422 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2782.555296563636, "return_pct": -72.17444703436364, "cagr_pct": -72.21506933638466, "max_drawdown_pct": 76.8391998249774, "mean_exposure_while_solvent": 0.8642139742992989, "realized_annual_volatility_pct": 61.53012939606404, "trading_costs_quote_units": 29.445798611147442, "borrowing_costs_quote_units": 97.44561719312594, "price_pnl_quote_units": -7090.553287632089, "turnover_quote_units": 49076.33101857909, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2841.1024385921723, "return_pct": -71.58897561407828, "cagr_pct": -71.62977798213073, "max_drawdown_pct": 76.35187845565324, "mean_exposure_while_solvent": 0.8663776799945815, "realized_annual_volatility_pct": 61.566601347542694, "trading_costs_quote_units": 27.624642891918082, "borrowing_costs_quote_units": 98.70738846125928, "price_pnl_quote_units": -7032.565530054654, "turnover_quote_units": 46041.07148653016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.5854714202853586 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1979.9390819099485, "return_pct": -80.20060918090051, "cagr_pct": -80.2371964968739, "max_drawdown_pct": 84.41985506017862, "mean_exposure_while_solvent": 1.0794386279178383, "realized_annual_volatility_pct": 78.46913958166407, "trading_costs_quote_units": 31.380891239716544, "borrowing_costs_quote_units": 208.65264102723435, "price_pnl_quote_units": -7780.027385823105, "turnover_quote_units": 52301.48539952754, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2044.7010003763676, "return_pct": -79.55298999623632, "cagr_pct": -79.59002382794957, "max_drawdown_pct": 83.91024338297774, "mean_exposure_while_solvent": 1.0549147255643094, "realized_annual_volatility_pct": 77.08473505212346, "trading_costs_quote_units": 30.56291177061558, "borrowing_costs_quote_units": 188.16440060307715, "price_pnl_quote_units": -7736.571687249953, "turnover_quote_units": 50938.18628435928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.6476191846641939 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3039.7126154181815, "return_pct": -69.60287384581818, "cagr_pct": -69.6441860509136, "max_drawdown_pct": 75.71253660903795, "mean_exposure_while_solvent": 0.8927196851633054, "realized_annual_volatility_pct": 61.56047730246389, "trading_costs_quote_units": 43.255337059868864, "borrowing_costs_quote_units": 111.50979378537892, "price_pnl_quote_units": -6805.522253736565, "turnover_quote_units": 72092.2284331149, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3068.553141152941, "return_pct": -69.31446858847059, "cagr_pct": -69.35584227032712, "max_drawdown_pct": 75.48209929420557, "mean_exposure_while_solvent": 0.8966600110056943, "realized_annual_volatility_pct": 61.75498291613268, "trading_costs_quote_units": 42.3615710888078, "borrowing_costs_quote_units": 112.37976638867259, "price_pnl_quote_units": -6776.705521369607, "turnover_quote_units": 70602.61848134639, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.28840525734759126 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3179.777629784353, "return_pct": -68.20222370215647, "cagr_pct": -68.2438057405512, "max_drawdown_pct": 74.94307795400638, "mean_exposure_while_solvent": 0.8335789787847926, "realized_annual_volatility_pct": 62.109440489113574, "trading_costs_quote_units": 23.392888169073014, "borrowing_costs_quote_units": 83.49540654501152, "price_pnl_quote_units": -6713.334075501569, "turnover_quote_units": 38988.14694845503, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3222.059857147987, "return_pct": -67.77940142852013, "cagr_pct": -67.82105093398113, "max_drawdown_pct": 74.60989035464166, "mean_exposure_while_solvent": 0.8268351409920608, "realized_annual_volatility_pct": 62.032645833540414, "trading_costs_quote_units": 22.22528433914567, "borrowing_costs_quote_units": 72.39233087168604, "price_pnl_quote_units": -6683.322527641174, "turnover_quote_units": 37042.14056524274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.42282227363634206 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3612.1222606239553, "return_pct": -63.878777393760444, "cagr_pct": -63.9207605892782, "max_drawdown_pct": 69.93423922630424, "mean_exposure_while_solvent": 0.776997924174908, "realized_annual_volatility_pct": 56.57859030471089, "trading_costs_quote_units": 19.50335077303857, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6368.374388603006, "turnover_quote_units": 32505.58462173096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 239, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3637.9560162564294, "return_pct": -63.620439837435704, "cagr_pct": -63.662427544888715, "max_drawdown_pct": 69.71921009365303, "mean_exposure_while_solvent": 0.7796185067376966, "realized_annual_volatility_pct": 56.726356299689364, "trading_costs_quote_units": 18.337089099738023, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6343.706894643831, "turnover_quote_units": 30561.81516623003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 214, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.2583375563247401 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3222.059857147987, "return_pct": -67.77940142852013, "cagr_pct": -67.82105093398113, "max_drawdown_pct": 74.60989035464166, "mean_exposure_while_solvent": 0.8268351409920608, "realized_annual_volatility_pct": 62.032645833540414, "trading_costs_quote_units": 22.22528433914567, "borrowing_costs_quote_units": 72.39233087168604, "price_pnl_quote_units": -6683.322527641174, "turnover_quote_units": 37042.14056524274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3222.059857147987, "return_pct": -67.77940142852013, "cagr_pct": -67.82105093398113, "max_drawdown_pct": 74.60989035464166, "mean_exposure_while_solvent": 0.8268351409920608, "realized_annual_volatility_pct": 62.032645833540414, "trading_costs_quote_units": 22.22528433914567, "borrowing_costs_quote_units": 72.39233087168604, "price_pnl_quote_units": -6683.322527641174, "turnover_quote_units": 37042.14056524274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3179.777629784353, "return_pct": -68.20222370215647, "cagr_pct": -68.2438057405512, "max_drawdown_pct": 74.94307795400638, "mean_exposure_while_solvent": 0.8335789787847926, "realized_annual_volatility_pct": 62.109440489113574, "trading_costs_quote_units": 23.392888169073014, "borrowing_costs_quote_units": 83.49540654501152, "price_pnl_quote_units": -6713.334075501569, "turnover_quote_units": 38988.14694845503, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3222.059857147987, "return_pct": -67.77940142852013, "cagr_pct": -67.82105093398113, "max_drawdown_pct": 74.60989035464166, "mean_exposure_while_solvent": 0.8268351409920608, "realized_annual_volatility_pct": 62.032645833540414, "trading_costs_quote_units": 22.22528433914567, "borrowing_costs_quote_units": 72.39233087168604, "price_pnl_quote_units": -6683.322527641174, "turnover_quote_units": 37042.14056524274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.42282227363634206 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4062.7206284185513, "return_pct": -59.37279371581449, "cagr_pct": -59.41456555067835, "max_drawdown_pct": 69.8887657745692, "mean_exposure_while_solvent": 0.7495505029241744, "realized_annual_volatility_pct": 65.45382436122009, "trading_costs_quote_units": 13.770278070831356, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5923.509093510633, "turnover_quote_units": 22950.463451385567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4062.7206284185513, "return_pct": -59.37279371581449, "cagr_pct": -59.41456555067835, "max_drawdown_pct": 69.8887657745692, "mean_exposure_while_solvent": 0.7495505029241744, "realized_annual_volatility_pct": 65.45382436122009, "trading_costs_quote_units": 13.770278070831356, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5923.509093510633, "turnover_quote_units": 22950.463451385567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2712.7218357349257, "return_pct": -72.87278164265074, "cagr_pct": -72.91317074756036, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9995427526291722, "realized_annual_volatility_pct": 87.56471737306597, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7281.2817621063905, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2712.7218357349257, "return_pct": -72.87278164265074, "cagr_pct": -72.91317074756036, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.9995427526291722, "realized_annual_volatility_pct": 87.56471737306597, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7281.2817621063905, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1623.8279245223237, "return_pct": -83.76172075477677, "cagr_pct": -83.79539743985475, "max_drawdown_pct": 89.88268188259606, "mean_exposure_while_solvent": 1.2498131468901341, "realized_annual_volatility_pct": 109.91422730692565, "trading_costs_quote_units": 18.300621340792684, "borrowing_costs_quote_units": 220.69504776075556, "price_pnl_quote_units": -8137.176406376124, "turnover_quote_units": 30501.035567987823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1623.8279245223237, "return_pct": -83.76172075477677, "cagr_pct": -83.79539743985475, "max_drawdown_pct": 89.88268188259606, "mean_exposure_while_solvent": 1.2498131468901341, "realized_annual_volatility_pct": 109.91422730692565, "trading_costs_quote_units": 18.300621340792684, "borrowing_costs_quote_units": 220.69504776075556, "price_pnl_quote_units": -8137.176406376124, "turnover_quote_units": 30501.035567987823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 916.7453312763905, "return_pct": -90.83254668723609, "cagr_pct": -90.85753054313321, "max_drawdown_pct": 94.7188300164184, "mean_exposure_while_solvent": 1.5004036628935762, "realized_annual_volatility_pct": 132.55102191304803, "trading_costs_quote_units": 30.21220821594576, "borrowing_costs_quote_units": 348.4408128610787, "price_pnl_quote_units": -8704.601647646567, "turnover_quote_units": 50353.68035990967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 916.7453312763905, "return_pct": -90.83254668723609, "cagr_pct": -90.85753054313321, "max_drawdown_pct": 94.7188300164184, "mean_exposure_while_solvent": 1.5004036628935762, "realized_annual_volatility_pct": 132.55102191304803, "trading_costs_quote_units": 30.21220821594576, "borrowing_costs_quote_units": 348.4408128610787, "price_pnl_quote_units": -8704.601647646567, "turnover_quote_units": 50353.68035990967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4086.8939537043943, "return_pct": -59.131060462956064, "cagr_pct": -59.172804228437826, "max_drawdown_pct": 64.05571734748864, "mean_exposure_while_solvent": 0.6120317517634227, "realized_annual_volatility_pct": 43.219896695050394, "trading_costs_quote_units": 29.402841741293855, "borrowing_costs_quote_units": 12.671710950103572, "price_pnl_quote_units": -5871.031493604201, "turnover_quote_units": 49004.736235489756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4156.530709366098, "return_pct": -58.43469290633902, "cagr_pct": -58.47634671632227, "max_drawdown_pct": 63.44326122387442, "mean_exposure_while_solvent": 0.6409335657069808, "realized_annual_volatility_pct": 45.03154418580325, "trading_costs_quote_units": 30.764015931680877, "borrowing_costs_quote_units": 12.88762475879153, "price_pnl_quote_units": -5799.817649943423, "turnover_quote_units": 51273.35988613484, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.6963675566170409 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2815.5607105041227, "return_pct": -71.84439289495877, "cagr_pct": -71.88511841832866, "max_drawdown_pct": 76.71774675452019, "mean_exposure_while_solvent": 0.8632290874159656, "realized_annual_volatility_pct": 61.750864285864125, "trading_costs_quote_units": 29.23452454541613, "borrowing_costs_quote_units": 24.989122157057622, "price_pnl_quote_units": -7130.215642793397, "turnover_quote_units": 48724.20757569346, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2860.779533646012, "return_pct": -71.39220466353989, "cagr_pct": -71.43306444288615, "max_drawdown_pct": 76.34382617524646, "mean_exposure_while_solvent": 0.865403227318234, "realized_annual_volatility_pct": 61.81967339819047, "trading_costs_quote_units": 27.501683877830224, "borrowing_costs_quote_units": 25.2073048585168, "price_pnl_quote_units": -7086.511477617637, "turnover_quote_units": 45836.13979638366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4521882314188872 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2122.645145013377, "return_pct": -78.77354854986623, "cagr_pct": -78.81108880203647, "max_drawdown_pct": 83.46913273630801, "mean_exposure_while_solvent": 1.078448179088436, "realized_annual_volatility_pct": 78.28299158117719, "trading_costs_quote_units": 30.814751245616343, "borrowing_costs_quote_units": 54.361381019579525, "price_pnl_quote_units": -7792.178722721433, "turnover_quote_units": 51357.91874269391, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2162.967210830336, "return_pct": -78.37032789169665, "cagr_pct": -78.40811722658268, "max_drawdown_pct": 83.15511005598204, "mean_exposure_while_solvent": 1.053864636764787, "realized_annual_volatility_pct": 76.95606476959551, "trading_costs_quote_units": 30.202311937950398, "borrowing_costs_quote_units": 48.704589195438594, "price_pnl_quote_units": -7758.125888036267, "turnover_quote_units": 50337.18656325063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4032206581695874 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3120.6036655117123, "return_pct": -68.79396334488288, "cagr_pct": -68.83544016393827, "max_drawdown_pct": 75.21588359214216, "mean_exposure_while_solvent": 0.8919137751660481, "realized_annual_volatility_pct": 61.872942874333006, "trading_costs_quote_units": 44.5065260960888, "borrowing_costs_quote_units": 29.212105502540787, "price_pnl_quote_units": -6805.677702889653, "turnover_quote_units": 74177.54349348131, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3143.5078527106, "return_pct": -68.56492147289399, "cagr_pct": -68.60644052539062, "max_drawdown_pct": 75.03397646691565, "mean_exposure_while_solvent": 0.8958724471577427, "realized_annual_volatility_pct": 62.06439523272055, "trading_costs_quote_units": 43.580507381229495, "borrowing_costs_quote_units": 29.388782002799612, "price_pnl_quote_units": -6783.522857905375, "turnover_quote_units": 72634.17896871571, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 351, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.22904187198889758 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3250.8977952300584, "return_pct": -67.49102204769942, "cagr_pct": -67.53271392858998, "max_drawdown_pct": 74.62533277091981, "mean_exposure_while_solvent": 0.8325510146602337, "realized_annual_volatility_pct": 61.96198475773651, "trading_costs_quote_units": 23.48827594196634, "borrowing_costs_quote_units": 21.162571481247266, "price_pnl_quote_units": -6704.451357346725, "turnover_quote_units": 39147.1265699439, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3290.837625738659, "return_pct": -67.09162374261342, "cagr_pct": -67.13336949329982, "max_drawdown_pct": 74.3135850716139, "mean_exposure_while_solvent": 0.8258211469899759, "realized_annual_volatility_pct": 61.88925034238103, "trading_costs_quote_units": 22.380500644287373, "borrowing_costs_quote_units": 18.330110098150623, "price_pnl_quote_units": -6668.4517635188995, "turnover_quote_units": 37300.83440714563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.3993983050859953 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3671.7437534083338, "return_pct": -63.282562465916655, "cagr_pct": -63.32455291474619, "max_drawdown_pct": 69.63785309248219, "mean_exposure_while_solvent": 0.7761053434821086, "realized_annual_volatility_pct": 56.62726375009666, "trading_costs_quote_units": 19.32263478532254, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6308.933611806342, "turnover_quote_units": 32204.3913088709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 238, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3696.7334797233643, "return_pct": -63.03266520276636, "cagr_pct": -63.07465539294325, "max_drawdown_pct": 69.43120965750629, "mean_exposure_while_solvent": 0.7787370360995287, "realized_annual_volatility_pct": 56.77357363052319, "trading_costs_quote_units": 18.259278770512264, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6285.007241506128, "turnover_quote_units": 30432.131284187126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.24989726315029515 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3290.837625738659, "return_pct": -67.09162374261342, "cagr_pct": -67.13336949329982, "max_drawdown_pct": 74.3135850716139, "mean_exposure_while_solvent": 0.8258211469899759, "realized_annual_volatility_pct": 61.88925034238103, "trading_costs_quote_units": 22.380500644287373, "borrowing_costs_quote_units": 18.330110098150623, "price_pnl_quote_units": -6668.4517635188995, "turnover_quote_units": 37300.83440714563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3290.837625738659, "return_pct": -67.09162374261342, "cagr_pct": -67.13336949329982, "max_drawdown_pct": 74.3135850716139, "mean_exposure_while_solvent": 0.8258211469899759, "realized_annual_volatility_pct": 61.88925034238103, "trading_costs_quote_units": 22.380500644287373, "borrowing_costs_quote_units": 18.330110098150623, "price_pnl_quote_units": -6668.4517635188995, "turnover_quote_units": 37300.83440714563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3250.8977952300584, "return_pct": -67.49102204769942, "cagr_pct": -67.53271392858998, "max_drawdown_pct": 74.62533277091981, "mean_exposure_while_solvent": 0.8325510146602337, "realized_annual_volatility_pct": 61.96198475773651, "trading_costs_quote_units": 23.48827594196634, "borrowing_costs_quote_units": 21.162571481247266, "price_pnl_quote_units": -6704.451357346725, "turnover_quote_units": 39147.1265699439, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3290.837625738659, "return_pct": -67.09162374261342, "cagr_pct": -67.13336949329982, "max_drawdown_pct": 74.3135850716139, "mean_exposure_while_solvent": 0.8258211469899759, "realized_annual_volatility_pct": 61.88925034238103, "trading_costs_quote_units": 22.380500644287373, "borrowing_costs_quote_units": 18.330110098150623, "price_pnl_quote_units": -6668.4517635188995, "turnover_quote_units": 37300.83440714563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.3993983050859953 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4116.22027685377, "return_pct": -58.8377972314623, "cagr_pct": -58.879504752492664, "max_drawdown_pct": 70.01783714728853, "mean_exposure_while_solvent": 0.7486364927384767, "realized_annual_volatility_pct": 65.48050498528717, "trading_costs_quote_units": 13.353349208134324, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5870.4263739381, "turnover_quote_units": 22255.582013557214, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4116.22027685377, "return_pct": -58.8377972314623, "cagr_pct": -58.879504752492664, "max_drawdown_pct": 70.01783714728853, "mean_exposure_while_solvent": 0.7486364927384767, "realized_annual_volatility_pct": 65.48050498528717, "trading_costs_quote_units": 13.353349208134324, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5870.4263739381, "turnover_quote_units": 22255.582013557214, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2783.5273406109086, "return_pct": -72.16472659389092, "cagr_pct": -72.2053519995115, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.998628257887517, "realized_annual_volatility_pct": 87.53348519235614, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7210.476257230389, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2783.5273406109086, "return_pct": -72.16472659389092, "cagr_pct": -72.2053519995115, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.998628257887517, "realized_annual_volatility_pct": 87.53348519235614, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7210.476257230389, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1762.4481372248802, "return_pct": -82.3755186277512, "cagr_pct": -82.41042463578947, "max_drawdown_pct": 89.425441351889, "mean_exposure_while_solvent": 1.2490019526280711, "realized_annual_volatility_pct": 109.78682789970362, "trading_costs_quote_units": 18.187255308456585, "borrowing_costs_quote_units": 57.97902651350009, "price_pnl_quote_units": -8161.385580953163, "turnover_quote_units": 30312.09218076097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1762.4481372248802, "return_pct": -82.3755186277512, "cagr_pct": -82.41042463578947, "max_drawdown_pct": 89.425441351889, "mean_exposure_while_solvent": 1.2490019526280711, "realized_annual_volatility_pct": 109.78682789970362, "trading_costs_quote_units": 18.187255308456585, "borrowing_costs_quote_units": 57.97902651350009, "price_pnl_quote_units": -8161.385580953163, "turnover_quote_units": 30312.09218076097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1059.4043680938787, "return_pct": -89.4059563190612, "cagr_pct": -89.43308272106687, "max_drawdown_pct": 94.20004875573156, "mean_exposure_while_solvent": 1.49983663500404, "realized_annual_volatility_pct": 132.298883678247, "trading_costs_quote_units": 30.491585246260247, "borrowing_costs_quote_units": 93.73500040032036, "price_pnl_quote_units": -8816.369046259537, "turnover_quote_units": 50819.30874376705, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1059.4043680938787, "return_pct": -89.4059563190612, "cagr_pct": -89.43308272106687, "max_drawdown_pct": 94.20004875573156, "mean_exposure_while_solvent": 1.49983663500404, "realized_annual_volatility_pct": 132.298883678247, "trading_costs_quote_units": 30.491585246260247, "borrowing_costs_quote_units": 93.73500040032036, "price_pnl_quote_units": -8816.369046259537, "turnover_quote_units": 50819.30874376705, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4079.4270126018378, "return_pct": -59.205729873981625, "cagr_pct": -59.24748248463543, "max_drawdown_pct": 64.12138918644024, "mean_exposure_while_solvent": 0.61203469011459, "realized_annual_volatility_pct": 43.22077406050584, "trading_costs_quote_units": 29.39365290692067, "borrowing_costs_quote_units": 25.322783512280825, "price_pnl_quote_units": -5865.8565509789505, "turnover_quote_units": 48989.4215115345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4148.936538744256, "return_pct": -58.510634612557446, "cagr_pct": -58.552298883978594, "max_drawdown_pct": 63.510052048014956, "mean_exposure_while_solvent": 0.6409365040581481, "realized_annual_volatility_pct": 45.03238940583212, "trading_costs_quote_units": 30.754670528377527, "borrowing_costs_quote_units": 25.754259471308494, "price_pnl_quote_units": -5794.554531256036, "turnover_quote_units": 51257.784213962535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.6950952614241785 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2803.23671436225, "return_pct": -71.9676328563775, "cagr_pct": -72.00832035716, "max_drawdown_pct": 76.81965554948985, "mean_exposure_while_solvent": 0.8632361418818932, "realized_annual_volatility_pct": 61.75246176402796, "trading_costs_quote_units": 29.217361386888665, "borrowing_costs_quote_units": 49.8786133607677, "price_pnl_quote_units": -7117.667310890098, "turnover_quote_units": 48695.60231148112, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2848.3246848817685, "return_pct": -71.51675315118231, "cagr_pct": -71.5575767715495, "max_drawdown_pct": 76.44681700829136, "mean_exposure_while_solvent": 0.8654102536793782, "realized_annual_volatility_pct": 61.82123497858717, "trading_costs_quote_units": 27.485077296953914, "borrowing_costs_quote_units": 50.314545014763425, "price_pnl_quote_units": -7073.875692806516, "turnover_quote_units": 45808.46216158989, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4508797051951916 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2100.0520867040823, "return_pct": -78.99947913295917, "cagr_pct": -79.03687600921539, "max_drawdown_pct": 83.64508435444316, "mean_exposure_while_solvent": 1.0784655159762864, "realized_annual_volatility_pct": 78.28507273578033, "trading_costs_quote_units": 30.752497953841097, "borrowing_costs_quote_units": 108.20140702030136, "price_pnl_quote_units": -7760.994008321774, "turnover_quote_units": 51254.16325640188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2142.574814346657, "return_pct": -78.57425185653342, "cagr_pct": -78.61191630329122, "max_drawdown_pct": 83.31392322371863, "mean_exposure_while_solvent": 1.053880134011944, "realized_annual_volatility_pct": 76.95806062531089, "trading_costs_quote_units": 30.14913446951244, "borrowing_costs_quote_units": 96.99704996496826, "price_pnl_quote_units": -7730.279001218844, "turnover_quote_units": 50248.557449187356, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4252272764257441 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3104.4781926943083, "return_pct": -68.95521807305691, "cagr_pct": -68.9966640074231, "max_drawdown_pct": 75.34395355496866, "mean_exposure_while_solvent": 0.8919221224836834, "realized_annual_volatility_pct": 61.873885215340565, "trading_costs_quote_units": 44.47412975058281, "borrowing_costs_quote_units": 58.284465297332176, "price_pnl_quote_units": -6792.763212257784, "turnover_quote_units": 74123.54958430467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3127.2640243159813, "return_pct": -68.72735975684019, "cagr_pct": -68.76884905436687, "max_drawdown_pct": 75.16298642043549, "mean_exposure_while_solvent": 0.895880794475378, "realized_annual_volatility_pct": 62.065337470226076, "trading_costs_quote_units": 43.548717829949055, "borrowing_costs_quote_units": 58.636816313612385, "price_pnl_quote_units": -6770.550441540451, "turnover_quote_units": 72581.19638324845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 351, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.22785831621672514 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3240.3758448026624, "return_pct": -67.59624155197336, "cagr_pct": -67.63791831140409, "max_drawdown_pct": 74.70746115744976, "mean_exposure_while_solvent": 0.8325561982570184, "realized_annual_volatility_pct": 61.96352434614235, "trading_costs_quote_units": 23.476776307212944, "borrowing_costs_quote_units": 42.26413717587326, "price_pnl_quote_units": -6693.883241714247, "turnover_quote_units": 39127.960512021564, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3281.5797551471023, "return_pct": -67.18420244852898, "cagr_pct": -67.22593620774032, "max_drawdown_pct": 74.3858467667848, "mean_exposure_while_solvent": 0.825825782528795, "realized_annual_volatility_pct": 61.89078151417473, "trading_costs_quote_units": 22.372408167119794, "borrowing_costs_quote_units": 36.614916758483325, "price_pnl_quote_units": -6659.432919927277, "turnover_quote_units": 37287.34694519964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.41203910344438555 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3671.7437534083338, "return_pct": -63.282562465916655, "cagr_pct": -63.32455291474619, "max_drawdown_pct": 69.63785309248219, "mean_exposure_while_solvent": 0.7761053434821086, "realized_annual_volatility_pct": 56.62726375009666, "trading_costs_quote_units": 19.32263478532254, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6308.933611806342, "turnover_quote_units": 32204.3913088709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 238, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3696.7334797233643, "return_pct": -63.03266520276636, "cagr_pct": -63.07465539294325, "max_drawdown_pct": 69.43120965750629, "mean_exposure_while_solvent": 0.7787370360995287, "realized_annual_volatility_pct": 56.77357363052319, "trading_costs_quote_units": 18.259278770512264, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6285.007241506128, "turnover_quote_units": 30432.131284187126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.24989726315029515 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3281.5797551471023, "return_pct": -67.18420244852898, "cagr_pct": -67.22593620774032, "max_drawdown_pct": 74.3858467667848, "mean_exposure_while_solvent": 0.825825782528795, "realized_annual_volatility_pct": 61.89078151417473, "trading_costs_quote_units": 22.372408167119794, "borrowing_costs_quote_units": 36.614916758483325, "price_pnl_quote_units": -6659.432919927277, "turnover_quote_units": 37287.34694519964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3281.5797551471023, "return_pct": -67.18420244852898, "cagr_pct": -67.22593620774032, "max_drawdown_pct": 74.3858467667848, "mean_exposure_while_solvent": 0.825825782528795, "realized_annual_volatility_pct": 61.89078151417473, "trading_costs_quote_units": 22.372408167119794, "borrowing_costs_quote_units": 36.614916758483325, "price_pnl_quote_units": -6659.432919927277, "turnover_quote_units": 37287.34694519964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3240.3758448026624, "return_pct": -67.59624155197336, "cagr_pct": -67.63791831140409, "max_drawdown_pct": 74.70746115744976, "mean_exposure_while_solvent": 0.8325561982570184, "realized_annual_volatility_pct": 61.96352434614235, "trading_costs_quote_units": 23.476776307212944, "borrowing_costs_quote_units": 42.26413717587326, "price_pnl_quote_units": -6693.883241714247, "turnover_quote_units": 39127.960512021564, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3281.5797551471023, "return_pct": -67.18420244852898, "cagr_pct": -67.22593620774032, "max_drawdown_pct": 74.3858467667848, "mean_exposure_while_solvent": 0.825825782528795, "realized_annual_volatility_pct": 61.89078151417473, "trading_costs_quote_units": 22.372408167119794, "borrowing_costs_quote_units": 36.614916758483325, "price_pnl_quote_units": -6659.432919927277, "turnover_quote_units": 37287.34694519964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.41203910344438555 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4116.22027685377, "return_pct": -58.8377972314623, "cagr_pct": -58.879504752492664, "max_drawdown_pct": 70.01783714728853, "mean_exposure_while_solvent": 0.7486364927384767, "realized_annual_volatility_pct": 65.48050498528717, "trading_costs_quote_units": 13.353349208134324, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5870.4263739381, "turnover_quote_units": 22255.582013557214, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4116.22027685377, "return_pct": -58.8377972314623, "cagr_pct": -58.879504752492664, "max_drawdown_pct": 70.01783714728853, "mean_exposure_while_solvent": 0.7486364927384767, "realized_annual_volatility_pct": 65.48050498528717, "trading_costs_quote_units": 13.353349208134324, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5870.4263739381, "turnover_quote_units": 22255.582013557214, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2783.5273406109086, "return_pct": -72.16472659389092, "cagr_pct": -72.2053519995115, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.998628257887517, "realized_annual_volatility_pct": 87.53348519235614, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7210.476257230389, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2783.5273406109086, "return_pct": -72.16472659389092, "cagr_pct": -72.2053519995115, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.998628257887517, "realized_annual_volatility_pct": 87.53348519235614, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7210.476257230389, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1740.4608374784953, "return_pct": -82.59539162521506, "cagr_pct": -82.63011120807997, "max_drawdown_pct": 89.54977536768607, "mean_exposure_while_solvent": 1.2490199173512138, "realized_annual_volatility_pct": 109.78899759391476, "trading_costs_quote_units": 18.15136086364602, "borrowing_costs_quote_units": 115.39489272348615, "price_pnl_quote_units": -8125.992908934374, "turnover_quote_units": 30252.26810607667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1740.4608374784953, "return_pct": -82.59539162521506, "cagr_pct": -82.63011120807997, "max_drawdown_pct": 89.54977536768607, "mean_exposure_while_solvent": 1.2490199173512138, "realized_annual_volatility_pct": 109.78899759391476, "trading_costs_quote_units": 18.15136086364602, "borrowing_costs_quote_units": 115.39489272348615, "price_pnl_quote_units": -8125.992908934374, "turnover_quote_units": 30252.26810607667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1033.0783699323279, "return_pct": -89.66921630067672, "cagr_pct": -89.69596474760392, "max_drawdown_pct": 94.33598063017182, "mean_exposure_while_solvent": 1.4998798823605846, "realized_annual_volatility_pct": 132.30418799748807, "trading_costs_quote_units": 30.357217607685538, "borrowing_costs_quote_units": 185.78756372216327, "price_pnl_quote_units": -8750.776848737833, "turnover_quote_units": 50595.36267947581, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1033.0783699323279, "return_pct": -89.66921630067672, "cagr_pct": -89.69596474760392, "max_drawdown_pct": 94.33598063017182, "mean_exposure_while_solvent": 1.4998798823605846, "realized_annual_volatility_pct": 132.30418799748807, "trading_costs_quote_units": 30.357217607685538, "borrowing_costs_quote_units": 185.78756372216327, "price_pnl_quote_units": -8750.776848737833, "turnover_quote_units": 50595.36267947581, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4064.530216795585, "return_pct": -59.354697832044145, "cagr_pct": -59.39646762243231, "max_drawdown_pct": 64.25240668900874, "mean_exposure_while_solvent": 0.6120405679851803, "realized_annual_volatility_pct": 43.22254027339118, "trading_costs_quote_units": 29.375301293587476, "borrowing_costs_quote_units": 50.56313291452578, "price_pnl_quote_units": -5855.531348996285, "turnover_quote_units": 48958.83548931251, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4133.785915816121, "return_pct": -58.662140841838784, "cagr_pct": -58.703825509537545, "max_drawdown_pct": 63.643301963246266, "mean_exposure_while_solvent": 0.6409423819287383, "realized_annual_volatility_pct": 45.0340908712943, "trading_costs_quote_units": 30.73600622114328, "borrowing_costs_quote_units": 51.424680234359585, "price_pnl_quote_units": -5784.0533977283485, "turnover_quote_units": 51226.67703523876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.692556990205361 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2778.7440335146707, "return_pct": -72.21255966485329, "cagr_pct": -72.25316976063559, "max_drawdown_pct": 77.02218884810658, "mean_exposure_while_solvent": 0.8632502536385763, "realized_annual_volatility_pct": 61.75567406727205, "trading_costs_quote_units": 29.18315743832288, "borrowing_costs_quote_units": 99.36025303646814, "price_pnl_quote_units": -7092.712556010548, "turnover_quote_units": 48638.595730538116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2823.5710641163305, "return_pct": -71.76428935883669, "cagr_pct": -71.80503926571242, "max_drawdown_pct": 76.65150805446677, "mean_exposure_while_solvent": 0.865424309220439, "realized_annual_volatility_pct": 61.82437549273651, "trading_costs_quote_units": 27.451985948744277, "borrowing_costs_quote_units": 100.2303787815521, "price_pnl_quote_units": -7048.746571153367, "turnover_quote_units": 45753.309914573794, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.448270306016596 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2055.5729803472022, "return_pct": -79.44427019652798, "cagr_pct": -79.48137667217703, "max_drawdown_pct": 83.99148149242949, "mean_exposure_while_solvent": 1.078500196703824, "realized_annual_volatility_pct": 78.28925582777522, "trading_costs_quote_units": 30.630140038992305, "borrowing_costs_quote_units": 214.3378983192957, "price_pnl_quote_units": -7699.458981294485, "turnover_quote_units": 51050.23339832055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2102.3540706091026, "return_pct": -78.97645929390897, "cagr_pct": -79.01387090502372, "max_drawdown_pct": 83.62715682168222, "mean_exposure_while_solvent": 1.05391113483169, "realized_annual_volatility_pct": 76.96207445128763, "trading_costs_quote_units": 30.04464860390439, "borrowing_costs_quote_units": 192.35984866354, "price_pnl_quote_units": -7675.241432123468, "turnover_quote_units": 50074.414339840696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.46781090261900715 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3072.4686265377754, "return_pct": -69.27531373462224, "cagr_pct": -69.31669552349362, "max_drawdown_pct": 75.59817642298495, "mean_exposure_while_solvent": 0.8919388204497141, "realized_annual_volatility_pct": 61.8757884544869, "trading_costs_quote_units": 44.409609931733364, "borrowing_costs_quote_units": 116.01259485504877, "price_pnl_quote_units": -6767.109168675448, "turnover_quote_units": 74016.01655288902, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3095.019518649669, "return_pct": -69.04980481350331, "cagr_pct": -69.09123218720619, "max_drawdown_pct": 75.4190751992765, "mean_exposure_while_solvent": 0.8958974924414087, "realized_annual_volatility_pct": 62.06724044657568, "trading_costs_quote_units": 43.485411977552715, "borrowing_costs_quote_units": 116.7133083330159, "price_pnl_quote_units": -6744.781761039773, "turnover_quote_units": 72475.68662925453, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 351, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.22550892111893006 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3219.428641056409, "return_pct": -67.8057135894359, "cagr_pct": -67.84735908216992, "max_drawdown_pct": 74.87096316763933, "mean_exposure_while_solvent": 0.8325665675121198, "realized_annual_volatility_pct": 61.966617205051996, "trading_costs_quote_units": 23.45382737152706, "borrowing_costs_quote_units": 84.28491876247192, "price_pnl_quote_units": -6672.832612809583, "turnover_quote_units": 39089.7122858784, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3263.13719114562, "return_pct": -67.3686280885438, "cagr_pct": -67.41033706989998, "max_drawdown_pct": 74.5297989774865, "mean_exposure_while_solvent": 0.8258350555306047, "realized_annual_volatility_pct": 61.89385749026051, "trading_costs_quote_units": 22.356249950209985, "borrowing_costs_quote_units": 73.04903764038794, "price_pnl_quote_units": -6641.457521263783, "turnover_quote_units": 37260.41658368333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4370855008920955 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3671.7437534083338, "return_pct": -63.282562465916655, "cagr_pct": -63.32455291474619, "max_drawdown_pct": 69.63785309248219, "mean_exposure_while_solvent": 0.7761053434821086, "realized_annual_volatility_pct": 56.62726375009666, "trading_costs_quote_units": 19.32263478532254, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6308.933611806342, "turnover_quote_units": 32204.3913088709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 238, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3696.7334797233643, "return_pct": -63.03266520276636, "cagr_pct": -63.07465539294325, "max_drawdown_pct": 69.43120965750629, "mean_exposure_while_solvent": 0.7787370360995287, "realized_annual_volatility_pct": 56.77357363052319, "trading_costs_quote_units": 18.259278770512264, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6285.007241506128, "turnover_quote_units": 30432.131284187126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.24989726315029515 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3263.13719114562, "return_pct": -67.3686280885438, "cagr_pct": -67.41033706989998, "max_drawdown_pct": 74.5297989774865, "mean_exposure_while_solvent": 0.8258350555306047, "realized_annual_volatility_pct": 61.89385749026051, "trading_costs_quote_units": 22.356249950209985, "borrowing_costs_quote_units": 73.04903764038794, "price_pnl_quote_units": -6641.457521263783, "turnover_quote_units": 37260.41658368333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3263.13719114562, "return_pct": -67.3686280885438, "cagr_pct": -67.41033706989998, "max_drawdown_pct": 74.5297989774865, "mean_exposure_while_solvent": 0.8258350555306047, "realized_annual_volatility_pct": 61.89385749026051, "trading_costs_quote_units": 22.356249950209985, "borrowing_costs_quote_units": 73.04903764038794, "price_pnl_quote_units": -6641.457521263783, "turnover_quote_units": 37260.41658368333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3219.428641056409, "return_pct": -67.8057135894359, "cagr_pct": -67.84735908216992, "max_drawdown_pct": 74.87096316763933, "mean_exposure_while_solvent": 0.8325665675121198, "realized_annual_volatility_pct": 61.966617205051996, "trading_costs_quote_units": 23.45382737152706, "borrowing_costs_quote_units": 84.28491876247192, "price_pnl_quote_units": -6672.832612809583, "turnover_quote_units": 39089.7122858784, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3263.13719114562, "return_pct": -67.3686280885438, "cagr_pct": -67.41033706989998, "max_drawdown_pct": 74.5297989774865, "mean_exposure_while_solvent": 0.8258350555306047, "realized_annual_volatility_pct": 61.89385749026051, "trading_costs_quote_units": 22.356249950209985, "borrowing_costs_quote_units": 73.04903764038794, "price_pnl_quote_units": -6641.457521263783, "turnover_quote_units": 37260.41658368333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4370855008920955 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4116.22027685377, "return_pct": -58.8377972314623, "cagr_pct": -58.879504752492664, "max_drawdown_pct": 70.01783714728853, "mean_exposure_while_solvent": 0.7486364927384767, "realized_annual_volatility_pct": 65.48050498528717, "trading_costs_quote_units": 13.353349208134324, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5870.4263739381, "turnover_quote_units": 22255.582013557214, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4116.22027685377, "return_pct": -58.8377972314623, "cagr_pct": -58.879504752492664, "max_drawdown_pct": 70.01783714728853, "mean_exposure_while_solvent": 0.7486364927384767, "realized_annual_volatility_pct": 65.48050498528717, "trading_costs_quote_units": 13.353349208134324, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5870.4263739381, "turnover_quote_units": 22255.582013557214, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2783.5273406109086, "return_pct": -72.16472659389092, "cagr_pct": -72.2053519995115, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.998628257887517, "realized_annual_volatility_pct": 87.53348519235614, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7210.476257230389, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2783.5273406109086, "return_pct": -72.16472659389092, "cagr_pct": -72.2053519995115, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.998628257887517, "realized_annual_volatility_pct": 87.53348519235614, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7210.476257230389, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1697.295959795285, "return_pct": -83.02704040204715, "cagr_pct": -83.06138474285389, "max_drawdown_pct": 89.79412961646625, "mean_exposure_while_solvent": 1.249055852415581, "realized_annual_volatility_pct": 109.79333797442452, "trading_costs_quote_units": 18.080522441695905, "borrowing_costs_quote_units": 228.56156101577017, "price_pnl_quote_units": -8056.061956747258, "turnover_quote_units": 30134.204069493233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1697.295959795285, "return_pct": -83.02704040204715, "cagr_pct": -83.06138474285389, "max_drawdown_pct": 89.79412961646625, "mean_exposure_while_solvent": 1.249055852415581, "realized_annual_volatility_pct": 109.79333797442452, "trading_costs_quote_units": 18.080522441695905, "borrowing_costs_quote_units": 228.56156101577017, "price_pnl_quote_units": -8056.061956747258, "turnover_quote_units": 30134.204069493233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 982.3587357406013, "return_pct": -90.17641264259399, "cagr_pct": -90.20241117678441, "max_drawdown_pct": 94.59843335696227, "mean_exposure_while_solvent": 1.4999663961822491, "realized_annual_volatility_pct": 132.3148001273406, "trading_costs_quote_units": 30.093841940534325, "borrowing_costs_quote_units": 364.98707663571815, "price_pnl_quote_units": -8622.560345683149, "turnover_quote_units": 50156.40323422392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 982.3587357406013, "return_pct": -90.17641264259399, "cagr_pct": -90.20241117678441, "max_drawdown_pct": 94.59843335696227, "mean_exposure_while_solvent": 1.4999663961822491, "realized_annual_volatility_pct": 132.3148001273406, "trading_costs_quote_units": 30.093841940534325, "borrowing_costs_quote_units": 364.98707663571815, "price_pnl_quote_units": -8622.560345683149, "turnover_quote_units": 50156.40323422392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4090.8095047352363, "return_pct": -59.091904952647646, "cagr_pct": -59.13364401755623, "max_drawdown_pct": 63.84680308682707, "mean_exposure_while_solvent": 0.6127521898226633, "realized_annual_volatility_pct": 42.89397740551967, "trading_costs_quote_units": 144.62499164726165, "borrowing_costs_quote_units": 12.40280753017876, "price_pnl_quote_units": -5752.162696087311, "turnover_quote_units": 48208.33054908719, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4165.487835635823, "return_pct": -58.34512164364176, "cagr_pct": -58.38676291095233, "max_drawdown_pct": 63.18682114460492, "mean_exposure_while_solvent": 0.6416085812410212, "realized_annual_volatility_pct": 44.70228486693444, "trading_costs_quote_units": 151.83598475023754, "borrowing_costs_quote_units": 12.629222611047934, "price_pnl_quote_units": -5670.046957002885, "turnover_quote_units": 50611.99491674591, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.7467833090058846 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2768.9869661417006, "return_pct": -72.31013033858301, "cagr_pct": -72.35070891347999, "max_drawdown_pct": 76.91265781203434, "mean_exposure_while_solvent": 0.864192783640303, "realized_annual_volatility_pct": 61.525760223250494, "trading_costs_quote_units": 146.3609258848824, "borrowing_costs_quote_units": 24.184738273660603, "price_pnl_quote_units": -7060.467369699768, "turnover_quote_units": 48786.97529496092, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2830.7228025824784, "return_pct": -71.69277197417522, "cagr_pct": -71.73354343167853, "max_drawdown_pct": 76.39791491197853, "mean_exposure_while_solvent": 0.8663565733869434, "realized_annual_volatility_pct": 61.56102839594063, "trading_costs_quote_units": 137.38945952483812, "borrowing_costs_quote_units": 24.52538742180859, "price_pnl_quote_units": -7007.362350470874, "turnover_quote_units": 45796.486508279464, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.6173583644077922 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2001.1446615335274, "return_pct": -79.98855338466473, "cagr_pct": -80.02528953149086, "max_drawdown_pct": 84.22055593188584, "mean_exposure_while_solvent": 1.0793869201450705, "realized_annual_volatility_pct": 78.47056969649338, "trading_costs_quote_units": 156.56113842365235, "borrowing_costs_quote_units": 52.18950743882953, "price_pnl_quote_units": -7790.104692604009, "turnover_quote_units": 52187.04614121754, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2060.455817892001, "return_pct": -79.39544182108, "cagr_pct": -79.43258070889448, "max_drawdown_pct": 83.75287506284937, "mean_exposure_while_solvent": 1.0548685181379092, "realized_annual_volatility_pct": 77.08212010213752, "trading_costs_quote_units": 152.39374721051607, "borrowing_costs_quote_units": 47.0078926045233, "price_pnl_quote_units": -7740.142542292963, "turnover_quote_units": 50797.91573683871, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.5931115635847277 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3003.4920898843975, "return_pct": -69.96507910115602, "cagr_pct": -70.0063096685289, "max_drawdown_pct": 75.95494335034186, "mean_exposure_while_solvent": 0.892694680821828, "realized_annual_volatility_pct": 61.56595139227068, "trading_costs_quote_units": 214.2525853924311, "borrowing_costs_quote_units": 27.507103612388462, "price_pnl_quote_units": -6754.748221110791, "turnover_quote_units": 71417.5284641437, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3034.1661467254435, "return_pct": -69.65833853274557, "cagr_pct": -69.69963855762265, "max_drawdown_pct": 75.70937605322733, "mean_exposure_while_solvent": 0.8966350066642169, "realized_annual_volatility_pct": 61.76091017669868, "trading_costs_quote_units": 209.8899227621422, "borrowing_costs_quote_units": 27.738022663879434, "price_pnl_quote_units": -6728.205907848535, "turnover_quote_units": 69963.30758738078, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.30674056841044717 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3169.1611923334235, "return_pct": -68.30838807666578, "cagr_pct": -68.34995217003814, "max_drawdown_pct": 74.98347333553872, "mean_exposure_while_solvent": 0.833563348302385, "realized_annual_volatility_pct": 62.10498598557561, "trading_costs_quote_units": 116.48561190222985, "borrowing_costs_quote_units": 20.76547278742207, "price_pnl_quote_units": -6693.587722976916, "turnover_quote_units": 38828.53730074332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3209.4320480689967, "return_pct": -67.90567951931004, "cagr_pct": -67.9473095427322, "max_drawdown_pct": 74.66558576997508, "mean_exposure_while_solvent": 0.8268211544155496, "realized_annual_volatility_pct": 62.02830195806073, "trading_costs_quote_units": 110.66122452895782, "borrowing_costs_quote_units": 18.002193335784057, "price_pnl_quote_units": -6661.9045340662415, "turnover_quote_units": 36887.074842985916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4027085573557372 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3574.0540824264517, "return_pct": -64.25945917573547, "cagr_pct": -64.30143187251109, "max_drawdown_pct": 70.20014517646797, "mean_exposure_while_solvent": 0.776997924174908, "realized_annual_volatility_pct": 56.58268587049833, "trading_costs_quote_units": 97.05134032119864, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6328.894577252358, "turnover_quote_units": 32350.446773732878, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 239, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3602.3839682370544, "return_pct": -63.97616031762945, "cagr_pct": -64.01814126551095, "max_drawdown_pct": 69.96393540883344, "mean_exposure_while_solvent": 0.7796185067376966, "realized_annual_volatility_pct": 56.730541090822406, "trading_costs_quote_units": 91.27518301186579, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6306.340848751077, "turnover_quote_units": 30425.061003955252, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 214, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.28329885810602207 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3209.4320480689967, "return_pct": -67.90567951931004, "cagr_pct": -67.9473095427322, "max_drawdown_pct": 74.66558576997508, "mean_exposure_while_solvent": 0.8268211544155496, "realized_annual_volatility_pct": 62.02830195806073, "trading_costs_quote_units": 110.66122452895782, "borrowing_costs_quote_units": 18.002193335784057, "price_pnl_quote_units": -6661.9045340662415, "turnover_quote_units": 36887.074842985916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3209.4320480689967, "return_pct": -67.90567951931004, "cagr_pct": -67.9473095427322, "max_drawdown_pct": 74.66558576997508, "mean_exposure_while_solvent": 0.8268211544155496, "realized_annual_volatility_pct": 62.02830195806073, "trading_costs_quote_units": 110.66122452895782, "borrowing_costs_quote_units": 18.002193335784057, "price_pnl_quote_units": -6661.9045340662415, "turnover_quote_units": 36887.074842985916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3169.1611923334235, "return_pct": -68.30838807666578, "cagr_pct": -68.34995217003814, "max_drawdown_pct": 74.98347333553872, "mean_exposure_while_solvent": 0.833563348302385, "realized_annual_volatility_pct": 62.10498598557561, "trading_costs_quote_units": 116.48561190222985, "borrowing_costs_quote_units": 20.76547278742207, "price_pnl_quote_units": -6693.587722976916, "turnover_quote_units": 38828.53730074332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3209.4320480689967, "return_pct": -67.90567951931004, "cagr_pct": -67.9473095427322, "max_drawdown_pct": 74.66558576997508, "mean_exposure_while_solvent": 0.8268211544155496, "realized_annual_volatility_pct": 62.02830195806073, "trading_costs_quote_units": 110.66122452895782, "borrowing_costs_quote_units": 18.002193335784057, "price_pnl_quote_units": -6661.9045340662415, "turnover_quote_units": 36887.074842985916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4027085573557372 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4033.0850570862685, "return_pct": -59.66914942913731, "cagr_pct": -59.710953433340144, "max_drawdown_pct": 70.0411825079089, "mean_exposure_while_solvent": 0.7495505029241744, "realized_annual_volatility_pct": 65.45918436149299, "trading_costs_quote_units": 68.60876083393782, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5898.306182079793, "turnover_quote_units": 22869.586944645915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4033.0850570862685, "return_pct": -59.66914942913731, "cagr_pct": -59.710953433340144, "max_drawdown_pct": 70.0411825079089, "mean_exposure_while_solvent": 0.7495505029241744, "realized_annual_volatility_pct": 65.45918436149299, "trading_costs_quote_units": 68.60876083393782, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5898.306182079793, "turnover_quote_units": 22869.586944645915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2706.230776506846, "return_pct": -72.93769223493155, "cagr_pct": -72.97805862951382, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9995427526291722, "realized_annual_volatility_pct": 87.56504979876524, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7263.858954300723, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2706.230776506846, "return_pct": -72.93769223493155, "cagr_pct": -72.97805862951382, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9995427526291722, "realized_annual_volatility_pct": 87.56504979876524, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7263.858954300723, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1665.558174335637, "return_pct": -83.34441825664362, "cagr_pct": -83.37847872000172, "max_drawdown_pct": 89.60697977488223, "mean_exposure_while_solvent": 1.2497595392208423, "realized_annual_volatility_pct": 109.91762812348055, "trading_costs_quote_units": 91.6684734322637, "borrowing_costs_quote_units": 55.57170991406125, "price_pnl_quote_units": -8187.201642318059, "turnover_quote_units": 30556.157810754536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1665.558174335637, "return_pct": -83.34441825664362, "cagr_pct": -83.37847872000172, "max_drawdown_pct": 89.60697977488223, "mean_exposure_while_solvent": 1.2497595392208423, "realized_annual_volatility_pct": 109.91762812348055, "trading_costs_quote_units": 91.6684734322637, "borrowing_costs_quote_units": 55.57170991406125, "price_pnl_quote_units": -8187.201642318059, "turnover_quote_units": 30556.157810754536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 963.1695837317759, "return_pct": -90.36830416268225, "cagr_pct": -90.39401127100338, "max_drawdown_pct": 94.4462701836604, "mean_exposure_while_solvent": 1.500274722711186, "realized_annual_volatility_pct": 132.56047279337065, "trading_costs_quote_units": 151.88782471892387, "borrowing_costs_quote_units": 88.27890475448089, "price_pnl_quote_units": -8796.66368679483, "turnover_quote_units": 50629.274906308056, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 963.1695837317759, "return_pct": -90.36830416268225, "cagr_pct": -90.39401127100338, "max_drawdown_pct": 94.4462701836604, "mean_exposure_while_solvent": 1.500274722711186, "realized_annual_volatility_pct": 132.56047279337065, "trading_costs_quote_units": 151.88782471892387, "borrowing_costs_quote_units": 88.27890475448089, "price_pnl_quote_units": -8796.66368679483, "turnover_quote_units": 50629.274906308056, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4083.3471884326723, "return_pct": -59.16652811567328, "cagr_pct": -59.20827610202106, "max_drawdown_pct": 63.91275252553908, "mean_exposure_while_solvent": 0.6127551259410082, "realized_annual_volatility_pct": 42.89486711106481, "trading_costs_quote_units": 144.5786879966636, "borrowing_costs_quote_units": 24.785413969931042, "price_pnl_quote_units": -5747.288709600728, "turnover_quote_units": 48192.89599888779, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4157.889293648473, "return_pct": -58.42110706351528, "cagr_pct": -58.46275898524429, "max_drawdown_pct": 63.25397450004806, "mean_exposure_while_solvent": 0.6416115173593661, "realized_annual_volatility_pct": 44.70314197581536, "trading_costs_quote_units": 151.78883581966804, "borrowing_costs_quote_units": 25.237875357783995, "price_pnl_quote_units": -5665.0839951740745, "turnover_quote_units": 50596.27860655603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.7454210521580009 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2756.8769961055077, "return_pct": -72.43123003894492, "cagr_pct": -72.47176894565715, "max_drawdown_pct": 77.01362868171712, "mean_exposure_while_solvent": 0.864199846250103, "realized_annual_volatility_pct": 61.52724802294421, "trading_costs_quote_units": 146.2784982370801, "borrowing_costs_quote_units": 48.2729173792591, "price_pnl_quote_units": -7048.571588278157, "turnover_quote_units": 48759.49941236008, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2818.411242691535, "return_pct": -71.81588757308465, "cagr_pct": -71.85662180325384, "max_drawdown_pct": 76.50056660357025, "mean_exposure_while_solvent": 0.866363607981635, "realized_annual_volatility_pct": 61.56246066559605, "trading_costs_quote_units": 137.30962201391165, "borrowing_costs_quote_units": 48.953235243253765, "price_pnl_quote_units": -6995.325900051298, "turnover_quote_units": 45769.87400463723, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.615342465860266 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1979.8327076162932, "return_pct": -80.20167292383707, "cagr_pct": -80.2382594867143, "max_drawdown_pct": 84.38860514456071, "mean_exposure_while_solvent": 1.0794041537934222, "realized_annual_volatility_pct": 78.47296121271008, "trading_costs_quote_units": 156.22566130793967, "borrowing_costs_quote_units": 103.88125754972944, "price_pnl_quote_units": -7760.060373526046, "turnover_quote_units": 52075.22043597992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2041.021780115193, "return_pct": -79.58978219884807, "cagr_pct": -79.62679129766137, "max_drawdown_pct": 83.90611651411044, "mean_exposure_while_solvent": 1.0548839185453411, "realized_annual_volatility_pct": 77.08434840475887, "trading_costs_quote_units": 152.10981167802066, "borrowing_costs_quote_units": 93.61913183457541, "price_pnl_quote_units": -7713.249276372217, "turnover_quote_units": 50703.27055934018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.6118907249889958 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2987.9675972000086, "return_pct": -70.12032402799991, "cagr_pct": -70.1615180811311, "max_drawdown_pct": 76.07922778155795, "mean_exposure_while_solvent": 0.8927030144958602, "realized_annual_volatility_pct": 61.566870083579914, "trading_costs_quote_units": 214.0903524367167, "borrowing_costs_quote_units": 54.88270371466617, "price_pnl_quote_units": -6743.059346648621, "turnover_quote_units": 71363.45081223892, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3018.4831055392547, "return_pct": -69.81516894460745, "cagr_pct": -69.85643390186908, "max_drawdown_pct": 75.83492977618563, "mean_exposure_while_solvent": 0.8966433403382491, "realized_annual_volatility_pct": 61.76182987234924, "trading_costs_quote_units": 209.73024297429717, "borrowing_costs_quote_units": 55.34323031882053, "price_pnl_quote_units": -6716.4434211676435, "turnover_quote_units": 69910.08099143236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.30515508339246367 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3158.908451400337, "return_pct": -68.41091548599663, "cagr_pct": -68.45246186364852, "max_drawdown_pct": 75.06440578149851, "mean_exposure_while_solvent": 0.8335685577692629, "realized_annual_volatility_pct": 62.106601500045414, "trading_costs_quote_units": 116.4249973863107, "borrowing_costs_quote_units": 41.47087375989594, "price_pnl_quote_units": -6683.195677453458, "turnover_quote_units": 38808.332462103535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3200.4051925238755, "return_pct": -67.99594807476124, "cagr_pct": -68.03756382404242, "max_drawdown_pct": 74.73684139843193, "mean_exposure_while_solvent": 0.8268258159594882, "realized_annual_volatility_pct": 62.02991244265803, "trading_costs_quote_units": 110.61785691944695, "borrowing_costs_quote_units": 35.959673341664285, "price_pnl_quote_units": -6653.0172772150245, "turnover_quote_units": 36872.61897314894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4149674112353807 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3574.0540824264517, "return_pct": -64.25945917573547, "cagr_pct": -64.30143187251109, "max_drawdown_pct": 70.20014517646797, "mean_exposure_while_solvent": 0.776997924174908, "realized_annual_volatility_pct": 56.58268587049833, "trading_costs_quote_units": 97.05134032119864, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6328.894577252358, "turnover_quote_units": 32350.446773732878, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 239, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3602.3839682370544, "return_pct": -63.97616031762945, "cagr_pct": -64.01814126551095, "max_drawdown_pct": 69.96393540883344, "mean_exposure_while_solvent": 0.7796185067376966, "realized_annual_volatility_pct": 56.730541090822406, "trading_costs_quote_units": 91.27518301186579, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6306.340848751077, "turnover_quote_units": 30425.061003955252, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 214, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.28329885810602207 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3200.4051925238755, "return_pct": -67.99594807476124, "cagr_pct": -68.03756382404242, "max_drawdown_pct": 74.73684139843193, "mean_exposure_while_solvent": 0.8268258159594882, "realized_annual_volatility_pct": 62.02991244265803, "trading_costs_quote_units": 110.61785691944695, "borrowing_costs_quote_units": 35.959673341664285, "price_pnl_quote_units": -6653.0172772150245, "turnover_quote_units": 36872.61897314894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3200.4051925238755, "return_pct": -67.99594807476124, "cagr_pct": -68.03756382404242, "max_drawdown_pct": 74.73684139843193, "mean_exposure_while_solvent": 0.8268258159594882, "realized_annual_volatility_pct": 62.02991244265803, "trading_costs_quote_units": 110.61785691944695, "borrowing_costs_quote_units": 35.959673341664285, "price_pnl_quote_units": -6653.0172772150245, "turnover_quote_units": 36872.61897314894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3158.908451400337, "return_pct": -68.41091548599663, "cagr_pct": -68.45246186364852, "max_drawdown_pct": 75.06440578149851, "mean_exposure_while_solvent": 0.8335685577692629, "realized_annual_volatility_pct": 62.106601500045414, "trading_costs_quote_units": 116.4249973863107, "borrowing_costs_quote_units": 41.47087375989594, "price_pnl_quote_units": -6683.195677453458, "turnover_quote_units": 38808.332462103535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3200.4051925238755, "return_pct": -67.99594807476124, "cagr_pct": -68.03756382404242, "max_drawdown_pct": 74.73684139843193, "mean_exposure_while_solvent": 0.8268258159594882, "realized_annual_volatility_pct": 62.02991244265803, "trading_costs_quote_units": 110.61785691944695, "borrowing_costs_quote_units": 35.959673341664285, "price_pnl_quote_units": -6653.0172772150245, "turnover_quote_units": 36872.61897314894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4149674112353807 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4033.0850570862685, "return_pct": -59.66914942913731, "cagr_pct": -59.710953433340144, "max_drawdown_pct": 70.0411825079089, "mean_exposure_while_solvent": 0.7495505029241744, "realized_annual_volatility_pct": 65.45918436149299, "trading_costs_quote_units": 68.60876083393782, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5898.306182079793, "turnover_quote_units": 22869.586944645915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4033.0850570862685, "return_pct": -59.66914942913731, "cagr_pct": -59.710953433340144, "max_drawdown_pct": 70.0411825079089, "mean_exposure_while_solvent": 0.7495505029241744, "realized_annual_volatility_pct": 65.45918436149299, "trading_costs_quote_units": 68.60876083393782, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5898.306182079793, "turnover_quote_units": 22869.586944645915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2706.230776506846, "return_pct": -72.93769223493155, "cagr_pct": -72.97805862951382, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9995427526291722, "realized_annual_volatility_pct": 87.56504979876524, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7263.858954300723, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2706.230776506846, "return_pct": -72.93769223493155, "cagr_pct": -72.97805862951382, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9995427526291722, "realized_annual_volatility_pct": 87.56504979876524, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7263.858954300723, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1644.7561822393957, "return_pct": -83.55243817760605, "cagr_pct": -83.58630884259736, "max_drawdown_pct": 89.72919657417337, "mean_exposure_while_solvent": 1.249777406606023, "realized_annual_volatility_pct": 109.91998741405004, "trading_costs_quote_units": 91.46435739013903, "borrowing_costs_quote_units": 110.60628665198914, "price_pnl_quote_units": -8153.173173718468, "turnover_quote_units": 30488.119130046387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1644.7561822393957, "return_pct": -83.55243817760605, "cagr_pct": -83.58630884259736, "max_drawdown_pct": 89.72919657417337, "mean_exposure_while_solvent": 1.249777406606023, "realized_annual_volatility_pct": 109.91998741405004, "trading_costs_quote_units": 91.46435739013903, "borrowing_costs_quote_units": 110.60628665198914, "price_pnl_quote_units": -8153.173173718468, "turnover_quote_units": 30488.119130046387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 939.2029456862206, "return_pct": -90.6079705431378, "cagr_pct": -90.63330753651393, "max_drawdown_pct": 94.57647412151611, "mean_exposure_while_solvent": 1.5003176965304166, "realized_annual_volatility_pct": 132.56625106379843, "trading_costs_quote_units": 151.17034988337028, "borrowing_costs_quote_units": 174.99461695502157, "price_pnl_quote_units": -8734.632087475395, "turnover_quote_units": 50390.11662779008, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 939.2029456862206, "return_pct": -90.6079705431378, "cagr_pct": -90.63330753651393, "max_drawdown_pct": 94.57647412151611, "mean_exposure_while_solvent": 1.5003176965304166, "realized_annual_volatility_pct": 132.56625106379843, "trading_costs_quote_units": 151.17034988337028, "borrowing_costs_quote_units": 174.99461695502157, "price_pnl_quote_units": -8734.632087475395, "turnover_quote_units": 50390.11662779008, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4068.4595573653532, "return_pct": -59.31540442634646, "cagr_pct": -59.357169745680224, "max_drawdown_pct": 64.04432439583134, "mean_exposure_while_solvent": 0.6127609993468599, "realized_annual_volatility_pct": 42.89665811833589, "trading_costs_quote_units": 144.48622579244486, "borrowing_costs_quote_units": 49.49014053711882, "price_pnl_quote_units": -5737.564076305072, "turnover_quote_units": 48162.07526414823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4142.729886680103, "return_pct": -58.57270113319897, "cagr_pct": -58.61437383676918, "max_drawdown_pct": 63.38794823423931, "mean_exposure_while_solvent": 0.6416173907652177, "realized_annual_volatility_pct": 44.70486732628101, "trading_costs_quote_units": 151.69468570427338, "borrowing_costs_quote_units": 50.39359035238633, "price_pnl_quote_units": -5655.181837263232, "turnover_quote_units": 50564.89523475776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.7427032931474926 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2732.8063749811276, "return_pct": -72.67193625018874, "cagr_pct": -72.71239450373427, "max_drawdown_pct": 77.21432542510041, "mean_exposure_while_solvent": 0.864213974299299, "realized_annual_volatility_pct": 61.53024101555176, "trading_costs_quote_units": 146.1208359940628, "borrowing_costs_quote_units": 96.16103922540718, "price_pnl_quote_units": -7024.911749799403, "turnover_quote_units": 48706.94533135428, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2793.9390091515565, "return_pct": -72.06060990848444, "cagr_pct": -72.10126831429649, "max_drawdown_pct": 76.70461192294152, "mean_exposure_while_solvent": 0.8663776799945815, "realized_annual_volatility_pct": 61.565342602326986, "trading_costs_quote_units": 137.1572881249871, "borrowing_costs_quote_units": 97.51775775668628, "price_pnl_quote_units": -6971.385944966771, "turnover_quote_units": 45719.09604166231, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.6113263417042987 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1937.8743743991447, "return_pct": -80.62125625600855, "cagr_pct": -80.657540644017, "max_drawdown_pct": 84.71945537489034, "mean_exposure_while_solvent": 1.0794386279178385, "realized_annual_volatility_pct": 78.47776519169042, "trading_costs_quote_units": 155.56568564258222, "borrowing_costs_quote_units": 205.79101180379044, "price_pnl_quote_units": -7700.768928154478, "turnover_quote_units": 51855.22854752747, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2002.689688059793, "return_pct": -79.97310311940207, "cagr_pct": -80.00985000939686, "max_drawdown_pct": 84.20837307468236, "mean_exposure_while_solvent": 1.0549147255643094, "realized_annual_volatility_pct": 77.08882712206695, "trading_costs_quote_units": 151.55152368223278, "borrowing_costs_quote_units": 185.66534812720906, "price_pnl_quote_units": -7660.093440130763, "turnover_quote_units": 50517.174560744286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.6481531366064814 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2957.1476333746728, "return_pct": -70.42852366625327, "cagr_pct": -70.46964249581032, "max_drawdown_pct": 76.32596316621786, "mean_exposure_while_solvent": 0.8927196851633054, "realized_annual_volatility_pct": 61.56872664140145, "trading_costs_quote_units": 213.77329970359173, "borrowing_costs_quote_units": 109.24183247301936, "price_pnl_quote_units": -6719.837234448701, "turnover_quote_units": 71257.76656786386, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2987.3483836609867, "return_pct": -70.12651616339014, "cagr_pct": -70.16770874103761, "max_drawdown_pct": 76.0841850193926, "mean_exposure_while_solvent": 0.8966600110056943, "realized_annual_volatility_pct": 61.76368838111481, "trading_costs_quote_units": 209.41836420315164, "borrowing_costs_quote_units": 110.1576645337794, "price_pnl_quote_units": -6693.075587602074, "turnover_quote_units": 69806.12140105055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.30200750286313394 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3138.4962876229274, "return_pct": -68.61503712377073, "cagr_pct": -68.6565470986977, "max_drawdown_pct": 75.22553404491794, "mean_exposure_while_solvent": 0.8335789787847926, "realized_annual_volatility_pct": 62.10984584570909, "trading_costs_quote_units": 116.30589392652408, "borrowing_costs_quote_units": 82.70210734265687, "price_pnl_quote_units": -6662.49571110789, "turnover_quote_units": 38768.63130884134, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3182.421943805547, "return_pct": -68.17578056194453, "cagr_pct": -68.21736700702341, "max_drawdown_pct": 74.87879644387552, "mean_exposure_while_solvent": 0.8268351409920608, "realized_annual_volatility_pct": 62.03314669121054, "trading_costs_quote_units": 110.53314811058489, "borrowing_costs_quote_units": 71.74089484565928, "price_pnl_quote_units": -6635.304013238209, "turnover_quote_units": 36844.38270352826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4392565618261983 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3574.0540824264517, "return_pct": -64.25945917573547, "cagr_pct": -64.30143187251109, "max_drawdown_pct": 70.20014517646797, "mean_exposure_while_solvent": 0.776997924174908, "realized_annual_volatility_pct": 56.58268587049833, "trading_costs_quote_units": 97.05134032119864, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6328.894577252358, "turnover_quote_units": 32350.446773732878, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 239, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3602.3839682370544, "return_pct": -63.97616031762945, "cagr_pct": -64.01814126551095, "max_drawdown_pct": 69.96393540883344, "mean_exposure_while_solvent": 0.7796185067376966, "realized_annual_volatility_pct": 56.730541090822406, "trading_costs_quote_units": 91.27518301186579, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6306.340848751077, "turnover_quote_units": 30425.061003955252, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 214, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.28329885810602207 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3182.421943805547, "return_pct": -68.17578056194453, "cagr_pct": -68.21736700702341, "max_drawdown_pct": 74.87879644387552, "mean_exposure_while_solvent": 0.8268351409920608, "realized_annual_volatility_pct": 62.03314669121054, "trading_costs_quote_units": 110.53314811058489, "borrowing_costs_quote_units": 71.74089484565928, "price_pnl_quote_units": -6635.304013238209, "turnover_quote_units": 36844.38270352826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3182.421943805547, "return_pct": -68.17578056194453, "cagr_pct": -68.21736700702341, "max_drawdown_pct": 74.87879644387552, "mean_exposure_while_solvent": 0.8268351409920608, "realized_annual_volatility_pct": 62.03314669121054, "trading_costs_quote_units": 110.53314811058489, "borrowing_costs_quote_units": 71.74089484565928, "price_pnl_quote_units": -6635.304013238209, "turnover_quote_units": 36844.38270352826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3138.4962876229274, "return_pct": -68.61503712377073, "cagr_pct": -68.6565470986977, "max_drawdown_pct": 75.22553404491794, "mean_exposure_while_solvent": 0.8335789787847926, "realized_annual_volatility_pct": 62.10984584570909, "trading_costs_quote_units": 116.30589392652408, "borrowing_costs_quote_units": 82.70210734265687, "price_pnl_quote_units": -6662.49571110789, "turnover_quote_units": 38768.63130884134, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3182.421943805547, "return_pct": -68.17578056194453, "cagr_pct": -68.21736700702341, "max_drawdown_pct": 74.87879644387552, "mean_exposure_while_solvent": 0.8268351409920608, "realized_annual_volatility_pct": 62.03314669121054, "trading_costs_quote_units": 110.53314811058489, "borrowing_costs_quote_units": 71.74089484565928, "price_pnl_quote_units": -6635.304013238209, "turnover_quote_units": 36844.38270352826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4392565618261983 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4033.0850570862685, "return_pct": -59.66914942913731, "cagr_pct": -59.710953433340144, "max_drawdown_pct": 70.0411825079089, "mean_exposure_while_solvent": 0.7495505029241744, "realized_annual_volatility_pct": 65.45918436149299, "trading_costs_quote_units": 68.60876083393782, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5898.306182079793, "turnover_quote_units": 22869.586944645915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4033.0850570862685, "return_pct": -59.66914942913731, "cagr_pct": -59.710953433340144, "max_drawdown_pct": 70.0411825079089, "mean_exposure_while_solvent": 0.7495505029241744, "realized_annual_volatility_pct": 65.45918436149299, "trading_costs_quote_units": 68.60876083393782, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5898.306182079793, "turnover_quote_units": 22869.586944645915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2706.230776506846, "return_pct": -72.93769223493155, "cagr_pct": -72.97805862951382, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9995427526291722, "realized_annual_volatility_pct": 87.56504979876524, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7263.858954300723, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2706.230776506846, "return_pct": -72.93769223493155, "cagr_pct": -72.97805862951382, "max_drawdown_pct": 81.63733647425958, "mean_exposure_while_solvent": 0.9995427526291722, "realized_annual_volatility_pct": 87.56504979876524, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7263.858954300723, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1603.9185217252077, "return_pct": -83.96081478274793, "cagr_pct": -83.99430407547936, "max_drawdown_pct": 89.96939379236773, "mean_exposure_while_solvent": 1.2498131468901341, "realized_annual_volatility_pct": 109.92470732479399, "trading_costs_quote_units": 91.06224983601888, "borrowing_costs_quote_units": 219.0872893102504, "price_pnl_quote_units": -8085.931939128525, "turnover_quote_units": 30354.08327867289, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1603.9185217252077, "return_pct": -83.96081478274793, "cagr_pct": -83.99430407547936, "max_drawdown_pct": 89.96939379236773, "mean_exposure_while_solvent": 1.2498131468901341, "realized_annual_volatility_pct": 109.92470732479399, "trading_costs_quote_units": 91.06224983601888, "borrowing_costs_quote_units": 219.0872893102504, "price_pnl_quote_units": -8085.931939128525, "turnover_quote_units": 30354.08327867289, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 893.0303769321015, "return_pct": -91.06969623067899, "cagr_pct": -91.09430036430246, "max_drawdown_pct": 94.82787022811682, "mean_exposure_while_solvent": 1.5004036628935762, "realized_annual_volatility_pct": 132.57781200483038, "trading_costs_quote_units": 149.7662723993961, "borrowing_costs_quote_units": 343.86751771923133, "price_pnl_quote_units": -8613.335832949262, "turnover_quote_units": 49922.09079979871, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 893.0303769321015, "return_pct": -91.06969623067899, "cagr_pct": -91.09430036430246, "max_drawdown_pct": 94.82787022811682, "mean_exposure_while_solvent": 1.5004036628935762, "realized_annual_volatility_pct": 132.57781200483038, "trading_costs_quote_units": 149.7662723993961, "borrowing_costs_quote_units": 343.86751771923133, "price_pnl_quote_units": -8613.335832949262, "turnover_quote_units": 49922.09079979871, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4022.5089552099025, "return_pct": -59.77491044790098, "cagr_pct": -59.81672533116673, "max_drawdown_pct": 64.57739937158887, "mean_exposure_while_solvent": 0.6120317517634227, "realized_annual_volatility_pct": 43.2374548323777, "trading_costs_quote_units": 145.98258160125079, "borrowing_costs_quote_units": 12.522960617906401, "price_pnl_quote_units": -5818.985502570924, "turnover_quote_units": 48660.860533750194, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4088.2068815995817, "return_pct": -59.11793118400419, "cagr_pct": -59.15967337810437, "max_drawdown_pct": 63.99885711487065, "mean_exposure_while_solvent": 0.6409335657069808, "realized_annual_volatility_pct": 45.0474170899314, "trading_costs_quote_units": 152.68766961414283, "borrowing_costs_quote_units": 12.72749280267393, "price_pnl_quote_units": -5746.377955983594, "turnover_quote_units": 50895.88987138095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.6569792638967868 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2766.147231840201, "return_pct": -72.33852768159798, "cagr_pct": -72.37909700885061, "max_drawdown_pct": 77.08764224141109, "mean_exposure_while_solvent": 0.8632290874159656, "realized_annual_volatility_pct": 61.7629705821058, "trading_costs_quote_units": 145.0977337448445, "borrowing_costs_quote_units": 24.668972862260425, "price_pnl_quote_units": -7064.086061552688, "turnover_quote_units": 48365.91124828144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2813.945897708414, "return_pct": -71.86054102291585, "cagr_pct": -71.90126159930801, "max_drawdown_pct": 76.69171966717154, "mean_exposure_while_solvent": 0.865403227318234, "realized_annual_volatility_pct": 61.8304160039898, "trading_costs_quote_units": 136.56541568137757, "borrowing_costs_quote_units": 24.91073313860726, "price_pnl_quote_units": -7024.577953471612, "turnover_quote_units": 45521.80522712586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4779866586821271 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2079.762326712256, "return_pct": -79.20237673287744, "cagr_pct": -79.23964248643676, "max_drawdown_pct": 83.76995205178967, "mean_exposure_while_solvent": 1.078448179088436, "realized_annual_volatility_pct": 78.28358397787552, "trading_costs_quote_units": 152.81588774636475, "borrowing_costs_quote_units": 53.65012586478669, "price_pnl_quote_units": -7713.771659676577, "turnover_quote_units": 50938.62924878828, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2120.2696825767284, "return_pct": -78.79730317423271, "cagr_pct": -78.83482848130768, "max_drawdown_pct": 83.45384077335581, "mean_exposure_while_solvent": 1.053864636764787, "realized_annual_volatility_pct": 76.9552250264577, "trading_costs_quote_units": 149.8071980676371, "borrowing_costs_quote_units": 48.08380523694548, "price_pnl_quote_units": -7681.839314118671, "turnover_quote_units": 49935.732689212295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.40507355864473027 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3036.706908475126, "return_pct": -69.63293091524874, "cagr_pct": -69.67423653407461, "max_drawdown_pct": 75.83341785535531, "mean_exposure_while_solvent": 0.8919137751660481, "realized_annual_volatility_pct": 61.87460085165116, "trading_costs_quote_units": 219.98021344688343, "borrowing_costs_quote_units": 28.62469085143941, "price_pnl_quote_units": -6714.688187226553, "turnover_quote_units": 73326.73781562789, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3061.1129646233235, "return_pct": -69.38887035376676, "cagr_pct": -69.43022847347903, "max_drawdown_pct": 75.63919069464839, "mean_exposure_while_solvent": 0.8958724471577427, "realized_annual_volatility_pct": 62.066031763722364, "trading_costs_quote_units": 215.4660023942489, "borrowing_costs_quote_units": 28.813951944703827, "price_pnl_quote_units": -6694.607081037728, "turnover_quote_units": 71822.00079808304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 351, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.24406056148197308 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3209.102332872759, "return_pct": -67.90897667127241, "cagr_pct": -67.95060617842316, "max_drawdown_pct": 74.90997348875753, "mean_exposure_while_solvent": 0.8325510146602337, "realized_annual_volatility_pct": 61.96729436016698, "trading_costs_quote_units": 116.78453812496849, "borrowing_costs_quote_units": 20.96319158560828, "price_pnl_quote_units": -6653.149937416662, "turnover_quote_units": 38928.179374989544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3250.602929064032, "return_pct": -67.49397070935967, "cagr_pct": -67.53566217179008, "max_drawdown_pct": 74.58550547538032, "mean_exposure_while_solvent": 0.8258211469899759, "realized_annual_volatility_pct": 61.89464155145337, "trading_costs_quote_units": 111.3070821666304, "borrowing_costs_quote_units": 18.165680270102385, "price_pnl_quote_units": -6619.924308499234, "turnover_quote_units": 37102.36072221018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4150059619127404 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3634.2064840149824, "return_pct": -63.657935159850176, "cagr_pct": -63.69992234276555, "max_drawdown_pct": 69.89739440769391, "mean_exposure_while_solvent": 0.7761053434821086, "realized_annual_volatility_pct": 56.623236300084514, "trading_costs_quote_units": 96.16402998254085, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6269.629486002461, "turnover_quote_units": 32054.676660846977, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 238, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3661.445967259438, "return_pct": -63.38554032740562, "cagr_pct": -63.42753031843118, "max_drawdown_pct": 69.67176622056346, "mean_exposure_while_solvent": 0.7787370360995287, "realized_annual_volatility_pct": 56.76957459671902, "trading_costs_quote_units": 90.89616996404506, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6247.657862776498, "turnover_quote_units": 30298.72332134837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.2723948324445544 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3250.602929064032, "return_pct": -67.49397070935967, "cagr_pct": -67.53566217179008, "max_drawdown_pct": 74.58550547538032, "mean_exposure_while_solvent": 0.8258211469899759, "realized_annual_volatility_pct": 61.89464155145337, "trading_costs_quote_units": 111.3070821666304, "borrowing_costs_quote_units": 18.165680270102385, "price_pnl_quote_units": -6619.924308499234, "turnover_quote_units": 37102.36072221018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3250.602929064032, "return_pct": -67.49397070935967, "cagr_pct": -67.53566217179008, "max_drawdown_pct": 74.58550547538032, "mean_exposure_while_solvent": 0.8258211469899759, "realized_annual_volatility_pct": 61.89464155145337, "trading_costs_quote_units": 111.3070821666304, "borrowing_costs_quote_units": 18.165680270102385, "price_pnl_quote_units": -6619.924308499234, "turnover_quote_units": 37102.36072221018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3209.102332872759, "return_pct": -67.90897667127241, "cagr_pct": -67.95060617842316, "max_drawdown_pct": 74.90997348875753, "mean_exposure_while_solvent": 0.8325510146602337, "realized_annual_volatility_pct": 61.96729436016698, "trading_costs_quote_units": 116.78453812496849, "borrowing_costs_quote_units": 20.96319158560828, "price_pnl_quote_units": -6653.149937416662, "turnover_quote_units": 38928.179374989544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3250.602929064032, "return_pct": -67.49397070935967, "cagr_pct": -67.53566217179008, "max_drawdown_pct": 74.58550547538032, "mean_exposure_while_solvent": 0.8258211469899759, "realized_annual_volatility_pct": 61.89464155145337, "trading_costs_quote_units": 111.3070821666304, "borrowing_costs_quote_units": 18.165680270102385, "price_pnl_quote_units": -6619.924308499234, "turnover_quote_units": 37102.36072221018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4150059619127404 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4087.806346016505, "return_pct": -59.12193653983495, "cagr_pct": -59.163679213827905, "max_drawdown_pct": 70.16030629909197, "mean_exposure_while_solvent": 0.7486364927384767, "realized_annual_volatility_pct": 65.48071632427519, "trading_costs_quote_units": 66.54058860940415, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5845.653065374076, "turnover_quote_units": 22180.196203134696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4087.806346016505, "return_pct": -59.12193653983495, "cagr_pct": -59.163679213827905, "max_drawdown_pct": 70.16030629909197, "mean_exposure_while_solvent": 0.7486364927384767, "realized_annual_volatility_pct": 65.48071632427519, "trading_costs_quote_units": 66.54058860940415, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5845.653065374076, "turnover_quote_units": 22180.196203134696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2776.8668564459376, "return_pct": -72.23133143554062, "cagr_pct": -72.27193549740214, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.998628257887517, "realized_annual_volatility_pct": 87.53382097518528, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7193.222874361643, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2776.8668564459376, "return_pct": -72.23133143554062, "cagr_pct": -72.27193549740214, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.998628257887517, "realized_annual_volatility_pct": 87.53382097518528, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7193.222874361643, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1742.0559848097528, "return_pct": -82.57944015190247, "cagr_pct": -82.6141733658038, "max_drawdown_pct": 89.51018022401956, "mean_exposure_while_solvent": 1.2490019526280711, "realized_annual_volatility_pct": 109.78851626324415, "trading_costs_quote_units": 90.50969139177528, "borrowing_costs_quote_units": 57.56481590577642, "price_pnl_quote_units": -8109.869507892702, "turnover_quote_units": 30169.897130591766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1742.0559848097528, "return_pct": -82.57944015190247, "cagr_pct": -82.6141733658038, "max_drawdown_pct": 89.51018022401956, "mean_exposure_while_solvent": 1.2490019526280711, "realized_annual_volatility_pct": 109.78851626324415, "trading_costs_quote_units": 90.50969139177528, "borrowing_costs_quote_units": 57.56481590577642, "price_pnl_quote_units": -8109.869507892702, "turnover_quote_units": 30169.897130591766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1033.7901904967193, "return_pct": -89.6620980950328, "cagr_pct": -89.68885686114078, "max_drawdown_pct": 94.31181090649515, "mean_exposure_while_solvent": 1.49983663500404, "realized_annual_volatility_pct": 132.3040832072113, "trading_costs_quote_units": 151.19112508475652, "borrowing_costs_quote_units": 92.52398478094568, "price_pnl_quote_units": -8722.494699637586, "turnover_quote_units": 50397.04169491879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1033.7901904967193, "return_pct": -89.6620980950328, "cagr_pct": -89.68885686114078, "max_drawdown_pct": 94.31181090649515, "mean_exposure_while_solvent": 1.49983663500404, "realized_annual_volatility_pct": 132.3040832072113, "trading_costs_quote_units": 151.19112508475652, "borrowing_costs_quote_units": 92.52398478094568, "price_pnl_quote_units": -8722.494699637586, "turnover_quote_units": 50397.04169491879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4015.158978581775, "return_pct": -59.84841021418226, "cagr_pct": -59.890232470959795, "max_drawdown_pct": 64.6421239724848, "mean_exposure_while_solvent": 0.61203469011459, "realized_annual_volatility_pct": 43.238342497301076, "trading_costs_quote_units": 145.9373659971366, "borrowing_costs_quote_units": 25.025550361433744, "price_pnl_quote_units": -5813.878105059657, "turnover_quote_units": 48645.78866571223, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4080.7368609320556, "return_pct": -59.19263139067945, "cagr_pct": -59.23438246099851, "max_drawdown_pct": 64.06463883511991, "mean_exposure_while_solvent": 0.6409365040581481, "realized_annual_volatility_pct": 45.04827211050242, "trading_costs_quote_units": 152.64171552281502, "borrowing_costs_quote_units": 25.434282022149407, "price_pnl_quote_units": -5741.187141522976, "turnover_quote_units": 50880.57184093832, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.655778823502807 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2754.034333747, "return_pct": -72.45965666253001, "cagr_pct": -72.50018616972274, "max_drawdown_pct": 77.18797495378811, "mean_exposure_while_solvent": 0.8632361418818932, "realized_annual_volatility_pct": 61.76458241370084, "trading_costs_quote_units": 145.01336209994162, "borrowing_costs_quote_units": 49.23967912969256, "price_pnl_quote_units": -7051.7126250233705, "turnover_quote_units": 48337.78736664724, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2801.6897818073103, "return_pct": -71.9831021819269, "cagr_pct": -72.0237848663978, "max_drawdown_pct": 76.7932386713028, "mean_exposure_while_solvent": 0.8654102536793782, "realized_annual_volatility_pct": 61.83199236416277, "trading_costs_quote_units": 136.48371356509773, "borrowing_costs_quote_units": 49.722656609328936, "price_pnl_quote_units": -7012.10384801826, "turnover_quote_units": 45494.57118836594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.476554480603113 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2057.6147153076195, "return_pct": -79.42385284692381, "cagr_pct": -79.46097289164923, "max_drawdown_pct": 83.94278756785742, "mean_exposure_while_solvent": 1.0784655159762864, "realized_annual_volatility_pct": 78.2856809880676, "trading_costs_quote_units": 152.50974638367563, "borrowing_costs_quote_units": 106.78662523647073, "price_pnl_quote_units": -7683.088913072242, "turnover_quote_units": 50836.58212789196, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2100.2685188835962, "return_pct": -78.99731481116403, "cagr_pct": -79.03471307401553, "max_drawdown_pct": 83.60992584211108, "mean_exposure_while_solvent": 1.053880134011944, "realized_annual_volatility_pct": 76.95723809723408, "trading_costs_quote_units": 149.54560572714223, "borrowing_costs_quote_units": 95.76142170960668, "price_pnl_quote_units": -7654.424453679662, "turnover_quote_units": 49848.535242380785, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.42653803575977633 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3021.005657550043, "return_pct": -69.78994342449957, "cagr_pct": -69.8312140849055, "max_drawdown_pct": 75.95837083293628, "mean_exposure_while_solvent": 0.8919221224836834, "realized_annual_volatility_pct": 61.87555107146247, "trading_costs_quote_units": 219.82194927332876, "borrowing_costs_quote_units": 57.11265503374373, "price_pnl_quote_units": -6702.059738142885, "turnover_quote_units": 73273.98309110956, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3045.2855225236435, "return_pct": -69.54714477476355, "cagr_pct": -69.58846910175163, "max_drawdown_pct": 75.76514792106825, "mean_exposure_while_solvent": 0.895880794475378, "realized_annual_volatility_pct": 62.06698212316112, "trading_costs_quote_units": 215.31063749201778, "borrowing_costs_quote_units": 57.49010392222506, "price_pnl_quote_units": -6681.913736062116, "turnover_quote_units": 71770.21249733922, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 351, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.24279864973601661 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3198.7136443607405, "return_pct": -68.0128635563926, "cagr_pct": -68.05447659851332, "max_drawdown_pct": 74.99119634896788, "mean_exposure_while_solvent": 0.8325561982570184, "realized_annual_volatility_pct": 61.96884884728444, "trading_costs_quote_units": 116.72784883810267, "borrowing_costs_quote_units": 41.86601958447573, "price_pnl_quote_units": -6642.692487216695, "turnover_quote_units": 38909.28294603428, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3241.4541362467817, "return_pct": -67.58545863753218, "cagr_pct": -67.62713696453403, "max_drawdown_pct": 74.65703434249662, "mean_exposure_while_solvent": 0.825825782528795, "realized_annual_volatility_pct": 61.89618781782733, "trading_costs_quote_units": 111.26720541349748, "borrowing_costs_quote_units": 36.28649748581328, "price_pnl_quote_units": -6610.992160853915, "turnover_quote_units": 37089.068471165854, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4274049188604181 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3634.2064840149824, "return_pct": -63.657935159850176, "cagr_pct": -63.69992234276555, "max_drawdown_pct": 69.89739440769391, "mean_exposure_while_solvent": 0.7761053434821086, "realized_annual_volatility_pct": 56.623236300084514, "trading_costs_quote_units": 96.16402998254085, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6269.629486002461, "turnover_quote_units": 32054.676660846977, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 238, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3661.445967259438, "return_pct": -63.38554032740562, "cagr_pct": -63.42753031843118, "max_drawdown_pct": 69.67176622056346, "mean_exposure_while_solvent": 0.7787370360995287, "realized_annual_volatility_pct": 56.76957459671902, "trading_costs_quote_units": 90.89616996404506, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6247.657862776498, "turnover_quote_units": 30298.72332134837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.2723948324445544 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3241.4541362467817, "return_pct": -67.58545863753218, "cagr_pct": -67.62713696453403, "max_drawdown_pct": 74.65703434249662, "mean_exposure_while_solvent": 0.825825782528795, "realized_annual_volatility_pct": 61.89618781782733, "trading_costs_quote_units": 111.26720541349748, "borrowing_costs_quote_units": 36.28649748581328, "price_pnl_quote_units": -6610.992160853915, "turnover_quote_units": 37089.068471165854, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3241.4541362467817, "return_pct": -67.58545863753218, "cagr_pct": -67.62713696453403, "max_drawdown_pct": 74.65703434249662, "mean_exposure_while_solvent": 0.825825782528795, "realized_annual_volatility_pct": 61.89618781782733, "trading_costs_quote_units": 111.26720541349748, "borrowing_costs_quote_units": 36.28649748581328, "price_pnl_quote_units": -6610.992160853915, "turnover_quote_units": 37089.068471165854, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3198.7136443607405, "return_pct": -68.0128635563926, "cagr_pct": -68.05447659851332, "max_drawdown_pct": 74.99119634896788, "mean_exposure_while_solvent": 0.8325561982570184, "realized_annual_volatility_pct": 61.96884884728444, "trading_costs_quote_units": 116.72784883810267, "borrowing_costs_quote_units": 41.86601958447573, "price_pnl_quote_units": -6642.692487216695, "turnover_quote_units": 38909.28294603428, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3241.4541362467817, "return_pct": -67.58545863753218, "cagr_pct": -67.62713696453403, "max_drawdown_pct": 74.65703434249662, "mean_exposure_while_solvent": 0.825825782528795, "realized_annual_volatility_pct": 61.89618781782733, "trading_costs_quote_units": 111.26720541349748, "borrowing_costs_quote_units": 36.28649748581328, "price_pnl_quote_units": -6610.992160853915, "turnover_quote_units": 37089.068471165854, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4274049188604181 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4087.806346016505, "return_pct": -59.12193653983495, "cagr_pct": -59.163679213827905, "max_drawdown_pct": 70.16030629909197, "mean_exposure_while_solvent": 0.7486364927384767, "realized_annual_volatility_pct": 65.48071632427519, "trading_costs_quote_units": 66.54058860940415, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5845.653065374076, "turnover_quote_units": 22180.196203134696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4087.806346016505, "return_pct": -59.12193653983495, "cagr_pct": -59.163679213827905, "max_drawdown_pct": 70.16030629909197, "mean_exposure_while_solvent": 0.7486364927384767, "realized_annual_volatility_pct": 65.48071632427519, "trading_costs_quote_units": 66.54058860940415, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5845.653065374076, "turnover_quote_units": 22180.196203134696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2776.8668564459376, "return_pct": -72.23133143554062, "cagr_pct": -72.27193549740214, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.998628257887517, "realized_annual_volatility_pct": 87.53382097518528, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7193.222874361643, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2776.8668564459376, "return_pct": -72.23133143554062, "cagr_pct": -72.27193549740214, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.998628257887517, "realized_annual_volatility_pct": 87.53382097518528, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7193.222874361643, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1720.3152777761734, "return_pct": -82.79684722223827, "cagr_pct": -82.83139321406631, "max_drawdown_pct": 89.63356768969271, "mean_exposure_while_solvent": 1.2490199173512138, "realized_annual_volatility_pct": 109.79070888015066, "trading_costs_quote_units": 90.33222946187061, "borrowing_costs_quote_units": 114.57124104931452, "price_pnl_quote_units": -8074.7812517126295, "turnover_quote_units": 30110.743153956893, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1720.3152777761734, "return_pct": -82.79684722223827, "cagr_pct": -82.83139321406631, "max_drawdown_pct": 89.63356768969271, "mean_exposure_while_solvent": 1.2490199173512138, "realized_annual_volatility_pct": 109.79070888015066, "trading_costs_quote_units": 90.33222946187061, "borrowing_costs_quote_units": 114.57124104931452, "price_pnl_quote_units": -8074.7812517126295, "turnover_quote_units": 30110.743153956893, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1008.0881226397255, "return_pct": -89.91911877360275, "cagr_pct": -89.94550136652292, "max_drawdown_pct": 94.4451957335661, "mean_exposure_while_solvent": 1.4998798823605846, "realized_annual_volatility_pct": 132.30944454529268, "trading_costs_quote_units": 150.53090213194452, "borrowing_costs_quote_units": 183.39360540066517, "price_pnl_quote_units": -8657.987369827668, "turnover_quote_units": 50176.96737731479, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1008.0881226397255, "return_pct": -89.91911877360275, "cagr_pct": -89.94550136652292, "max_drawdown_pct": 94.4451957335661, "mean_exposure_while_solvent": 1.4998798823605846, "realized_annual_volatility_pct": 132.30944454529268, "trading_costs_quote_units": 150.53090213194452, "borrowing_costs_quote_units": 183.39360540066517, "price_pnl_quote_units": -8657.987369827668, "turnover_quote_units": 50176.96737731479, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4000.4955332171553, "return_pct": -59.995044667828445, "cagr_pct": -60.03688117560348, "max_drawdown_pct": 64.77125168227268, "mean_exposure_while_solvent": 0.6120405679851803, "realized_annual_volatility_pct": 43.24012933051485, "trading_costs_quote_units": 145.8470626179189, "borrowing_costs_quote_units": 49.96973502434614, "price_pnl_quote_units": -5803.687669140585, "turnover_quote_units": 48615.687539306244, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4065.833923756503, "return_pct": -59.34166076243497, "cagr_pct": -59.383429074189806, "max_drawdown_pct": 64.19587553282227, "mean_exposure_while_solvent": 0.6409423819287383, "realized_annual_volatility_pct": 45.04999319820807, "trading_costs_quote_units": 152.5499372569466, "borrowing_costs_quote_units": 50.78586943446078, "price_pnl_quote_units": -5730.830269552095, "turnover_quote_units": 50849.97908564885, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.6533839053934756 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2729.9612544986994, "return_pct": -72.700387455013, "cagr_pct": -72.74083601589511, "max_drawdown_pct": 77.38737540425547, "mean_exposure_while_solvent": 0.8632502536385763, "realized_annual_volatility_pct": 61.767823467632134, "trading_costs_quote_units": 144.845218481615, "borrowing_costs_quote_units": 98.08782069863987, "price_pnl_quote_units": -7027.10570632103, "turnover_quote_units": 48281.73949387164, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2777.33120146518, "return_pct": -72.22668798534819, "cagr_pct": -72.26729354112952, "max_drawdown_pct": 76.99500396451133, "mean_exposure_while_solvent": 0.865424309220439, "realized_annual_volatility_pct": 61.83516248220297, "trading_costs_quote_units": 136.3209069409831, "borrowing_costs_quote_units": 99.05160261828027, "price_pnl_quote_units": -6987.296288975543, "turnover_quote_units": 45440.30231366102, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.47369946966480825 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2014.0111121989353, "return_pct": -79.85988887801064, "cagr_pct": -79.89671407587325, "max_drawdown_pct": 84.2830613386048, "mean_exposure_while_solvent": 1.078500196703824, "realized_annual_volatility_pct": 78.28989695931206, "trading_costs_quote_units": 151.90800732394308, "borrowing_costs_quote_units": 211.53883318406938, "price_pnl_quote_units": -7622.542047293069, "turnover_quote_units": 50636.002441314355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2060.8178962830752, "return_pct": -79.39182103716924, "cagr_pct": -79.42896232318846, "max_drawdown_pct": 83.91779058615873, "mean_exposure_while_solvent": 1.05391113483169, "realized_annual_volatility_pct": 76.96128754502624, "trading_costs_quote_units": 149.0315962042947, "borrowing_costs_quote_units": 189.9120453927263, "price_pnl_quote_units": -7600.238462119922, "turnover_quote_units": 49677.19873476488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 335, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.46806784084139963 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2989.838326398495, "return_pct": -70.10161673601505, "cagr_pct": -70.14281523788668, "max_drawdown_pct": 76.20640526339156, "mean_exposure_while_solvent": 0.8919388204497141, "realized_annual_volatility_pct": 61.877470112999575, "trading_costs_quote_units": 219.5067497325239, "borrowing_costs_quote_units": 113.68099343218012, "price_pnl_quote_units": -6676.973930436819, "turnover_quote_units": 73168.91657750805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3013.867699093125, "return_pct": -69.86132300906876, "cagr_pct": -69.9025774692042, "max_drawdown_pct": 76.01517580773077, "mean_exposure_while_solvent": 0.8958974924414087, "realized_annual_volatility_pct": 62.06890138814529, "trading_costs_quote_units": 215.00123916414435, "borrowing_costs_quote_units": 114.43161878316178, "price_pnl_quote_units": -6656.699442959576, "turnover_quote_units": 71667.07972138147, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 351, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.24029372694629103 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3178.0317576349726, "return_pct": -68.21968242365027, "cagr_pct": -68.26126153883108, "max_drawdown_pct": 75.15289548861091, "mean_exposure_while_solvent": 0.8325665675121198, "realized_annual_volatility_pct": 61.971971537471184, "trading_costs_quote_units": 116.61471721432163, "borrowing_costs_quote_units": 83.49124498746089, "price_pnl_quote_units": -6621.862280163253, "turnover_quote_units": 38871.572404774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3223.2288987212587, "return_pct": -67.76771101278742, "cagr_pct": -67.80936229321759, "max_drawdown_pct": 74.79952643070614, "mean_exposure_while_solvent": 0.8258350555306047, "realized_annual_volatility_pct": 61.8992940186271, "trading_costs_quote_units": 111.18758284015236, "borrowing_costs_quote_units": 72.39395649813034, "price_pnl_quote_units": -6593.189561940461, "turnover_quote_units": 37062.52761338417, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4519714108628534 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3634.2064840149824, "return_pct": -63.657935159850176, "cagr_pct": -63.69992234276555, "max_drawdown_pct": 69.89739440769391, "mean_exposure_while_solvent": 0.7761053434821086, "realized_annual_volatility_pct": 56.623236300084514, "trading_costs_quote_units": 96.16402998254085, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6269.629486002461, "turnover_quote_units": 32054.676660846977, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 238, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3661.445967259438, "return_pct": -63.38554032740562, "cagr_pct": -63.42753031843118, "max_drawdown_pct": 69.67176622056346, "mean_exposure_while_solvent": 0.7787370360995287, "realized_annual_volatility_pct": 56.76957459671902, "trading_costs_quote_units": 90.89616996404506, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6247.657862776498, "turnover_quote_units": 30298.72332134837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 213, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.2723948324445544 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3223.2288987212587, "return_pct": -67.76771101278742, "cagr_pct": -67.80936229321759, "max_drawdown_pct": 74.79952643070614, "mean_exposure_while_solvent": 0.8258350555306047, "realized_annual_volatility_pct": 61.8992940186271, "trading_costs_quote_units": 111.18758284015236, "borrowing_costs_quote_units": 72.39395649813034, "price_pnl_quote_units": -6593.189561940461, "turnover_quote_units": 37062.52761338417, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3223.2288987212587, "return_pct": -67.76771101278742, "cagr_pct": -67.80936229321759, "max_drawdown_pct": 74.79952643070614, "mean_exposure_while_solvent": 0.8258350555306047, "realized_annual_volatility_pct": 61.8992940186271, "trading_costs_quote_units": 111.18758284015236, "borrowing_costs_quote_units": 72.39395649813034, "price_pnl_quote_units": -6593.189561940461, "turnover_quote_units": 37062.52761338417, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3178.0317576349726, "return_pct": -68.21968242365027, "cagr_pct": -68.26126153883108, "max_drawdown_pct": 75.15289548861091, "mean_exposure_while_solvent": 0.8325665675121198, "realized_annual_volatility_pct": 61.971971537471184, "trading_costs_quote_units": 116.61471721432163, "borrowing_costs_quote_units": 83.49124498746089, "price_pnl_quote_units": -6621.862280163253, "turnover_quote_units": 38871.572404774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3223.2288987212587, "return_pct": -67.76771101278742, "cagr_pct": -67.80936229321759, "max_drawdown_pct": 74.79952643070614, "mean_exposure_while_solvent": 0.8258350555306047, "realized_annual_volatility_pct": 61.8992940186271, "trading_costs_quote_units": 111.18758284015236, "borrowing_costs_quote_units": 72.39395649813034, "price_pnl_quote_units": -6593.189561940461, "turnover_quote_units": 37062.52761338417, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -0.4519714108628534 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4087.806346016505, "return_pct": -59.12193653983495, "cagr_pct": -59.163679213827905, "max_drawdown_pct": 70.16030629909197, "mean_exposure_while_solvent": 0.7486364927384767, "realized_annual_volatility_pct": 65.48071632427519, "trading_costs_quote_units": 66.54058860940415, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5845.653065374076, "turnover_quote_units": 22180.196203134696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4087.806346016505, "return_pct": -59.12193653983495, "cagr_pct": -59.163679213827905, "max_drawdown_pct": 70.16030629909197, "mean_exposure_while_solvent": 0.7486364927384767, "realized_annual_volatility_pct": 65.48071632427519, "trading_costs_quote_units": 66.54058860940415, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5845.653065374076, "turnover_quote_units": 22180.196203134696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2776.8668564459376, "return_pct": -72.23133143554062, "cagr_pct": -72.27193549740214, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.998628257887517, "realized_annual_volatility_pct": 87.53382097518528, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7193.222874361643, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2776.8668564459376, "return_pct": -72.23133143554062, "cagr_pct": -72.27193549740214, "max_drawdown_pct": 81.6373364742596, "mean_exposure_while_solvent": 0.998628257887517, "realized_annual_volatility_pct": 87.53382097518528, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7193.222874361643, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1677.6339515380582, "return_pct": -83.22366048461942, "cagr_pct": -83.25782976557716, "max_drawdown_pct": 89.8760620229338, "mean_exposure_while_solvent": 1.249055852415581, "realized_annual_volatility_pct": 109.79509535238738, "trading_costs_quote_units": 89.98199628522333, "borrowing_costs_quote_units": 226.93311116091073, "price_pnl_quote_units": -8005.450941015794, "turnover_quote_units": 29993.99876174107, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1677.6339515380582, "return_pct": -83.22366048461942, "cagr_pct": -83.25782976557716, "max_drawdown_pct": 89.8760620229338, "mean_exposure_while_solvent": 1.249055852415581, "realized_annual_volatility_pct": 109.79509535238738, "trading_costs_quote_units": 89.98199628522333, "borrowing_costs_quote_units": 226.93311116091073, "price_pnl_quote_units": -8005.450941015794, "turnover_quote_units": 29993.99876174107, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 958.5703163848133, "return_pct": -90.41429683615186, "cagr_pct": -90.43993345091404, "max_drawdown_pct": 94.70272833432392, "mean_exposure_while_solvent": 1.4999663961822491, "realized_annual_volatility_pct": 132.32017133239984, "trading_costs_quote_units": 149.23670528470976, "borrowing_costs_quote_units": 360.308880395802, "price_pnl_quote_units": -8531.884097934673, "turnover_quote_units": 49745.568428236555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 958.5703163848133, "return_pct": -90.41429683615186, "cagr_pct": -90.43993345091404, "max_drawdown_pct": 94.70272833432392, "mean_exposure_while_solvent": 1.4999663961822491, "realized_annual_volatility_pct": 132.32017133239984, "trading_costs_quote_units": 149.23670528470976, "borrowing_costs_quote_units": 360.308880395802, "price_pnl_quote_units": -8531.884097934673, "turnover_quote_units": 49745.568428236555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4618.131664199743, "return_pct": -53.81868335800257, "cagr_pct": -53.85941395639415, "max_drawdown_pct": 64.18872116251444, "mean_exposure_while_solvent": 0.6456470116245678, "realized_annual_volatility_pct": 51.26722521968981, "trading_costs_quote_units": 34.78730649987354, "borrowing_costs_quote_units": 4.633563528493923, "price_pnl_quote_units": -5342.447465771894, "turnover_quote_units": 57978.84416645589, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3042.5651097350938, "return_pct": -69.57434890264906, "cagr_pct": -69.61566732690034, "max_drawdown_pct": 75.649331021749, "mean_exposure_while_solvent": 0.7707361684510627, "realized_annual_volatility_pct": 71.85752923355999, "trading_costs_quote_units": 28.818276490185223, "borrowing_costs_quote_units": 1.0248336717196145, "price_pnl_quote_units": -6927.591780103016, "turnover_quote_units": 48030.46081697536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 15.75566554464649 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3087.0833461585603, "return_pct": -69.1291665384144, "cagr_pct": -69.17057808443352, "max_drawdown_pct": 75.37188401091365, "mean_exposure_while_solvent": 0.906150240160956, "realized_annual_volatility_pct": 67.2933246756606, "trading_costs_quote_units": 33.35761304688266, "borrowing_costs_quote_units": 25.71147281507661, "price_pnl_quote_units": -6853.847567979482, "turnover_quote_units": 55596.02174480452, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2538.0171578227337, "return_pct": -74.61982842177267, "cagr_pct": -74.65954302389856, "max_drawdown_pct": 80.4309477994365, "mean_exposure_while_solvent": 0.9383254856249661, "realized_annual_volatility_pct": 78.87092330412737, "trading_costs_quote_units": 26.68897852810897, "borrowing_costs_quote_units": 9.023206348916462, "price_pnl_quote_units": -7426.270657300256, "turnover_quote_units": 44481.63088018164, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.490661883358271 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2272.686091853468, "return_pct": -77.27313908146532, "cagr_pct": -77.31156320103135, "max_drawdown_pct": 81.85525741370347, "mean_exposure_while_solvent": 1.1102046086496127, "realized_annual_volatility_pct": 81.19827695163289, "trading_costs_quote_units": 32.48652777975066, "borrowing_costs_quote_units": 57.276082911390866, "price_pnl_quote_units": -7637.551297455373, "turnover_quote_units": 54144.212966251114, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2083.510262397044, "return_pct": -79.16489737602956, "cagr_pct": -79.2021875201097, "max_drawdown_pct": 84.54412579131233, "mean_exposure_while_solvent": 1.0820084963476257, "realized_annual_volatility_pct": 86.95988448125705, "trading_costs_quote_units": 27.295576769991115, "borrowing_costs_quote_units": 27.951959007502328, "price_pnl_quote_units": -7861.2422018254765, "turnover_quote_units": 45492.627949985224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 1.8917582945642408 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3529.0436754404254, "return_pct": -64.70956324559575, "cagr_pct": -64.75151755069695, "max_drawdown_pct": 71.50389069983576, "mean_exposure_while_solvent": 0.9065855917512748, "realized_annual_volatility_pct": 65.12288957872514, "trading_costs_quote_units": 53.590351475152445, "borrowing_costs_quote_units": 30.30274178709078, "price_pnl_quote_units": -6387.063231297317, "turnover_quote_units": 89317.25245858757, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2905.026972074498, "return_pct": -70.94973027925502, "cagr_pct": -70.99071352974565, "max_drawdown_pct": 78.14091794524604, "mean_exposure_while_solvent": 0.9203026450999349, "realized_annual_volatility_pct": 72.56217579752439, "trading_costs_quote_units": 47.778931699501825, "borrowing_costs_quote_units": 19.259602394862828, "price_pnl_quote_units": -7027.934493831137, "turnover_quote_units": 79631.552832503, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 288, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 6.240167033659276 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2883.888338026132, "return_pct": -71.16111661973868, "cagr_pct": -71.20204185072086, "max_drawdown_pct": 78.30621541442133, "mean_exposure_while_solvent": 0.9169505619615808, "realized_annual_volatility_pct": 71.4960024822371, "trading_costs_quote_units": 22.636209537925396, "borrowing_costs_quote_units": 16.96831485003143, "price_pnl_quote_units": -7076.507137585913, "turnover_quote_units": 37727.015896542354, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 301, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2426.6655575930104, "return_pct": -75.7333444240699, "cagr_pct": -75.77255803480266, "max_drawdown_pct": 82.46997928781103, "mean_exposure_while_solvent": 0.9594226434707412, "realized_annual_volatility_pct": 85.91005894595534, "trading_costs_quote_units": 12.859160357456654, "borrowing_costs_quote_units": 3.539991196864332, "price_pnl_quote_units": -7556.9352908526635, "turnover_quote_units": 21431.933929094423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 4.57222780433122 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3899.299740107286, "return_pct": -61.00700259892714, "cagr_pct": -61.04892059669245, "max_drawdown_pct": 68.89218867541256, "mean_exposure_while_solvent": 0.8238342130585965, "realized_annual_volatility_pct": 62.38655836626388, "trading_costs_quote_units": 22.573179059670196, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6078.127080833051, "turnover_quote_units": 37621.965099450295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 215, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2627.9015874380334, "return_pct": -73.72098412561967, "cagr_pct": -73.76106232920796, "max_drawdown_pct": 79.73790555985265, "mean_exposure_while_solvent": 0.9004169628342108, "realized_annual_volatility_pct": 77.54245527022012, "trading_costs_quote_units": 20.131220560589647, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7351.9671920013725, "turnover_quote_units": 33552.034267649426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 136, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 12.713981526692528 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2864.0216591243698, "return_pct": -71.3597834087563, "cagr_pct": -71.40065249899347, "max_drawdown_pct": 78.45566067790219, "mean_exposure_while_solvent": 0.9225956086696202, "realized_annual_volatility_pct": 71.74644530709486, "trading_costs_quote_units": 21.00957837187729, "borrowing_costs_quote_units": 16.808313753793417, "price_pnl_quote_units": -7098.160448749958, "turnover_quote_units": 35015.96395312882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 243, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2426.6655575930104, "return_pct": -75.7333444240699, "cagr_pct": -75.77255803480266, "max_drawdown_pct": 82.46997928781103, "mean_exposure_while_solvent": 0.9594226434707412, "realized_annual_volatility_pct": 85.91005894595534, "trading_costs_quote_units": 12.859160357456654, "borrowing_costs_quote_units": 3.539991196864332, "price_pnl_quote_units": -7556.9352908526635, "turnover_quote_units": 21431.933929094423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 4.373561015313598 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3356.257818935078, "return_pct": -66.43742181064923, "cagr_pct": -66.47924386974798, "max_drawdown_pct": 73.25355921686246, "mean_exposure_while_solvent": 0.8215918942121567, "realized_annual_volatility_pct": 60.34214580161026, "trading_costs_quote_units": 23.65733922946804, "borrowing_costs_quote_units": 19.747657576974493, "price_pnl_quote_units": -6600.3371842584775, "turnover_quote_units": 39428.89871578011, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2426.6655575930104, "return_pct": -75.7333444240699, "cagr_pct": -75.77255803480266, "max_drawdown_pct": 82.46997928781103, "mean_exposure_while_solvent": 0.9594226434707412, "realized_annual_volatility_pct": 85.91005894595534, "trading_costs_quote_units": 12.859160357456654, "borrowing_costs_quote_units": 3.539991196864332, "price_pnl_quote_units": -7556.9352908526635, "turnover_quote_units": 21431.933929094423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 9.295922613420672 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4084.73440795487, "return_pct": -59.152655920451295, "cagr_pct": -59.194402260111865, "max_drawdown_pct": 69.54769342619214, "mean_exposure_while_solvent": 0.7495883379838686, "realized_annual_volatility_pct": 65.96868199159482, "trading_costs_quote_units": 13.930177365432536, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5901.335414679706, "turnover_quote_units": 23216.962275720918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4084.73440795487, "return_pct": -59.152655920451295, "cagr_pct": -59.194402260111865, "max_drawdown_pct": 69.54769342619214, "mean_exposure_while_solvent": 0.7495883379838686, "realized_annual_volatility_pct": 65.96868199159482, "trading_costs_quote_units": 13.930177365432536, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5901.335414679706, "turnover_quote_units": 23216.962275720918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2727.0332690348105, "return_pct": -72.72966730965189, "cagr_pct": -72.77010586022269, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9995400183992639, "realized_annual_volatility_pct": 88.19618365369065, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7266.970328806484, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2727.0332690348105, "return_pct": -72.72966730965189, "cagr_pct": -72.77010586022269, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9995400183992639, "realized_annual_volatility_pct": 88.19618365369065, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7266.970328806484, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1692.8172191348872, "return_pct": -83.07182780865112, "cagr_pct": -83.10613250285411, "max_drawdown_pct": 89.40363417410484, "mean_exposure_while_solvent": 1.2496914681878033, "realized_annual_volatility_pct": 110.6191180451113, "trading_costs_quote_units": 18.63309346352322, "borrowing_costs_quote_units": 55.95954086010525, "price_pnl_quote_units": -8232.590146541508, "turnover_quote_units": 31055.155772538685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1692.8172191348872, "return_pct": -83.07182780865112, "cagr_pct": -83.10613250285411, "max_drawdown_pct": 89.40363417410484, "mean_exposure_while_solvent": 1.2496914681878033, "realized_annual_volatility_pct": 110.6191180451113, "trading_costs_quote_units": 18.63309346352322, "borrowing_costs_quote_units": 55.95954086010525, "price_pnl_quote_units": -8232.590146541508, "turnover_quote_units": 31055.155772538685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 989.8553919048793, "return_pct": -90.1014460809512, "cagr_pct": -90.1275573011393, "max_drawdown_pct": 94.28556929402454, "mean_exposure_while_solvent": 1.500116535769126, "realized_annual_volatility_pct": 133.28190984193748, "trading_costs_quote_units": 31.02385787742729, "borrowing_costs_quote_units": 88.81011931002804, "price_pnl_quote_units": -8890.310630907672, "turnover_quote_units": 51706.4297957122, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 989.8553919048793, "return_pct": -90.1014460809512, "cagr_pct": -90.1275573011393, "max_drawdown_pct": 94.28556929402454, "mean_exposure_while_solvent": 1.500116535769126, "realized_annual_volatility_pct": 133.28190984193748, "trading_costs_quote_units": 31.02385787742729, "borrowing_costs_quote_units": 88.81011931002804, "price_pnl_quote_units": -8890.310630907672, "turnover_quote_units": 51706.4297957122, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4615.168744140888, "return_pct": -53.848312558591125, "cagr_pct": -53.88905082291121, "max_drawdown_pct": 64.21169711125651, "mean_exposure_while_solvent": 0.6456479347390806, "realized_annual_volatility_pct": 51.26766408493987, "trading_costs_quote_units": 34.784136989662116, "borrowing_costs_quote_units": 9.264992435245526, "price_pnl_quote_units": -5340.782126434207, "turnover_quote_units": 57973.561649436895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3042.014006109631, "return_pct": -69.5798599389037, "cagr_pct": -69.62117716399105, "max_drawdown_pct": 75.65374168889083, "mean_exposure_while_solvent": 0.7707364099617232, "realized_annual_volatility_pct": 71.85755256447767, "trading_costs_quote_units": 28.817848487999203, "borrowing_costs_quote_units": 2.0496237149455148, "price_pnl_quote_units": -6927.118521687449, "turnover_quote_units": 48029.747479998674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 15.73154738031257 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3074.270813224984, "return_pct": -69.25729186775015, "cagr_pct": -69.29867736889854, "max_drawdown_pct": 75.4740997633956, "mean_exposure_while_solvent": 0.906157154504332, "realized_annual_volatility_pct": 67.29477222058271, "trading_costs_quote_units": 33.33994344506447, "borrowing_costs_quote_units": 51.325373661567845, "price_pnl_quote_units": -6841.063869668385, "turnover_quote_units": 55566.5724084408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2533.2051956394944, "return_pct": -74.66794804360507, "cagr_pct": -74.70764216676376, "max_drawdown_pct": 80.46804980990191, "mean_exposure_while_solvent": 0.9383283859130824, "realized_annual_volatility_pct": 78.87099357234601, "trading_costs_quote_units": 26.682338952510726, "borrowing_costs_quote_units": 18.030910414326335, "price_pnl_quote_units": -7422.081554993674, "turnover_quote_units": 44470.5649208512, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.4106561758549105 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2249.072359355996, "return_pct": -77.50927640644004, "cagr_pct": -77.54756911573925, "max_drawdown_pct": 82.04378547272762, "mean_exposure_while_solvent": 1.1102217010448767, "realized_annual_volatility_pct": 81.20061025210734, "trading_costs_quote_units": 32.41819678652192, "borrowing_costs_quote_units": 114.01603138047422, "price_pnl_quote_units": -7604.493412477018, "turnover_quote_units": 54030.32797753651, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2069.915175159611, "return_pct": -79.3008482484039, "cagr_pct": -79.33804955175273, "max_drawdown_pct": 84.64497672638578, "mean_exposure_while_solvent": 1.0820190246730645, "realized_annual_volatility_pct": 86.96086966676478, "trading_costs_quote_units": 27.26065307169494, "borrowing_costs_quote_units": 55.74051081151342, "price_pnl_quote_units": -7847.083660957184, "turnover_quote_units": 45434.4217861582, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 1.791571841963858 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3512.3054528167495, "return_pct": -64.8769454718325, "cagr_pct": -64.9188912696314, "max_drawdown_pct": 71.63904749165849, "mean_exposure_while_solvent": 0.9065933202419397, "realized_annual_volatility_pct": 65.1239551192829, "trading_costs_quote_units": 53.54893669505499, "borrowing_costs_quote_units": 60.473176363507704, "price_pnl_quote_units": -6373.672434124694, "turnover_quote_units": 89248.22782509157, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2894.2797917852304, "return_pct": -71.0572020821477, "cagr_pct": -71.0981560549719, "max_drawdown_pct": 78.2217858676642, "mean_exposure_while_solvent": 0.9203087396322421, "realized_annual_volatility_pct": 72.56301206175628, "trading_costs_quote_units": 47.7498834312292, "borrowing_costs_quote_units": 38.454168297275494, "price_pnl_quote_units": -7019.516156486269, "turnover_quote_units": 79583.13905204872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 288, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 6.1802566103151975 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2875.391959978093, "return_pct": -71.24608040021907, "cagr_pct": -71.28698181336665, "max_drawdown_pct": 78.37012863626886, "mean_exposure_while_solvent": 0.9169553943491933, "realized_annual_volatility_pct": 71.49728470972845, "trading_costs_quote_units": 22.626327561094215, "borrowing_costs_quote_units": 33.89247840729705, "price_pnl_quote_units": -7068.089234053511, "turnover_quote_units": 37710.54593515704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 301, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2424.661542943146, "return_pct": -75.75338457056854, "cagr_pct": -75.79258863839908, "max_drawdown_pct": 82.4844561151636, "mean_exposure_while_solvent": 0.9594237903687253, "realized_annual_volatility_pct": 85.91004038410094, "trading_costs_quote_units": 12.857110742590738, "borrowing_costs_quote_units": 7.077565403112231, "price_pnl_quote_units": -7555.403780911133, "turnover_quote_units": 21428.517904317916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 4.507304170349471 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3899.299740107286, "return_pct": -61.00700259892714, "cagr_pct": -61.04892059669245, "max_drawdown_pct": 68.89218867541256, "mean_exposure_while_solvent": 0.8238342130585965, "realized_annual_volatility_pct": 62.38655836626388, "trading_costs_quote_units": 22.573179059670196, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6078.127080833051, "turnover_quote_units": 37621.965099450295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 215, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2627.9015874380334, "return_pct": -73.72098412561967, "cagr_pct": -73.76106232920796, "max_drawdown_pct": 79.73790555985265, "mean_exposure_while_solvent": 0.9004169628342108, "realized_annual_volatility_pct": 77.54245527022012, "trading_costs_quote_units": 20.131220560589647, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7351.9671920013725, "turnover_quote_units": 33552.034267649426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 136, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 12.713981526692528 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2855.602895661196, "return_pct": -71.44397104338805, "cagr_pct": -71.48481586923208, "max_drawdown_pct": 78.51899005117883, "mean_exposure_while_solvent": 0.9226004330304937, "realized_annual_volatility_pct": 71.74773168394152, "trading_costs_quote_units": 20.999801850977782, "borrowing_costs_quote_units": 33.57300002194966, "price_pnl_quote_units": -7089.824302465861, "turnover_quote_units": 34999.66975162964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 243, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2424.661542943146, "return_pct": -75.75338457056854, "cagr_pct": -75.79258863839908, "max_drawdown_pct": 82.4844561151636, "mean_exposure_while_solvent": 0.9594237903687253, "realized_annual_volatility_pct": 85.91004038410094, "trading_costs_quote_units": 12.857110742590738, "borrowing_costs_quote_units": 7.077565403112231, "price_pnl_quote_units": -7555.403780911133, "turnover_quote_units": 21428.517904317916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 4.309413527180496 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3346.369767833953, "return_pct": -66.53630232166047, "cagr_pct": -66.57811378819154, "max_drawdown_pct": 73.3323583400242, "mean_exposure_while_solvent": 0.8215967265997691, "realized_annual_volatility_pct": 60.34369909141443, "trading_costs_quote_units": 23.645838623994248, "borrowing_costs_quote_units": 39.44393205439996, "price_pnl_quote_units": -6590.540461487648, "turnover_quote_units": 39409.73103999039, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2424.661542943146, "return_pct": -75.75338457056854, "cagr_pct": -75.79258863839908, "max_drawdown_pct": 82.4844561151636, "mean_exposure_while_solvent": 0.9594237903687253, "realized_annual_volatility_pct": 85.91004038410094, "trading_costs_quote_units": 12.857110742590738, "borrowing_costs_quote_units": 7.077565403112231, "price_pnl_quote_units": -7555.403780911133, "turnover_quote_units": 21428.517904317916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 9.21708224890807 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4084.73440795487, "return_pct": -59.152655920451295, "cagr_pct": -59.194402260111865, "max_drawdown_pct": 69.54769342619214, "mean_exposure_while_solvent": 0.7495883379838686, "realized_annual_volatility_pct": 65.96868199159482, "trading_costs_quote_units": 13.930177365432536, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5901.335414679706, "turnover_quote_units": 23216.962275720918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4084.73440795487, "return_pct": -59.152655920451295, "cagr_pct": -59.194402260111865, "max_drawdown_pct": 69.54769342619214, "mean_exposure_while_solvent": 0.7495883379838686, "realized_annual_volatility_pct": 65.96868199159482, "trading_costs_quote_units": 13.930177365432536, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5901.335414679706, "turnover_quote_units": 23216.962275720918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2727.0332690348105, "return_pct": -72.72966730965189, "cagr_pct": -72.77010586022269, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9995400183992639, "realized_annual_volatility_pct": 88.19618365369065, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7266.970328806484, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2727.0332690348105, "return_pct": -72.72966730965189, "cagr_pct": -72.77010586022269, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9995400183992639, "realized_annual_volatility_pct": 88.19618365369065, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7266.970328806484, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1671.6759057427787, "return_pct": -83.2832409425722, "cagr_pct": -83.31735665861463, "max_drawdown_pct": 89.52823674060855, "mean_exposure_while_solvent": 1.2497097741340584, "realized_annual_volatility_pct": 110.62151463004419, "trading_costs_quote_units": 18.591127664137172, "borrowing_costs_quote_units": 111.37578067255019, "price_pnl_quote_units": -8198.35718592053, "turnover_quote_units": 30985.212773561936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1671.6759057427787, "return_pct": -83.2832409425722, "cagr_pct": -83.31735665861463, "max_drawdown_pct": 89.52823674060855, "mean_exposure_while_solvent": 1.2497097741340584, "realized_annual_volatility_pct": 110.62151463004419, "trading_costs_quote_units": 18.591127664137172, "borrowing_costs_quote_units": 111.37578067255019, "price_pnl_quote_units": -8198.35718592053, "turnover_quote_units": 30985.212773561936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 965.2265707955726, "return_pct": -90.34773429204428, "cagr_pct": -90.37347284694688, "max_drawdown_pct": 94.41953404589, "mean_exposure_while_solvent": 1.5001605567243284, "realized_annual_volatility_pct": 133.28776878578202, "trading_costs_quote_units": 30.87672426745162, "borrowing_costs_quote_units": 176.03611600761818, "price_pnl_quote_units": -8827.860588929358, "turnover_quote_units": 51461.20711241936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 965.2265707955726, "return_pct": -90.34773429204428, "cagr_pct": -90.37347284694688, "max_drawdown_pct": 94.41953404589, "mean_exposure_while_solvent": 1.5001605567243284, "realized_annual_volatility_pct": 133.28776878578202, "trading_costs_quote_units": 30.87672426745162, "borrowing_costs_quote_units": 176.03611600761818, "price_pnl_quote_units": -8827.860588929358, "turnover_quote_units": 51461.20711241936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4609.2472256187775, "return_pct": -53.907527743812224, "cagr_pct": -53.94828126368358, "max_drawdown_pct": 64.25761549694928, "mean_exposure_while_solvent": 0.6456497812854208, "realized_annual_volatility_pct": 51.268543633975604, "trading_costs_quote_units": 34.77780065112145, "borrowing_costs_quote_units": 18.52144871133658, "price_pnl_quote_units": -5337.453525018759, "turnover_quote_units": 57963.00108520246, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3040.911869923103, "return_pct": -69.59088130076897, "cagr_pct": -69.6321961242633, "max_drawdown_pct": 75.66256245442226, "mean_exposure_while_solvent": 0.770736893048525, "realized_annual_volatility_pct": 71.8575995733637, "trading_costs_quote_units": 28.81699248670903, "borrowing_costs_quote_units": 4.099072825523847, "price_pnl_quote_units": -6926.172064764682, "turnover_quote_units": 48028.32081118171, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 15.683353556956746 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3048.7979788395905, "return_pct": -69.5120202116041, "cagr_pct": -69.55335211886103, "max_drawdown_pct": 75.67731679690877, "mean_exposure_while_solvent": 0.9061709862392959, "realized_annual_volatility_pct": 67.29768304665754, "trading_costs_quote_units": 33.30522347267589, "borrowing_costs_quote_units": 102.26188276983432, "price_pnl_quote_units": -6815.634914917897, "turnover_quote_units": 55508.70578779311, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2523.6061231738868, "return_pct": -74.76393876826113, "cagr_pct": -74.8035917273574, "max_drawdown_pct": 80.54206221347353, "mean_exposure_while_solvent": 0.9383341875324117, "realized_annual_volatility_pct": 78.87113926723292, "trading_costs_quote_units": 26.669451686468967, "borrowing_costs_quote_units": 35.99990758217256, "price_pnl_quote_units": -7413.72451755747, "turnover_quote_units": 44449.08614411493, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.2519185566570314 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2202.566133059072, "return_pct": -77.97433866940928, "cagr_pct": -78.0123642683499, "max_drawdown_pct": 82.41508334261054, "mean_exposure_while_solvent": 1.1102558929130155, "realized_annual_volatility_pct": 81.20529669122976, "trading_costs_quote_units": 32.28303005840626, "borrowing_costs_quote_units": 225.90808976616225, "price_pnl_quote_units": -7539.2427471163455, "turnover_quote_units": 53805.050097343774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2042.9835414740726, "return_pct": -79.57016458525928, "cagr_pct": -79.60718688107377, "max_drawdown_pct": 84.8447606919321, "mean_exposure_while_solvent": 1.0820400854501426, "realized_annual_volatility_pct": 86.9628549340423, "trading_costs_quote_units": 27.19152560146894, "borrowing_costs_quote_units": 110.83134319820908, "price_pnl_quote_units": -7818.993589726245, "turnover_quote_units": 45319.209335781634, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 1.5958259158499999 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3479.0578507605815, "return_pct": -65.2094214923942, "cagr_pct": -65.25134768582377, "max_drawdown_pct": 71.907513226088, "mean_exposure_while_solvent": 0.9066087804949514, "realized_annual_volatility_pct": 65.12610253778199, "trading_costs_quote_units": 53.46692307480111, "borrowing_costs_quote_units": 120.4193887785838, "price_pnl_quote_units": -6347.055837386027, "turnover_quote_units": 89111.53845800183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2872.8986404912735, "return_pct": -71.27101359508727, "cagr_pct": -71.31190796436711, "max_drawdown_pct": 78.38266986118731, "mean_exposure_while_solvent": 0.920320931370852, "realized_annual_volatility_pct": 72.56469743944875, "trading_costs_quote_units": 47.69237080446777, "borrowing_costs_quote_units": 76.64904552289741, "price_pnl_quote_units": -7002.7599431813705, "turnover_quote_units": 79487.28467411292, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 288, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 6.061592102693069 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2858.469711500656, "return_pct": -71.41530288499344, "cagr_pct": -71.45615600529437, "max_drawdown_pct": 78.49742469289235, "mean_exposure_while_solvent": 0.9169650612641005, "realized_annual_volatility_pct": 71.49985962793221, "trading_costs_quote_units": 22.60660104670104, "borrowing_costs_quote_units": 67.60878388145076, "price_pnl_quote_units": -7051.3149035711995, "turnover_quote_units": 37677.668411168415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 301, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2420.6576164553007, "return_pct": -75.79342383544699, "cagr_pct": -75.8326087803684, "max_drawdown_pct": 82.51338013151285, "mean_exposure_while_solvent": 0.9594260845021457, "realized_annual_volatility_pct": 85.9100046241234, "trading_costs_quote_units": 12.853014589436475, "borrowing_costs_quote_units": 14.145467819855245, "price_pnl_quote_units": -7552.343901135425, "turnover_quote_units": 21421.690982394142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 4.37812095045355 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3899.299740107286, "return_pct": -61.00700259892714, "cagr_pct": -61.04892059669245, "max_drawdown_pct": 68.89218867541256, "mean_exposure_while_solvent": 0.8238342130585965, "realized_annual_volatility_pct": 62.38655836626388, "trading_costs_quote_units": 22.573179059670196, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6078.127080833051, "turnover_quote_units": 37621.965099450295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 215, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2627.9015874380334, "return_pct": -73.72098412561967, "cagr_pct": -73.76106232920796, "max_drawdown_pct": 79.73790555985265, "mean_exposure_while_solvent": 0.9004169628342108, "realized_annual_volatility_pct": 77.54245527022012, "trading_costs_quote_units": 20.131220560589647, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7351.9671920013725, "turnover_quote_units": 33552.034267649426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 136, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 12.713981526692528 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2838.835060717746, "return_pct": -71.61164939282254, "cagr_pct": -71.65244504563859, "max_drawdown_pct": 78.64512454620535, "mean_exposure_while_solvent": 0.9226100838903911, "realized_annual_volatility_pct": 71.75031487328451, "trading_costs_quote_units": 20.980285612000902, "borrowing_costs_quote_units": 66.97191601764587, "price_pnl_quote_units": -7073.21273765261, "turnover_quote_units": 34967.14268666817, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 243, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2420.6576164553007, "return_pct": -75.79342383544699, "cagr_pct": -75.8326087803684, "max_drawdown_pct": 82.51338013151285, "mean_exposure_while_solvent": 0.9594260845021457, "realized_annual_volatility_pct": 85.9100046241234, "trading_costs_quote_units": 12.853014589436475, "borrowing_costs_quote_units": 14.145467819855245, "price_pnl_quote_units": -7552.343901135425, "turnover_quote_units": 21421.690982394142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 4.1817744426244445 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3326.6757221188373, "return_pct": -66.73324277881163, "cagr_pct": -66.77503215308906, "max_drawdown_pct": 73.48930266787886, "mean_exposure_while_solvent": 0.8216063935146763, "realized_annual_volatility_pct": 60.34681804785752, "trading_costs_quote_units": 23.622880984719714, "borrowing_costs_quote_units": 78.68283474738148, "price_pnl_quote_units": -6571.018562149062, "turnover_quote_units": 39371.46830786622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2420.6576164553007, "return_pct": -75.79342383544699, "cagr_pct": -75.8326087803684, "max_drawdown_pct": 82.51338013151285, "mean_exposure_while_solvent": 0.9594260845021457, "realized_annual_volatility_pct": 85.9100046241234, "trading_costs_quote_units": 12.853014589436475, "borrowing_costs_quote_units": 14.145467819855245, "price_pnl_quote_units": -7552.343901135425, "turnover_quote_units": 21421.690982394142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 9.060181056635358 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4084.73440795487, "return_pct": -59.152655920451295, "cagr_pct": -59.194402260111865, "max_drawdown_pct": 69.54769342619214, "mean_exposure_while_solvent": 0.7495883379838686, "realized_annual_volatility_pct": 65.96868199159482, "trading_costs_quote_units": 13.930177365432536, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5901.335414679706, "turnover_quote_units": 23216.962275720918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4084.73440795487, "return_pct": -59.152655920451295, "cagr_pct": -59.194402260111865, "max_drawdown_pct": 69.54769342619214, "mean_exposure_while_solvent": 0.7495883379838686, "realized_annual_volatility_pct": 65.96868199159482, "trading_costs_quote_units": 13.930177365432536, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5901.335414679706, "turnover_quote_units": 23216.962275720918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2727.0332690348105, "return_pct": -72.72966730965189, "cagr_pct": -72.77010586022269, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9995400183992639, "realized_annual_volatility_pct": 88.19618365369065, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7266.970328806484, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2727.0332690348105, "return_pct": -72.72966730965189, "cagr_pct": -72.77010586022269, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9995400183992639, "realized_annual_volatility_pct": 88.19618365369065, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7266.970328806484, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1630.172415907882, "return_pct": -83.69827584092118, "cagr_pct": -83.73201165511519, "max_drawdown_pct": 89.77312041397909, "mean_exposure_while_solvent": 1.2497463919875402, "realized_annual_volatility_pct": 110.62630929175799, "trading_costs_quote_units": 18.508560487404242, "borrowing_costs_quote_units": 220.60194345629426, "price_pnl_quote_units": -8130.717080148398, "turnover_quote_units": 30847.600812340428, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1630.172415907882, "return_pct": -83.69827584092118, "cagr_pct": -83.73201165511519, "max_drawdown_pct": 89.77312041397909, "mean_exposure_while_solvent": 1.2497463919875402, "realized_annual_volatility_pct": 110.62630929175799, "trading_costs_quote_units": 18.508560487404242, "borrowing_costs_quote_units": 220.60194345629426, "price_pnl_quote_units": -8130.717080148398, "turnover_quote_units": 30847.600812340428, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 917.7786149533229, "return_pct": -90.82221385046677, "cagr_pct": -90.8472140908722, "max_drawdown_pct": 94.6781888109846, "mean_exposure_while_solvent": 1.5002486188680688, "realized_annual_volatility_pct": 133.2994915484974, "trading_costs_quote_units": 30.58886792963528, "borrowing_costs_quote_units": 345.8692011723377, "price_pnl_quote_units": -8705.763315944716, "turnover_quote_units": 50981.44654939218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 917.7786149533229, "return_pct": -90.82221385046677, "cagr_pct": -90.8472140908722, "max_drawdown_pct": 94.6781888109846, "mean_exposure_while_solvent": 1.5002486188680688, "realized_annual_volatility_pct": 133.2994915484974, "trading_costs_quote_units": 30.58886792963528, "borrowing_costs_quote_units": 345.8692011723377, "price_pnl_quote_units": -8705.763315944716, "turnover_quote_units": 50981.44654939218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4787.272086569357, "return_pct": -52.12727913430643, "cagr_pct": -52.167536537580936, "max_drawdown_pct": 63.94993414152663, "mean_exposure_while_solvent": 0.6448902667134121, "realized_annual_volatility_pct": 51.420540166664495, "trading_costs_quote_units": 36.65468717498215, "borrowing_costs_quote_units": 4.877088383225636, "price_pnl_quote_units": -5171.19613787243, "turnover_quote_units": 61091.14529163701, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2852.9089393032805, "return_pct": -71.4709106069672, "cagr_pct": -71.51174760853525, "max_drawdown_pct": 76.00683636495978, "mean_exposure_while_solvent": 0.770122932216365, "realized_annual_volatility_pct": 71.66399159728071, "trading_costs_quote_units": 27.69581991334218, "borrowing_costs_quote_units": 0.9807327731194587, "price_pnl_quote_units": -7118.41450801025, "turnover_quote_units": 46159.699855570296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 19.343631472660768 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3230.2798879640386, "return_pct": -67.69720112035962, "cagr_pct": -67.73886300378275, "max_drawdown_pct": 75.1036842417566, "mean_exposure_while_solvent": 0.9052493495181846, "realized_annual_volatility_pct": 67.14663155469283, "trading_costs_quote_units": 35.507888143252394, "borrowing_costs_quote_units": 27.007825385732026, "price_pnl_quote_units": -6707.2043985069695, "turnover_quote_units": 59179.813572087325, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2429.1175435862747, "return_pct": -75.70882456413726, "cagr_pct": -75.74804982526649, "max_drawdown_pct": 80.45999108900459, "mean_exposure_while_solvent": 0.9377044514134631, "realized_annual_volatility_pct": 78.68391750504537, "trading_costs_quote_units": 25.67724976509534, "borrowing_costs_quote_units": 8.703873683837385, "price_pnl_quote_units": -7536.501332964768, "turnover_quote_units": 42795.41627515885, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 8.011623443777637 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2385.665758799821, "return_pct": -76.14334241200179, "cagr_pct": -76.18235700321154, "max_drawdown_pct": 81.1543913559944, "mean_exposure_while_solvent": 1.1094436174135436, "realized_annual_volatility_pct": 81.04433320071922, "trading_costs_quote_units": 33.9481065441149, "borrowing_costs_quote_units": 59.97165492711194, "price_pnl_quote_units": -7520.414479728973, "turnover_quote_units": 56580.177573524816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2035.45105331013, "return_pct": -79.6454894668987, "cagr_pct": -79.68246097338256, "max_drawdown_pct": 84.42279213040536, "mean_exposure_while_solvent": 1.0814205252575553, "realized_annual_volatility_pct": 86.74974277124234, "trading_costs_quote_units": 25.959620097775645, "borrowing_costs_quote_units": 27.20008385967007, "price_pnl_quote_units": -7911.389242732432, "turnover_quote_units": 43266.03349629271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 3.502147054896909 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3504.9095129667803, "return_pct": -64.9509048703322, "cagr_pct": -64.99284661917177, "max_drawdown_pct": 73.10824595026268, "mean_exposure_while_solvent": 0.9059369918271108, "realized_annual_volatility_pct": 65.43187639519265, "trading_costs_quote_units": 55.04155573114037, "borrowing_costs_quote_units": 30.94705531386629, "price_pnl_quote_units": -6409.101875988211, "turnover_quote_units": 91735.92621856746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 344, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2962.2190514575263, "return_pct": -70.37780948542473, "cagr_pct": -70.41894094408589, "max_drawdown_pct": 76.6832009180713, "mean_exposure_while_solvent": 0.9197583770357112, "realized_annual_volatility_pct": 72.56790947966248, "trading_costs_quote_units": 48.42729387635199, "borrowing_costs_quote_units": 19.46268807028482, "price_pnl_quote_units": -6969.890966595839, "turnover_quote_units": 80712.15646058667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 289, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.426904615092539 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2960.18231541085, "return_pct": -70.3981768458915, "cagr_pct": -70.43930324449019, "max_drawdown_pct": 78.4421956524786, "mean_exposure_while_solvent": 0.9160572645637755, "realized_annual_volatility_pct": 71.39086061597267, "trading_costs_quote_units": 23.72278655444815, "borrowing_costs_quote_units": 17.475363374333696, "price_pnl_quote_units": -6998.619534660358, "turnover_quote_units": 39537.97759074694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 303, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2351.018400504112, "return_pct": -76.48981599495887, "cagr_pct": -76.52865613718942, "max_drawdown_pct": 82.42643361210102, "mean_exposure_while_solvent": 0.9585154568368618, "realized_annual_volatility_pct": 85.59180600352212, "trading_costs_quote_units": 12.789557599517513, "borrowing_costs_quote_units": 3.4455984812424085, "price_pnl_quote_units": -7632.746443415131, "turnover_quote_units": 21315.92933252918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 6.091639149067376 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4097.5142580253805, "return_pct": -59.02485741974619, "cagr_pct": -59.06658833629015, "max_drawdown_pct": 68.41976165229433, "mean_exposure_while_solvent": 0.8229755617121144, "realized_annual_volatility_pct": 62.38155810466204, "trading_costs_quote_units": 23.911416934205224, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5878.574325040427, "turnover_quote_units": 39852.361557008684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 216, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2496.669967288067, "return_pct": -75.03330032711933, "cagr_pct": -75.07283554387807, "max_drawdown_pct": 79.9165941815237, "mean_exposure_while_solvent": 0.8996521618381316, "realized_annual_volatility_pct": 77.34212790297809, "trading_costs_quote_units": 19.200338422972095, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7484.129694288959, "turnover_quote_units": 32000.564038286837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 136, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 16.008442907373144 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2941.5589706364613, "return_pct": -70.58441029363539, "cagr_pct": -70.62548968100941, "max_drawdown_pct": 78.57782190119057, "mean_exposure_while_solvent": 0.9216790389536155, "realized_annual_volatility_pct": 71.64575630394945, "trading_costs_quote_units": 22.0149833935952, "borrowing_costs_quote_units": 17.31978314755606, "price_pnl_quote_units": -7019.106262822386, "turnover_quote_units": 36691.638989325365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 244, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2351.018400504112, "return_pct": -76.48981599495887, "cagr_pct": -76.52865613718942, "max_drawdown_pct": 82.42643361210102, "mean_exposure_while_solvent": 0.9585154568368618, "realized_annual_volatility_pct": 85.59180600352212, "trading_costs_quote_units": 12.789557599517513, "borrowing_costs_quote_units": 3.4455984812424085, "price_pnl_quote_units": -7632.746443415131, "turnover_quote_units": 21315.92933252918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.905405701323488 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3360.7751461646903, "return_pct": -66.3922485383531, "cagr_pct": -66.43407532587075, "max_drawdown_pct": 73.44317221731403, "mean_exposure_while_solvent": 0.8207118217974645, "realized_annual_volatility_pct": 60.25505611654432, "trading_costs_quote_units": 24.018042533469064, "borrowing_costs_quote_units": 19.840253282003015, "price_pnl_quote_units": -6595.366558019828, "turnover_quote_units": 40030.07088911513, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2351.018400504112, "return_pct": -76.48981599495887, "cagr_pct": -76.52865613718942, "max_drawdown_pct": 82.42643361210102, "mean_exposure_while_solvent": 0.9585154568368618, "realized_annual_volatility_pct": 85.59180600352212, "trading_costs_quote_units": 12.789557599517513, "borrowing_costs_quote_units": 3.4455984812424085, "price_pnl_quote_units": -7632.746443415131, "turnover_quote_units": 21315.92933252918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 10.097567456605773 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4123.660815855492, "return_pct": -58.76339184144508, "cagr_pct": -58.805089786465004, "max_drawdown_pct": 69.76564738078011, "mean_exposure_while_solvent": 0.7486497268700313, "realized_annual_volatility_pct": 65.97917493322338, "trading_costs_quote_units": 13.512234764274275, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5862.826949380231, "turnover_quote_units": 22520.391273790443, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4123.660815855492, "return_pct": -58.76339184144508, "cagr_pct": -58.805089786465004, "max_drawdown_pct": 69.76564738078011, "mean_exposure_while_solvent": 0.7486497268700313, "realized_annual_volatility_pct": 65.97917493322338, "trading_costs_quote_units": 13.512234764274275, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5862.826949380231, "turnover_quote_units": 22520.391273790443, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2793.5982428056573, "return_pct": -72.06401757194342, "cagr_pct": -72.10467490470411, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.998620055197792, "realized_annual_volatility_pct": 88.15850964401932, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7200.405355035615, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2793.5982428056573, "return_pct": -72.06401757194342, "cagr_pct": -72.10467490470411, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.998620055197792, "realized_annual_volatility_pct": 88.15850964401932, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7200.405355035615, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1773.2615969813228, "return_pct": -82.26738403018678, "cagr_pct": -82.3023805723395, "max_drawdown_pct": 89.2558002903449, "mean_exposure_while_solvent": 1.2489562515003692, "realized_annual_volatility_pct": 110.50504337899727, "trading_costs_quote_units": 18.43337521092681, "borrowing_costs_quote_units": 58.09780845535201, "price_pnl_quote_units": -8150.207219352403, "turnover_quote_units": 30722.292018211374, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1773.2615969813228, "return_pct": -82.26738403018678, "cagr_pct": -82.3023805723395, "max_drawdown_pct": 89.2558002903449, "mean_exposure_while_solvent": 1.2489562515003692, "realized_annual_volatility_pct": 110.50504337899727, "trading_costs_quote_units": 18.43337521092681, "borrowing_costs_quote_units": 58.09780845535201, "price_pnl_quote_units": -8150.207219352403, "turnover_quote_units": 30722.292018211374, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1069.4825978535196, "return_pct": -89.30517402146481, "cagr_pct": -89.33244312879846, "max_drawdown_pct": 94.07976814340824, "mean_exposure_while_solvent": 1.4997347609612908, "realized_annual_volatility_pct": 133.0667949273334, "trading_costs_quote_units": 31.017761002917997, "borrowing_costs_quote_units": 93.7666599713023, "price_pnl_quote_units": -8805.732981172285, "turnover_quote_units": 51696.26833819674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1069.4825978535196, "return_pct": -89.30517402146481, "cagr_pct": -89.33244312879846, "max_drawdown_pct": 94.07976814340824, "mean_exposure_while_solvent": 1.4997347609612908, "realized_annual_volatility_pct": 133.0667949273334, "trading_costs_quote_units": 31.017761002917997, "borrowing_costs_quote_units": 93.7666599713023, "price_pnl_quote_units": -8805.732981172285, "turnover_quote_units": 51696.26833819674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4784.207687274678, "return_pct": -52.15792312725321, "cagr_pct": -52.198189718275565, "max_drawdown_pct": 63.973010288942554, "mean_exposure_while_solvent": 0.6448910993160021, "realized_annual_volatility_pct": 51.4210401365647, "trading_costs_quote_units": 36.65133189140995, "borrowing_costs_quote_units": 9.75187527939952, "price_pnl_quote_units": -5169.389105554503, "turnover_quote_units": 61085.55315234992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2852.3924467614497, "return_pct": -71.47607553238551, "cagr_pct": -71.51691103054519, "max_drawdown_pct": 76.01118010334613, "mean_exposure_while_solvent": 0.7701231772038799, "realized_annual_volatility_pct": 71.6640181192796, "trading_costs_quote_units": 27.695412287251393, "borrowing_costs_quote_units": 1.9614221571917803, "price_pnl_quote_units": -7117.9507187940935, "turnover_quote_units": 46159.02047875233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 19.318152405132295 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3216.91314671061, "return_pct": -67.8308685328939, "cagr_pct": -67.87251016642226, "max_drawdown_pct": 75.20670398693225, "mean_exposure_while_solvent": 0.9052559574991741, "realized_annual_volatility_pct": 67.14798298689311, "trading_costs_quote_units": 35.48369834124099, "borrowing_costs_quote_units": 53.9134495974395, "price_pnl_quote_units": -6693.689705350719, "turnover_quote_units": 59139.49723540162, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2424.5158215535594, "return_pct": -75.75484178446442, "cagr_pct": -75.79404515764813, "max_drawdown_pct": 80.49700769602823, "mean_exposure_while_solvent": 0.9377073478339044, "realized_annual_volatility_pct": 78.68400096624258, "trading_costs_quote_units": 25.669251520369745, "borrowing_costs_quote_units": 17.392741985658823, "price_pnl_quote_units": -7532.422184940408, "turnover_quote_units": 42782.085867282876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 7.923973251570516 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2360.90979052634, "return_pct": -76.3909020947366, "cagr_pct": -76.42979263072189, "max_drawdown_pct": 81.34995156302028, "mean_exposure_while_solvent": 1.1094603716359042, "realized_annual_volatility_pct": 81.04640493744355, "trading_costs_quote_units": 33.877987288887454, "borrowing_costs_quote_units": 119.38190303620561, "price_pnl_quote_units": -7485.830319148588, "turnover_quote_units": 56463.31214814578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2022.172901698767, "return_pct": -79.77827098301233, "cagr_pct": -79.81515218343242, "max_drawdown_pct": 84.52440917859614, "mean_exposure_while_solvent": 1.0814310875336026, "realized_annual_volatility_pct": 86.75062414739023, "trading_costs_quote_units": 25.92851737514469, "borrowing_costs_quote_units": 54.24047992716761, "price_pnl_quote_units": -7897.6581009989195, "turnover_quote_units": 43214.19562524113, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 3.3873688882757307 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3488.3121489369114, "return_pct": -65.11687851063088, "cagr_pct": -65.1588105237855, "max_drawdown_pct": 73.23559081600428, "mean_exposure_while_solvent": 0.9059444556984196, "realized_annual_volatility_pct": 65.43299240284878, "trading_costs_quote_units": 54.99535015709804, "borrowing_costs_quote_units": 61.75901403783011, "price_pnl_quote_units": -6394.933486868135, "turnover_quote_units": 91658.91692849665, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 344, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2951.2941729583636, "return_pct": -70.48705827041637, "cagr_pct": -70.52816239992072, "max_drawdown_pct": 76.7691949625813, "mean_exposure_while_solvent": 0.9197642184177367, "realized_annual_volatility_pct": 72.5686983175441, "trading_costs_quote_units": 48.394308733463994, "borrowing_costs_quote_units": 38.859367202621485, "price_pnl_quote_units": -6961.452151105543, "turnover_quote_units": 80657.18122243996, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 289, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.370179759785486 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2951.493350474901, "return_pct": -70.48506649525099, "cagr_pct": -70.52617112713563, "max_drawdown_pct": 78.50547385162751, "mean_exposure_while_solvent": 0.9160617947286543, "realized_annual_volatility_pct": 71.39206496919387, "trading_costs_quote_units": 23.70977930845464, "borrowing_costs_quote_units": 34.90542721882617, "price_pnl_quote_units": -6989.891442997806, "turnover_quote_units": 39516.29884742437, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 303, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2349.077202291766, "return_pct": -76.50922797708233, "cagr_pct": -76.54805817377368, "max_drawdown_pct": 82.44094382420715, "mean_exposure_while_solvent": 0.958516598808262, "realized_annual_volatility_pct": 85.59181278702552, "trading_costs_quote_units": 12.787380753443541, "borrowing_costs_quote_units": 6.888835270877937, "price_pnl_quote_units": -7631.246581683916, "turnover_quote_units": 21312.301255739232, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 6.024161481831342 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4097.5142580253805, "return_pct": -59.02485741974619, "cagr_pct": -59.06658833629015, "max_drawdown_pct": 68.41976165229433, "mean_exposure_while_solvent": 0.8229755617121144, "realized_annual_volatility_pct": 62.38155810466204, "trading_costs_quote_units": 23.911416934205224, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5878.574325040427, "turnover_quote_units": 39852.361557008684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 216, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2496.669967288067, "return_pct": -75.03330032711933, "cagr_pct": -75.07283554387807, "max_drawdown_pct": 79.9165941815237, "mean_exposure_while_solvent": 0.8996521618381316, "realized_annual_volatility_pct": 77.34212790297809, "trading_costs_quote_units": 19.200338422972095, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7484.129694288959, "turnover_quote_units": 32000.564038286837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 136, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 16.008442907373144 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2932.944721879848, "return_pct": -70.67055278120151, "cagr_pct": -70.71160996862804, "max_drawdown_pct": 78.64055597278112, "mean_exposure_while_solvent": 0.9216835610444871, "realized_annual_volatility_pct": 71.64696214414256, "trading_costs_quote_units": 22.002098373619816, "borrowing_costs_quote_units": 34.59478327902446, "price_pnl_quote_units": -7010.4583964675085, "turnover_quote_units": 36670.16395603305, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 244, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2349.077202291766, "return_pct": -76.50922797708233, "cagr_pct": -76.54805817377368, "max_drawdown_pct": 82.44094382420715, "mean_exposure_while_solvent": 0.958516598808262, "realized_annual_volatility_pct": 85.59181278702552, "trading_costs_quote_units": 12.787380753443541, "borrowing_costs_quote_units": 6.888835270877937, "price_pnl_quote_units": -7631.246581683916, "turnover_quote_units": 21312.301255739232, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.838675195880825 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3350.910328970628, "return_pct": -66.49089671029371, "cagr_pct": -66.53271308226711, "max_drawdown_pct": 73.52112395164215, "mean_exposure_while_solvent": 0.8207163519623434, "realized_annual_volatility_pct": 60.25651147486961, "trading_costs_quote_units": 24.003275054848736, "borrowing_costs_quote_units": 39.62907678103936, "price_pnl_quote_units": -6585.457319193488, "turnover_quote_units": 40005.45842474791, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2349.077202291766, "return_pct": -76.50922797708233, "cagr_pct": -76.54805817377368, "max_drawdown_pct": 82.44094382420715, "mean_exposure_while_solvent": 0.958516598808262, "realized_annual_volatility_pct": 85.59181278702552, "trading_costs_quote_units": 12.787380753443541, "borrowing_costs_quote_units": 6.888835270877937, "price_pnl_quote_units": -7631.246581683916, "turnover_quote_units": 21312.301255739232, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 10.018331266788621 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4123.660815855492, "return_pct": -58.76339184144508, "cagr_pct": -58.805089786465004, "max_drawdown_pct": 69.76564738078011, "mean_exposure_while_solvent": 0.7486497268700313, "realized_annual_volatility_pct": 65.97917493322338, "trading_costs_quote_units": 13.512234764274275, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5862.826949380231, "turnover_quote_units": 22520.391273790443, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4123.660815855492, "return_pct": -58.76339184144508, "cagr_pct": -58.805089786465004, "max_drawdown_pct": 69.76564738078011, "mean_exposure_while_solvent": 0.7486497268700313, "realized_annual_volatility_pct": 65.97917493322338, "trading_costs_quote_units": 13.512234764274275, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5862.826949380231, "turnover_quote_units": 22520.391273790443, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2793.5982428056573, "return_pct": -72.06401757194342, "cagr_pct": -72.10467490470411, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.998620055197792, "realized_annual_volatility_pct": 88.15850964401932, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7200.405355035615, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2793.5982428056573, "return_pct": -72.06401757194342, "cagr_pct": -72.10467490470411, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.998620055197792, "realized_annual_volatility_pct": 88.15850964401932, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7200.405355035615, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1751.149380250275, "return_pct": -82.48850619749724, "cagr_pct": -82.5233167994532, "max_drawdown_pct": 89.382065967593, "mean_exposure_while_solvent": 1.2489743930326922, "realized_annual_volatility_pct": 110.50726299601239, "trading_costs_quote_units": 18.396698141194914, "borrowing_costs_quote_units": 115.62936906360923, "price_pnl_quote_units": -8114.824552544912, "turnover_quote_units": 30661.163568658176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1751.149380250275, "return_pct": -82.48850619749724, "cagr_pct": -82.5233167994532, "max_drawdown_pct": 89.382065967593, "mean_exposure_while_solvent": 1.2489743930326922, "realized_annual_volatility_pct": 110.50726299601239, "trading_costs_quote_units": 18.396698141194914, "borrowing_costs_quote_units": 115.62936906360923, "price_pnl_quote_units": -8114.824552544912, "turnover_quote_units": 30661.163568658176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1042.9206750808178, "return_pct": -89.57079324919182, "cagr_pct": -89.59768388455147, "max_drawdown_pct": 94.21843588417279, "mean_exposure_while_solvent": 1.4997784157198626, "realized_annual_volatility_pct": 133.07220016969953, "trading_costs_quote_units": 30.880778210601775, "borrowing_costs_quote_units": 185.84261273482127, "price_pnl_quote_units": -8740.355933973746, "turnover_quote_units": 51467.9636843362, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1042.9206750808178, "return_pct": -89.57079324919182, "cagr_pct": -89.59768388455147, "max_drawdown_pct": 94.21843588417279, "mean_exposure_while_solvent": 1.4997784157198626, "realized_annual_volatility_pct": 133.07220016969953, "trading_costs_quote_units": 30.880778210601775, "borrowing_costs_quote_units": 185.84261273482127, "price_pnl_quote_units": -8740.355933973746, "turnover_quote_units": 51467.9636843362, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4778.083111412539, "return_pct": -52.21916888587461, "cagr_pct": -52.25945377252411, "max_drawdown_pct": 64.01913078495632, "mean_exposure_while_solvent": 0.6448927647474697, "realized_annual_volatility_pct": 51.42204173739787, "trading_costs_quote_units": 36.64528975976453, "borrowing_costs_quote_units": 19.494546967590853, "price_pnl_quote_units": -5165.777051860105, "turnover_quote_units": 61075.48293294097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2851.359528095738, "return_pct": -71.48640471904261, "cagr_pct": -71.52723720737568, "max_drawdown_pct": 76.01986702153924, "mean_exposure_while_solvent": 0.7701236672457092, "realized_annual_volatility_pct": 71.66407147081775, "trading_costs_quote_units": 27.694597033672633, "borrowing_costs_quote_units": 3.922670670905302, "price_pnl_quote_units": -7117.023204199685, "turnover_quote_units": 46157.661722787736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 19.267235833168 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3190.3382109362556, "return_pct": -68.09661789063745, "cagr_pct": -68.13821737807987, "max_drawdown_pct": 75.41152153068707, "mean_exposure_while_solvent": 0.9052691760785011, "realized_annual_volatility_pct": 67.15070093764602, "trading_costs_quote_units": 35.43630669765584, "borrowing_costs_quote_units": 107.41958229199969, "price_pnl_quote_units": -6666.805900074097, "turnover_quote_units": 59060.51116275967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2415.336310612515, "return_pct": -75.84663689387486, "cagr_pct": -75.88579630700661, "max_drawdown_pct": 80.57084839017669, "mean_exposure_while_solvent": 0.9377131417170886, "realized_annual_volatility_pct": 78.68417284565527, "trading_costs_quote_units": 25.653285775096617, "borrowing_costs_quote_units": 34.72555646469974, "price_pnl_quote_units": -7524.284847147673, "turnover_quote_units": 42755.476291827676, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 7.750019003237412 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2312.1534954136755, "return_pct": -76.87846504586324, "cagr_pct": -76.91710256348823, "max_drawdown_pct": 81.7351027742642, "mean_exposure_while_solvent": 1.109493886686308, "realized_annual_volatility_pct": 81.05056730465687, "trading_costs_quote_units": 33.73894474483904, "borrowing_costs_quote_units": 236.539708468993, "price_pnl_quote_units": -7417.567851372491, "turnover_quote_units": 56231.57457473174, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1995.8692030202503, "return_pct": -80.04130796979749, "cagr_pct": -80.07800733164807, "max_drawdown_pct": 84.72571010469214, "mean_exposure_while_solvent": 1.081452216237359, "realized_annual_volatility_pct": 86.75240132666234, "trading_costs_quote_units": 25.866660184875908, "borrowing_costs_quote_units": 107.84607909580198, "price_pnl_quote_units": -7870.418057699073, "turnover_quote_units": 43111.100308126515, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 3.1628429239342495 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3455.344609147017, "return_pct": -65.44655390852982, "cagr_pct": -65.4884639046202, "max_drawdown_pct": 73.48853742371979, "mean_exposure_while_solvent": 0.9059593863121937, "realized_annual_volatility_pct": 65.4352398206179, "trading_costs_quote_units": 54.90334886836335, "borrowing_costs_quote_units": 122.97996038198431, "price_pnl_quote_units": -6366.772081602634, "turnover_quote_units": 91505.58144727233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 344, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2929.5596706719534, "return_pct": -70.70440329328048, "cagr_pct": -70.74545167801054, "max_drawdown_pct": 76.9402758361273, "mean_exposure_while_solvent": 0.9197759034605014, "realized_annual_volatility_pct": 72.5702878060527, "trading_costs_quote_units": 48.328591756730866, "borrowing_costs_quote_units": 77.4555732326166, "price_pnl_quote_units": -6944.656164338697, "turnover_quote_units": 80547.65292788476, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 289, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.257849384750656 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2934.1875609612052, "return_pct": -70.65812439038794, "cagr_pct": -70.69918479857178, "max_drawdown_pct": 78.63150488102507, "mean_exposure_while_solvent": 0.9160708567698729, "realized_annual_volatility_pct": 71.39448360493978, "trading_costs_quote_units": 23.683835023389914, "borrowing_costs_quote_units": 69.63010011749661, "price_pnl_quote_units": -6972.498503897899, "turnover_quote_units": 39473.05837231653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 303, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2345.1987789436885, "return_pct": -76.54801221056312, "cagr_pct": -76.58682248167709, "max_drawdown_pct": 82.46993455017221, "mean_exposure_while_solvent": 0.9585188830864475, "realized_annual_volatility_pct": 85.59182763457741, "trading_costs_quote_units": 12.783030310687593, "borrowing_costs_quote_units": 13.76822863956958, "price_pnl_quote_units": -7628.249962106054, "turnover_quote_units": 21305.050517812666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.889887820175176 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4097.5142580253805, "return_pct": -59.02485741974619, "cagr_pct": -59.06658833629015, "max_drawdown_pct": 68.41976165229433, "mean_exposure_while_solvent": 0.8229755617121144, "realized_annual_volatility_pct": 62.38155810466204, "trading_costs_quote_units": 23.911416934205224, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5878.574325040427, "turnover_quote_units": 39852.361557008684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 216, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2496.669967288067, "return_pct": -75.03330032711933, "cagr_pct": -75.07283554387807, "max_drawdown_pct": 79.9165941815237, "mean_exposure_while_solvent": 0.8996521618381316, "realized_annual_volatility_pct": 77.34212790297809, "trading_costs_quote_units": 19.200338422972095, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7484.129694288959, "turnover_quote_units": 32000.564038286837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 136, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 16.008442907373144 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2915.787565558763, "return_pct": -70.84212434441237, "cagr_pct": -70.8831364543013, "max_drawdown_pct": 78.76550456706335, "mean_exposure_while_solvent": 0.9216926069361401, "realized_annual_volatility_pct": 71.64938372559779, "trading_costs_quote_units": 21.97639758554287, "borrowing_costs_quote_units": 69.01087198997648, "price_pnl_quote_units": -6993.225164865717, "turnover_quote_units": 36627.32930923813, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 244, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2345.1987789436885, "return_pct": -76.54801221056312, "cagr_pct": -76.58682248167709, "max_drawdown_pct": 82.46993455017221, "mean_exposure_while_solvent": 0.9585188830864475, "realized_annual_volatility_pct": 85.59182763457741, "trading_costs_quote_units": 12.783030310687593, "borrowing_costs_quote_units": 13.76822863956958, "price_pnl_quote_units": -7628.249962106054, "turnover_quote_units": 21305.050517812666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.705887866150746 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3331.262597484769, "return_pct": -66.68737402515231, "cagr_pct": -66.72916866350903, "max_drawdown_pct": 73.67638022398928, "mean_exposure_while_solvent": 0.820725414003562, "realized_annual_volatility_pct": 60.25943393643711, "trading_costs_quote_units": 23.973819805428274, "borrowing_costs_quote_units": 79.05293828747266, "price_pnl_quote_units": -6565.710644422327, "turnover_quote_units": 39956.36634238043, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2345.1987789436885, "return_pct": -76.54801221056312, "cagr_pct": -76.58682248167709, "max_drawdown_pct": 82.46993455017221, "mean_exposure_while_solvent": 0.9585188830864475, "realized_annual_volatility_pct": 85.59182763457741, "trading_costs_quote_units": 12.783030310687593, "borrowing_costs_quote_units": 13.76822863956958, "price_pnl_quote_units": -7628.249962106054, "turnover_quote_units": 21305.050517812666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 9.860638185410806 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4123.660815855492, "return_pct": -58.76339184144508, "cagr_pct": -58.805089786465004, "max_drawdown_pct": 69.76564738078011, "mean_exposure_while_solvent": 0.7486497268700313, "realized_annual_volatility_pct": 65.97917493322338, "trading_costs_quote_units": 13.512234764274275, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5862.826949380231, "turnover_quote_units": 22520.391273790443, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4123.660815855492, "return_pct": -58.76339184144508, "cagr_pct": -58.805089786465004, "max_drawdown_pct": 69.76564738078011, "mean_exposure_while_solvent": 0.7486497268700313, "realized_annual_volatility_pct": 65.97917493322338, "trading_costs_quote_units": 13.512234764274275, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5862.826949380231, "turnover_quote_units": 22520.391273790443, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2793.5982428056573, "return_pct": -72.06401757194342, "cagr_pct": -72.10467490470411, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.998620055197792, "realized_annual_volatility_pct": 88.15850964401932, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7200.405355035615, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2793.5982428056573, "return_pct": -72.06401757194342, "cagr_pct": -72.10467490470411, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.998620055197792, "realized_annual_volatility_pct": 88.15850964401932, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7200.405355035615, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1707.7388984018598, "return_pct": -82.9226110159814, "cagr_pct": -82.95704727633922, "max_drawdown_pct": 89.63021891434792, "mean_exposure_while_solvent": 1.2490106819800946, "realized_annual_volatility_pct": 110.51170316512946, "trading_costs_quote_units": 18.324125920028006, "borrowing_costs_quote_units": 229.0183435923983, "price_pnl_quote_units": -8044.918632085726, "turnover_quote_units": 30540.20986671336, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1707.7388984018598, "return_pct": -82.9226110159814, "cagr_pct": -82.95704727633922, "max_drawdown_pct": 89.63021891434792, "mean_exposure_while_solvent": 1.2490106819800946, "realized_annual_volatility_pct": 110.51170316512946, "trading_costs_quote_units": 18.324125920028006, "borrowing_costs_quote_units": 229.0183435923983, "price_pnl_quote_units": -8044.918632085726, "turnover_quote_units": 30540.20986671336, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 991.7454419520271, "return_pct": -90.08254558047972, "cagr_pct": -90.10868510856972, "max_drawdown_pct": 94.48617694033248, "mean_exposure_while_solvent": 1.4998657452085595, "realized_annual_volatility_pct": 133.0830140350279, "trading_costs_quote_units": 30.611987300756383, "borrowing_costs_quote_units": 365.0651551390019, "price_pnl_quote_units": -8612.577415608232, "turnover_quote_units": 51019.97883459393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 991.7454419520271, "return_pct": -90.08254558047972, "cagr_pct": -90.10868510856972, "max_drawdown_pct": 94.48617694033248, "mean_exposure_while_solvent": 1.4998657452085595, "realized_annual_volatility_pct": 133.0830140350279, "trading_costs_quote_units": 30.611987300756383, "borrowing_costs_quote_units": 365.0651551390019, "price_pnl_quote_units": -8612.577415608232, "turnover_quote_units": 51019.97883459393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4539.786719905107, "return_pct": -54.60213280094892, "cagr_pct": -54.64305875263624, "max_drawdown_pct": 64.65646993286481, "mean_exposure_while_solvent": 0.6456470116245678, "realized_annual_volatility_pct": 51.27001097770653, "trading_costs_quote_units": 172.58331394229037, "borrowing_costs_quote_units": 4.571918807631234, "price_pnl_quote_units": -5283.0580473449745, "turnover_quote_units": 57527.771314096775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2987.571496788308, "return_pct": -70.12428503211692, "cagr_pct": -70.16547814157505, "max_drawdown_pct": 76.018234199286, "mean_exposure_while_solvent": 0.7707361684510627, "realized_annual_volatility_pct": 71.85899676974876, "trading_costs_quote_units": 142.93472795416426, "borrowing_costs_quote_units": 1.0094638148208008, "price_pnl_quote_units": -6868.484311442694, "turnover_quote_units": 47644.909318054786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 15.522152231167993 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3029.495929241359, "return_pct": -69.7050407075864, "cagr_pct": -69.74633038674945, "max_drawdown_pct": 75.72272028914543, "mean_exposure_while_solvent": 0.906150240160956, "realized_annual_volatility_pct": 67.2959749771954, "trading_costs_quote_units": 165.4405083486689, "borrowing_costs_quote_units": 25.347857402493183, "price_pnl_quote_units": -6779.715705007475, "turnover_quote_units": 55146.83611622307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2493.0342210403987, "return_pct": -75.06965778959601, "cagr_pct": -75.10917686058644, "max_drawdown_pct": 80.7186413068742, "mean_exposure_while_solvent": 0.9383254856249661, "realized_annual_volatility_pct": 78.87364918612163, "trading_costs_quote_units": 132.43154300851407, "borrowing_costs_quote_units": 8.896551156220266, "price_pnl_quote_units": -7365.637684794879, "turnover_quote_units": 44143.847669504656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.364617082009602 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2226.6285540469707, "return_pct": -77.73371445953029, "cagr_pct": -77.77187964651534, "max_drawdown_pct": 82.19106434631045, "mean_exposure_while_solvent": 1.1102046086496127, "realized_annual_volatility_pct": 81.20865017585665, "trading_costs_quote_units": 161.0636658816588, "borrowing_costs_quote_units": 56.51237268914226, "price_pnl_quote_units": -7555.795407382244, "turnover_quote_units": 53687.88862721953, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2042.579205640669, "return_pct": -79.57420794359331, "cagr_pct": -79.61122752115239, "max_drawdown_pct": 84.80091340627767, "mean_exposure_while_solvent": 1.0820084963476257, "realized_annual_volatility_pct": 86.96423404831376, "trading_costs_quote_units": 135.3731501902695, "borrowing_costs_quote_units": 27.57491080961134, "price_pnl_quote_units": -7794.472733359442, "turnover_quote_units": 45124.38339675655, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 1.8404934840630176 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3424.323659464051, "return_pct": -65.7567634053595, "cagr_pct": -65.79864940478008, "max_drawdown_pct": 72.19450027425052, "mean_exposure_while_solvent": 0.9065855917512748, "realized_annual_volatility_pct": 65.12453985372993, "trading_costs_quote_units": 264.4621898773924, "borrowing_costs_quote_units": 29.638746262743233, "price_pnl_quote_units": -6281.5754043958095, "turnover_quote_units": 88154.0632924641, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2815.98323836242, "return_pct": -71.8401676163758, "cagr_pct": -71.88089443241384, "max_drawdown_pct": 78.73746599867314, "mean_exposure_while_solvent": 0.9203026450999349, "realized_annual_volatility_pct": 72.58487749956579, "trading_costs_quote_units": 235.77507017490078, "borrowing_costs_quote_units": 18.830225913943355, "price_pnl_quote_units": -6929.411465548725, "turnover_quote_units": 78591.69005830032, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 288, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 6.083404211016301 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2845.2150795453354, "return_pct": -71.54784920454664, "cagr_pct": -71.58866370019447, "max_drawdown_pct": 78.50502070325517, "mean_exposure_while_solvent": 0.9169505619615808, "realized_annual_volatility_pct": 71.49759972472201, "trading_costs_quote_units": 112.52815563240675, "borrowing_costs_quote_units": 16.798630701463495, "price_pnl_quote_units": -7025.458134120791, "turnover_quote_units": 37509.385210802226, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 301, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2407.069674826289, "return_pct": -75.92930325173711, "cagr_pct": -75.96842273575089, "max_drawdown_pct": 82.56853351077042, "mean_exposure_while_solvent": 0.9594226434707412, "realized_annual_volatility_pct": 85.91250153996498, "trading_costs_quote_units": 64.0513581574905, "borrowing_costs_quote_units": 3.516152367037318, "price_pnl_quote_units": -7525.362814649178, "turnover_quote_units": 21350.4527191635, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 4.3814540471904735 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3854.8839745460723, "return_pct": -61.451160254539275, "cagr_pct": -61.493104592199444, "max_drawdown_pct": 69.1083603712313, "mean_exposure_while_solvent": 0.8238342130585965, "realized_annual_volatility_pct": 62.391218009815105, "trading_costs_quote_units": 112.2694124960902, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6032.846612957833, "turnover_quote_units": 37423.13749869671, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 215, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2595.3831378839914, "return_pct": -74.04616862116009, "cagr_pct": -74.08611939683551, "max_drawdown_pct": 79.92706525835503, "mean_exposure_while_solvent": 0.9004169628342108, "realized_annual_volatility_pct": 77.54399667226598, "trading_costs_quote_units": 100.10943251750285, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7304.50742959849, "turnover_quote_units": 33369.810839167636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 136, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 12.595008366620817 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2828.3687785800207, "return_pct": -71.71631221419979, "cagr_pct": -71.75707660102752, "max_drawdown_pct": 78.63229083234995, "mean_exposure_while_solvent": 0.9225956086696202, "realized_annual_volatility_pct": 71.74855554643906, "trading_costs_quote_units": 104.48768065868023, "borrowing_costs_quote_units": 16.656311540444673, "price_pnl_quote_units": -7050.487229220862, "turnover_quote_units": 34829.22688622677, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 243, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2407.069674826289, "return_pct": -75.92930325173711, "cagr_pct": -75.96842273575089, "max_drawdown_pct": 82.56853351077042, "mean_exposure_while_solvent": 0.9594226434707412, "realized_annual_volatility_pct": 85.91250153996498, "trading_costs_quote_units": 64.0513581574905, "borrowing_costs_quote_units": 3.516152367037318, "price_pnl_quote_units": -7525.362814649178, "turnover_quote_units": 21350.4527191635, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 4.212991037537321 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3313.388353827278, "return_pct": -66.86611646172722, "cagr_pct": -66.90789017890644, "max_drawdown_pct": 73.555458947991, "mean_exposure_while_solvent": 0.8215918942121567, "realized_annual_volatility_pct": 60.34639971507196, "trading_costs_quote_units": 117.61974171036368, "borrowing_costs_quote_units": 19.562804839122723, "price_pnl_quote_units": -6549.429099623229, "turnover_quote_units": 39206.58057012125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2407.069674826289, "return_pct": -75.92930325173711, "cagr_pct": -75.96842273575089, "max_drawdown_pct": 82.56853351077042, "mean_exposure_while_solvent": 0.9594226434707412, "realized_annual_volatility_pct": 85.91250153996498, "trading_costs_quote_units": 64.0513581574905, "borrowing_costs_quote_units": 3.516152367037318, "price_pnl_quote_units": -7525.362814649178, "turnover_quote_units": 21350.4527191635, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 9.063186790009894 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4054.8961907421444, "return_pct": -59.45103809257856, "cagr_pct": -59.492818661487924, "max_drawdown_pct": 69.70341899260823, "mean_exposure_while_solvent": 0.7495883379838686, "realized_annual_volatility_pct": 65.97486579450839, "trading_costs_quote_units": 69.40416111053528, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5875.699648147325, "turnover_quote_units": 23134.72037017841, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4054.8961907421444, "return_pct": -59.45103809257856, "cagr_pct": -59.492818661487924, "max_drawdown_pct": 69.70341899260823, "mean_exposure_while_solvent": 0.7495883379838686, "realized_annual_volatility_pct": 65.97486579450839, "trading_costs_quote_units": 69.40416111053528, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5875.699648147325, "turnover_quote_units": 23134.72037017841, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2720.5079651009287, "return_pct": -72.79492034899071, "cagr_pct": -72.83533646141562, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9995400183992639, "realized_annual_volatility_pct": 88.19650925063692, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7249.581765706638, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2720.5079651009287, "return_pct": -72.79492034899071, "cagr_pct": -72.83533646141562, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9995400183992639, "realized_annual_volatility_pct": 88.19650925063692, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7249.581765706638, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1672.0325055576739, "return_pct": -83.27967494442326, "cagr_pct": -83.3137938732313, "max_drawdown_pct": 89.49534851993113, "mean_exposure_while_solvent": 1.2496914681878033, "realized_annual_volatility_pct": 110.63114771510114, "trading_costs_quote_units": 92.70912142530482, "borrowing_costs_quote_units": 55.54334770628296, "price_pnl_quote_units": -8179.71502531076, "turnover_quote_units": 30903.040475101585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1672.0325055576739, "return_pct": -83.27967494442326, "cagr_pct": -83.3137938732313, "max_drawdown_pct": 89.49534851993113, "mean_exposure_while_solvent": 1.2496914681878033, "realized_annual_volatility_pct": 110.63114771510114, "trading_costs_quote_units": 92.70912142530482, "borrowing_costs_quote_units": 55.54334770628296, "price_pnl_quote_units": -8179.71502531076, "turnover_quote_units": 30903.040475101585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 964.2047137733025, "return_pct": -90.35795286226698, "cagr_pct": -90.38367580159061, "max_drawdown_pct": 94.404715622324, "mean_exposure_while_solvent": 1.500116535769126, "realized_annual_volatility_pct": 133.3127784757957, "trading_costs_quote_units": 153.75547048337455, "borrowing_costs_quote_units": 87.60702914501101, "price_pnl_quote_units": -8794.432786598298, "turnover_quote_units": 51251.82349445812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 964.2047137733025, "return_pct": -90.35795286226698, "cagr_pct": -90.38367580159061, "max_drawdown_pct": 94.404715622324, "mean_exposure_while_solvent": 1.500116535769126, "realized_annual_volatility_pct": 133.3127784757957, "trading_costs_quote_units": 153.75547048337455, "borrowing_costs_quote_units": 87.60702914501101, "price_pnl_quote_units": -8794.432786598298, "turnover_quote_units": 51251.82349445812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4536.873350769038, "return_pct": -54.63126649230963, "cagr_pct": -54.672199412274146, "max_drawdown_pct": 64.67915133972602, "mean_exposure_while_solvent": 0.6456479347390806, "realized_annual_volatility_pct": 51.270451458883684, "trading_costs_quote_units": 172.5677296374427, "borrowing_costs_quote_units": 9.14173312805703, "price_pnl_quote_units": -5281.417186465464, "turnover_quote_units": 57522.57654581423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2987.030030749609, "return_pct": -70.1296996925039, "cagr_pct": -70.17089151099854, "max_drawdown_pct": 76.02258064312612, "mean_exposure_while_solvent": 0.7707364099617232, "realized_annual_volatility_pct": 71.85902136452107, "trading_costs_quote_units": 142.9326291749751, "borrowing_costs_quote_units": 2.018884658564116, "price_pnl_quote_units": -6868.018455416843, "turnover_quote_units": 47644.20972499171, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 15.498433200194278 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3016.916430853536, "return_pct": -69.83083569146464, "cagr_pct": -69.87209709457377, "max_drawdown_pct": 75.82352781888517, "mean_exposure_while_solvent": 0.906157154504332, "realized_annual_volatility_pct": 67.29743665256655, "trading_costs_quote_units": 165.3537642040024, "borrowing_costs_quote_units": 50.599608737849934, "price_pnl_quote_units": -6767.130196204627, "turnover_quote_units": 55117.92140133415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2488.307246055643, "return_pct": -75.11692753944357, "cagr_pct": -75.15642552817472, "max_drawdown_pct": 80.75520017134757, "mean_exposure_while_solvent": 0.9383283859130824, "realized_annual_volatility_pct": 78.87372555535393, "trading_costs_quote_units": 132.3989342762611, "borrowing_costs_quote_units": 17.77783475643417, "price_pnl_quote_units": -7361.515984911659, "turnover_quote_units": 44132.97809208703, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.286091847978923 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2203.485873394612, "return_pct": -77.96514126605388, "cagr_pct": -78.00317225542696, "max_drawdown_pct": 82.37616325283561, "mean_exposure_while_solvent": 1.1102217010448767, "realized_annual_volatility_pct": 81.21100680025044, "trading_costs_quote_units": 160.727676975353, "borrowing_costs_quote_units": 112.49694856820226, "price_pnl_quote_units": -7523.289501061818, "turnover_quote_units": 53575.89232511762, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2029.251678000144, "return_pct": -79.70748321999857, "cagr_pct": -79.74441268732329, "max_drawdown_pct": 84.90008520149088, "mean_exposure_while_solvent": 1.0820190246730645, "realized_annual_volatility_pct": 86.96523452969342, "trading_costs_quote_units": 135.2015144928419, "borrowing_costs_quote_units": 54.98897550746839, "price_pnl_quote_units": -7780.557831999533, "turnover_quote_units": 45067.171497614014, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 1.7423419539446883 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3408.0728335411627, "return_pct": -65.91927166458838, "cagr_pct": -65.96114381384572, "max_drawdown_pct": 72.32645694093219, "mean_exposure_while_solvent": 0.9065933202419397, "realized_annual_volatility_pct": 65.12562309788416, "trading_costs_quote_units": 264.2602862632002, "borrowing_costs_quote_units": 59.148345371035404, "price_pnl_quote_units": -6268.518534824578, "turnover_quote_units": 88086.76208773325, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2805.5586725343896, "return_pct": -71.9444132746561, "cagr_pct": -71.98510798646855, "max_drawdown_pct": 78.81617835830225, "mean_exposure_while_solvent": 0.9203087396322421, "realized_annual_volatility_pct": 72.58573137580149, "trading_costs_quote_units": 235.63358114347858, "borrowing_costs_quote_units": 37.59698600401785, "price_pnl_quote_units": -6921.210760318098, "turnover_quote_units": 78544.52704782624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 288, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 6.02514161006772 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2836.831464606848, "return_pct": -71.63168535393152, "cagr_pct": -71.67247505553948, "max_drawdown_pct": 78.56835708539029, "mean_exposure_while_solvent": 0.9169553943491933, "realized_annual_volatility_pct": 71.49889021704323, "trading_costs_quote_units": 112.47945587812329, "borrowing_costs_quote_units": 33.55360956650122, "price_pnl_quote_units": -7017.135469948517, "turnover_quote_units": 37493.15195937445, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 301, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2405.083745800849, "return_pct": -75.94916254199151, "cagr_pct": -75.98827238542624, "max_drawdown_pct": 82.58291516977224, "mean_exposure_while_solvent": 0.9594237903687253, "realized_annual_volatility_pct": 85.9124833430362, "trading_costs_quote_units": 64.04121971057704, "borrowing_costs_quote_units": 7.029908188702924, "price_pnl_quote_units": -7523.845126299873, "turnover_quote_units": 21347.073236859018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 4.317477188059996 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3854.8839745460723, "return_pct": -61.451160254539275, "cagr_pct": -61.493104592199444, "max_drawdown_pct": 69.1083603712313, "mean_exposure_while_solvent": 0.8238342130585965, "realized_annual_volatility_pct": 62.391218009815105, "trading_costs_quote_units": 112.2694124960902, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6032.846612957833, "turnover_quote_units": 37423.13749869671, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 215, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2595.3831378839914, "return_pct": -74.04616862116009, "cagr_pct": -74.08611939683551, "max_drawdown_pct": 79.92706525835503, "mean_exposure_while_solvent": 0.9004169628342108, "realized_annual_volatility_pct": 77.54399667226598, "trading_costs_quote_units": 100.10943251750285, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7304.50742959849, "turnover_quote_units": 33369.810839167636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 136, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 12.595008366620817 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2820.053680639835, "return_pct": -71.79946319360164, "cagr_pct": -71.84020242556142, "max_drawdown_pct": 78.69510958350857, "mean_exposure_while_solvent": 0.9226004330304937, "realized_annual_volatility_pct": 71.74985034948106, "trading_costs_quote_units": 104.43945448645117, "borrowing_costs_quote_units": 33.269447729795175, "price_pnl_quote_units": -7042.237417143931, "turnover_quote_units": 34813.15149548376, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 243, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2405.083745800849, "return_pct": -75.94916254199151, "cagr_pct": -75.98827238542624, "max_drawdown_pct": 82.58291516977224, "mean_exposure_while_solvent": 0.9594237903687253, "realized_annual_volatility_pct": 85.9124833430362, "trading_costs_quote_units": 64.04121971057704, "borrowing_costs_quote_units": 7.029908188702924, "price_pnl_quote_units": -7523.845126299873, "turnover_quote_units": 21347.073236859018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 4.149699348389873 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3303.625235284902, "return_pct": -66.96374764715098, "cagr_pct": -67.0055094723485, "max_drawdown_pct": 73.63337954211372, "mean_exposure_while_solvent": 0.8215967265997692, "realized_annual_volatility_pct": 60.34796287111296, "trading_costs_quote_units": 117.56302852905235, "borrowing_costs_quote_units": 39.074775037491534, "price_pnl_quote_units": -6539.73696114854, "turnover_quote_units": 39187.6761763508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2405.083745800849, "return_pct": -75.94916254199151, "cagr_pct": -75.98827238542624, "max_drawdown_pct": 82.58291516977224, "mean_exposure_while_solvent": 0.9594237903687253, "realized_annual_volatility_pct": 85.9124833430362, "trading_costs_quote_units": 64.04121971057704, "borrowing_costs_quote_units": 7.029908188702924, "price_pnl_quote_units": -7523.845126299873, "turnover_quote_units": 21347.073236859018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 8.985414894840531 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4054.8961907421444, "return_pct": -59.45103809257856, "cagr_pct": -59.492818661487924, "max_drawdown_pct": 69.70341899260823, "mean_exposure_while_solvent": 0.7495883379838686, "realized_annual_volatility_pct": 65.97486579450839, "trading_costs_quote_units": 69.40416111053528, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5875.699648147325, "turnover_quote_units": 23134.72037017841, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4054.8961907421444, "return_pct": -59.45103809257856, "cagr_pct": -59.492818661487924, "max_drawdown_pct": 69.70341899260823, "mean_exposure_while_solvent": 0.7495883379838686, "realized_annual_volatility_pct": 65.97486579450839, "trading_costs_quote_units": 69.40416111053528, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5875.699648147325, "turnover_quote_units": 23134.72037017841, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2720.5079651009287, "return_pct": -72.79492034899071, "cagr_pct": -72.83533646141562, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9995400183992639, "realized_annual_volatility_pct": 88.19650925063692, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7249.581765706638, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2720.5079651009287, "return_pct": -72.79492034899071, "cagr_pct": -72.83533646141562, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9995400183992639, "realized_annual_volatility_pct": 88.19650925063692, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7249.581765706638, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1651.1482591287845, "return_pct": -83.48851740871214, "cagr_pct": -83.52244671306735, "max_drawdown_pct": 89.6188923781211, "mean_exposure_while_solvent": 1.2497097741340584, "realized_annual_volatility_pct": 110.63357423745175, "trading_costs_quote_units": 92.50165299164026, "borrowing_costs_quote_units": 110.54840525822277, "price_pnl_quote_units": -8145.801682621355, "turnover_quote_units": 30833.884330546724, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1651.1482591287845, "return_pct": -83.48851740871214, "cagr_pct": -83.52244671306735, "max_drawdown_pct": 89.6188923781211, "mean_exposure_while_solvent": 1.2497097741340584, "realized_annual_volatility_pct": 110.63357423745175, "trading_costs_quote_units": 92.50165299164026, "borrowing_costs_quote_units": 110.54840525822277, "price_pnl_quote_units": -8145.801682621355, "turnover_quote_units": 30833.884330546724, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 940.2090245916858, "return_pct": -90.59790975408313, "cagr_pct": -90.62326242326276, "max_drawdown_pct": 94.53592119177952, "mean_exposure_while_solvent": 1.5001605567243284, "realized_annual_volatility_pct": 133.31871468877296, "trading_costs_quote_units": 153.03320522363296, "borrowing_costs_quote_units": 173.6586415537128, "price_pnl_quote_units": -8733.099128630975, "turnover_quote_units": 51011.06840787773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 940.2090245916858, "return_pct": -90.59790975408313, "cagr_pct": -90.62326242326276, "max_drawdown_pct": 94.53592119177952, "mean_exposure_while_solvent": 1.5001605567243284, "realized_annual_volatility_pct": 133.31871468877296, "trading_costs_quote_units": 153.03320522363296, "borrowing_costs_quote_units": 173.6586415537128, "price_pnl_quote_units": -8733.099128630975, "turnover_quote_units": 51011.06840787773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4531.0508635067945, "return_pct": -54.68949136493205, "cagr_pct": -54.730438147233485, "max_drawdown_pct": 64.72448105812806, "mean_exposure_while_solvent": 0.6456497812854208, "realized_annual_volatility_pct": 51.27133424266799, "trading_costs_quote_units": 172.53657419642923, "borrowing_costs_quote_units": 18.275050600316316, "price_pnl_quote_units": -5278.137511696469, "turnover_quote_units": 57512.191398809744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2985.9471685894487, "return_pct": -70.14052831410551, "cagr_pct": -70.18171754747785, "max_drawdown_pct": 76.03127296956829, "mean_exposure_while_solvent": 0.770736893048525, "realized_annual_volatility_pct": 71.85907090298132, "trading_costs_quote_units": 142.92843163152162, "borrowing_costs_quote_units": 4.037597343816799, "price_pnl_quote_units": -6867.086802435202, "turnover_quote_units": 47642.810543840606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 15.451036949173456 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2991.906034465389, "return_pct": -70.08093965534611, "cagr_pct": -70.1221430588398, "max_drawdown_pct": 76.02395204884822, "mean_exposure_while_solvent": 0.9061709862392959, "realized_annual_volatility_pct": 67.30037587132081, "trading_costs_quote_units": 165.18331682403735, "borrowing_costs_quote_units": 100.81617333456322, "price_pnl_quote_units": -6742.094475376012, "turnover_quote_units": 55061.105608012396, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2478.8769375318475, "return_pct": -75.21123062468152, "cagr_pct": -75.25068624789442, "max_drawdown_pct": 80.82813505515286, "mean_exposure_while_solvent": 0.9383341875324117, "realized_annual_volatility_pct": 78.87388353018595, "trading_costs_quote_units": 132.335642650382, "borrowing_costs_quote_units": 35.49468939892872, "price_pnl_quote_units": -7353.29273041884, "turnover_quote_units": 44111.880883460704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.130290969335405 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2157.9069187451646, "return_pct": -78.42093081254835, "cagr_pct": -78.45868936245284, "max_drawdown_pct": 82.74071111109382, "mean_exposure_while_solvent": 1.1102558929130155, "realized_annual_volatility_pct": 81.21574001298735, "trading_costs_quote_units": 160.06303285919265, "borrowing_costs_quote_units": 222.90291854096424, "price_pnl_quote_units": -7459.127129854683, "turnover_quote_units": 53354.34428639757, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 331, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2002.849440686455, "return_pct": -79.97150559313545, "cagr_pct": -80.00825359317602, "max_drawdown_pct": 85.09654754189393, "mean_exposure_while_solvent": 1.0820400854501426, "realized_annual_volatility_pct": 86.96725047091724, "trading_costs_quote_units": 134.86177389614656, "borrowing_costs_quote_units": 109.33844734481806, "price_pnl_quote_units": -7752.950338072579, "turnover_quote_units": 44953.92463204889, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 1.5505747805870982 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3375.7924363989364, "return_pct": -66.24207563601064, "cagr_pct": -66.2839176446858, "max_drawdown_pct": 72.58857368664475, "mean_exposure_while_solvent": 0.9066087804949515, "realized_annual_volatility_pct": 65.12780606998896, "trading_costs_quote_units": 263.8604452042379, "borrowing_costs_quote_units": 117.78229489036934, "price_pnl_quote_units": -6242.564823506458, "turnover_quote_units": 87953.48173474599, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2784.8185558018495, "return_pct": -72.15181444198151, "cagr_pct": -72.19244396427705, "max_drawdown_pct": 78.97277994286056, "mean_exposure_while_solvent": 0.920320931370852, "realized_annual_volatility_pct": 72.5874521045082, "trading_costs_quote_units": 235.3534389377978, "borrowing_costs_quote_units": 74.94093386387077, "price_pnl_quote_units": -6904.887071396475, "turnover_quote_units": 78451.1463125993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 288, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.909738805970875 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2820.133813971522, "return_pct": -71.79866186028478, "cagr_pct": -71.83940133599873, "max_drawdown_pct": 78.69450419366723, "mean_exposure_while_solvent": 0.9169650612641005, "realized_annual_volatility_pct": 71.50148169528984, "trading_costs_quote_units": 112.38223996088648, "borrowing_costs_quote_units": 66.93303877585208, "price_pnl_quote_units": -7000.55090729174, "turnover_quote_units": 37460.74665362887, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 301, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2401.1159489514685, "return_pct": -75.98884051048532, "cagr_pct": -76.02793103640036, "max_drawdown_pct": 82.61164907745233, "mean_exposure_while_solvent": 0.9594260845021457, "realized_annual_volatility_pct": 85.91244831136584, "trading_costs_quote_units": 64.02095799300562, "borrowing_costs_quote_units": 14.05023511876289, "price_pnl_quote_units": -7520.812857936774, "turnover_quote_units": 21340.31933100185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 4.1901786502005365 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3854.8839745460723, "return_pct": -61.451160254539275, "cagr_pct": -61.493104592199444, "max_drawdown_pct": 69.1083603712313, "mean_exposure_while_solvent": 0.8238342130585965, "realized_annual_volatility_pct": 62.391218009815105, "trading_costs_quote_units": 112.2694124960902, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6032.846612957833, "turnover_quote_units": 37423.13749869671, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 215, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2595.3831378839914, "return_pct": -74.04616862116009, "cagr_pct": -74.08611939683551, "max_drawdown_pct": 79.92706525835503, "mean_exposure_while_solvent": 0.9004169628342108, "realized_annual_volatility_pct": 77.54399667226598, "trading_costs_quote_units": 100.10943251750285, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7304.50742959849, "turnover_quote_units": 33369.810839167636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 136, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 12.595008366620817 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2803.492325624793, "return_pct": -71.96507674375208, "cagr_pct": -72.00576503943144, "max_drawdown_pct": 78.82022700810455, "mean_exposure_while_solvent": 0.9226100838903911, "realized_annual_volatility_pct": 71.75245042150561, "trading_costs_quote_units": 104.34318277608463, "borrowing_costs_quote_units": 66.36661520089415, "price_pnl_quote_units": -7025.79787639824, "turnover_quote_units": 34781.06092536155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 243, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2401.1159489514685, "return_pct": -75.98884051048532, "cagr_pct": -76.02793103640036, "max_drawdown_pct": 82.61164907745233, "mean_exposure_while_solvent": 0.9594260845021457, "realized_annual_volatility_pct": 85.91244831136584, "trading_costs_quote_units": 64.02095799300562, "borrowing_costs_quote_units": 14.05023511876289, "price_pnl_quote_units": -7520.812857936774, "turnover_quote_units": 21340.31933100185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 4.023763766733239 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3284.180026538076, "return_pct": -67.15819973461925, "cagr_pct": -67.19993689197759, "max_drawdown_pct": 73.788574033691, "mean_exposure_while_solvent": 0.8216063935146765, "realized_annual_volatility_pct": 60.35110159504941, "trading_costs_quote_units": 117.44981596726915, "borrowing_costs_quote_units": 77.94670876045588, "price_pnl_quote_units": -6520.42344873419, "turnover_quote_units": 39149.93865575637, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2401.1159489514685, "return_pct": -75.98884051048532, "cagr_pct": -76.02793103640036, "max_drawdown_pct": 82.61164907745233, "mean_exposure_while_solvent": 0.9594260845021457, "realized_annual_volatility_pct": 85.91244831136584, "trading_costs_quote_units": 64.02095799300562, "borrowing_costs_quote_units": 14.05023511876289, "price_pnl_quote_units": -7520.812857936774, "turnover_quote_units": 21340.31933100185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 8.830640775866073 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4054.8961907421444, "return_pct": -59.45103809257856, "cagr_pct": -59.492818661487924, "max_drawdown_pct": 69.70341899260823, "mean_exposure_while_solvent": 0.7495883379838686, "realized_annual_volatility_pct": 65.97486579450839, "trading_costs_quote_units": 69.40416111053528, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5875.699648147325, "turnover_quote_units": 23134.72037017841, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4054.8961907421444, "return_pct": -59.45103809257856, "cagr_pct": -59.492818661487924, "max_drawdown_pct": 69.70341899260823, "mean_exposure_while_solvent": 0.7495883379838686, "realized_annual_volatility_pct": 65.97486579450839, "trading_costs_quote_units": 69.40416111053528, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5875.699648147325, "turnover_quote_units": 23134.72037017841, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2720.5079651009287, "return_pct": -72.79492034899071, "cagr_pct": -72.83533646141562, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9995400183992639, "realized_annual_volatility_pct": 88.19650925063692, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7249.581765706638, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2720.5079651009287, "return_pct": -72.79492034899071, "cagr_pct": -72.83533646141562, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.9995400183992639, "realized_annual_volatility_pct": 88.19650925063692, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7249.581765706638, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1610.1483909490419, "return_pct": -83.89851609050957, "cagr_pct": -83.9320643218395, "max_drawdown_pct": 89.86170178801109, "mean_exposure_while_solvent": 1.2497463919875402, "realized_annual_volatility_pct": 110.63842908940025, "trading_costs_quote_units": 92.09345172619318, "borrowing_costs_quote_units": 218.96696767111303, "price_pnl_quote_units": -8078.791189653668, "turnover_quote_units": 30697.81724206436, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1610.1483909490419, "return_pct": -83.89851609050957, "cagr_pct": -83.9320643218395, "max_drawdown_pct": 89.86170178801109, "mean_exposure_while_solvent": 1.2497463919875402, "realized_annual_volatility_pct": 110.63842908940025, "trading_costs_quote_units": 92.09345172619318, "borrowing_costs_quote_units": 218.96696767111303, "price_pnl_quote_units": -8078.791189653668, "turnover_quote_units": 30697.81724206436, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 893.9796747826728, "return_pct": -91.06020325217328, "cagr_pct": -91.0848227226067, "max_drawdown_pct": 94.78925506659587, "mean_exposure_while_solvent": 1.5002486188680688, "realized_annual_volatility_pct": 133.3305927831123, "trading_costs_quote_units": 151.62003326656495, "borrowing_costs_quote_units": 341.22630936752813, "price_pnl_quote_units": -8613.173982583228, "turnover_quote_units": 50540.0110888551, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 893.9796747826728, "return_pct": -91.06020325217328, "cagr_pct": -91.0848227226067, "max_drawdown_pct": 94.78925506659587, "mean_exposure_while_solvent": 1.5002486188680688, "realized_annual_volatility_pct": 133.3305927831123, "trading_costs_quote_units": 151.62003326656495, "borrowing_costs_quote_units": 341.22630936752813, "price_pnl_quote_units": -8613.173982583228, "turnover_quote_units": 50540.0110888551, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 360, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4705.256563546125, "return_pct": -52.94743436453875, "cagr_pct": -52.98792989629418, "max_drawdown_pct": 64.42151061131179, "mean_exposure_while_solvent": 0.6448902667134121, "realized_annual_volatility_pct": 51.42453026845239, "trading_costs_quote_units": 181.82704290389657, "borrowing_costs_quote_units": 4.811204963565798, "price_pnl_quote_units": -5108.105188586428, "turnover_quote_units": 60609.01430129886, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2801.0242771893327, "return_pct": -71.98975722810668, "cagr_pct": -72.03043783755628, "max_drawdown_pct": 76.3745272173965, "mean_exposure_while_solvent": 0.770122932216365, "realized_annual_volatility_pct": 71.67307733408204, "trading_costs_quote_units": 137.3662526149124, "borrowing_costs_quote_units": 0.9659372008359616, "price_pnl_quote_units": -7060.643532994926, "turnover_quote_units": 45788.750871637545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 19.042322863567932 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3168.994837710039, "return_pct": -68.3100516228996, "cagr_pct": -68.35161543185383, "max_drawdown_pct": 75.45933332126383, "mean_exposure_while_solvent": 0.9052493495181846, "realized_annual_volatility_pct": 67.15025362414892, "trading_costs_quote_units": 176.0723567399282, "borrowing_costs_quote_units": 26.620225611969, "price_pnl_quote_units": -6628.312579938055, "turnover_quote_units": 58690.78557997608, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2386.264676687495, "return_pct": -76.13735323312505, "cagr_pct": -76.17637078913316, "max_drawdown_pct": 80.7468816503434, "mean_exposure_while_solvent": 0.9377044514134631, "realized_annual_volatility_pct": 78.68758435752144, "trading_costs_quote_units": 127.41941731209592, "borrowing_costs_quote_units": 8.58393704824285, "price_pnl_quote_units": -7477.731968952176, "turnover_quote_units": 42473.13910403193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 7.827301610225447 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2337.503623806984, "return_pct": -76.62496376193016, "cagr_pct": -76.66373428197137, "max_drawdown_pct": 81.47312011573476, "mean_exposure_while_solvent": 1.1094436174135436, "realized_annual_volatility_pct": 81.04398310346826, "trading_costs_quote_units": 168.30679152060327, "borrowing_costs_quote_units": 59.172607096483944, "price_pnl_quote_units": -7435.01697757594, "turnover_quote_units": 56102.26384020099, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1996.6756506375787, "return_pct": -80.03324349362421, "cagr_pct": -80.06994848900604, "max_drawdown_pct": 84.67293331226107, "mean_exposure_while_solvent": 1.0814205252575553, "realized_annual_volatility_pct": 86.7489167053787, "trading_costs_quote_units": 128.7814083542796, "borrowing_costs_quote_units": 26.84532091947937, "price_pnl_quote_units": -7847.697620088665, "turnover_quote_units": 42927.13611809319, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 3.4082797316940514 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3400.060956931114, "return_pct": -65.99939043068885, "cagr_pct": -66.04125542621031, "max_drawdown_pct": 73.7621064297187, "mean_exposure_while_solvent": 0.9059369918271108, "realized_annual_volatility_pct": 65.43714482153248, "trading_costs_quote_units": 271.6013991976255, "borrowing_costs_quote_units": 30.269106072677456, "price_pnl_quote_units": -6298.068537798579, "turnover_quote_units": 90533.79973254172, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 344, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2871.06564708952, "return_pct": -71.2893435291048, "cagr_pct": -71.33023270424492, "max_drawdown_pct": 77.32301163826772, "mean_exposure_while_solvent": 0.9197583770357112, "realized_annual_volatility_pct": 72.55761912498723, "trading_costs_quote_units": 238.9624286457291, "borrowing_costs_quote_units": 19.0309922507839, "price_pnl_quote_units": -6870.940932013959, "turnover_quote_units": 79654.14288190969, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 289, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.28995309841595 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2919.7285265047503, "return_pct": -70.8027147349525, "cagr_pct": -70.84373730078421, "max_drawdown_pct": 78.64245432728654, "mean_exposure_while_solvent": 0.9160572645637755, "realized_annual_volatility_pct": 71.3980093961487, "trading_costs_quote_units": 117.91364153466957, "borrowing_costs_quote_units": 17.29604296076695, "price_pnl_quote_units": -6945.061788999818, "turnover_quote_units": 39304.547178223176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 303, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2331.903585106471, "return_pct": -76.68096414893529, "cagr_pct": -76.71970555896684, "max_drawdown_pct": 82.52710142961044, "mean_exposure_while_solvent": 0.9585154568368618, "realized_annual_volatility_pct": 85.58542910744418, "trading_costs_quote_units": 63.70502100525669, "borrowing_costs_quote_units": 3.4225839061473717, "price_pnl_quote_units": -7600.968809982118, "turnover_quote_units": 21235.007001752234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.878249413982786 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4050.2263189480323, "return_pct": -59.497736810519676, "cagr_pct": -59.5395225100279, "max_drawdown_pct": 68.63508489064859, "mean_exposure_while_solvent": 0.8229755617121144, "realized_annual_volatility_pct": 62.37842353679988, "trading_costs_quote_units": 118.91156105290713, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5830.862119999061, "turnover_quote_units": 39637.18701763573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 216, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2466.2856366873284, "return_pct": -75.33714363312671, "cagr_pct": -75.37654205137918, "max_drawdown_pct": 80.1012478996613, "mean_exposure_while_solvent": 0.8996521618381316, "realized_annual_volatility_pct": 77.3471543360926, "trading_costs_quote_units": 95.4915930715381, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7438.222770241115, "turnover_quote_units": 31830.531023846037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 136, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 15.839406822607039 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2904.240825406777, "return_pct": -70.95759174593223, "cagr_pct": -70.9985728701968, "max_drawdown_pct": 78.75574543656691, "mean_exposure_while_solvent": 0.9216790389536155, "realized_annual_volatility_pct": 71.65318650002888, "trading_costs_quote_units": 109.47415129883613, "borrowing_costs_quote_units": 17.158933930019746, "price_pnl_quote_units": -6969.126089364368, "turnover_quote_units": 36491.383766278756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 244, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2331.903585106471, "return_pct": -76.68096414893529, "cagr_pct": -76.71970555896684, "max_drawdown_pct": 82.52710142961044, "mean_exposure_while_solvent": 0.9585154568368618, "realized_annual_volatility_pct": 85.58542910744418, "trading_costs_quote_units": 63.70502100525669, "borrowing_costs_quote_units": 3.4225839061473717, "price_pnl_quote_units": -7600.968809982118, "turnover_quote_units": 21235.007001752234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.723372403003054 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3317.589173693398, "return_pct": -66.82410826306602, "cagr_pct": -66.86588699591995, "max_drawdown_pct": 73.74615891260339, "mean_exposure_while_solvent": 0.8207118217974645, "realized_annual_volatility_pct": 60.26144756153341, "trading_costs_quote_units": 119.40947544731608, "borrowing_costs_quote_units": 19.652910999594965, "price_pnl_quote_units": -6543.348439859683, "turnover_quote_units": 39803.1584824387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2331.903585106471, "return_pct": -76.68096414893529, "cagr_pct": -76.71970555896684, "max_drawdown_pct": 82.52710142961044, "mean_exposure_while_solvent": 0.9585154568368618, "realized_annual_volatility_pct": 85.58542910744418, "trading_costs_quote_units": 63.70502100525669, "borrowing_costs_quote_units": 3.4225839061473717, "price_pnl_quote_units": -7600.968809982118, "turnover_quote_units": 21235.007001752234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 9.856855885869265 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4095.0731061629585, "return_pct": -59.04926893837042, "cagr_pct": -59.09100283619209, "max_drawdown_pct": 69.91098866648396, "mean_exposure_while_solvent": 0.7486497268700313, "realized_annual_volatility_pct": 65.979514257601, "trading_costs_quote_units": 67.33093374702828, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5837.595960090028, "turnover_quote_units": 22443.644582342764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4095.0731061629585, "return_pct": -59.04926893837042, "cagr_pct": -59.09100283619209, "max_drawdown_pct": 69.91098866648396, "mean_exposure_while_solvent": 0.7486497268700313, "realized_annual_volatility_pct": 65.979514257601, "trading_costs_quote_units": 67.33093374702828, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5837.595960090028, "turnover_quote_units": 22443.644582342764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2786.9136607690334, "return_pct": -72.13086339230966, "cagr_pct": -72.17149957971381, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.998620055197792, "realized_annual_volatility_pct": 88.15883843993295, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7183.176070038552, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2786.9136607690334, "return_pct": -72.13086339230966, "cagr_pct": -72.17149957971381, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.998620055197792, "realized_annual_volatility_pct": 88.15883843993295, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7183.176070038552, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1752.66704381898, "return_pct": -82.4733295618102, "cagr_pct": -82.50815302708183, "max_drawdown_pct": 89.34282074781817, "mean_exposure_while_solvent": 1.2489562515003692, "realized_annual_volatility_pct": 110.50685423929647, "trading_costs_quote_units": 91.73080342385707, "borrowing_costs_quote_units": 57.67794348754889, "price_pnl_quote_units": -8097.924209269635, "turnover_quote_units": 30576.93447461901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1752.66704381898, "return_pct": -82.4733295618102, "cagr_pct": -82.50815302708183, "max_drawdown_pct": 89.34282074781817, "mean_exposure_while_solvent": 1.2489562515003692, "realized_annual_volatility_pct": 110.50685423929647, "trading_costs_quote_units": 91.73080342385707, "borrowing_costs_quote_units": 57.67794348754889, "price_pnl_quote_units": -8097.924209269635, "turnover_quote_units": 30576.93447461901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1043.5239301131562, "return_pct": -89.56476069886844, "cagr_pct": -89.59166001469366, "max_drawdown_pct": 94.19499615179836, "mean_exposure_while_solvent": 1.4997347609612908, "realized_annual_volatility_pct": 133.0722030261899, "trading_costs_quote_units": 153.785010516051, "borrowing_costs_quote_units": 92.53675831659439, "price_pnl_quote_units": -8710.15430105421, "turnover_quote_units": 51261.670172016966, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1043.5239301131562, "return_pct": -89.56476069886844, "cagr_pct": -89.59166001469366, "max_drawdown_pct": 94.19499615179836, "mean_exposure_while_solvent": 1.4997347609612908, "realized_annual_volatility_pct": 133.0722030261899, "trading_costs_quote_units": 153.785010516051, "borrowing_costs_quote_units": 92.53675831659439, "price_pnl_quote_units": -8710.15430105421, "turnover_quote_units": 51261.670172016966, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4702.244096530927, "return_pct": -52.97755903469073, "cagr_pct": -53.018063003788185, "max_drawdown_pct": 64.44428918338038, "mean_exposure_while_solvent": 0.6448910993160021, "realized_annual_volatility_pct": 51.42503294342385, "trading_costs_quote_units": 181.81054824084285, "borrowing_costs_quote_units": 9.62014161127829, "price_pnl_quote_units": -5106.325213616963, "turnover_quote_units": 60603.51608028099, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2800.5168462915594, "return_pct": -71.99483153708441, "cagr_pct": -72.03551056316833, "max_drawdown_pct": 76.37880718560743, "mean_exposure_while_solvent": 0.7701231772038799, "realized_annual_volatility_pct": 71.67310471071654, "trading_costs_quote_units": 137.36425387230696, "borrowing_costs_quote_units": 1.9318316683955943, "price_pnl_quote_units": -7060.187068167749, "turnover_quote_units": 45788.08462410237, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 19.01727250239368 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3155.8854049063198, "return_pct": -68.4411459509368, "cagr_pct": -68.48268703258258, "max_drawdown_pct": 75.56085264750413, "mean_exposure_while_solvent": 0.9052559574991741, "realized_annual_volatility_pct": 67.15161764369165, "trading_costs_quote_units": 175.95360158061177, "borrowing_costs_quote_units": 53.139861296340854, "price_pnl_quote_units": -6615.021132216733, "turnover_quote_units": 58651.20052687058, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2381.746384879515, "return_pct": -76.18253615120484, "cagr_pct": -76.22153129811365, "max_drawdown_pct": 80.78333662022465, "mean_exposure_while_solvent": 0.9377073478339044, "realized_annual_volatility_pct": 78.68766997148579, "trading_costs_quote_units": 127.38012141238164, "borrowing_costs_quote_units": 17.153097919779917, "price_pnl_quote_units": -7473.720395788324, "turnover_quote_units": 42460.040470793865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 7.741390200268043 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2313.2384237388237, "return_pct": -76.86761576261176, "cagr_pct": -76.9062590371775, "max_drawdown_pct": 81.66544428689403, "mean_exposure_while_solvent": 1.1094603716359042, "realized_annual_volatility_pct": 81.04606869917515, "trading_costs_quote_units": 167.96200287388953, "borrowing_costs_quote_units": 117.79236763416995, "price_pnl_quote_units": -7401.0072057531315, "turnover_quote_units": 55987.334291296545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1983.6459137658765, "return_pct": -80.16354086234124, "cagr_pct": -80.2001543807917, "max_drawdown_pct": 84.77295338607351, "mean_exposure_while_solvent": 1.0814310875336026, "realized_annual_volatility_pct": 86.74980298288344, "trading_costs_quote_units": 128.62846127194405, "borrowing_costs_quote_units": 53.53333451722125, "price_pnl_quote_units": -7834.192290444938, "turnover_quote_units": 42876.153757314656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 3.295925099729473 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3383.957377520096, "return_pct": -66.16042622479904, "cagr_pct": -66.20227618889105, "max_drawdown_pct": 73.8863759672473, "mean_exposure_while_solvent": 0.9059444556984196, "realized_annual_volatility_pct": 65.43827195178544, "trading_costs_quote_units": 271.3761953566684, "borrowing_costs_quote_units": 60.406354319080194, "price_pnl_quote_units": -6284.260072804135, "turnover_quote_units": 90458.73178555614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 344, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2860.4760013828227, "return_pct": -71.39523998617176, "cagr_pct": -71.4360988916727, "max_drawdown_pct": 77.40665349880445, "mean_exposure_while_solvent": 0.9197642184177367, "realized_annual_volatility_pct": 72.5584162975237, "trading_costs_quote_units": 238.8018022478604, "borrowing_costs_quote_units": 37.99756594618199, "price_pnl_quote_units": -6862.724630423139, "turnover_quote_units": 79600.60074928666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 289, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.23481376137272 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2911.1625915181785, "return_pct": -70.88837408481822, "cagr_pct": -70.92937384640504, "max_drawdown_pct": 78.70511335398868, "mean_exposure_while_solvent": 0.9160617947286543, "realized_annual_volatility_pct": 71.3992249720397, "trading_costs_quote_units": 117.8495243647786, "borrowing_costs_quote_units": 34.54732800177424, "price_pnl_quote_units": -6936.440556115274, "turnover_quote_units": 39283.17478825958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 303, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2329.9801665749733, "return_pct": -76.70019833425027, "cagr_pct": -76.73892971060691, "max_drawdown_pct": 82.54151355930736, "mean_exposure_while_solvent": 0.958516598808262, "realized_annual_volatility_pct": 85.58543768420124, "trading_costs_quote_units": 63.69425071284301, "borrowing_costs_quote_units": 6.842826380434855, "price_pnl_quote_units": -7599.482756331733, "turnover_quote_units": 21231.416904281003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.81182424943205 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4050.2263189480323, "return_pct": -59.497736810519676, "cagr_pct": -59.5395225100279, "max_drawdown_pct": 68.63508489064859, "mean_exposure_while_solvent": 0.8229755617121144, "realized_annual_volatility_pct": 62.37842353679988, "trading_costs_quote_units": 118.91156105290713, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5830.862119999061, "turnover_quote_units": 39637.18701763573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 216, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2466.2856366873284, "return_pct": -75.33714363312671, "cagr_pct": -75.37654205137918, "max_drawdown_pct": 80.1012478996613, "mean_exposure_while_solvent": 0.8996521618381316, "realized_annual_volatility_pct": 77.3471543360926, "trading_costs_quote_units": 95.4915930715381, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7438.222770241115, "turnover_quote_units": 31830.531023846037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 136, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 15.839406822607039 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2895.7401594460166, "return_pct": -71.04259840553983, "cagr_pct": -71.0835563834376, "max_drawdown_pct": 78.81792702634738, "mean_exposure_while_solvent": 0.9216835610444871, "realized_annual_volatility_pct": 71.65440367900226, "trading_costs_quote_units": 109.41057438288026, "borrowing_costs_quote_units": 34.27357711566548, "price_pnl_quote_units": -6960.5756890554385, "turnover_quote_units": 36470.19146096004, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 244, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2329.9801665749733, "return_pct": -76.70019833425027, "cagr_pct": -76.73892971060691, "max_drawdown_pct": 82.54151355930736, "mean_exposure_while_solvent": 0.958516598808262, "realized_annual_volatility_pct": 85.58543768420124, "trading_costs_quote_units": 63.69425071284301, "borrowing_costs_quote_units": 6.842826380434855, "price_pnl_quote_units": -7599.482756331733, "turnover_quote_units": 21231.416904281003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.6575999287104395 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3307.855990311441, "return_pct": -66.92144009688559, "cagr_pct": -66.96320711575667, "max_drawdown_pct": 73.82318275021734, "mean_exposure_while_solvent": 0.8207163519623434, "realized_annual_volatility_pct": 60.26291637189903, "trading_costs_quote_units": 119.33662126695408, "borrowing_costs_quote_units": 39.254965082636225, "price_pnl_quote_units": -6533.552423338962, "turnover_quote_units": 39778.87375565141, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2329.9801665749733, "return_pct": -76.70019833425027, "cagr_pct": -76.73892971060691, "max_drawdown_pct": 82.54151355930736, "mean_exposure_while_solvent": 0.958516598808262, "realized_annual_volatility_pct": 85.58543768420124, "trading_costs_quote_units": 63.69425071284301, "borrowing_costs_quote_units": 6.842826380434855, "price_pnl_quote_units": -7599.482756331733, "turnover_quote_units": 21231.416904281003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 9.778758237364684 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4095.0731061629585, "return_pct": -59.04926893837042, "cagr_pct": -59.09100283619209, "max_drawdown_pct": 69.91098866648396, "mean_exposure_while_solvent": 0.7486497268700313, "realized_annual_volatility_pct": 65.979514257601, "trading_costs_quote_units": 67.33093374702828, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5837.595960090028, "turnover_quote_units": 22443.644582342764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4095.0731061629585, "return_pct": -59.04926893837042, "cagr_pct": -59.09100283619209, "max_drawdown_pct": 69.91098866648396, "mean_exposure_while_solvent": 0.7486497268700313, "realized_annual_volatility_pct": 65.979514257601, "trading_costs_quote_units": 67.33093374702828, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5837.595960090028, "turnover_quote_units": 22443.644582342764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2786.9136607690334, "return_pct": -72.13086339230966, "cagr_pct": -72.17149957971381, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.998620055197792, "realized_annual_volatility_pct": 88.15883843993295, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7183.176070038552, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2786.9136607690334, "return_pct": -72.13086339230966, "cagr_pct": -72.17149957971381, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.998620055197792, "realized_annual_volatility_pct": 88.15883843993295, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7183.176070038552, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1730.804624958939, "return_pct": -82.6919537504106, "cagr_pct": -82.72659046119121, "max_drawdown_pct": 89.4681125271575, "mean_exposure_while_solvent": 1.2489743930326922, "realized_annual_volatility_pct": 110.50909643775657, "trading_costs_quote_units": 91.54947678839298, "borrowing_costs_quote_units": 114.79448436834531, "price_pnl_quote_units": -8062.851413884315, "turnover_quote_units": 30516.492262797652, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1730.804624958939, "return_pct": -82.6919537504106, "cagr_pct": -82.72659046119121, "max_drawdown_pct": 89.4681125271575, "mean_exposure_while_solvent": 1.2489743930326922, "realized_annual_volatility_pct": 110.50909643775657, "trading_costs_quote_units": 91.54947678839298, "borrowing_costs_quote_units": 114.79448436834531, "price_pnl_quote_units": -8062.851413884315, "turnover_quote_units": 30516.492262797652, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1017.5952048269631, "return_pct": -89.82404795173036, "cagr_pct": -89.85057055034126, "max_drawdown_pct": 94.33103646971955, "mean_exposure_while_solvent": 1.4997784157198626, "realized_annual_volatility_pct": 133.0776645907373, "trading_costs_quote_units": 153.11204366449306, "borrowing_costs_quote_units": 183.41139117439465, "price_pnl_quote_units": -8645.881360334151, "turnover_quote_units": 51037.34788816434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1017.5952048269631, "return_pct": -89.82404795173036, "cagr_pct": -89.85057055034126, "max_drawdown_pct": 94.33103646971955, "mean_exposure_while_solvent": 1.4997784157198626, "realized_annual_volatility_pct": 133.0776645907373, "trading_costs_quote_units": 153.11204366449306, "borrowing_costs_quote_units": 183.41139117439465, "price_pnl_quote_units": -8645.881360334151, "turnover_quote_units": 51037.34788816434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4696.221757577727, "return_pct": -53.03778242422273, "cagr_pct": -53.07830319462743, "max_drawdown_pct": 64.48982670501131, "mean_exposure_while_solvent": 0.6448927647474697, "realized_annual_volatility_pct": 51.42603995927434, "trading_costs_quote_units": 181.78084717761456, "borrowing_costs_quote_units": 19.231210516103918, "price_pnl_quote_units": -5102.76618472857, "turnover_quote_units": 60593.61572587155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2799.502049849785, "return_pct": -72.00497950150215, "cagr_pct": -72.04565535790961, "max_drawdown_pct": 76.38736657079744, "mean_exposure_while_solvent": 0.7701236672457092, "realized_annual_volatility_pct": 71.67315977309245, "trading_costs_quote_units": 137.3602563799681, "borrowing_costs_quote_units": 3.8634923177454628, "price_pnl_quote_units": -7059.274201452517, "turnover_quote_units": 45786.75212665609, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 18.967197077279415 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3129.820544646391, "return_pct": -68.70179455353609, "cagr_pct": -68.74328859777755, "max_drawdown_pct": 75.76269868399972, "mean_exposure_while_solvent": 0.9052691760785011, "realized_annual_volatility_pct": 67.15436077800815, "trading_costs_quote_units": 175.7209423186292, "borrowing_costs_quote_units": 105.87880239512549, "price_pnl_quote_units": -6588.5797106398595, "turnover_quote_units": 58573.64743954308, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2372.7332878426823, "return_pct": -76.27266712157318, "cagr_pct": -76.31161727432422, "max_drawdown_pct": 80.85605706303318, "mean_exposure_while_solvent": 0.9377131417170886, "realized_annual_volatility_pct": 78.68784615548383, "trading_costs_quote_units": 127.30168034357594, "borrowing_costs_quote_units": 34.24718361450782, "price_pnl_quote_units": -7465.71784819924, "turnover_quote_units": 42433.893447858696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 7.570872568037089 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2265.448961123419, "return_pct": -77.34551038876582, "cagr_pct": -77.38389453272883, "max_drawdown_pct": 82.04422001352465, "mean_exposure_while_solvent": 1.109493886686308, "realized_annual_volatility_pct": 81.05025883066813, "trading_costs_quote_units": 167.2782919151779, "borrowing_costs_quote_units": 233.39453806126014, "price_pnl_quote_units": -7333.878208900152, "turnover_quote_units": 55759.43063839262, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1957.834405354073, "return_pct": -80.42165594645927, "cagr_pct": -80.45808536163905, "max_drawdown_pct": 84.97109007923773, "mean_exposure_while_solvent": 1.081452216237359, "realized_annual_volatility_pct": 86.75158999194575, "trading_costs_quote_units": 128.3242760369401, "borrowing_costs_quote_units": 106.44125018815555, "price_pnl_quote_units": -7807.400068420837, "turnover_quote_units": 42774.75867898, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 3.076145557693451 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3351.970685408368, "return_pct": -66.48029314591632, "cagr_pct": -66.52211065333363, "max_drawdown_pct": 74.13321372513573, "mean_exposure_while_solvent": 0.9059593863121937, "realized_annual_volatility_pct": 65.44054163809649, "trading_costs_quote_units": 270.92777993856373, "borrowing_costs_quote_units": 120.28753907351395, "price_pnl_quote_units": -6256.813995579537, "turnover_quote_units": 90309.25997952116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 344, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2839.4084380134227, "return_pct": -71.60591561986578, "cagr_pct": -71.64671297279159, "max_drawdown_pct": 77.57305474073432, "mean_exposure_while_solvent": 0.9197759034605014, "realized_annual_volatility_pct": 72.56002247325442, "trading_costs_quote_units": 238.48178053141507, "borrowing_costs_quote_units": 75.73831068298774, "price_pnl_quote_units": -6846.371470772163, "turnover_quote_units": 79493.92684380505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 289, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.125622473949463 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2894.1018027083824, "return_pct": -71.05898197291619, "cagr_pct": -71.09993545702837, "max_drawdown_pct": 78.82991145521966, "mean_exposure_while_solvent": 0.9160708567698729, "realized_annual_volatility_pct": 71.40166606057045, "trading_costs_quote_units": 117.72163514084158, "borrowing_costs_quote_units": 68.916062203731, "price_pnl_quote_units": -6919.260499947048, "turnover_quote_units": 39240.54504694724, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 303, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2326.1372613629715, "return_pct": -76.73862738637028, "cagr_pct": -76.77733866159255, "max_drawdown_pct": 82.57030835743443, "mean_exposure_while_solvent": 0.9585188830864475, "realized_annual_volatility_pct": 85.58545611746136, "trading_costs_quote_units": 63.67272615887283, "borrowing_costs_quote_units": 13.676291843743499, "price_pnl_quote_units": -7596.513720634414, "turnover_quote_units": 21224.242052957627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.679645413454097 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4050.2263189480323, "return_pct": -59.497736810519676, "cagr_pct": -59.5395225100279, "max_drawdown_pct": 68.63508489064859, "mean_exposure_while_solvent": 0.8229755617121144, "realized_annual_volatility_pct": 62.37842353679988, "trading_costs_quote_units": 118.91156105290713, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5830.862119999061, "turnover_quote_units": 39637.18701763573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 216, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2466.2856366873284, "return_pct": -75.33714363312671, "cagr_pct": -75.37654205137918, "max_drawdown_pct": 80.1012478996613, "mean_exposure_while_solvent": 0.8996521618381316, "realized_annual_volatility_pct": 77.3471543360926, "trading_costs_quote_units": 95.4915930715381, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7438.222770241115, "turnover_quote_units": 31830.531023846037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 136, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 15.839406822607039 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2878.8091902984334, "return_pct": -71.21190809701568, "cagr_pct": -71.25281912407219, "max_drawdown_pct": 78.94177550868751, "mean_exposure_while_solvent": 0.9216926069361401, "realized_annual_volatility_pct": 71.65684794546947, "trading_costs_quote_units": 109.28376129896535, "borrowing_costs_quote_units": 68.37042333234575, "price_pnl_quote_units": -6943.536625070248, "turnover_quote_units": 36427.920432988445, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 244, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2326.1372613629715, "return_pct": -76.73862738637028, "cagr_pct": -76.77733866159255, "max_drawdown_pct": 82.57030835743443, "mean_exposure_while_solvent": 0.9585188830864475, "realized_annual_volatility_pct": 85.58545611746136, "trading_costs_quote_units": 63.67272615887283, "borrowing_costs_quote_units": 13.676291843743499, "price_pnl_quote_units": -7596.513720634414, "turnover_quote_units": 21224.242052957627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 5.526719289354602 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3288.4703906790673, "return_pct": -67.11529609320932, "cagr_pct": -67.15703880601313, "max_drawdown_pct": 73.97659127233572, "mean_exposure_while_solvent": 0.820725414003562, "realized_annual_volatility_pct": 60.265865745774015, "trading_costs_quote_units": 119.19130504973963, "borrowing_costs_quote_units": 78.30700004646728, "price_pnl_quote_units": -6514.031304224725, "turnover_quote_units": 39730.43501657987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2326.1372613629715, "return_pct": -76.73862738637028, "cagr_pct": -76.77733866159255, "max_drawdown_pct": 82.57030835743443, "mean_exposure_while_solvent": 0.9585188830864475, "realized_annual_volatility_pct": 85.58545611746136, "trading_costs_quote_units": 63.67272615887283, "borrowing_costs_quote_units": 13.676291843743499, "price_pnl_quote_units": -7596.513720634414, "turnover_quote_units": 21224.242052957627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 130, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 9.623331293160959 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4095.0731061629585, "return_pct": -59.04926893837042, "cagr_pct": -59.09100283619209, "max_drawdown_pct": 69.91098866648396, "mean_exposure_while_solvent": 0.7486497268700313, "realized_annual_volatility_pct": 65.979514257601, "trading_costs_quote_units": 67.33093374702828, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5837.595960090028, "turnover_quote_units": 22443.644582342764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4095.0731061629585, "return_pct": -59.04926893837042, "cagr_pct": -59.09100283619209, "max_drawdown_pct": 69.91098866648396, "mean_exposure_while_solvent": 0.7486497268700313, "realized_annual_volatility_pct": 65.979514257601, "trading_costs_quote_units": 67.33093374702828, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5837.595960090028, "turnover_quote_units": 22443.644582342764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2786.9136607690334, "return_pct": -72.13086339230966, "cagr_pct": -72.17149957971381, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.998620055197792, "realized_annual_volatility_pct": 88.15883843993295, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7183.176070038552, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2786.9136607690334, "return_pct": -72.13086339230966, "cagr_pct": -72.17149957971381, "max_drawdown_pct": 81.41717033425718, "mean_exposure_while_solvent": 0.998620055197792, "realized_annual_volatility_pct": 88.15883843993295, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -7183.176070038552, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1687.8844232379918, "return_pct": -83.12115576762008, "cagr_pct": -83.15541663936101, "max_drawdown_pct": 89.71434974788542, "mean_exposure_while_solvent": 1.2490106819800946, "realized_annual_volatility_pct": 110.51358178341668, "trading_costs_quote_units": 91.19068050645625, "borrowing_costs_quote_units": 227.36773582343466, "price_pnl_quote_units": -7993.557160432127, "turnover_quote_units": 30396.893502152077, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1687.8844232379918, "return_pct": -83.12115576762008, "cagr_pct": -83.15541663936101, "max_drawdown_pct": 89.71434974788542, "mean_exposure_while_solvent": 1.2490106819800946, "realized_annual_volatility_pct": 110.51358178341668, "trading_costs_quote_units": 91.19068050645625, "borrowing_costs_quote_units": 227.36773582343466, "price_pnl_quote_units": -7993.557160432127, "turnover_quote_units": 30396.893502152077, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 967.6402330392401, "return_pct": -90.32359766960761, "cagr_pct": -90.34937306009829, "max_drawdown_pct": 94.59369953956958, "mean_exposure_while_solvent": 1.4998657452085595, "realized_annual_volatility_pct": 133.08859116700177, "trading_costs_quote_units": 151.791452253381, "borrowing_costs_quote_units": 360.3144464518863, "price_pnl_quote_units": -8520.253868255511, "turnover_quote_units": 50597.15075112702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "native": { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 967.6402330392401, "return_pct": -90.32359766960761, "cagr_pct": -90.34937306009829, "max_drawdown_pct": 94.59369953956958, "mean_exposure_while_solvent": 1.4998657452085595, "realized_annual_volatility_pct": 133.08859116700177, "trading_costs_quote_units": 151.791452253381, "borrowing_costs_quote_units": 360.3144464518863, "price_pnl_quote_units": -8520.253868255511, "turnover_quote_units": 50597.15075112702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22084.8256330758, "return_pct": 120.84825633075802, "cagr_pct": 121.04818610871413, "max_drawdown_pct": 32.749082681969064, "mean_exposure_while_solvent": 0.6638039109002761, "realized_annual_volatility_pct": 44.97435310371776, "trading_costs_quote_units": 82.22605265731609, "borrowing_costs_quote_units": 8.864218755914058, "price_pnl_quote_units": 12175.91590448901, "turnover_quote_units": 137043.42109552684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22084.8256330758, "return_pct": 120.84825633075802, "cagr_pct": 121.04818610871413, "max_drawdown_pct": 32.749082681969064, "mean_exposure_while_solvent": 0.6638039109002761, "realized_annual_volatility_pct": 44.97435310371776, "trading_costs_quote_units": 82.22605265731609, "borrowing_costs_quote_units": 8.864218755914058, "price_pnl_quote_units": 12175.91590448901, "turnover_quote_units": 137043.42109552684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24836.6357183939, "return_pct": 148.366357183939, "cagr_pct": 148.62454004853976, "max_drawdown_pct": 47.04197939192597, "mean_exposure_while_solvent": 0.9718569323104337, "realized_annual_volatility_pct": 63.316783399275344, "trading_costs_quote_units": 115.93078663963641, "borrowing_costs_quote_units": 62.6308419708641, "price_pnl_quote_units": 15015.197347004398, "turnover_quote_units": 193217.97773272742, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24836.6357183939, "return_pct": 148.366357183939, "cagr_pct": 148.62454004853976, "max_drawdown_pct": 47.04197939192597, "mean_exposure_while_solvent": 0.9718569323104337, "realized_annual_volatility_pct": 63.316783399275344, "trading_costs_quote_units": 115.93078663963641, "borrowing_costs_quote_units": 62.6308419708641, "price_pnl_quote_units": 15015.197347004398, "turnover_quote_units": 193217.97773272742, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25946.955261128962, "return_pct": 159.4695526112896, "cagr_pct": 159.7522512967883, "max_drawdown_pct": 57.99124704803852, "mean_exposure_while_solvent": 1.224931962413955, "realized_annual_volatility_pct": 79.22504409549573, "trading_costs_quote_units": 144.7889379510215, "borrowing_costs_quote_units": 274.90678416609524, "price_pnl_quote_units": 16366.650983246094, "turnover_quote_units": 241314.89658503621, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25946.955261128962, "return_pct": 159.4695526112896, "cagr_pct": 159.7522512967883, "max_drawdown_pct": 57.99124704803852, "mean_exposure_while_solvent": 1.224931962413955, "realized_annual_volatility_pct": 79.22504409549573, "trading_costs_quote_units": 144.7889379510215, "borrowing_costs_quote_units": 274.90678416609524, "price_pnl_quote_units": 16366.650983246094, "turnover_quote_units": 241314.89658503621, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20136.83530987012, "return_pct": 101.3683530987012, "cagr_pct": 101.52939385204496, "max_drawdown_pct": 57.74124407567711, "mean_exposure_while_solvent": 1.038517143070377, "realized_annual_volatility_pct": 66.95323603438464, "trading_costs_quote_units": 230.74826799596264, "borrowing_costs_quote_units": 137.73536314220547, "price_pnl_quote_units": 10505.318941008334, "turnover_quote_units": 384580.44665993785, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20136.83530987012, "return_pct": 101.3683530987012, "cagr_pct": 101.52939385204496, "max_drawdown_pct": 57.74124407567711, "mean_exposure_while_solvent": 1.038517143070377, "realized_annual_volatility_pct": 66.95323603438464, "trading_costs_quote_units": 230.74826799596264, "borrowing_costs_quote_units": 137.73536314220547, "price_pnl_quote_units": 10505.318941008334, "turnover_quote_units": 384580.44665993785, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23860.736376604207, "return_pct": 138.60736376604206, "cagr_pct": 138.84446721615564, "max_drawdown_pct": 45.178207772337586, "mean_exposure_while_solvent": 0.929508659345573, "realized_annual_volatility_pct": 60.73797935228473, "trading_costs_quote_units": 67.9921632004354, "borrowing_costs_quote_units": 46.15534353736249, "price_pnl_quote_units": 13974.883883342021, "turnover_quote_units": 113320.2720007257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23860.736376604207, "return_pct": 138.60736376604206, "cagr_pct": 138.84446721615564, "max_drawdown_pct": 45.178207772337586, "mean_exposure_while_solvent": 0.929508659345573, "realized_annual_volatility_pct": 60.73797935228473, "trading_costs_quote_units": 67.9921632004354, "borrowing_costs_quote_units": 46.15534353736249, "price_pnl_quote_units": 13974.883883342021, "turnover_quote_units": 113320.2720007257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20688.13395954643, "return_pct": 106.88133959546428, "cagr_pct": 107.05317611431741, "max_drawdown_pct": 45.61874542572871, "mean_exposure_while_solvent": 0.8808344248679196, "realized_annual_volatility_pct": 57.156709254868964, "trading_costs_quote_units": 56.92314366245086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10745.057103208841, "turnover_quote_units": 94871.9061040848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20688.13395954643, "return_pct": 106.88133959546428, "cagr_pct": 107.05317611431741, "max_drawdown_pct": 45.61874542572871, "mean_exposure_while_solvent": 0.8808344248679196, "realized_annual_volatility_pct": 57.156709254868964, "trading_costs_quote_units": 56.92314366245086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10745.057103208841, "turnover_quote_units": 94871.9061040848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23860.736376604207, "return_pct": 138.60736376604206, "cagr_pct": 138.84446721615564, "max_drawdown_pct": 45.178207772337586, "mean_exposure_while_solvent": 0.929508659345573, "realized_annual_volatility_pct": 60.73797935228473, "trading_costs_quote_units": 67.9921632004354, "borrowing_costs_quote_units": 46.15534353736249, "price_pnl_quote_units": 13974.883883342021, "turnover_quote_units": 113320.2720007257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23860.736376604207, "return_pct": 138.60736376604206, "cagr_pct": 138.84446721615564, "max_drawdown_pct": 45.178207772337586, "mean_exposure_while_solvent": 0.929508659345573, "realized_annual_volatility_pct": 60.73797935228473, "trading_costs_quote_units": 67.9921632004354, "borrowing_costs_quote_units": 46.15534353736249, "price_pnl_quote_units": 13974.883883342021, "turnover_quote_units": 113320.2720007257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23860.736376604207, "return_pct": 138.60736376604206, "cagr_pct": 138.84446721615564, "max_drawdown_pct": 45.178207772337586, "mean_exposure_while_solvent": 0.929508659345573, "realized_annual_volatility_pct": 60.73797935228473, "trading_costs_quote_units": 67.9921632004354, "borrowing_costs_quote_units": 46.15534353736249, "price_pnl_quote_units": 13974.883883342021, "turnover_quote_units": 113320.2720007257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23860.736376604207, "return_pct": 138.60736376604206, "cagr_pct": 138.84446721615564, "max_drawdown_pct": 45.178207772337586, "mean_exposure_while_solvent": 0.929508659345573, "realized_annual_volatility_pct": 60.73797935228473, "trading_costs_quote_units": 67.9921632004354, "borrowing_costs_quote_units": 46.15534353736249, "price_pnl_quote_units": 13974.883883342021, "turnover_quote_units": 113320.2720007257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17262.187959861214, "return_pct": 72.62187959861215, "cagr_pct": 72.72954225984162, "max_drawdown_pct": 40.82692916710264, "mean_exposure_while_solvent": 0.7496708669670465, "realized_annual_volatility_pct": 50.493448217284566, "trading_costs_quote_units": 23.751712959274528, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7285.939672820513, "turnover_quote_units": 39586.18826545758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17262.187959861214, "return_pct": 72.62187959861215, "cagr_pct": 72.72954225984162, "max_drawdown_pct": 40.82692916710264, "mean_exposure_while_solvent": 0.7496708669670465, "realized_annual_volatility_pct": 50.493448217284566, "trading_costs_quote_units": 23.751712959274528, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7285.939672820513, "turnover_quote_units": 39586.18826545758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19345.211380374814, "return_pct": 93.45211380374813, "cagr_pct": 93.59795595658002, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 67.22576828195513, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9351.207782533518, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19345.211380374814, "return_pct": 93.45211380374813, "cagr_pct": 93.59795595658002, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 67.22576828195513, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9351.207782533518, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20634.75374898623, "return_pct": 106.34753748986228, "cagr_pct": 106.5183212712792, "max_drawdown_pct": 62.520110021927586, "mean_exposure_while_solvent": 1.2495086111669933, "realized_annual_volatility_pct": 83.95671768545174, "trading_costs_quote_units": 52.42017711719046, "borrowing_costs_quote_units": 284.03546128365906, "price_pnl_quote_units": 10971.209387387065, "turnover_quote_units": 87366.9618619841, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20634.75374898623, "return_pct": 106.34753748986228, "cagr_pct": 106.5183212712792, "max_drawdown_pct": 62.520110021927586, "mean_exposure_while_solvent": 1.2495086111669933, "realized_annual_volatility_pct": 83.95671768545174, "trading_costs_quote_units": 52.42017711719046, "borrowing_costs_quote_units": 284.03546128365906, "price_pnl_quote_units": 10971.209387387065, "turnover_quote_units": 87366.9618619841, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21258.576683374056, "return_pct": 112.58576683374058, "cagr_pct": 112.76895094442776, "max_drawdown_pct": 71.18317836734474, "mean_exposure_while_solvent": 1.4996068231145863, "realized_annual_volatility_pct": 100.71366666313443, "trading_costs_quote_units": 133.44322112452676, "borrowing_costs_quote_units": 641.8316444632337, "price_pnl_quote_units": 12033.851548961655, "turnover_quote_units": 222405.36854087768, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21258.576683374056, "return_pct": 112.58576683374058, "cagr_pct": 112.76895094442776, "max_drawdown_pct": 71.18317836734474, "mean_exposure_while_solvent": 1.4996068231145863, "realized_annual_volatility_pct": 100.71366666313443, "trading_costs_quote_units": 133.44322112452676, "borrowing_costs_quote_units": 641.8316444632337, "price_pnl_quote_units": 12033.851548961655, "turnover_quote_units": 222405.36854087768, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22067.766564634454, "return_pct": 120.67766564634455, "cagr_pct": 120.87724606361783, "max_drawdown_pct": 32.749082681969014, "mean_exposure_while_solvent": 0.6638051235703389, "realized_annual_volatility_pct": 44.97362344283461, "trading_costs_quote_units": 82.1709610328364, "borrowing_costs_quote_units": 17.722687627104126, "price_pnl_quote_units": 12167.660213294397, "turnover_quote_units": 136951.60172139408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22067.766564634454, "return_pct": 120.67766564634455, "cagr_pct": 120.87724606361783, "max_drawdown_pct": 32.749082681969014, "mean_exposure_while_solvent": 0.6638051235703389, "realized_annual_volatility_pct": 44.97362344283461, "trading_costs_quote_units": 82.1709610328364, "borrowing_costs_quote_units": 17.722687627104126, "price_pnl_quote_units": 12167.660213294397, "turnover_quote_units": 136951.60172139408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24724.665838298188, "return_pct": 147.2466583829819, "cagr_pct": 147.502400078417, "max_drawdown_pct": 47.06316579427601, "mean_exposure_while_solvent": 0.9718639655442302, "realized_annual_volatility_pct": 63.31670007878372, "trading_costs_quote_units": 115.50336391366137, "borrowing_costs_quote_units": 124.93095282921288, "price_pnl_quote_units": 14965.10015504105, "turnover_quote_units": 192505.60652276909, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24724.665838298188, "return_pct": 147.2466583829819, "cagr_pct": 147.502400078417, "max_drawdown_pct": 47.06316579427601, "mean_exposure_while_solvent": 0.9718639655442302, "realized_annual_volatility_pct": 63.31670007878372, "trading_costs_quote_units": 115.50336391366137, "borrowing_costs_quote_units": 124.93095282921288, "price_pnl_quote_units": 14965.10015504105, "turnover_quote_units": 192505.60652276909, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25615.765161240553, "return_pct": 156.15765161240552, "cagr_pct": 156.43297963743638, "max_drawdown_pct": 58.186384423018026, "mean_exposure_while_solvent": 1.2249525465868125, "realized_annual_volatility_pct": 79.22620909131864, "trading_costs_quote_units": 143.6715362565526, "borrowing_costs_quote_units": 545.5431392724297, "price_pnl_quote_units": 16304.979836769491, "turnover_quote_units": 239452.56042758757, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25615.765161240553, "return_pct": 156.15765161240552, "cagr_pct": 156.43297963743638, "max_drawdown_pct": 58.186384423018026, "mean_exposure_while_solvent": 1.2249525465868125, "realized_annual_volatility_pct": 79.22620909131864, "trading_costs_quote_units": 143.6715362565526, "borrowing_costs_quote_units": 545.5431392724297, "price_pnl_quote_units": 16304.979836769491, "turnover_quote_units": 239452.56042758757, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19976.502705089788, "return_pct": 99.76502705089787, "cagr_pct": 99.92296031481058, "max_drawdown_pct": 57.85573158792221, "mean_exposure_while_solvent": 1.0385301243771692, "realized_annual_volatility_pct": 66.95480821405974, "trading_costs_quote_units": 229.59909118802994, "borrowing_costs_quote_units": 274.1682496764265, "price_pnl_quote_units": 10480.270045954256, "turnover_quote_units": 382665.15198005014, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19976.502705089788, "return_pct": 99.76502705089787, "cagr_pct": 99.92296031481058, "max_drawdown_pct": 57.85573158792221, "mean_exposure_while_solvent": 1.0385301243771692, "realized_annual_volatility_pct": 66.95480821405974, "trading_costs_quote_units": 229.59909118802994, "borrowing_costs_quote_units": 274.1682496764265, "price_pnl_quote_units": 10480.270045954256, "turnover_quote_units": 382665.15198005014, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23779.82000372662, "return_pct": 137.7982000372662, "cagr_pct": 138.03357595261892, "max_drawdown_pct": 45.183353965198435, "mean_exposure_while_solvent": 0.9295138386596791, "realized_annual_volatility_pct": 60.73764219074391, "trading_costs_quote_units": 67.80600058503107, "borrowing_costs_quote_units": 92.1383027546553, "price_pnl_quote_units": 13939.764307066323, "turnover_quote_units": 113010.00097505184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23779.82000372662, "return_pct": 137.7982000372662, "cagr_pct": 138.03357595261892, "max_drawdown_pct": 45.183353965198435, "mean_exposure_while_solvent": 0.9295138386596791, "realized_annual_volatility_pct": 60.73764219074391, "trading_costs_quote_units": 67.80600058503107, "borrowing_costs_quote_units": 92.1383027546553, "price_pnl_quote_units": 13939.764307066323, "turnover_quote_units": 113010.00097505184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20688.13395954643, "return_pct": 106.88133959546428, "cagr_pct": 107.05317611431741, "max_drawdown_pct": 45.61874542572871, "mean_exposure_while_solvent": 0.8808344248679196, "realized_annual_volatility_pct": 57.156709254868964, "trading_costs_quote_units": 56.92314366245086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10745.057103208841, "turnover_quote_units": 94871.9061040848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20688.13395954643, "return_pct": 106.88133959546428, "cagr_pct": 107.05317611431741, "max_drawdown_pct": 45.61874542572871, "mean_exposure_while_solvent": 0.8808344248679196, "realized_annual_volatility_pct": 57.156709254868964, "trading_costs_quote_units": 56.92314366245086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10745.057103208841, "turnover_quote_units": 94871.9061040848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23779.82000372662, "return_pct": 137.7982000372662, "cagr_pct": 138.03357595261892, "max_drawdown_pct": 45.183353965198435, "mean_exposure_while_solvent": 0.9295138386596791, "realized_annual_volatility_pct": 60.73764219074391, "trading_costs_quote_units": 67.80600058503107, "borrowing_costs_quote_units": 92.1383027546553, "price_pnl_quote_units": 13939.764307066323, "turnover_quote_units": 113010.00097505184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23779.82000372662, "return_pct": 137.7982000372662, "cagr_pct": 138.03357595261892, "max_drawdown_pct": 45.183353965198435, "mean_exposure_while_solvent": 0.9295138386596791, "realized_annual_volatility_pct": 60.73764219074391, "trading_costs_quote_units": 67.80600058503107, "borrowing_costs_quote_units": 92.1383027546553, "price_pnl_quote_units": 13939.764307066323, "turnover_quote_units": 113010.00097505184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23779.82000372662, "return_pct": 137.7982000372662, "cagr_pct": 138.03357595261892, "max_drawdown_pct": 45.183353965198435, "mean_exposure_while_solvent": 0.9295138386596791, "realized_annual_volatility_pct": 60.73764219074391, "trading_costs_quote_units": 67.80600058503107, "borrowing_costs_quote_units": 92.1383027546553, "price_pnl_quote_units": 13939.764307066323, "turnover_quote_units": 113010.00097505184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23779.82000372662, "return_pct": 137.7982000372662, "cagr_pct": 138.03357595261892, "max_drawdown_pct": 45.183353965198435, "mean_exposure_while_solvent": 0.9295138386596791, "realized_annual_volatility_pct": 60.73764219074391, "trading_costs_quote_units": 67.80600058503107, "borrowing_costs_quote_units": 92.1383027546553, "price_pnl_quote_units": 13939.764307066323, "turnover_quote_units": 113010.00097505184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17262.187959861214, "return_pct": 72.62187959861215, "cagr_pct": 72.72954225984162, "max_drawdown_pct": 40.82692916710264, "mean_exposure_while_solvent": 0.7496708669670465, "realized_annual_volatility_pct": 50.493448217284566, "trading_costs_quote_units": 23.751712959274528, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7285.939672820513, "turnover_quote_units": 39586.18826545758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17262.187959861214, "return_pct": 72.62187959861215, "cagr_pct": 72.72954225984162, "max_drawdown_pct": 40.82692916710264, "mean_exposure_while_solvent": 0.7496708669670465, "realized_annual_volatility_pct": 50.493448217284566, "trading_costs_quote_units": 23.751712959274528, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7285.939672820513, "turnover_quote_units": 39586.18826545758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19345.211380374814, "return_pct": 93.45211380374813, "cagr_pct": 93.59795595658002, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 67.22576828195513, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9351.207782533518, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19345.211380374814, "return_pct": 93.45211380374813, "cagr_pct": 93.59795595658002, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 67.22576828195513, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9351.207782533518, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20378.986595979495, "return_pct": 103.78986595979494, "cagr_pct": 103.95562762775322, "max_drawdown_pct": 62.74505606443762, "mean_exposure_while_solvent": 1.24952642499, "realized_annual_volatility_pct": 83.95851580313509, "trading_costs_quote_units": 52.10442483824178, "borrowing_costs_quote_units": 564.0703235996261, "price_pnl_quote_units": 10995.1613444174, "turnover_quote_units": 86840.7080637364, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20378.986595979495, "return_pct": 103.78986595979494, "cagr_pct": 103.95562762775322, "max_drawdown_pct": 62.74505606443762, "mean_exposure_while_solvent": 1.24952642499, "realized_annual_volatility_pct": 83.95851580313509, "trading_costs_quote_units": 52.10442483824178, "borrowing_costs_quote_units": 564.0703235996261, "price_pnl_quote_units": 10995.1613444174, "turnover_quote_units": 86840.7080637364, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20734.607445681748, "return_pct": 107.34607445681749, "cagr_pct": 107.51882878575447, "max_drawdown_pct": 71.52846721941616, "mean_exposure_while_solvent": 1.499649610991527, "realized_annual_volatility_pct": 100.71798998848003, "trading_costs_quote_units": 131.70479074176532, "borrowing_costs_quote_units": 1265.528584349331, "price_pnl_quote_units": 12131.840820772846, "turnover_quote_units": 219507.98456960882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20734.607445681748, "return_pct": 107.34607445681749, "cagr_pct": 107.51882878575447, "max_drawdown_pct": 71.52846721941616, "mean_exposure_while_solvent": 1.499649610991527, "realized_annual_volatility_pct": 100.71798998848003, "trading_costs_quote_units": 131.70479074176532, "borrowing_costs_quote_units": 1265.528584349331, "price_pnl_quote_units": 12131.840820772846, "turnover_quote_units": 219507.98456960882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22033.67808127333, "return_pct": 120.33678081273331, "cagr_pct": 120.53566356813748, "max_drawdown_pct": 32.749082681969064, "mean_exposure_while_solvent": 0.6638075493607758, "realized_annual_volatility_pct": 44.97216783589364, "trading_costs_quote_units": 82.0616897500484, "borrowing_costs_quote_units": 35.4223850365661, "price_pnl_quote_units": 12151.162156059909, "turnover_quote_units": 136769.48291674716, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22033.67808127333, "return_pct": 120.33678081273331, "cagr_pct": 120.53566356813748, "max_drawdown_pct": 32.749082681969064, "mean_exposure_while_solvent": 0.6638075493607758, "realized_annual_volatility_pct": 44.97216783589364, "trading_costs_quote_units": 82.0616897500484, "borrowing_costs_quote_units": 35.4223850365661, "price_pnl_quote_units": 12151.162156059909, "turnover_quote_units": 136769.48291674716, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24502.18166382687, "return_pct": 145.02181663826866, "cagr_pct": 145.27272497909362, "max_drawdown_pct": 47.105521887335364, "mean_exposure_while_solvent": 0.9718780345993688, "realized_annual_volatility_pct": 63.316546265394244, "trading_costs_quote_units": 114.65459216835885, "borrowing_costs_quote_units": 248.54523436415994, "price_pnl_quote_units": 14865.38149035941, "turnover_quote_units": 191090.9869472648, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24502.18166382687, "return_pct": 145.02181663826866, "cagr_pct": 145.27272497909362, "max_drawdown_pct": 47.105521887335364, "mean_exposure_while_solvent": 0.9718780345993688, "realized_annual_volatility_pct": 63.316546265394244, "trading_costs_quote_units": 114.65459216835885, "borrowing_costs_quote_units": 248.54523436415994, "price_pnl_quote_units": 14865.38149035941, "turnover_quote_units": 191090.9869472648, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24965.84175671465, "return_pct": 149.65841756714647, "cagr_pct": 149.9194245624646, "max_drawdown_pct": 58.57403961143497, "mean_exposure_while_solvent": 1.2249937229324563, "realized_annual_volatility_pct": 79.22855585124715, "trading_costs_quote_units": 141.47160710295063, "borrowing_costs_quote_units": 1074.2313598960693, "price_pnl_quote_units": 16181.544723713694, "turnover_quote_units": 235786.01183825132, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24965.84175671465, "return_pct": 149.65841756714647, "cagr_pct": 149.9194245624646, "max_drawdown_pct": 58.57403961143497, "mean_exposure_while_solvent": 1.2249937229324563, "realized_annual_volatility_pct": 79.22855585124715, "trading_costs_quote_units": 141.47160710295063, "borrowing_costs_quote_units": 1074.2313598960693, "price_pnl_quote_units": 16181.544723713694, "turnover_quote_units": 235786.01183825132, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19659.563225193495, "return_pct": 96.59563225193494, "cagr_pct": 96.74746618549688, "max_drawdown_pct": 58.08384121969807, "mean_exposure_while_solvent": 1.0385560921862622, "realized_annual_volatility_pct": 66.95797510744576, "trading_costs_quote_units": 227.32782438464812, "borrowing_costs_quote_units": 543.1689326743941, "price_pnl_quote_units": 10430.0599822525, "turnover_quote_units": 378879.70730774663, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19659.563225193495, "return_pct": 96.59563225193494, "cagr_pct": 96.74746618549688, "max_drawdown_pct": 58.08384121969807, "mean_exposure_while_solvent": 1.0385560921862622, "realized_annual_volatility_pct": 66.95797510744576, "trading_costs_quote_units": 227.32782438464812, "borrowing_costs_quote_units": 543.1689326743941, "price_pnl_quote_units": 10430.0599822525, "turnover_quote_units": 378879.70730774663, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23618.76500475073, "return_pct": 136.1876500475073, "cagr_pct": 136.41959688671724, "max_drawdown_pct": 45.193646802287915, "mean_exposure_while_solvent": 0.9295241991315109, "realized_annual_volatility_pct": 60.73697808904226, "trading_costs_quote_units": 67.43826690492554, "borrowing_costs_quote_units": 183.58935989317342, "price_pnl_quote_units": 13869.792631548882, "turnover_quote_units": 112397.11150820924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23618.76500475073, "return_pct": 136.1876500475073, "cagr_pct": 136.41959688671724, "max_drawdown_pct": 45.193646802287915, "mean_exposure_while_solvent": 0.9295241991315109, "realized_annual_volatility_pct": 60.73697808904226, "trading_costs_quote_units": 67.43826690492554, "borrowing_costs_quote_units": 183.58935989317342, "price_pnl_quote_units": 13869.792631548882, "turnover_quote_units": 112397.11150820924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20688.13395954643, "return_pct": 106.88133959546428, "cagr_pct": 107.05317611431741, "max_drawdown_pct": 45.61874542572871, "mean_exposure_while_solvent": 0.8808344248679196, "realized_annual_volatility_pct": 57.156709254868964, "trading_costs_quote_units": 56.92314366245086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10745.057103208841, "turnover_quote_units": 94871.9061040848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20688.13395954643, "return_pct": 106.88133959546428, "cagr_pct": 107.05317611431741, "max_drawdown_pct": 45.61874542572871, "mean_exposure_while_solvent": 0.8808344248679196, "realized_annual_volatility_pct": 57.156709254868964, "trading_costs_quote_units": 56.92314366245086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10745.057103208841, "turnover_quote_units": 94871.9061040848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23618.76500475073, "return_pct": 136.1876500475073, "cagr_pct": 136.41959688671724, "max_drawdown_pct": 45.193646802287915, "mean_exposure_while_solvent": 0.9295241991315109, "realized_annual_volatility_pct": 60.73697808904226, "trading_costs_quote_units": 67.43826690492554, "borrowing_costs_quote_units": 183.58935989317342, "price_pnl_quote_units": 13869.792631548882, "turnover_quote_units": 112397.11150820924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23618.76500475073, "return_pct": 136.1876500475073, "cagr_pct": 136.41959688671724, "max_drawdown_pct": 45.193646802287915, "mean_exposure_while_solvent": 0.9295241991315109, "realized_annual_volatility_pct": 60.73697808904226, "trading_costs_quote_units": 67.43826690492554, "borrowing_costs_quote_units": 183.58935989317342, "price_pnl_quote_units": 13869.792631548882, "turnover_quote_units": 112397.11150820924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23618.76500475073, "return_pct": 136.1876500475073, "cagr_pct": 136.41959688671724, "max_drawdown_pct": 45.193646802287915, "mean_exposure_while_solvent": 0.9295241991315109, "realized_annual_volatility_pct": 60.73697808904226, "trading_costs_quote_units": 67.43826690492554, "borrowing_costs_quote_units": 183.58935989317342, "price_pnl_quote_units": 13869.792631548882, "turnover_quote_units": 112397.11150820924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23618.76500475073, "return_pct": 136.1876500475073, "cagr_pct": 136.41959688671724, "max_drawdown_pct": 45.193646802287915, "mean_exposure_while_solvent": 0.9295241991315109, "realized_annual_volatility_pct": 60.73697808904226, "trading_costs_quote_units": 67.43826690492554, "borrowing_costs_quote_units": 183.58935989317342, "price_pnl_quote_units": 13869.792631548882, "turnover_quote_units": 112397.11150820924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 17262.187959861214, "return_pct": 72.62187959861215, "cagr_pct": 72.72954225984162, "max_drawdown_pct": 40.82692916710264, "mean_exposure_while_solvent": 0.7496708669670465, "realized_annual_volatility_pct": 50.493448217284566, "trading_costs_quote_units": 23.751712959274528, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7285.939672820513, "turnover_quote_units": 39586.18826545758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 17262.187959861214, "return_pct": 72.62187959861215, "cagr_pct": 72.72954225984162, "max_drawdown_pct": 40.82692916710264, "mean_exposure_while_solvent": 0.7496708669670465, "realized_annual_volatility_pct": 50.493448217284566, "trading_costs_quote_units": 23.751712959274528, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7285.939672820513, "turnover_quote_units": 39586.18826545758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19345.211380374814, "return_pct": 93.45211380374813, "cagr_pct": 93.59795595658002, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 67.22576828195513, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9351.207782533518, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19345.211380374814, "return_pct": 93.45211380374813, "cagr_pct": 93.59795595658002, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 67.22576828195513, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9351.207782533518, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19876.80796411618, "return_pct": 98.76807964116179, "cagr_pct": 98.92408808674477, "max_drawdown_pct": 63.191007228843965, "mean_exposure_while_solvent": 1.2495620581228497, "realized_annual_volatility_pct": 83.9621127457588, "trading_costs_quote_units": 51.48347912777881, "borrowing_costs_quote_units": 1112.3336481012202, "price_pnl_quote_units": 11040.625091345255, "turnover_quote_units": 85805.79854629806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19876.80796411618, "return_pct": 98.76807964116179, "cagr_pct": 98.92408808674477, "max_drawdown_pct": 63.191007228843965, "mean_exposure_while_solvent": 1.2495620581228497, "realized_annual_volatility_pct": 83.9621127457588, "trading_costs_quote_units": 51.48347912777881, "borrowing_costs_quote_units": 1112.3336481012202, "price_pnl_quote_units": 11040.625091345255, "turnover_quote_units": 85805.79854629806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19724.811459290257, "return_pct": 97.24811459290257, "cagr_pct": 97.4011994451897, "max_drawdown_pct": 72.20746979003334, "mean_exposure_while_solvent": 1.499735205316291, "realized_annual_volatility_pct": 100.72663912791278, "trading_costs_quote_units": 128.31445792516607, "borrowing_costs_quote_units": 2460.2788890714687, "price_pnl_quote_units": 12313.404806286886, "turnover_quote_units": 213857.42987527692, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19724.811459290257, "return_pct": 97.24811459290257, "cagr_pct": 97.4011994451897, "max_drawdown_pct": 72.20746979003334, "mean_exposure_while_solvent": 1.499735205316291, "realized_annual_volatility_pct": 100.72663912791278, "trading_costs_quote_units": 128.31445792516607, "borrowing_costs_quote_units": 2460.2788890714687, "price_pnl_quote_units": 12313.404806286886, "turnover_quote_units": 213857.42987527692, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21294.875914160755, "return_pct": 112.94875914160754, "cagr_pct": 113.13267131673412, "max_drawdown_pct": 34.30856781980081, "mean_exposure_while_solvent": 0.6635112319150317, "realized_annual_volatility_pct": 45.15464204425834, "trading_costs_quote_units": 82.01953935149574, "borrowing_costs_quote_units": 9.09956339757094, "price_pnl_quote_units": 11385.995016909832, "turnover_quote_units": 136699.23225249292, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21294.875914160755, "return_pct": 112.94875914160754, "cagr_pct": 113.13267131673412, "max_drawdown_pct": 34.30856781980081, "mean_exposure_while_solvent": 0.6635112319150317, "realized_annual_volatility_pct": 45.15464204425834, "trading_costs_quote_units": 82.01953935149574, "borrowing_costs_quote_units": 9.09956339757094, "price_pnl_quote_units": 11385.995016909832, "turnover_quote_units": 136699.23225249292, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24275.57824057511, "return_pct": 142.7557824057511, "cagr_pct": 143.00179167331274, "max_drawdown_pct": 48.4077950902689, "mean_exposure_while_solvent": 0.9709145198213467, "realized_annual_volatility_pct": 63.54944940514452, "trading_costs_quote_units": 117.18798791024412, "borrowing_costs_quote_units": 62.77600053621085, "price_pnl_quote_units": 14455.542229021545, "turnover_quote_units": 195313.31318374025, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24275.57824057511, "return_pct": 142.7557824057511, "cagr_pct": 143.00179167331274, "max_drawdown_pct": 48.4077950902689, "mean_exposure_while_solvent": 0.9709145198213467, "realized_annual_volatility_pct": 63.54944940514452, "trading_costs_quote_units": 117.18798791024412, "borrowing_costs_quote_units": 62.77600053621085, "price_pnl_quote_units": 14455.542229021545, "turnover_quote_units": 195313.31318374025, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25683.648408074587, "return_pct": 156.83648408074586, "cagr_pct": 157.11331887968365, "max_drawdown_pct": 58.58686972982336, "mean_exposure_while_solvent": 1.2233848449286893, "realized_annual_volatility_pct": 79.4200752494832, "trading_costs_quote_units": 143.1334415340291, "borrowing_costs_quote_units": 274.45754122714004, "price_pnl_quote_units": 16101.239390835788, "turnover_quote_units": 238555.7358900485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25683.648408074587, "return_pct": 156.83648408074586, "cagr_pct": 157.11331887968365, "max_drawdown_pct": 58.58686972982336, "mean_exposure_while_solvent": 1.2233848449286893, "realized_annual_volatility_pct": 79.4200752494832, "trading_costs_quote_units": 143.1334415340291, "borrowing_costs_quote_units": 274.45754122714004, "price_pnl_quote_units": 16101.239390835788, "turnover_quote_units": 238555.7358900485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19519.849495831608, "return_pct": 95.19849495831608, "cagr_pct": 95.34765868816449, "max_drawdown_pct": 59.491199454205955, "mean_exposure_while_solvent": 1.0376638183330869, "realized_annual_volatility_pct": 67.52837738950383, "trading_costs_quote_units": 231.50574139615048, "borrowing_costs_quote_units": 136.73327175497081, "price_pnl_quote_units": 9888.088508982772, "turnover_quote_units": 385842.90232691786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19519.849495831608, "return_pct": 95.19849495831608, "cagr_pct": 95.34765868816449, "max_drawdown_pct": 59.491199454205955, "mean_exposure_while_solvent": 1.0376638183330869, "realized_annual_volatility_pct": 67.52837738950383, "trading_costs_quote_units": 231.50574139615048, "borrowing_costs_quote_units": 136.73327175497081, "price_pnl_quote_units": 9888.088508982772, "turnover_quote_units": 385842.90232691786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23778.751729598865, "return_pct": 137.78751729598864, "cagr_pct": 138.02287042513498, "max_drawdown_pct": 45.66313287241726, "mean_exposure_while_solvent": 0.9287619152326181, "realized_annual_volatility_pct": 60.8830169997411, "trading_costs_quote_units": 68.55614023434222, "borrowing_costs_quote_units": 46.411315764443444, "price_pnl_quote_units": 13893.719185597653, "turnover_quote_units": 114260.23372390361, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23778.751729598865, "return_pct": 137.78751729598864, "cagr_pct": 138.02287042513498, "max_drawdown_pct": 45.66313287241726, "mean_exposure_while_solvent": 0.9287619152326181, "realized_annual_volatility_pct": 60.8830169997411, "trading_costs_quote_units": 68.55614023434222, "borrowing_costs_quote_units": 46.411315764443444, "price_pnl_quote_units": 13893.719185597653, "turnover_quote_units": 114260.23372390361, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20365.823800584913, "return_pct": 103.65823800584914, "cagr_pct": 103.8237422057941, "max_drawdown_pct": 46.28083453279939, "mean_exposure_while_solvent": 0.8801304939238043, "realized_annual_volatility_pct": 57.259003659547936, "trading_costs_quote_units": 56.35285081763612, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10422.176651402542, "turnover_quote_units": 93921.41802939355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20365.823800584913, "return_pct": 103.65823800584914, "cagr_pct": 103.8237422057941, "max_drawdown_pct": 46.28083453279939, "mean_exposure_while_solvent": 0.8801304939238043, "realized_annual_volatility_pct": 57.259003659547936, "trading_costs_quote_units": 56.35285081763612, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10422.176651402542, "turnover_quote_units": 93921.41802939355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23778.751729598865, "return_pct": 137.78751729598864, "cagr_pct": 138.02287042513498, "max_drawdown_pct": 45.66313287241726, "mean_exposure_while_solvent": 0.9287619152326181, "realized_annual_volatility_pct": 60.8830169997411, "trading_costs_quote_units": 68.55614023434222, "borrowing_costs_quote_units": 46.411315764443444, "price_pnl_quote_units": 13893.719185597653, "turnover_quote_units": 114260.23372390361, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23778.751729598865, "return_pct": 137.78751729598864, "cagr_pct": 138.02287042513498, "max_drawdown_pct": 45.66313287241726, "mean_exposure_while_solvent": 0.9287619152326181, "realized_annual_volatility_pct": 60.8830169997411, "trading_costs_quote_units": 68.55614023434222, "borrowing_costs_quote_units": 46.411315764443444, "price_pnl_quote_units": 13893.719185597653, "turnover_quote_units": 114260.23372390361, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23778.751729598865, "return_pct": 137.78751729598864, "cagr_pct": 138.02287042513498, "max_drawdown_pct": 45.66313287241726, "mean_exposure_while_solvent": 0.9287619152326181, "realized_annual_volatility_pct": 60.8830169997411, "trading_costs_quote_units": 68.55614023434222, "borrowing_costs_quote_units": 46.411315764443444, "price_pnl_quote_units": 13893.719185597653, "turnover_quote_units": 114260.23372390361, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23778.751729598865, "return_pct": 137.78751729598864, "cagr_pct": 138.02287042513498, "max_drawdown_pct": 45.66313287241726, "mean_exposure_while_solvent": 0.9287619152326181, "realized_annual_volatility_pct": 60.8830169997411, "trading_costs_quote_units": 68.55614023434222, "borrowing_costs_quote_units": 46.411315764443444, "price_pnl_quote_units": 13893.719185597653, "turnover_quote_units": 114260.23372390361, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17167.8884364042, "return_pct": 71.67888436404199, "cagr_pct": 71.7848841980664, "max_drawdown_pct": 41.247019277148745, "mean_exposure_while_solvent": 0.7492618372648174, "realized_annual_volatility_pct": 50.493636161561625, "trading_costs_quote_units": 20.952347906764665, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7188.84078431096, "turnover_quote_units": 34920.57984460773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17167.8884364042, "return_pct": 71.67888436404199, "cagr_pct": 71.7848841980664, "max_drawdown_pct": 41.247019277148745, "mean_exposure_while_solvent": 0.7492618372648174, "realized_annual_volatility_pct": 50.493636161561625, "trading_costs_quote_units": 20.952347906764665, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7188.84078431096, "turnover_quote_units": 34920.57984460773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19465.308205911635, "return_pct": 94.65308205911636, "cagr_pct": 94.80120649869113, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 67.22247173651196, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9471.304608070323, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19465.308205911635, "return_pct": 94.65308205911636, "cagr_pct": 94.80120649869113, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 67.22247173651196, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9471.304608070323, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21150.71582057865, "return_pct": 111.5071582057865, "cagr_pct": 111.6881831089866, "max_drawdown_pct": 62.06982233695442, "mean_exposure_while_solvent": 1.2479221279513288, "realized_annual_volatility_pct": 83.94403330502622, "trading_costs_quote_units": 46.4030353192816, "borrowing_costs_quote_units": 288.11525958667403, "price_pnl_quote_units": 11485.234115484625, "turnover_quote_units": 77338.39219880266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21150.71582057865, "return_pct": 111.5071582057865, "cagr_pct": 111.6881831089866, "max_drawdown_pct": 62.06982233695442, "mean_exposure_while_solvent": 1.2479221279513288, "realized_annual_volatility_pct": 83.94403330502622, "trading_costs_quote_units": 46.4030353192816, "borrowing_costs_quote_units": 288.11525958667403, "price_pnl_quote_units": 11485.234115484625, "turnover_quote_units": 77338.39219880266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 22339.608259541303, "return_pct": 123.39608259541302, "cagr_pct": 123.60124806767479, "max_drawdown_pct": 70.35571914819039, "mean_exposure_while_solvent": 1.4971862469061625, "realized_annual_volatility_pct": 100.67960188474608, "trading_costs_quote_units": 118.130201008777, "borrowing_costs_quote_units": 660.1061689355695, "price_pnl_quote_units": 13117.844629485644, "turnover_quote_units": 196883.66834796168, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 22339.608259541303, "return_pct": 123.39608259541302, "cagr_pct": 123.60124806767479, "max_drawdown_pct": 70.35571914819039, "mean_exposure_while_solvent": 1.4971862469061625, "realized_annual_volatility_pct": 100.67960188474608, "trading_costs_quote_units": 118.130201008777, "borrowing_costs_quote_units": 660.1061689355695, "price_pnl_quote_units": 13117.844629485644, "turnover_quote_units": 196883.66834796168, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21278.38396509344, "return_pct": 112.78383965093437, "cagr_pct": 112.96742095430186, "max_drawdown_pct": 34.308567819800864, "mean_exposure_while_solvent": 0.6635124569740005, "realized_annual_volatility_pct": 45.154233451017035, "trading_costs_quote_units": 81.96633143705611, "borrowing_costs_quote_units": 18.193125028672824, "price_pnl_quote_units": 11378.543421559196, "turnover_quote_units": 136610.55239509343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21278.38396509344, "return_pct": 112.78383965093437, "cagr_pct": 112.96742095430186, "max_drawdown_pct": 34.308567819800864, "mean_exposure_while_solvent": 0.6635124569740005, "realized_annual_volatility_pct": 45.154233451017035, "trading_costs_quote_units": 81.96633143705611, "borrowing_costs_quote_units": 18.193125028672824, "price_pnl_quote_units": 11378.543421559196, "turnover_quote_units": 136610.55239509343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24166.408394664188, "return_pct": 141.66408394664188, "cagr_pct": 141.9077416342929, "max_drawdown_pct": 48.42860393954951, "mean_exposure_while_solvent": 0.9709215151480731, "realized_annual_volatility_pct": 63.5493893571616, "trading_costs_quote_units": 116.76287309176354, "borrowing_costs_quote_units": 125.22233531725406, "price_pnl_quote_units": 14408.393603073204, "turnover_quote_units": 194604.78848627274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24166.408394664188, "return_pct": 141.66408394664188, "cagr_pct": 141.9077416342929, "max_drawdown_pct": 48.42860393954951, "mean_exposure_while_solvent": 0.9709215151480731, "realized_annual_volatility_pct": 63.5493893571616, "trading_costs_quote_units": 116.76287309176354, "borrowing_costs_quote_units": 125.22233531725406, "price_pnl_quote_units": 14408.393603073204, "turnover_quote_units": 194604.78848627274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25356.2870224606, "return_pct": 153.562870224606, "cagr_pct": 153.8324577554535, "max_drawdown_pct": 58.780601903962946, "mean_exposure_while_solvent": 1.223405334679932, "realized_annual_volatility_pct": 79.42103059060138, "trading_costs_quote_units": 142.04281735904948, "borrowing_costs_quote_units": 544.6713602268766, "price_pnl_quote_units": 16043.001200046492, "turnover_quote_units": 236738.02893174897, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25356.2870224606, "return_pct": 153.562870224606, "cagr_pct": 153.8324577554535, "max_drawdown_pct": 58.780601903962946, "mean_exposure_while_solvent": 1.223405334679932, "realized_annual_volatility_pct": 79.42103059060138, "trading_costs_quote_units": 142.04281735904948, "borrowing_costs_quote_units": 544.6713602268766, "price_pnl_quote_units": 16043.001200046492, "turnover_quote_units": 236738.02893174897, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19364.508887116768, "return_pct": 93.64508887116769, "cagr_pct": 93.79129717456689, "max_drawdown_pct": 59.60203426478815, "mean_exposure_while_solvent": 1.0376767731934418, "realized_annual_volatility_pct": 67.529955123733, "trading_costs_quote_units": 230.364100608904, "borrowing_costs_quote_units": 272.1832065573949, "price_pnl_quote_units": 9867.05619428308, "turnover_quote_units": 383940.16768150625, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19364.508887116768, "return_pct": 93.64508887116769, "cagr_pct": 93.79129717456689, "max_drawdown_pct": 59.60203426478815, "mean_exposure_while_solvent": 1.0376767731934418, "realized_annual_volatility_pct": 67.529955123733, "trading_costs_quote_units": 230.364100608904, "borrowing_costs_quote_units": 272.1832065573949, "price_pnl_quote_units": 9867.05619428308, "turnover_quote_units": 383940.16768150625, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23698.27609762013, "return_pct": 136.98276097620132, "cagr_pct": 137.21639914723468, "max_drawdown_pct": 45.66824600810012, "mean_exposure_while_solvent": 0.9287670876532588, "realized_annual_volatility_pct": 60.882809596327945, "trading_costs_quote_units": 68.37621044570686, "borrowing_costs_quote_units": 92.64972987158139, "price_pnl_quote_units": 13859.30203793743, "turnover_quote_units": 113960.35074284468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23698.27609762013, "return_pct": 136.98276097620132, "cagr_pct": 137.21639914723468, "max_drawdown_pct": 45.66824600810012, "mean_exposure_while_solvent": 0.9287670876532588, "realized_annual_volatility_pct": 60.882809596327945, "trading_costs_quote_units": 68.37621044570686, "borrowing_costs_quote_units": 92.64972987158139, "price_pnl_quote_units": 13859.30203793743, "turnover_quote_units": 113960.35074284468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20365.823800584913, "return_pct": 103.65823800584914, "cagr_pct": 103.8237422057941, "max_drawdown_pct": 46.28083453279939, "mean_exposure_while_solvent": 0.8801304939238043, "realized_annual_volatility_pct": 57.259003659547936, "trading_costs_quote_units": 56.35285081763612, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10422.176651402542, "turnover_quote_units": 93921.41802939355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20365.823800584913, "return_pct": 103.65823800584914, "cagr_pct": 103.8237422057941, "max_drawdown_pct": 46.28083453279939, "mean_exposure_while_solvent": 0.8801304939238043, "realized_annual_volatility_pct": 57.259003659547936, "trading_costs_quote_units": 56.35285081763612, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10422.176651402542, "turnover_quote_units": 93921.41802939355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23698.27609762013, "return_pct": 136.98276097620132, "cagr_pct": 137.21639914723468, "max_drawdown_pct": 45.66824600810012, "mean_exposure_while_solvent": 0.9287670876532588, "realized_annual_volatility_pct": 60.882809596327945, "trading_costs_quote_units": 68.37621044570686, "borrowing_costs_quote_units": 92.64972987158139, "price_pnl_quote_units": 13859.30203793743, "turnover_quote_units": 113960.35074284468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23698.27609762013, "return_pct": 136.98276097620132, "cagr_pct": 137.21639914723468, "max_drawdown_pct": 45.66824600810012, "mean_exposure_while_solvent": 0.9287670876532588, "realized_annual_volatility_pct": 60.882809596327945, "trading_costs_quote_units": 68.37621044570686, "borrowing_costs_quote_units": 92.64972987158139, "price_pnl_quote_units": 13859.30203793743, "turnover_quote_units": 113960.35074284468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23698.27609762013, "return_pct": 136.98276097620132, "cagr_pct": 137.21639914723468, "max_drawdown_pct": 45.66824600810012, "mean_exposure_while_solvent": 0.9287670876532588, "realized_annual_volatility_pct": 60.882809596327945, "trading_costs_quote_units": 68.37621044570686, "borrowing_costs_quote_units": 92.64972987158139, "price_pnl_quote_units": 13859.30203793743, "turnover_quote_units": 113960.35074284468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23698.27609762013, "return_pct": 136.98276097620132, "cagr_pct": 137.21639914723468, "max_drawdown_pct": 45.66824600810012, "mean_exposure_while_solvent": 0.9287670876532588, "realized_annual_volatility_pct": 60.882809596327945, "trading_costs_quote_units": 68.37621044570686, "borrowing_costs_quote_units": 92.64972987158139, "price_pnl_quote_units": 13859.30203793743, "turnover_quote_units": 113960.35074284468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17167.8884364042, "return_pct": 71.67888436404199, "cagr_pct": 71.7848841980664, "max_drawdown_pct": 41.247019277148745, "mean_exposure_while_solvent": 0.7492618372648174, "realized_annual_volatility_pct": 50.493636161561625, "trading_costs_quote_units": 20.952347906764665, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7188.84078431096, "turnover_quote_units": 34920.57984460773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17167.8884364042, "return_pct": 71.67888436404199, "cagr_pct": 71.7848841980664, "max_drawdown_pct": 41.247019277148745, "mean_exposure_while_solvent": 0.7492618372648174, "realized_annual_volatility_pct": 50.493636161561625, "trading_costs_quote_units": 20.952347906764665, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7188.84078431096, "turnover_quote_units": 34920.57984460773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19465.308205911635, "return_pct": 94.65308205911636, "cagr_pct": 94.80120649869113, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 67.22247173651196, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9471.304608070323, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19465.308205911635, "return_pct": 94.65308205911636, "cagr_pct": 94.80120649869113, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 67.22247173651196, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9471.304608070323, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20888.867496394574, "return_pct": 108.88867496394572, "cagr_pct": 109.06448432192528, "max_drawdown_pct": 62.29735250352437, "mean_exposure_while_solvent": 1.2479398740318082, "realized_annual_volatility_pct": 83.94551977363464, "trading_costs_quote_units": 46.13704164850818, "borrowing_costs_quote_units": 572.1705793613127, "price_pnl_quote_units": 11507.175117404373, "turnover_quote_units": 76895.06941418027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20888.867496394574, "return_pct": 108.88867496394572, "cagr_pct": 109.06448432192528, "max_drawdown_pct": 62.29735250352437, "mean_exposure_while_solvent": 1.2479398740318082, "realized_annual_volatility_pct": 83.94551977363464, "trading_costs_quote_units": 46.13704164850818, "borrowing_costs_quote_units": 572.1705793613127, "price_pnl_quote_units": 11507.175117404373, "turnover_quote_units": 76895.06941418027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21789.738227177535, "return_pct": 117.89738227177536, "cagr_pct": 118.09129017356126, "max_drawdown_pct": 70.71096560774082, "mean_exposure_while_solvent": 1.497228843985798, "realized_annual_volatility_pct": 100.68317300425377, "trading_costs_quote_units": 116.63770598226895, "borrowing_costs_quote_units": 1301.512829651639, "price_pnl_quote_units": 13207.888762811686, "turnover_quote_units": 194396.17663711493, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21789.738227177535, "return_pct": 117.89738227177536, "cagr_pct": 118.09129017356126, "max_drawdown_pct": 70.71096560774082, "mean_exposure_while_solvent": 1.497228843985798, "realized_annual_volatility_pct": 100.68317300425377, "trading_costs_quote_units": 116.63770598226895, "borrowing_costs_quote_units": 1301.512829651639, "price_pnl_quote_units": 13207.888762811686, "turnover_quote_units": 194396.17663711493, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21245.430332257773, "return_pct": 112.45430332257773, "cagr_pct": 112.63722392789504, "max_drawdown_pct": 34.30856781980077, "mean_exposure_while_solvent": 0.663514907547716, "realized_annual_volatility_pct": 45.15341993760487, "trading_costs_quote_units": 81.86000998811497, "borrowing_costs_quote_units": 36.36225360780563, "price_pnl_quote_units": 11363.652595853713, "turnover_quote_units": 136433.34998019168, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21245.430332257773, "return_pct": 112.45430332257773, "cagr_pct": 112.63722392789504, "max_drawdown_pct": 34.30856781980077, "mean_exposure_while_solvent": 0.663514907547716, "realized_annual_volatility_pct": 45.15341993760487, "trading_costs_quote_units": 81.86000998811497, "borrowing_costs_quote_units": 36.36225360780563, "price_pnl_quote_units": 11363.652595853713, "turnover_quote_units": 136433.34998019168, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23949.486171324603, "return_pct": 139.494861713246, "cagr_pct": 139.73386354975887, "max_drawdown_pct": 48.47020505269496, "mean_exposure_while_solvent": 0.9709355083694701, "realized_annual_volatility_pct": 63.54928194642985, "trading_costs_quote_units": 115.91776708450047, "borrowing_costs_quote_units": 249.13221371025685, "price_pnl_quote_units": 14314.536152119388, "turnover_quote_units": 193196.27847416743, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23949.486171324603, "return_pct": 139.494861713246, "cagr_pct": 139.73386354975887, "max_drawdown_pct": 48.47020505269496, "mean_exposure_while_solvent": 0.9709355083694701, "realized_annual_volatility_pct": 63.54928194642985, "trading_costs_quote_units": 115.91776708450047, "borrowing_costs_quote_units": 249.13221371025685, "price_pnl_quote_units": 14314.536152119388, "turnover_quote_units": 193196.27847416743, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24713.859795825214, "return_pct": 147.13859795825215, "cagr_pct": 147.39410436683914, "max_drawdown_pct": 59.165443052989744, "mean_exposure_while_solvent": 1.2234463221338991, "realized_annual_volatility_pct": 79.42295753449493, "trading_costs_quote_units": 139.8923479334008, "borrowing_costs_quote_units": 1072.592366585259, "price_pnl_quote_units": 15926.344510343883, "turnover_quote_units": 233153.9132223347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24713.859795825214, "return_pct": 147.13859795825215, "cagr_pct": 147.39410436683914, "max_drawdown_pct": 59.165443052989744, "mean_exposure_while_solvent": 1.2234463221338991, "realized_annual_volatility_pct": 79.42295753449493, "trading_costs_quote_units": 139.8923479334008, "borrowing_costs_quote_units": 1072.592366585259, "price_pnl_quote_units": 15926.344510343883, "turnover_quote_units": 233153.9132223347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19057.441381111596, "return_pct": 90.57441381111595, "cagr_pct": 90.71482207573551, "max_drawdown_pct": 59.822851224623676, "mean_exposure_while_solvent": 1.0377026880973272, "realized_annual_volatility_pct": 67.53313235632383, "trading_costs_quote_units": 228.1021334231454, "borrowing_costs_quote_units": 539.2746356405144, "price_pnl_quote_units": 9824.818150175324, "turnover_quote_units": 380170.22237190936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19057.441381111596, "return_pct": 90.57441381111595, "cagr_pct": 90.71482207573551, "max_drawdown_pct": 59.822851224623676, "mean_exposure_while_solvent": 1.0377026880973272, "realized_annual_volatility_pct": 67.53313235632383, "trading_costs_quote_units": 228.1021334231454, "borrowing_costs_quote_units": 539.2746356405144, "price_pnl_quote_units": 9824.818150175324, "turnover_quote_units": 380170.22237190936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23538.10299231764, "return_pct": 135.3810299231764, "cagr_pct": 135.61126407897873, "max_drawdown_pct": 45.67847272434976, "mean_exposure_while_solvent": 0.9287774343363031, "realized_annual_volatility_pct": 60.88240442431878, "trading_costs_quote_units": 68.01793202613563, "borrowing_costs_quote_units": 184.6101778521907, "price_pnl_quote_units": 13790.731102195894, "turnover_quote_units": 113363.2200435594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23538.10299231764, "return_pct": 135.3810299231764, "cagr_pct": 135.61126407897873, "max_drawdown_pct": 45.67847272434976, "mean_exposure_while_solvent": 0.9287774343363031, "realized_annual_volatility_pct": 60.88240442431878, "trading_costs_quote_units": 68.01793202613563, "borrowing_costs_quote_units": 184.6101778521907, "price_pnl_quote_units": 13790.731102195894, "turnover_quote_units": 113363.2200435594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20365.823800584913, "return_pct": 103.65823800584914, "cagr_pct": 103.8237422057941, "max_drawdown_pct": 46.28083453279939, "mean_exposure_while_solvent": 0.8801304939238043, "realized_annual_volatility_pct": 57.259003659547936, "trading_costs_quote_units": 56.35285081763612, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10422.176651402542, "turnover_quote_units": 93921.41802939355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20365.823800584913, "return_pct": 103.65823800584914, "cagr_pct": 103.8237422057941, "max_drawdown_pct": 46.28083453279939, "mean_exposure_while_solvent": 0.8801304939238043, "realized_annual_volatility_pct": 57.259003659547936, "trading_costs_quote_units": 56.35285081763612, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10422.176651402542, "turnover_quote_units": 93921.41802939355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23538.10299231764, "return_pct": 135.3810299231764, "cagr_pct": 135.61126407897873, "max_drawdown_pct": 45.67847272434976, "mean_exposure_while_solvent": 0.9287774343363031, "realized_annual_volatility_pct": 60.88240442431878, "trading_costs_quote_units": 68.01793202613563, "borrowing_costs_quote_units": 184.6101778521907, "price_pnl_quote_units": 13790.731102195894, "turnover_quote_units": 113363.2200435594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23538.10299231764, "return_pct": 135.3810299231764, "cagr_pct": 135.61126407897873, "max_drawdown_pct": 45.67847272434976, "mean_exposure_while_solvent": 0.9287774343363031, "realized_annual_volatility_pct": 60.88240442431878, "trading_costs_quote_units": 68.01793202613563, "borrowing_costs_quote_units": 184.6101778521907, "price_pnl_quote_units": 13790.731102195894, "turnover_quote_units": 113363.2200435594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23538.10299231764, "return_pct": 135.3810299231764, "cagr_pct": 135.61126407897873, "max_drawdown_pct": 45.67847272434976, "mean_exposure_while_solvent": 0.9287774343363031, "realized_annual_volatility_pct": 60.88240442431878, "trading_costs_quote_units": 68.01793202613563, "borrowing_costs_quote_units": 184.6101778521907, "price_pnl_quote_units": 13790.731102195894, "turnover_quote_units": 113363.2200435594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23538.10299231764, "return_pct": 135.3810299231764, "cagr_pct": 135.61126407897873, "max_drawdown_pct": 45.67847272434976, "mean_exposure_while_solvent": 0.9287774343363031, "realized_annual_volatility_pct": 60.88240442431878, "trading_costs_quote_units": 68.01793202613563, "borrowing_costs_quote_units": 184.6101778521907, "price_pnl_quote_units": 13790.731102195894, "turnover_quote_units": 113363.2200435594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 17167.8884364042, "return_pct": 71.67888436404199, "cagr_pct": 71.7848841980664, "max_drawdown_pct": 41.247019277148745, "mean_exposure_while_solvent": 0.7492618372648174, "realized_annual_volatility_pct": 50.493636161561625, "trading_costs_quote_units": 20.952347906764665, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7188.84078431096, "turnover_quote_units": 34920.57984460773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 17167.8884364042, "return_pct": 71.67888436404199, "cagr_pct": 71.7848841980664, "max_drawdown_pct": 41.247019277148745, "mean_exposure_while_solvent": 0.7492618372648174, "realized_annual_volatility_pct": 50.493636161561625, "trading_costs_quote_units": 20.952347906764665, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7188.84078431096, "turnover_quote_units": 34920.57984460773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19465.308205911635, "return_pct": 94.65308205911636, "cagr_pct": 94.80120649869113, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 67.22247173651196, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9471.304608070323, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19465.308205911635, "return_pct": 94.65308205911636, "cagr_pct": 94.80120649869113, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 67.22247173651196, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9471.304608070323, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20374.738837130215, "return_pct": 103.74738837130212, "cagr_pct": 103.91306694125686, "max_drawdown_pct": 62.74842874277209, "mean_exposure_while_solvent": 1.2479753716554027, "realized_annual_volatility_pct": 83.94849355236423, "trading_costs_quote_units": 45.61393782204846, "borrowing_costs_quote_units": 1128.299725958453, "price_pnl_quote_units": 11548.652500910675, "turnover_quote_units": 76023.22970341402, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20374.738837130215, "return_pct": 103.74738837130212, "cagr_pct": 103.91306694125686, "max_drawdown_pct": 62.74842874277209, "mean_exposure_while_solvent": 1.2479753716554027, "realized_annual_volatility_pct": 83.94849355236423, "trading_costs_quote_units": 45.61393782204846, "borrowing_costs_quote_units": 1128.299725958453, "price_pnl_quote_units": 11548.652500910675, "turnover_quote_units": 76023.22970341402, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20729.975659245414, "return_pct": 107.29975659245414, "cagr_pct": 107.47241939419894, "max_drawdown_pct": 71.40893215555093, "mean_exposure_while_solvent": 1.4973140566169765, "realized_annual_volatility_pct": 100.69031789211837, "trading_costs_quote_units": 113.72670274936485, "borrowing_costs_quote_units": 2530.045478233543, "price_pnl_quote_units": 13373.747840228343, "turnover_quote_units": 189544.50458227476, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20729.975659245414, "return_pct": 107.29975659245414, "cagr_pct": 107.47241939419894, "max_drawdown_pct": 71.40893215555093, "mean_exposure_while_solvent": 1.4973140566169765, "realized_annual_volatility_pct": 100.69031789211837, "trading_costs_quote_units": 113.72670274936485, "borrowing_costs_quote_units": 2530.045478233543, "price_pnl_quote_units": 13373.747840228343, "turnover_quote_units": 189544.50458227476, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21687.391493686882, "return_pct": 116.8739149368688, "cagr_pct": 117.0657448896546, "max_drawdown_pct": 33.17153317478792, "mean_exposure_while_solvent": 0.6638039109002761, "realized_annual_volatility_pct": 44.952605546608936, "trading_costs_quote_units": 406.71282110983105, "borrowing_costs_quote_units": 8.815419011602247, "price_pnl_quote_units": 12102.919733808387, "turnover_quote_units": 135570.94036994368, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21687.391493686882, "return_pct": 116.8739149368688, "cagr_pct": 117.0657448896546, "max_drawdown_pct": 33.17153317478792, "mean_exposure_while_solvent": 0.6638039109002761, "realized_annual_volatility_pct": 44.952605546608936, "trading_costs_quote_units": 406.71282110983105, "borrowing_costs_quote_units": 8.815419011602247, "price_pnl_quote_units": 12102.919733808387, "turnover_quote_units": 135570.94036994368, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24322.938189198678, "return_pct": 143.2293818919868, "cagr_pct": 143.47641306856295, "max_drawdown_pct": 47.48509779419457, "mean_exposure_while_solvent": 0.9718569323104337, "realized_annual_volatility_pct": 63.30736391824456, "trading_costs_quote_units": 572.3753169280593, "borrowing_costs_quote_units": 62.074061580445, "price_pnl_quote_units": 14957.387567707297, "turnover_quote_units": 190791.77230935325, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24322.938189198678, "return_pct": 143.2293818919868, "cagr_pct": 143.47641306856295, "max_drawdown_pct": 47.48509779419457, "mean_exposure_while_solvent": 0.9718569323104337, "realized_annual_volatility_pct": 63.30736391824456, "trading_costs_quote_units": 572.3753169280593, "borrowing_costs_quote_units": 62.074061580445, "price_pnl_quote_units": 14957.387567707297, "turnover_quote_units": 190791.77230935325, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25377.51772740323, "return_pct": 153.7751772740323, "cagr_pct": 154.04523335916727, "max_drawdown_pct": 58.41301193294085, "mean_exposure_while_solvent": 1.224931962413955, "realized_annual_volatility_pct": 79.22082698331914, "trading_costs_quote_units": 714.4613072897275, "borrowing_costs_quote_units": 271.2183888127599, "price_pnl_quote_units": 16363.19742350574, "turnover_quote_units": 238153.76909657576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25377.51772740323, "return_pct": 153.7751772740323, "cagr_pct": 154.04523335916727, "max_drawdown_pct": 58.41301193294085, "mean_exposure_while_solvent": 1.224931962413955, "realized_annual_volatility_pct": 79.22082698331914, "trading_costs_quote_units": 714.4613072897275, "borrowing_costs_quote_units": 271.2183888127599, "price_pnl_quote_units": 16363.19742350574, "turnover_quote_units": 238153.76909657576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19325.62767415802, "return_pct": 93.2562767415802, "cagr_pct": 93.40174753869164, "max_drawdown_pct": 58.60041938202536, "mean_exposure_while_solvent": 1.038517143070377, "realized_annual_volatility_pct": 66.93034895469133, "trading_costs_quote_units": 1127.1603525703288, "borrowing_costs_quote_units": 134.64076672523885, "price_pnl_quote_units": 10587.428793453617, "turnover_quote_units": 375720.11752344266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19325.62767415802, "return_pct": 93.2562767415802, "cagr_pct": 93.40174753869164, "max_drawdown_pct": 58.60041938202536, "mean_exposure_while_solvent": 1.038517143070377, "realized_annual_volatility_pct": 66.93034895469133, "trading_costs_quote_units": 1127.1603525703288, "borrowing_costs_quote_units": 134.64076672523885, "price_pnl_quote_units": 10587.428793453617, "turnover_quote_units": 375720.11752344266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23548.946376369924, "return_pct": 135.48946376369923, "cagr_pct": 135.71992797149596, "max_drawdown_pct": 45.43385171542871, "mean_exposure_while_solvent": 0.929508659345573, "realized_annual_volatility_pct": 60.73302046729066, "trading_costs_quote_units": 337.18750477057, "borrowing_costs_quote_units": 45.88126583326402, "price_pnl_quote_units": 13932.015146973788, "turnover_quote_units": 112395.83492352343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23548.946376369924, "return_pct": 135.48946376369923, "cagr_pct": 135.71992797149596, "max_drawdown_pct": 45.43385171542871, "mean_exposure_while_solvent": 0.929508659345573, "realized_annual_volatility_pct": 60.73302046729066, "trading_costs_quote_units": 337.18750477057, "borrowing_costs_quote_units": 45.88126583326402, "price_pnl_quote_units": 13932.015146973788, "turnover_quote_units": 112395.83492352343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20466.570680012286, "return_pct": 104.66570680012288, "cagr_pct": 104.83318411196372, "max_drawdown_pct": 45.91678789384491, "mean_exposure_while_solvent": 0.8808344248679196, "realized_annual_volatility_pct": 57.1563102196419, "trading_costs_quote_units": 282.84922181375555, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10749.419901826033, "turnover_quote_units": 94283.07393791845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20466.570680012286, "return_pct": 104.66570680012288, "cagr_pct": 104.83318411196372, "max_drawdown_pct": 45.91678789384491, "mean_exposure_while_solvent": 0.8808344248679196, "realized_annual_volatility_pct": 57.1563102196419, "trading_costs_quote_units": 282.84922181375555, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10749.419901826033, "turnover_quote_units": 94283.07393791845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23548.946376369924, "return_pct": 135.48946376369923, "cagr_pct": 135.71992797149596, "max_drawdown_pct": 45.43385171542871, "mean_exposure_while_solvent": 0.929508659345573, "realized_annual_volatility_pct": 60.73302046729066, "trading_costs_quote_units": 337.18750477057, "borrowing_costs_quote_units": 45.88126583326402, "price_pnl_quote_units": 13932.015146973788, "turnover_quote_units": 112395.83492352343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23548.946376369924, "return_pct": 135.48946376369923, "cagr_pct": 135.71992797149596, "max_drawdown_pct": 45.43385171542871, "mean_exposure_while_solvent": 0.929508659345573, "realized_annual_volatility_pct": 60.73302046729066, "trading_costs_quote_units": 337.18750477057, "borrowing_costs_quote_units": 45.88126583326402, "price_pnl_quote_units": 13932.015146973788, "turnover_quote_units": 112395.83492352343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23548.946376369924, "return_pct": 135.48946376369923, "cagr_pct": 135.71992797149596, "max_drawdown_pct": 45.43385171542871, "mean_exposure_while_solvent": 0.929508659345573, "realized_annual_volatility_pct": 60.73302046729066, "trading_costs_quote_units": 337.18750477057, "borrowing_costs_quote_units": 45.88126583326402, "price_pnl_quote_units": 13932.015146973788, "turnover_quote_units": 112395.83492352343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23548.946376369924, "return_pct": 135.48946376369923, "cagr_pct": 135.71992797149596, "max_drawdown_pct": 45.43385171542871, "mean_exposure_while_solvent": 0.929508659345573, "realized_annual_volatility_pct": 60.73302046729066, "trading_costs_quote_units": 337.18750477057, "borrowing_costs_quote_units": 45.88126583326402, "price_pnl_quote_units": 13932.015146973788, "turnover_quote_units": 112395.83492352343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17159.231695629693, "return_pct": 71.59231695629693, "cagr_pct": 71.69816443848087, "max_drawdown_pct": 40.968063148171666, "mean_exposure_while_solvent": 0.7496708669670465, "realized_annual_volatility_pct": 50.4918207837054, "trading_costs_quote_units": 118.33962103492219, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7277.571316664626, "turnover_quote_units": 39446.540344974106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17159.231695629693, "return_pct": 71.59231695629693, "cagr_pct": 71.69816443848087, "max_drawdown_pct": 40.968063148171666, "mean_exposure_while_solvent": 0.7496708669670465, "realized_annual_volatility_pct": 50.4918207837054, "trading_costs_quote_units": 118.33962103492219, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7277.571316664626, "turnover_quote_units": 39446.540344974106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19298.92174197711, "return_pct": 92.98921741977108, "cagr_pct": 93.13418217207877, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 67.2265173270167, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9328.832011169467, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19298.92174197711, "return_pct": 92.98921741977108, "cagr_pct": 93.13418217207877, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 67.2265173270167, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9328.832011169467, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20430.29061652194, "return_pct": 104.30290616521938, "cagr_pct": 104.46967228237827, "max_drawdown_pct": 62.66992232403219, "mean_exposure_while_solvent": 1.2495086111669933, "realized_annual_volatility_pct": 83.95515378468758, "trading_costs_quote_units": 260.45329858506545, "borrowing_costs_quote_units": 282.0961897907889, "price_pnl_quote_units": 10972.840104897734, "turnover_quote_units": 86817.76619502193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20430.29061652194, "return_pct": 104.30290616521938, "cagr_pct": 104.46967228237827, "max_drawdown_pct": 62.66992232403219, "mean_exposure_while_solvent": 1.2495086111669933, "realized_annual_volatility_pct": 83.95515378468758, "trading_costs_quote_units": 260.45329858506545, "borrowing_costs_quote_units": 282.0961897907889, "price_pnl_quote_units": 10972.840104897734, "turnover_quote_units": 86817.76619502193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20831.022857896736, "return_pct": 108.31022857896735, "cagr_pct": 108.48489082528077, "max_drawdown_pct": 71.45956666922449, "mean_exposure_while_solvent": 1.4996068231145863, "realized_annual_volatility_pct": 100.7100301154185, "trading_costs_quote_units": 659.2002004827882, "borrowing_costs_quote_units": 633.6188741547933, "price_pnl_quote_units": 12123.841932534378, "turnover_quote_units": 219733.40016092925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20831.022857896736, "return_pct": 108.31022857896735, "cagr_pct": 108.48489082528077, "max_drawdown_pct": 71.45956666922449, "mean_exposure_while_solvent": 1.4996068231145863, "realized_annual_volatility_pct": 100.7100301154185, "trading_costs_quote_units": 659.2002004827882, "borrowing_costs_quote_units": 633.6188741547933, "price_pnl_quote_units": 12123.841932534378, "turnover_quote_units": 219733.40016092925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21670.658390653312, "return_pct": 116.70658390653314, "cagr_pct": 116.89807465162025, "max_drawdown_pct": 33.171533174787825, "mean_exposure_while_solvent": 0.6638051235703389, "realized_annual_volatility_pct": 44.95187643224964, "trading_costs_quote_units": 406.441037267709, "borrowing_costs_quote_units": 17.625130702589672, "price_pnl_quote_units": 12094.724558623597, "turnover_quote_units": 135480.34575590302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21670.658390653312, "return_pct": 116.70658390653314, "cagr_pct": 116.89807465162025, "max_drawdown_pct": 33.171533174787825, "mean_exposure_while_solvent": 0.6638051235703389, "realized_annual_volatility_pct": 44.95187643224964, "trading_costs_quote_units": 406.441037267709, "borrowing_costs_quote_units": 17.625130702589672, "price_pnl_quote_units": 12094.724558623597, "turnover_quote_units": 135480.34575590302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24213.410124424343, "return_pct": 142.13410124424342, "cagr_pct": 142.37877068514854, "max_drawdown_pct": 47.50610161708685, "mean_exposure_while_solvent": 0.9718639655442302, "realized_annual_volatility_pct": 63.307286702495745, "trading_costs_quote_units": 570.2705756860928, "borrowing_costs_quote_units": 123.82151771614802, "price_pnl_quote_units": 14907.502217826595, "turnover_quote_units": 190090.19189536426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24213.410124424343, "return_pct": 142.13410124424342, "cagr_pct": 142.37877068514854, "max_drawdown_pct": 47.50610161708685, "mean_exposure_while_solvent": 0.9718639655442302, "realized_annual_volatility_pct": 63.307286702495745, "trading_costs_quote_units": 570.2705756860928, "borrowing_costs_quote_units": 123.82151771614802, "price_pnl_quote_units": 14907.502217826595, "turnover_quote_units": 190090.19189536426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25053.664079181523, "return_pct": 150.53664079181522, "cagr_pct": 150.7995717416596, "max_drawdown_pct": 58.60625737100027, "mean_exposure_while_solvent": 1.2249525465868125, "realized_annual_volatility_pct": 79.22200999222295, "trading_costs_quote_units": 708.9620158804228, "borrowing_costs_quote_units": 538.2351070601206, "price_pnl_quote_units": 16300.861202122125, "turnover_quote_units": 236320.67196014087, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25053.664079181523, "return_pct": 150.53664079181522, "cagr_pct": 150.7995717416596, "max_drawdown_pct": 58.60625737100027, "mean_exposure_while_solvent": 1.2249525465868125, "realized_annual_volatility_pct": 79.22200999222295, "trading_costs_quote_units": 708.9620158804228, "borrowing_costs_quote_units": 538.2351070601206, "price_pnl_quote_units": 16300.861202122125, "turnover_quote_units": 236320.67196014087, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19171.74876378603, "return_pct": 91.7174876378603, "cagr_pct": 91.86004842893674, "max_drawdown_pct": 58.71266622624978, "mean_exposure_while_solvent": 1.0385301243771692, "realized_annual_volatility_pct": 66.93192641718447, "trading_costs_quote_units": 1121.5658137805192, "borrowing_costs_quote_units": 268.01546653958326, "price_pnl_quote_units": 10561.330044106104, "turnover_quote_units": 373855.2712601732, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19171.74876378603, "return_pct": 91.7174876378603, "cagr_pct": 91.86004842893674, "max_drawdown_pct": 58.71266622624978, "mean_exposure_while_solvent": 1.0385301243771692, "realized_annual_volatility_pct": 66.93192641718447, "trading_costs_quote_units": 1121.5658137805192, "borrowing_costs_quote_units": 268.01546653958326, "price_pnl_quote_units": 10561.330044106104, "turnover_quote_units": 373855.2712601732, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23469.171019469737, "return_pct": 134.69171019469738, "cagr_pct": 134.9204832356687, "max_drawdown_pct": 45.43897119349677, "mean_exposure_while_solvent": 0.9295138386596791, "realized_annual_volatility_pct": 60.73268675782639, "trading_costs_quote_units": 336.26659189866933, "borrowing_costs_quote_units": 91.59156448058246, "price_pnl_quote_units": 13897.02917584902, "turnover_quote_units": 112088.86396622316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23469.171019469737, "return_pct": 134.69171019469738, "cagr_pct": 134.9204832356687, "max_drawdown_pct": 45.43897119349677, "mean_exposure_while_solvent": 0.9295138386596791, "realized_annual_volatility_pct": 60.73268675782639, "trading_costs_quote_units": 336.26659189866933, "borrowing_costs_quote_units": 91.59156448058246, "price_pnl_quote_units": 13897.02917584902, "turnover_quote_units": 112088.86396622316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20466.570680012286, "return_pct": 104.66570680012288, "cagr_pct": 104.83318411196372, "max_drawdown_pct": 45.91678789384491, "mean_exposure_while_solvent": 0.8808344248679196, "realized_annual_volatility_pct": 57.1563102196419, "trading_costs_quote_units": 282.84922181375555, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10749.419901826033, "turnover_quote_units": 94283.07393791845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20466.570680012286, "return_pct": 104.66570680012288, "cagr_pct": 104.83318411196372, "max_drawdown_pct": 45.91678789384491, "mean_exposure_while_solvent": 0.8808344248679196, "realized_annual_volatility_pct": 57.1563102196419, "trading_costs_quote_units": 282.84922181375555, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10749.419901826033, "turnover_quote_units": 94283.07393791845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23469.171019469737, "return_pct": 134.69171019469738, "cagr_pct": 134.9204832356687, "max_drawdown_pct": 45.43897119349677, "mean_exposure_while_solvent": 0.9295138386596791, "realized_annual_volatility_pct": 60.73268675782639, "trading_costs_quote_units": 336.26659189866933, "borrowing_costs_quote_units": 91.59156448058246, "price_pnl_quote_units": 13897.02917584902, "turnover_quote_units": 112088.86396622316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23469.171019469737, "return_pct": 134.69171019469738, "cagr_pct": 134.9204832356687, "max_drawdown_pct": 45.43897119349677, "mean_exposure_while_solvent": 0.9295138386596791, "realized_annual_volatility_pct": 60.73268675782639, "trading_costs_quote_units": 336.26659189866933, "borrowing_costs_quote_units": 91.59156448058246, "price_pnl_quote_units": 13897.02917584902, "turnover_quote_units": 112088.86396622316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23469.171019469737, "return_pct": 134.69171019469738, "cagr_pct": 134.9204832356687, "max_drawdown_pct": 45.43897119349677, "mean_exposure_while_solvent": 0.9295138386596791, "realized_annual_volatility_pct": 60.73268675782639, "trading_costs_quote_units": 336.26659189866933, "borrowing_costs_quote_units": 91.59156448058246, "price_pnl_quote_units": 13897.02917584902, "turnover_quote_units": 112088.86396622316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23469.171019469737, "return_pct": 134.69171019469738, "cagr_pct": 134.9204832356687, "max_drawdown_pct": 45.43897119349677, "mean_exposure_while_solvent": 0.9295138386596791, "realized_annual_volatility_pct": 60.73268675782639, "trading_costs_quote_units": 336.26659189866933, "borrowing_costs_quote_units": 91.59156448058246, "price_pnl_quote_units": 13897.02917584902, "turnover_quote_units": 112088.86396622316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17159.231695629693, "return_pct": 71.59231695629693, "cagr_pct": 71.69816443848087, "max_drawdown_pct": 40.968063148171666, "mean_exposure_while_solvent": 0.7496708669670465, "realized_annual_volatility_pct": 50.4918207837054, "trading_costs_quote_units": 118.33962103492219, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7277.571316664626, "turnover_quote_units": 39446.540344974106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17159.231695629693, "return_pct": 71.59231695629693, "cagr_pct": 71.69816443848087, "max_drawdown_pct": 40.968063148171666, "mean_exposure_while_solvent": 0.7496708669670465, "realized_annual_volatility_pct": 50.4918207837054, "trading_costs_quote_units": 118.33962103492219, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7277.571316664626, "turnover_quote_units": 39446.540344974106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19298.92174197711, "return_pct": 92.98921741977108, "cagr_pct": 93.13418217207877, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 67.2265173270167, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9328.832011169467, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19298.92174197711, "return_pct": 92.98921741977108, "cagr_pct": 93.13418217207877, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 67.2265173270167, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9328.832011169467, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20177.04973559061, "return_pct": 101.77049735590612, "cagr_pct": 101.93231982194737, "max_drawdown_pct": 62.89409321996911, "mean_exposure_while_solvent": 1.24952642499, "realized_annual_volatility_pct": 83.95697529846187, "trading_costs_quote_units": 258.889294230651, "borrowing_costs_quote_units": 560.2232541829835, "price_pnl_quote_units": 10996.162284004326, "turnover_quote_units": 86296.43141021693, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20177.04973559061, "return_pct": 101.77049735590612, "cagr_pct": 101.93231982194737, "max_drawdown_pct": 62.89409321996911, "mean_exposure_while_solvent": 1.24952642499, "realized_annual_volatility_pct": 83.95697529846187, "trading_costs_quote_units": 258.889294230651, "borrowing_costs_quote_units": 560.2232541829835, "price_pnl_quote_units": 10996.162284004326, "turnover_quote_units": 86296.43141021693, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20317.54721671356, "return_pct": 103.17547216713558, "cagr_pct": 103.34003289716497, "max_drawdown_pct": 71.80209371942861, "mean_exposure_while_solvent": 1.499649610991527, "realized_annual_volatility_pct": 100.71441058277229, "trading_costs_quote_units": 650.6385007367186, "borrowing_costs_quote_units": 1249.3719618344585, "price_pnl_quote_units": 12217.557679284784, "turnover_quote_units": 216879.50024557285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20317.54721671356, "return_pct": 103.17547216713558, "cagr_pct": 103.34003289716497, "max_drawdown_pct": 71.80209371942861, "mean_exposure_while_solvent": 1.499649610991527, "realized_annual_volatility_pct": 100.71441058277229, "trading_costs_quote_units": 650.6385007367186, "borrowing_costs_quote_units": 1249.3719618344585, "price_pnl_quote_units": 12217.557679284784, "turnover_quote_units": 216879.50024557285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21637.21511539186, "return_pct": 116.3721511539186, "cagr_pct": 116.562964391645, "max_drawdown_pct": 33.171533174787896, "mean_exposure_while_solvent": 0.6638075493607758, "realized_annual_volatility_pct": 44.95042207231893, "trading_costs_quote_units": 405.901904991575, "borrowing_costs_quote_units": 35.227438639051094, "price_pnl_quote_units": 12078.344459022499, "turnover_quote_units": 135300.63499719166, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21637.21511539186, "return_pct": 116.3721511539186, "cagr_pct": 116.562964391645, "max_drawdown_pct": 33.171533174787896, "mean_exposure_while_solvent": 0.6638075493607758, "realized_annual_volatility_pct": 44.95042207231893, "trading_costs_quote_units": 405.901904991575, "borrowing_costs_quote_units": 35.227438639051094, "price_pnl_quote_units": 12078.344459022499, "turnover_quote_units": 135300.63499719166, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23995.766098958084, "return_pct": 139.95766098958083, "cagr_pct": 140.1976542625858, "max_drawdown_pct": 47.54809270117249, "mean_exposure_while_solvent": 0.9718780345993688, "realized_annual_volatility_pct": 63.30714530088517, "trading_costs_quote_units": 566.0908087953201, "borrowing_costs_quote_units": 246.342722936273, "price_pnl_quote_units": 14808.199630689707, "turnover_quote_units": 188696.93626510655, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23995.766098958084, "return_pct": 139.95766098958083, "cagr_pct": 140.1976542625858, "max_drawdown_pct": 47.54809270117249, "mean_exposure_while_solvent": 0.9718780345993688, "realized_annual_volatility_pct": 63.30714530088517, "trading_costs_quote_units": 566.0908087953201, "borrowing_costs_quote_units": 246.342722936273, "price_pnl_quote_units": 14808.199630689707, "turnover_quote_units": 188696.93626510655, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24418.099651909466, "return_pct": 144.18099651909463, "cagr_pct": 144.4300842304882, "max_drawdown_pct": 58.99016827560172, "mean_exposure_while_solvent": 1.2249937229324563, "realized_annual_volatility_pct": 79.22439456795877, "trading_costs_quote_units": 698.1342048280657, "borrowing_costs_quote_units": 1059.8851407330228, "price_pnl_quote_units": 16176.118997470472, "turnover_quote_units": 232711.40160935512, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24418.099651909466, "return_pct": 144.18099651909463, "cagr_pct": 144.4300842304882, "max_drawdown_pct": 58.99016827560172, "mean_exposure_while_solvent": 1.2249937229324563, "realized_annual_volatility_pct": 79.22439456795877, "trading_costs_quote_units": 698.1342048280657, "borrowing_costs_quote_units": 1059.8851407330228, "price_pnl_quote_units": 16176.118997470472, "turnover_quote_units": 232711.40160935512, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18867.517349376165, "return_pct": 88.67517349376163, "cagr_pct": 88.81202266120047, "max_drawdown_pct": 58.936336593730765, "mean_exposure_while_solvent": 1.0385560921862622, "realized_annual_volatility_pct": 66.93510556701821, "trading_costs_quote_units": 1110.5066049664292, "borrowing_costs_quote_units": 531.0067027136625, "price_pnl_quote_units": 10509.030657056233, "turnover_quote_units": 370168.86832214304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18867.517349376165, "return_pct": 88.67517349376163, "cagr_pct": 88.81202266120047, "max_drawdown_pct": 58.936336593730765, "mean_exposure_while_solvent": 1.0385560921862622, "realized_annual_volatility_pct": 66.93510556701821, "trading_costs_quote_units": 1110.5066049664292, "borrowing_costs_quote_units": 531.0067027136625, "price_pnl_quote_units": 10509.030657056233, "turnover_quote_units": 370168.86832214304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23310.361286243322, "return_pct": 133.1036128624332, "cagr_pct": 133.3290285268881, "max_drawdown_pct": 45.44921059936513, "mean_exposure_while_solvent": 0.929524199131511, "realized_annual_volatility_pct": 60.73203140839757, "trading_costs_quote_units": 334.4472619496097, "borrowing_costs_quote_units": 182.50139424053967, "price_pnl_quote_units": 13827.309942433438, "turnover_quote_units": 111482.42064986986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23310.361286243322, "return_pct": 133.1036128624332, "cagr_pct": 133.3290285268881, "max_drawdown_pct": 45.44921059936513, "mean_exposure_while_solvent": 0.929524199131511, "realized_annual_volatility_pct": 60.73203140839757, "trading_costs_quote_units": 334.4472619496097, "borrowing_costs_quote_units": 182.50139424053967, "price_pnl_quote_units": 13827.309942433438, "turnover_quote_units": 111482.42064986986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20466.570680012286, "return_pct": 104.66570680012288, "cagr_pct": 104.83318411196372, "max_drawdown_pct": 45.91678789384491, "mean_exposure_while_solvent": 0.8808344248679196, "realized_annual_volatility_pct": 57.1563102196419, "trading_costs_quote_units": 282.84922181375555, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10749.419901826033, "turnover_quote_units": 94283.07393791845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20466.570680012286, "return_pct": 104.66570680012288, "cagr_pct": 104.83318411196372, "max_drawdown_pct": 45.91678789384491, "mean_exposure_while_solvent": 0.8808344248679196, "realized_annual_volatility_pct": 57.1563102196419, "trading_costs_quote_units": 282.84922181375555, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10749.419901826033, "turnover_quote_units": 94283.07393791845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23310.361286243322, "return_pct": 133.1036128624332, "cagr_pct": 133.3290285268881, "max_drawdown_pct": 45.44921059936513, "mean_exposure_while_solvent": 0.929524199131511, "realized_annual_volatility_pct": 60.73203140839757, "trading_costs_quote_units": 334.4472619496097, "borrowing_costs_quote_units": 182.50139424053967, "price_pnl_quote_units": 13827.309942433438, "turnover_quote_units": 111482.42064986986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23310.361286243322, "return_pct": 133.1036128624332, "cagr_pct": 133.3290285268881, "max_drawdown_pct": 45.44921059936513, "mean_exposure_while_solvent": 0.929524199131511, "realized_annual_volatility_pct": 60.73203140839757, "trading_costs_quote_units": 334.4472619496097, "borrowing_costs_quote_units": 182.50139424053967, "price_pnl_quote_units": 13827.309942433438, "turnover_quote_units": 111482.42064986986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23310.361286243322, "return_pct": 133.1036128624332, "cagr_pct": 133.3290285268881, "max_drawdown_pct": 45.44921059936513, "mean_exposure_while_solvent": 0.929524199131511, "realized_annual_volatility_pct": 60.73203140839757, "trading_costs_quote_units": 334.4472619496097, "borrowing_costs_quote_units": 182.50139424053967, "price_pnl_quote_units": 13827.309942433438, "turnover_quote_units": 111482.42064986986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23310.361286243322, "return_pct": 133.1036128624332, "cagr_pct": 133.3290285268881, "max_drawdown_pct": 45.44921059936513, "mean_exposure_while_solvent": 0.929524199131511, "realized_annual_volatility_pct": 60.73203140839757, "trading_costs_quote_units": 334.4472619496097, "borrowing_costs_quote_units": 182.50139424053967, "price_pnl_quote_units": 13827.309942433438, "turnover_quote_units": 111482.42064986986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 17159.231695629693, "return_pct": 71.59231695629693, "cagr_pct": 71.69816443848087, "max_drawdown_pct": 40.968063148171666, "mean_exposure_while_solvent": 0.7496708669670465, "realized_annual_volatility_pct": 50.4918207837054, "trading_costs_quote_units": 118.33962103492219, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7277.571316664626, "turnover_quote_units": 39446.540344974106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 17159.231695629693, "return_pct": 71.59231695629693, "cagr_pct": 71.69816443848087, "max_drawdown_pct": 40.968063148171666, "mean_exposure_while_solvent": 0.7496708669670465, "realized_annual_volatility_pct": 50.4918207837054, "trading_costs_quote_units": 118.33962103492219, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7277.571316664626, "turnover_quote_units": 39446.540344974106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19298.92174197711, "return_pct": 92.98921741977108, "cagr_pct": 93.13418217207877, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 67.2265173270167, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9328.832011169467, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19298.92174197711, "return_pct": 92.98921741977108, "cagr_pct": 93.13418217207877, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 67.2265173270167, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9328.832011169467, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19679.80994179658, "return_pct": 96.79809941796577, "cagr_pct": 96.95032125046859, "max_drawdown_pct": 63.33851506614132, "mean_exposure_while_solvent": 1.2495620581228497, "realized_annual_volatility_pct": 83.9606195218356, "trading_costs_quote_units": 255.8133896934438, "borrowing_costs_quote_units": 1104.7628448036355, "price_pnl_quote_units": 11040.386176293694, "turnover_quote_units": 85271.12989781472, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19679.80994179658, "return_pct": 96.79809941796577, "cagr_pct": 96.95032125046859, "max_drawdown_pct": 63.33851506614132, "mean_exposure_while_solvent": 1.2495620581228497, "realized_annual_volatility_pct": 83.9606195218356, "trading_costs_quote_units": 255.8133896934438, "borrowing_costs_quote_units": 1104.7628448036355, "price_pnl_quote_units": 11040.386176293694, "turnover_quote_units": 85271.12989781472, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19327.926849788997, "return_pct": 93.27926849788997, "cagr_pct": 93.42478288132274, "max_drawdown_pct": 72.47506925024348, "mean_exposure_while_solvent": 1.499735205316291, "realized_annual_volatility_pct": 100.72317520180734, "trading_costs_quote_units": 633.9394952791374, "borrowing_costs_quote_units": 2429.008234213989, "price_pnl_quote_units": 12390.874579282076, "turnover_quote_units": 211313.16509304589, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19327.926849788997, "return_pct": 93.27926849788997, "cagr_pct": 93.42478288132274, "max_drawdown_pct": 72.47506925024348, "mean_exposure_while_solvent": 1.499735205316291, "realized_annual_volatility_pct": 100.72317520180734, "trading_costs_quote_units": 633.9394952791374, "borrowing_costs_quote_units": 2429.008234213989, "price_pnl_quote_units": 12390.874579282076, "turnover_quote_units": 211313.16509304589, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20903.279917851705, "return_pct": 109.03279917851707, "cagr_pct": 109.20889463334018, "max_drawdown_pct": 34.71026103023137, "mean_exposure_while_solvent": 0.6635112319150317, "realized_annual_volatility_pct": 45.153740014419846, "trading_costs_quote_units": 405.6141444721289, "borrowing_costs_quote_units": 9.048331613762542, "price_pnl_quote_units": 11317.942393937581, "turnover_quote_units": 135204.71482404298, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20903.279917851705, "return_pct": 109.03279917851707, "cagr_pct": 109.20889463334018, "max_drawdown_pct": 34.71026103023137, "mean_exposure_while_solvent": 0.6635112319150317, "realized_annual_volatility_pct": 45.153740014419846, "trading_costs_quote_units": 405.6141444721289, "borrowing_costs_quote_units": 9.048331613762542, "price_pnl_quote_units": 11317.942393937581, "turnover_quote_units": 135204.71482404298, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23762.58279999355, "return_pct": 137.62582799993547, "cagr_pct": 137.86083631412387, "max_drawdown_pct": 48.84148301438942, "mean_exposure_while_solvent": 0.9709145198213467, "realized_annual_volatility_pct": 63.548752090832195, "trading_costs_quote_units": 578.4445793018289, "borrowing_costs_quote_units": 62.21334914286485, "price_pnl_quote_units": 14403.240728438213, "turnover_quote_units": 192814.85976727624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23762.58279999355, "return_pct": 137.62582799993547, "cagr_pct": 137.86083631412387, "max_drawdown_pct": 48.84148301438942, "mean_exposure_while_solvent": 0.9709145198213467, "realized_annual_volatility_pct": 63.548752090832195, "trading_costs_quote_units": 578.4445793018289, "borrowing_costs_quote_units": 62.21334914286485, "price_pnl_quote_units": 14403.240728438213, "turnover_quote_units": 192814.85976727624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25131.228028077345, "return_pct": 151.31228028077345, "cagr_pct": 151.57691338199174, "max_drawdown_pct": 59.00642311628934, "mean_exposure_while_solvent": 1.2233848449286893, "realized_annual_volatility_pct": 79.41829130403315, "trading_costs_quote_units": 706.5480828301529, "borrowing_costs_quote_units": 270.89062515667507, "price_pnl_quote_units": 16108.666736064111, "turnover_quote_units": 235516.02761005098, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25131.228028077345, "return_pct": 151.31228028077345, "cagr_pct": 151.57691338199174, "max_drawdown_pct": 59.00642311628934, "mean_exposure_while_solvent": 1.2233848449286893, "realized_annual_volatility_pct": 79.41829130403315, "trading_costs_quote_units": 706.5480828301529, "borrowing_costs_quote_units": 270.89062515667507, "price_pnl_quote_units": 16108.666736064111, "turnover_quote_units": 235516.02761005098, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18722.178219238413, "return_pct": 87.22178219238413, "cagr_pct": 87.35592252872495, "max_drawdown_pct": 60.33186960252189, "mean_exposure_while_solvent": 1.0376638183330869, "realized_annual_volatility_pct": 67.53984182304963, "trading_costs_quote_units": 1130.617176870904, "borrowing_costs_quote_units": 133.64777434396768, "price_pnl_quote_units": 9986.443170453287, "turnover_quote_units": 376872.3922903013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18722.178219238413, "return_pct": 87.22178219238413, "cagr_pct": 87.35592252872495, "max_drawdown_pct": 60.33186960252189, "mean_exposure_while_solvent": 1.0376638183330869, "realized_annual_volatility_pct": 67.53984182304963, "trading_costs_quote_units": 1130.617176870904, "borrowing_costs_quote_units": 133.64777434396768, "price_pnl_quote_units": 9986.443170453287, "turnover_quote_units": 376872.3922903013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23461.028806541675, "return_pct": 134.61028806541674, "cagr_pct": 134.83888867306044, "max_drawdown_pct": 45.907636133856336, "mean_exposure_while_solvent": 0.9287619152326181, "realized_annual_volatility_pct": 60.88396257191, "trading_costs_quote_units": 339.9212739899849, "borrowing_costs_quote_units": 46.13045916271007, "price_pnl_quote_units": 13847.080539694325, "turnover_quote_units": 113307.09132999502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23461.028806541675, "return_pct": 134.61028806541674, "cagr_pct": 134.83888867306044, "max_drawdown_pct": 45.907636133856336, "mean_exposure_while_solvent": 0.9287619152326181, "realized_annual_volatility_pct": 60.88396257191, "trading_costs_quote_units": 339.9212739899849, "borrowing_costs_quote_units": 46.13045916271007, "price_pnl_quote_units": 13847.080539694325, "turnover_quote_units": 113307.09132999502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20147.572789888898, "return_pct": 101.47572789888896, "cagr_pct": 101.63697728410827, "max_drawdown_pct": 46.57065469436, "mean_exposure_while_solvent": 0.8801304939238043, "realized_annual_volatility_pct": 57.25931174555815, "trading_costs_quote_units": 280.0123312543758, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10427.585121143245, "turnover_quote_units": 93337.44375145849, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20147.572789888898, "return_pct": 101.47572789888896, "cagr_pct": 101.63697728410827, "max_drawdown_pct": 46.57065469436, "mean_exposure_while_solvent": 0.8801304939238043, "realized_annual_volatility_pct": 57.25931174555815, "trading_costs_quote_units": 280.0123312543758, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10427.585121143245, "turnover_quote_units": 93337.44375145849, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23461.028806541675, "return_pct": 134.61028806541674, "cagr_pct": 134.83888867306044, "max_drawdown_pct": 45.907636133856336, "mean_exposure_while_solvent": 0.9287619152326181, "realized_annual_volatility_pct": 60.88396257191, "trading_costs_quote_units": 339.9212739899849, "borrowing_costs_quote_units": 46.13045916271007, "price_pnl_quote_units": 13847.080539694325, "turnover_quote_units": 113307.09132999502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23461.028806541675, "return_pct": 134.61028806541674, "cagr_pct": 134.83888867306044, "max_drawdown_pct": 45.907636133856336, "mean_exposure_while_solvent": 0.9287619152326181, "realized_annual_volatility_pct": 60.88396257191, "trading_costs_quote_units": 339.9212739899849, "borrowing_costs_quote_units": 46.13045916271007, "price_pnl_quote_units": 13847.080539694325, "turnover_quote_units": 113307.09132999502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23461.028806541675, "return_pct": 134.61028806541674, "cagr_pct": 134.83888867306044, "max_drawdown_pct": 45.907636133856336, "mean_exposure_while_solvent": 0.9287619152326181, "realized_annual_volatility_pct": 60.88396257191, "trading_costs_quote_units": 339.9212739899849, "borrowing_costs_quote_units": 46.13045916271007, "price_pnl_quote_units": 13847.080539694325, "turnover_quote_units": 113307.09132999502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23461.028806541675, "return_pct": 134.61028806541674, "cagr_pct": 134.83888867306044, "max_drawdown_pct": 45.907636133856336, "mean_exposure_while_solvent": 0.9287619152326181, "realized_annual_volatility_pct": 60.88396257191, "trading_costs_quote_units": 339.9212739899849, "borrowing_costs_quote_units": 46.13045916271007, "price_pnl_quote_units": 13847.080539694325, "turnover_quote_units": 113307.09132999502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17075.236001355475, "return_pct": 70.75236001355476, "cagr_pct": 70.85673183571515, "max_drawdown_pct": 41.35835771888144, "mean_exposure_while_solvent": 0.7492618372648174, "realized_annual_volatility_pct": 50.495877395179136, "trading_costs_quote_units": 104.42384525902492, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7179.659846614484, "turnover_quote_units": 34807.94841967494, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17075.236001355475, "return_pct": 70.75236001355476, "cagr_pct": 70.85673183571515, "max_drawdown_pct": 41.35835771888144, "mean_exposure_while_solvent": 0.7492618372648174, "realized_annual_volatility_pct": 50.495877395179136, "trading_costs_quote_units": 104.42384525902492, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7179.659846614484, "turnover_quote_units": 34807.94841967494, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19418.73119724345, "return_pct": 94.1873119724345, "cagr_pct": 94.33455026610372, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 67.22322182749582, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9448.641466435873, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19418.73119724345, "return_pct": 94.1873119724345, "cagr_pct": 94.33455026610372, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 67.22322182749582, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9448.641466435873, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20961.04536564594, "return_pct": 109.61045365645941, "cagr_pct": 109.78769693708435, "max_drawdown_pct": 62.19069640894952, "mean_exposure_while_solvent": 1.2479221279513288, "realized_annual_volatility_pct": 83.94788052483266, "trading_costs_quote_units": 230.66332855436815, "borrowing_costs_quote_units": 286.27228455300116, "price_pnl_quote_units": 11477.980978753221, "turnover_quote_units": 76887.77618478927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20961.04536564594, "return_pct": 109.61045365645941, "cagr_pct": 109.78769693708435, "max_drawdown_pct": 62.19069640894952, "mean_exposure_while_solvent": 1.2479221279513288, "realized_annual_volatility_pct": 83.94788052483266, "trading_costs_quote_units": 230.66332855436815, "borrowing_costs_quote_units": 286.27228455300116, "price_pnl_quote_units": 11477.980978753221, "turnover_quote_units": 76887.77618478927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21940.36144808696, "return_pct": 119.40361448086958, "cagr_pct": 119.60059048927954, "max_drawdown_pct": 70.58313381274316, "mean_exposure_while_solvent": 1.4971862469061625, "realized_annual_volatility_pct": 100.68794631312234, "trading_costs_quote_units": 584.2028702700393, "borrowing_costs_quote_units": 652.3265264080607, "price_pnl_quote_units": 13176.890844765143, "turnover_quote_units": 194734.29009001306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21940.36144808696, "return_pct": 119.40361448086958, "cagr_pct": 119.60059048927954, "max_drawdown_pct": 70.58313381274316, "mean_exposure_while_solvent": 1.4971862469061625, "realized_annual_volatility_pct": 100.68794631312234, "trading_costs_quote_units": 584.2028702700393, "borrowing_costs_quote_units": 652.3265264080607, "price_pnl_quote_units": 13176.890844765143, "turnover_quote_units": 194734.29009001306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20887.097115697798, "return_pct": 108.87097115697797, "cagr_pct": 109.04674537948411, "max_drawdown_pct": 34.71026103023136, "mean_exposure_while_solvent": 0.6635124569740006, "realized_annual_volatility_pct": 45.153338470121106, "trading_costs_quote_units": 405.3515899767665, "borrowing_costs_quote_units": 18.090702345488047, "price_pnl_quote_units": 11310.539408020113, "turnover_quote_units": 135117.19665892213, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20887.097115697798, "return_pct": 108.87097115697797, "cagr_pct": 109.04674537948411, "max_drawdown_pct": 34.71026103023136, "mean_exposure_while_solvent": 0.6635124569740006, "realized_annual_volatility_pct": 45.153338470121106, "trading_costs_quote_units": 405.3515899767665, "borrowing_costs_quote_units": 18.090702345488047, "price_pnl_quote_units": 11310.539408020113, "turnover_quote_units": 135117.19665892213, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23655.78839868073, "return_pct": 136.5578839868073, "cagr_pct": 136.79061799404693, "max_drawdown_pct": 48.86211116010893, "mean_exposure_while_solvent": 0.9709215151480731, "realized_annual_volatility_pct": 63.54870002795361, "trading_costs_quote_units": 576.3509002478921, "borrowing_costs_quote_units": 124.1009921565312, "price_pnl_quote_units": 14356.240291085162, "turnover_quote_units": 192116.96674929722, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23655.78839868073, "return_pct": 136.5578839868073, "cagr_pct": 136.79061799404693, "max_drawdown_pct": 48.86211116010893, "mean_exposure_while_solvent": 0.9709215151480731, "realized_annual_volatility_pct": 63.54870002795361, "trading_costs_quote_units": 576.3509002478921, "borrowing_costs_quote_units": 124.1009921565312, "price_pnl_quote_units": 14356.240291085162, "turnover_quote_units": 192116.96674929722, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24810.891063394687, "return_pct": 148.10891063394686, "cagr_pct": 148.36653170071665, "max_drawdown_pct": 59.198281850022916, "mean_exposure_while_solvent": 1.223405334679932, "realized_annual_volatility_pct": 79.41925563265173, "trading_costs_quote_units": 701.1771557273879, "borrowing_costs_quote_units": 537.6030666911372, "price_pnl_quote_units": 16049.67128581326, "turnover_quote_units": 233725.71857579582, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24810.891063394687, "return_pct": 148.10891063394686, "cagr_pct": 148.36653170071665, "max_drawdown_pct": 59.198281850022916, "mean_exposure_while_solvent": 1.223405334679932, "realized_annual_volatility_pct": 79.41925563265173, "trading_costs_quote_units": 701.1771557273879, "borrowing_costs_quote_units": 537.6030666911372, "price_pnl_quote_units": 16049.67128581326, "turnover_quote_units": 233725.71857579582, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18573.15676706295, "return_pct": 85.73156767062949, "cagr_pct": 85.86294395002743, "max_drawdown_pct": 60.4405142224748, "mean_exposure_while_solvent": 1.0376767731934418, "realized_annual_volatility_pct": 67.54143817513557, "trading_costs_quote_units": 1125.0599339226453, "borrowing_costs_quote_units": 266.0482088960788, "price_pnl_quote_units": 9964.264909881738, "turnover_quote_units": 375019.977974215, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18573.15676706295, "return_pct": 85.73156767062949, "cagr_pct": 85.86294395002743, "max_drawdown_pct": 60.4405142224748, "mean_exposure_while_solvent": 1.0376767731934418, "realized_annual_volatility_pct": 67.54143817513557, "trading_costs_quote_units": 1125.0599339226453, "borrowing_costs_quote_units": 266.0482088960788, "price_pnl_quote_units": 9964.264909881738, "turnover_quote_units": 375019.977974215, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23381.6532150564, "return_pct": 133.81653215056403, "cagr_pct": 134.04345346202007, "max_drawdown_pct": 45.91272004262598, "mean_exposure_while_solvent": 0.9287670876532588, "realized_annual_volatility_pct": 60.88376069825562, "trading_costs_quote_units": 339.0309174616395, "borrowing_costs_quote_units": 92.08931390968957, "price_pnl_quote_units": 13812.773446427733, "turnover_quote_units": 113010.30582054646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23381.6532150564, "return_pct": 133.81653215056403, "cagr_pct": 134.04345346202007, "max_drawdown_pct": 45.91272004262598, "mean_exposure_while_solvent": 0.9287670876532588, "realized_annual_volatility_pct": 60.88376069825562, "trading_costs_quote_units": 339.0309174616395, "borrowing_costs_quote_units": 92.08931390968957, "price_pnl_quote_units": 13812.773446427733, "turnover_quote_units": 113010.30582054646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20147.572789888898, "return_pct": 101.47572789888896, "cagr_pct": 101.63697728410827, "max_drawdown_pct": 46.57065469436, "mean_exposure_while_solvent": 0.8801304939238043, "realized_annual_volatility_pct": 57.25931174555815, "trading_costs_quote_units": 280.0123312543758, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10427.585121143245, "turnover_quote_units": 93337.44375145849, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20147.572789888898, "return_pct": 101.47572789888896, "cagr_pct": 101.63697728410827, "max_drawdown_pct": 46.57065469436, "mean_exposure_while_solvent": 0.8801304939238043, "realized_annual_volatility_pct": 57.25931174555815, "trading_costs_quote_units": 280.0123312543758, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10427.585121143245, "turnover_quote_units": 93337.44375145849, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23381.6532150564, "return_pct": 133.81653215056403, "cagr_pct": 134.04345346202007, "max_drawdown_pct": 45.91272004262598, "mean_exposure_while_solvent": 0.9287670876532588, "realized_annual_volatility_pct": 60.88376069825562, "trading_costs_quote_units": 339.0309174616395, "borrowing_costs_quote_units": 92.08931390968957, "price_pnl_quote_units": 13812.773446427733, "turnover_quote_units": 113010.30582054646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23381.6532150564, "return_pct": 133.81653215056403, "cagr_pct": 134.04345346202007, "max_drawdown_pct": 45.91272004262598, "mean_exposure_while_solvent": 0.9287670876532588, "realized_annual_volatility_pct": 60.88376069825562, "trading_costs_quote_units": 339.0309174616395, "borrowing_costs_quote_units": 92.08931390968957, "price_pnl_quote_units": 13812.773446427733, "turnover_quote_units": 113010.30582054646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23381.6532150564, "return_pct": 133.81653215056403, "cagr_pct": 134.04345346202007, "max_drawdown_pct": 45.91272004262598, "mean_exposure_while_solvent": 0.9287670876532588, "realized_annual_volatility_pct": 60.88376069825562, "trading_costs_quote_units": 339.0309174616395, "borrowing_costs_quote_units": 92.08931390968957, "price_pnl_quote_units": 13812.773446427733, "turnover_quote_units": 113010.30582054646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23381.6532150564, "return_pct": 133.81653215056403, "cagr_pct": 134.04345346202007, "max_drawdown_pct": 45.91272004262598, "mean_exposure_while_solvent": 0.9287670876532588, "realized_annual_volatility_pct": 60.88376069825562, "trading_costs_quote_units": 339.0309174616395, "borrowing_costs_quote_units": 92.08931390968957, "price_pnl_quote_units": 13812.773446427733, "turnover_quote_units": 113010.30582054646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17075.236001355475, "return_pct": 70.75236001355476, "cagr_pct": 70.85673183571515, "max_drawdown_pct": 41.35835771888144, "mean_exposure_while_solvent": 0.7492618372648174, "realized_annual_volatility_pct": 50.495877395179136, "trading_costs_quote_units": 104.42384525902492, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7179.659846614484, "turnover_quote_units": 34807.94841967494, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17075.236001355475, "return_pct": 70.75236001355476, "cagr_pct": 70.85673183571515, "max_drawdown_pct": 41.35835771888144, "mean_exposure_while_solvent": 0.7492618372648174, "realized_annual_volatility_pct": 50.495877395179136, "trading_costs_quote_units": 104.42384525902492, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7179.659846614484, "turnover_quote_units": 34807.94841967494, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19418.73119724345, "return_pct": 94.1873119724345, "cagr_pct": 94.33455026610372, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 67.22322182749582, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9448.641466435873, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19418.73119724345, "return_pct": 94.1873119724345, "cagr_pct": 94.33455026610372, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 67.22322182749582, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9448.641466435873, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20701.527964596236, "return_pct": 107.01527964596238, "cagr_pct": 107.18738056210233, "max_drawdown_pct": 62.417594867834694, "mean_exposure_while_solvent": 1.2479398740318082, "realized_annual_volatility_pct": 83.94937850887119, "trading_costs_quote_units": 229.34551822755878, "borrowing_costs_quote_units": 568.5138109244743, "price_pnl_quote_units": 11499.387293748363, "turnover_quote_units": 76448.50607585291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20701.527964596236, "return_pct": 107.01527964596238, "cagr_pct": 107.18738056210233, "max_drawdown_pct": 62.417594867834694, "mean_exposure_while_solvent": 1.2479398740318082, "realized_annual_volatility_pct": 83.94937850887119, "trading_costs_quote_units": 229.34551822755878, "borrowing_costs_quote_units": 568.5138109244743, "price_pnl_quote_units": 11499.387293748363, "turnover_quote_units": 76448.50607585291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21400.252799754562, "return_pct": 114.00252799754563, "cagr_pct": 114.18855775525847, "max_drawdown_pct": 70.9358453621628, "mean_exposure_while_solvent": 1.497228843985798, "realized_annual_volatility_pct": 100.69154682675396, "trading_costs_quote_units": 576.8439531641561, "borrowing_costs_quote_units": 1286.2040985158199, "price_pnl_quote_units": 13263.300851434633, "turnover_quote_units": 192281.31772138563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21400.252799754562, "return_pct": 114.00252799754563, "cagr_pct": 114.18855775525847, "max_drawdown_pct": 70.9358453621628, "mean_exposure_while_solvent": 1.497228843985798, "realized_annual_volatility_pct": 100.69154682675396, "trading_costs_quote_units": 576.8439531641561, "borrowing_costs_quote_units": 1286.2040985158199, "price_pnl_quote_units": 13263.300851434633, "turnover_quote_units": 192281.31772138563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20854.761196380066, "return_pct": 108.54761196380065, "cagr_pct": 108.72274474081314, "max_drawdown_pct": 34.71026103023141, "mean_exposure_while_solvent": 0.663514907547716, "realized_annual_volatility_pct": 45.152539060475576, "trading_costs_quote_units": 404.82694636240524, "borrowing_costs_quote_units": 36.15757169665705, "price_pnl_quote_units": 11295.745714439108, "turnover_quote_units": 134942.31545413518, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20854.761196380066, "return_pct": 108.54761196380065, "cagr_pct": 108.72274474081314, "max_drawdown_pct": 34.71026103023141, "mean_exposure_while_solvent": 0.663514907547716, "realized_annual_volatility_pct": 45.152539060475576, "trading_costs_quote_units": 404.82694636240524, "borrowing_costs_quote_units": 36.15757169665705, "price_pnl_quote_units": 11295.745714439108, "turnover_quote_units": 134942.31545413518, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23443.58284655, "return_pct": 134.4358284655, "cagr_pct": 134.66405971676906, "max_drawdown_pct": 48.90335101701755, "mean_exposure_while_solvent": 0.9709355083694701, "realized_annual_volatility_pct": 63.54860850124832, "trading_costs_quote_units": 572.1887079955072, "borrowing_costs_quote_units": 246.90526010358684, "price_pnl_quote_units": 14262.676814649098, "turnover_quote_units": 190729.56933183566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23443.58284655, "return_pct": 134.4358284655, "cagr_pct": 134.66405971676906, "max_drawdown_pct": 48.90335101701755, "mean_exposure_while_solvent": 0.9709355083694701, "realized_annual_volatility_pct": 63.54860850124832, "trading_costs_quote_units": 572.1887079955072, "borrowing_costs_quote_units": 246.90526010358684, "price_pnl_quote_units": 14262.676814649098, "turnover_quote_units": 190729.56933183566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24182.215957285764, "return_pct": 141.82215957285763, "cagr_pct": 142.06615741542316, "max_drawdown_pct": 59.57940026843354, "mean_exposure_while_solvent": 1.2234463221338991, "realized_annual_volatility_pct": 79.42119963698269, "trading_costs_quote_units": 690.585982833378, "borrowing_costs_quote_units": 1058.7128783140358, "price_pnl_quote_units": 15931.51481843312, "turnover_quote_units": 230195.32761112595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24182.215957285764, "return_pct": 141.82215957285763, "cagr_pct": 142.06615741542316, "max_drawdown_pct": 59.57940026843354, "mean_exposure_while_solvent": 1.2234463221338991, "realized_annual_volatility_pct": 79.42119963698269, "trading_costs_quote_units": 690.585982833378, "borrowing_costs_quote_units": 1058.7128783140358, "price_pnl_quote_units": 15931.51481843312, "turnover_quote_units": 230195.32761112595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 18278.555918717666, "return_pct": 82.78555918717664, "cagr_pct": 82.91151155825874, "max_drawdown_pct": 60.65696678232617, "mean_exposure_while_solvent": 1.0377026880973272, "realized_annual_volatility_pct": 67.5446515494475, "trading_costs_quote_units": 1114.0479548591552, "borrowing_costs_quote_units": 527.1467360853953, "price_pnl_quote_units": 9919.750609662251, "turnover_quote_units": 371349.31828638527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 18278.555918717666, "return_pct": 82.78555918717664, "cagr_pct": 82.91151155825874, "max_drawdown_pct": 60.65696678232617, "mean_exposure_while_solvent": 1.0377026880973272, "realized_annual_volatility_pct": 67.5446515494475, "trading_costs_quote_units": 1114.0479548591552, "borrowing_costs_quote_units": 527.1467360853953, "price_pnl_quote_units": 9919.750609662251, "turnover_quote_units": 371349.31828638527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23223.669300733778, "return_pct": 132.2366930073378, "cagr_pct": 132.46028114685672, "max_drawdown_pct": 45.92288830415793, "mean_exposure_while_solvent": 0.9287774343363031, "realized_annual_volatility_pct": 60.883366594054436, "trading_costs_quote_units": 337.25802333105173, "borrowing_costs_quote_units": 183.49451532510764, "price_pnl_quote_units": 13744.421839389935, "turnover_quote_units": 112419.34111035065, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23223.669300733778, "return_pct": 132.2366930073378, "cagr_pct": 132.46028114685672, "max_drawdown_pct": 45.92288830415793, "mean_exposure_while_solvent": 0.9287774343363031, "realized_annual_volatility_pct": 60.883366594054436, "trading_costs_quote_units": 337.25802333105173, "borrowing_costs_quote_units": 183.49451532510764, "price_pnl_quote_units": 13744.421839389935, "turnover_quote_units": 112419.34111035065, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20147.572789888898, "return_pct": 101.47572789888896, "cagr_pct": 101.63697728410827, "max_drawdown_pct": 46.57065469436, "mean_exposure_while_solvent": 0.8801304939238043, "realized_annual_volatility_pct": 57.25931174555815, "trading_costs_quote_units": 280.0123312543758, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10427.585121143245, "turnover_quote_units": 93337.44375145849, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20147.572789888898, "return_pct": 101.47572789888896, "cagr_pct": 101.63697728410827, "max_drawdown_pct": 46.57065469436, "mean_exposure_while_solvent": 0.8801304939238043, "realized_annual_volatility_pct": 57.25931174555815, "trading_costs_quote_units": 280.0123312543758, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10427.585121143245, "turnover_quote_units": 93337.44375145849, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 231, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23223.669300733778, "return_pct": 132.2366930073378, "cagr_pct": 132.46028114685672, "max_drawdown_pct": 45.92288830415793, "mean_exposure_while_solvent": 0.9287774343363031, "realized_annual_volatility_pct": 60.883366594054436, "trading_costs_quote_units": 337.25802333105173, "borrowing_costs_quote_units": 183.49451532510764, "price_pnl_quote_units": 13744.421839389935, "turnover_quote_units": 112419.34111035065, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23223.669300733778, "return_pct": 132.2366930073378, "cagr_pct": 132.46028114685672, "max_drawdown_pct": 45.92288830415793, "mean_exposure_while_solvent": 0.9287774343363031, "realized_annual_volatility_pct": 60.883366594054436, "trading_costs_quote_units": 337.25802333105173, "borrowing_costs_quote_units": 183.49451532510764, "price_pnl_quote_units": 13744.421839389935, "turnover_quote_units": 112419.34111035065, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23223.669300733778, "return_pct": 132.2366930073378, "cagr_pct": 132.46028114685672, "max_drawdown_pct": 45.92288830415793, "mean_exposure_while_solvent": 0.9287774343363031, "realized_annual_volatility_pct": 60.883366594054436, "trading_costs_quote_units": 337.25802333105173, "borrowing_costs_quote_units": 183.49451532510764, "price_pnl_quote_units": 13744.421839389935, "turnover_quote_units": 112419.34111035065, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23223.669300733778, "return_pct": 132.2366930073378, "cagr_pct": 132.46028114685672, "max_drawdown_pct": 45.92288830415793, "mean_exposure_while_solvent": 0.9287774343363031, "realized_annual_volatility_pct": 60.883366594054436, "trading_costs_quote_units": 337.25802333105173, "borrowing_costs_quote_units": 183.49451532510764, "price_pnl_quote_units": 13744.421839389935, "turnover_quote_units": 112419.34111035065, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 17075.236001355475, "return_pct": 70.75236001355476, "cagr_pct": 70.85673183571515, "max_drawdown_pct": 41.35835771888144, "mean_exposure_while_solvent": 0.7492618372648174, "realized_annual_volatility_pct": 50.495877395179136, "trading_costs_quote_units": 104.42384525902492, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7179.659846614484, "turnover_quote_units": 34807.94841967494, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 17075.236001355475, "return_pct": 70.75236001355476, "cagr_pct": 70.85673183571515, "max_drawdown_pct": 41.35835771888144, "mean_exposure_while_solvent": 0.7492618372648174, "realized_annual_volatility_pct": 50.495877395179136, "trading_costs_quote_units": 104.42384525902492, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7179.659846614484, "turnover_quote_units": 34807.94841967494, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19418.73119724345, "return_pct": 94.1873119724345, "cagr_pct": 94.33455026610372, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 67.22322182749582, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9448.641466435873, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19418.73119724345, "return_pct": 94.1873119724345, "cagr_pct": 94.33455026610372, "max_drawdown_pct": 52.249381038440234, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 67.22322182749582, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9448.641466435873, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20191.959993433757, "return_pct": 101.91959993433754, "cagr_pct": 102.08171246829014, "max_drawdown_pct": 62.86742621024231, "mean_exposure_while_solvent": 1.2479753716554027, "realized_annual_volatility_pct": 83.95237516769983, "trading_costs_quote_units": 226.75377653349662, "borrowing_costs_quote_units": 1121.1007683587738, "price_pnl_quote_units": 11539.814538325983, "turnover_quote_units": 75584.59217783224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20191.959993433757, "return_pct": 101.91959993433754, "cagr_pct": 102.08171246829014, "max_drawdown_pct": 62.86742621024231, "mean_exposure_while_solvent": 1.2479753716554027, "realized_annual_volatility_pct": 83.95237516769983, "trading_costs_quote_units": 226.75377653349662, "borrowing_costs_quote_units": 1121.1007683587738, "price_pnl_quote_units": 11539.814538325983, "turnover_quote_units": 75584.59217783224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20359.267843595735, "return_pct": 103.59267843595737, "cagr_pct": 103.7580544358376, "max_drawdown_pct": 71.62884145703163, "mean_exposure_while_solvent": 1.4973140566169765, "realized_annual_volatility_pct": 100.69875016150185, "trading_costs_quote_units": 562.4896650736653, "borrowing_costs_quote_units": 2500.40072466237, "price_pnl_quote_units": 13422.158233331777, "turnover_quote_units": 187496.55502455492, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20359.267843595735, "return_pct": 103.59267843595737, "cagr_pct": 103.7580544358376, "max_drawdown_pct": 71.62884145703163, "mean_exposure_while_solvent": 1.4973140566169765, "realized_annual_volatility_pct": 100.69875016150185, "trading_costs_quote_units": 562.4896650736653, "borrowing_costs_quote_units": 2500.40072466237, "price_pnl_quote_units": 13422.158233331777, "turnover_quote_units": 187496.55502455492, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22345.78337090418, "return_pct": 123.45783370904182, "cagr_pct": 123.66312649199172, "max_drawdown_pct": 33.49958139058554, "mean_exposure_while_solvent": 0.678973195917351, "realized_annual_volatility_pct": 45.07216986851648, "trading_costs_quote_units": 84.06347593975893, "borrowing_costs_quote_units": 9.36028940391501, "price_pnl_quote_units": 12439.20713624782, "turnover_quote_units": 140105.79323293155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18863.911299411888, "return_pct": 88.63911299411889, "cagr_pct": 88.77589479660439, "max_drawdown_pct": 40.52594784487016, "mean_exposure_while_solvent": 0.7777057448917041, "realized_annual_volatility_pct": 50.34429394922624, "trading_costs_quote_units": 86.81700610757815, "borrowing_costs_quote_units": 3.880199108595903, "price_pnl_quote_units": 8954.60850462807, "turnover_quote_units": 144695.0101792969, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 34.81872071492293 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25596.486521701467, "return_pct": 155.96486521701465, "cagr_pct": 156.2397656979394, "max_drawdown_pct": 47.89360660991699, "mean_exposure_while_solvent": 0.9930387489685818, "realized_annual_volatility_pct": 63.965648851466995, "trading_costs_quote_units": 121.32702637675158, "borrowing_costs_quote_units": 74.3478888067056, "price_pnl_quote_units": 15792.161436884942, "turnover_quote_units": 202211.71062791927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22579.07430620437, "return_pct": 125.7907430620437, "cagr_pct": 126.00085980181137, "max_drawdown_pct": 49.60921075626105, "mean_exposure_while_solvent": 0.9904812842265092, "realized_annual_volatility_pct": 63.808354407475775, "trading_costs_quote_units": 97.12887959415731, "borrowing_costs_quote_units": 48.756288160221835, "price_pnl_quote_units": 12724.959473958757, "turnover_quote_units": 161881.46599026225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 30.174122154970945 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27120.43706882255, "return_pct": 171.20437068822548, "cagr_pct": 171.51357065437418, "max_drawdown_pct": 58.38392026746712, "mean_exposure_while_solvent": 1.2451450235580157, "realized_annual_volatility_pct": 79.20617298158353, "trading_costs_quote_units": 147.45812726139155, "borrowing_costs_quote_units": 298.2516334859968, "price_pnl_quote_units": 17566.146829569916, "turnover_quote_units": 245763.54543565237, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25454.582520673117, "return_pct": 154.5458252067312, "cagr_pct": 154.81758379214284, "max_drawdown_pct": 56.99008487226156, "mean_exposure_while_solvent": 1.1557648644167071, "realized_annual_volatility_pct": 74.68596962384365, "trading_costs_quote_units": 125.99625378851478, "borrowing_costs_quote_units": 172.4395143568546, "price_pnl_quote_units": 15753.018288818505, "turnover_quote_units": 209993.75631419118, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 16.658545481494286 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21299.20811794935, "return_pct": 112.99208117949351, "cagr_pct": 113.17608029423694, "max_drawdown_pct": 58.3676976722292, "mean_exposure_while_solvent": 1.0629653425576706, "realized_annual_volatility_pct": 67.54724788978619, "trading_costs_quote_units": 239.85159167045936, "borrowing_costs_quote_units": 159.77165616622938, "price_pnl_quote_units": 11698.831365786053, "turnover_quote_units": 399752.65278409893, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24045.157903368698, "return_pct": 140.45157903368698, "cagr_pct": 140.6926315345681, "max_drawdown_pct": 53.84341408033484, "mean_exposure_while_solvent": 1.0474988911609093, "realized_annual_volatility_pct": 67.69162272213394, "trading_costs_quote_units": 245.05148589859053, "borrowing_costs_quote_units": 134.31763480565343, "price_pnl_quote_units": 14424.527024072866, "turnover_quote_units": 408419.1431643174, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 309, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -27.459497854193472 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24545.06117198086, "return_pct": 145.45061171980856, "cagr_pct": 145.70244980368267, "max_drawdown_pct": 46.58018795022932, "mean_exposure_while_solvent": 0.9532739736402823, "realized_annual_volatility_pct": 60.952062978021694, "trading_costs_quote_units": 70.3106538540891, "borrowing_costs_quote_units": 52.33008448046669, "price_pnl_quote_units": 14667.701910315383, "turnover_quote_units": 117184.42309014841, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19586.7701553574, "return_pct": 95.86770155357401, "cagr_pct": 96.01814284585093, "max_drawdown_pct": 52.16209692952116, "mean_exposure_while_solvent": 0.9729619013308146, "realized_annual_volatility_pct": 64.06923838633631, "trading_costs_quote_units": 42.7381772374676, "borrowing_costs_quote_units": 11.943681748136115, "price_pnl_quote_units": 9641.452014343038, "turnover_quote_units": 71230.29539577935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 49.582910166234555 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21173.41255306102, "return_pct": 111.73412553061021, "cagr_pct": 111.9156042654188, "max_drawdown_pct": 45.97810563998769, "mean_exposure_while_solvent": 0.8913618303392379, "realized_annual_volatility_pct": 56.68363820323613, "trading_costs_quote_units": 54.233625091767635, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11227.646178152805, "turnover_quote_units": 90389.37515294596, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20837.146050405816, "return_pct": 108.37146050405818, "cagr_pct": 108.54624409193514, "max_drawdown_pct": 47.697935018051, "mean_exposure_while_solvent": 0.9209908391388557, "realized_annual_volatility_pct": 58.65847596710794, "trading_costs_quote_units": 48.08567604892668, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10885.231726454718, "turnover_quote_units": 80142.79341487783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 149, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 3.362665026552037 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24617.33128247963, "return_pct": 146.1733128247963, "cagr_pct": 146.4267198585158, "max_drawdown_pct": 50.88369603147919, "mean_exposure_while_solvent": 0.9848889028889537, "realized_annual_volatility_pct": 64.98769316327792, "trading_costs_quote_units": 63.79274456880265, "borrowing_costs_quote_units": 52.34593023855673, "price_pnl_quote_units": 14733.469957286961, "turnover_quote_units": 106321.24094800452, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 302, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19586.7701553574, "return_pct": 95.86770155357401, "cagr_pct": 96.01814284585093, "max_drawdown_pct": 52.16209692952116, "mean_exposure_while_solvent": 0.9729619013308146, "realized_annual_volatility_pct": 64.06923838633631, "trading_costs_quote_units": 42.7381772374676, "borrowing_costs_quote_units": 11.943681748136115, "price_pnl_quote_units": 9641.452014343038, "turnover_quote_units": 71230.29539577935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 50.305611271222304 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24545.06117198086, "return_pct": 145.45061171980856, "cagr_pct": 145.70244980368267, "max_drawdown_pct": 46.58018795022932, "mean_exposure_while_solvent": 0.9532739736402823, "realized_annual_volatility_pct": 60.952062978021694, "trading_costs_quote_units": 70.3106538540891, "borrowing_costs_quote_units": 52.33008448046669, "price_pnl_quote_units": 14667.701910315383, "turnover_quote_units": 117184.42309014841, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19586.7701553574, "return_pct": 95.86770155357401, "cagr_pct": 96.01814284585093, "max_drawdown_pct": 52.16209692952116, "mean_exposure_while_solvent": 0.9729619013308146, "realized_annual_volatility_pct": 64.06923838633631, "trading_costs_quote_units": 42.7381772374676, "borrowing_costs_quote_units": 11.943681748136115, "price_pnl_quote_units": 9641.452014343038, "turnover_quote_units": 71230.29539577935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 49.582910166234555 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17207.547757680513, "return_pct": 72.07547757680513, "cagr_pct": 72.18217602184144, "max_drawdown_pct": 41.29184114754369, "mean_exposure_while_solvent": 0.7496219570383812, "realized_annual_volatility_pct": 49.13155044824835, "trading_costs_quote_units": 22.779211113001075, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7230.326968793491, "turnover_quote_units": 37965.35185500183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17207.547757680513, "return_pct": 72.07547757680513, "cagr_pct": 72.18217602184144, "max_drawdown_pct": 41.29184114754369, "mean_exposure_while_solvent": 0.7496219570383812, "realized_annual_volatility_pct": 49.13155044824835, "trading_costs_quote_units": 22.779211113001075, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7230.326968793491, "turnover_quote_units": 37965.35185500183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19362.532616542925, "return_pct": 93.62532616542924, "cagr_pct": 93.77149696098658, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9995417048579285, "realized_annual_volatility_pct": 65.45423025630569, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9368.529018701594, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19362.532616542925, "return_pct": 93.62532616542924, "cagr_pct": 93.77149696098658, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9995417048579285, "realized_annual_volatility_pct": 65.45423025630569, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9368.529018701594, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20793.630889868, "return_pct": 107.93630889868, "cagr_pct": 108.11023060614917, "max_drawdown_pct": 62.74380192488211, "mean_exposure_while_solvent": 1.2495819064882272, "realized_annual_volatility_pct": 81.79614506781323, "trading_costs_quote_units": 50.38871198774546, "borrowing_costs_quote_units": 284.2675710478814, "price_pnl_quote_units": 11128.287172903696, "turnover_quote_units": 83981.18664624244, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20793.630889868, "return_pct": 107.93630889868, "cagr_pct": 108.11023060614917, "max_drawdown_pct": 62.74380192488211, "mean_exposure_while_solvent": 1.2495819064882272, "realized_annual_volatility_pct": 81.79614506781323, "trading_costs_quote_units": 50.38871198774546, "borrowing_costs_quote_units": 284.2675710478814, "price_pnl_quote_units": 11128.287172903696, "turnover_quote_units": 83981.18664624244, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21624.528468681372, "return_pct": 116.2452846868137, "cagr_pct": 116.43584106804848, "max_drawdown_pct": 71.26285296129102, "mean_exposure_while_solvent": 1.499780318492488, "realized_annual_volatility_pct": 98.18472345103659, "trading_costs_quote_units": 128.4369327811774, "borrowing_costs_quote_units": 645.7047780427051, "price_pnl_quote_units": 12398.670179505327, "turnover_quote_units": 214061.5546352959, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21624.528468681372, "return_pct": 116.2452846868137, "cagr_pct": 116.43584106804848, "max_drawdown_pct": 71.26285296129102, "mean_exposure_while_solvent": 1.499780318492488, "realized_annual_volatility_pct": 98.18472345103659, "trading_costs_quote_units": 128.4369327811774, "borrowing_costs_quote_units": 645.7047780427051, "price_pnl_quote_units": 12398.670179505327, "turnover_quote_units": 214061.5546352959, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22327.353557894752, "return_pct": 123.27353557894752, "cagr_pct": 123.47844845702247, "max_drawdown_pct": 33.49958139058569, "mean_exposure_while_solvent": 0.6789744917436148, "realized_annual_volatility_pct": 45.07149086005934, "trading_costs_quote_units": 84.00162406301163, "borrowing_costs_quote_units": 18.71401359456456, "price_pnl_quote_units": 12430.0691955524, "turnover_quote_units": 140002.7067716861, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18857.0003892548, "return_pct": 88.57000389254802, "cagr_pct": 88.70665661372502, "max_drawdown_pct": 40.52594784487019, "mean_exposure_while_solvent": 0.7777062498028723, "realized_annual_volatility_pct": 50.344254835038846, "trading_costs_quote_units": 86.78829550594642, "borrowing_costs_quote_units": 7.759480483984181, "price_pnl_quote_units": 8951.548165244756, "turnover_quote_units": 144647.15917657732, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 34.7035316863995 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25467.67753257744, "return_pct": 154.67677532577443, "cagr_pct": 154.9488234692856, "max_drawdown_pct": 47.92301226896899, "mean_exposure_while_solvent": 0.9930467174392064, "realized_annual_volatility_pct": 63.9657355698464, "trading_costs_quote_units": 120.83324453335076, "borrowing_costs_quote_units": 148.2477802858472, "price_pnl_quote_units": 15736.758557396584, "turnover_quote_units": 201388.74088891785, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22501.248701864824, "return_pct": 125.01248701864824, "cagr_pct": 125.22099141118468, "max_drawdown_pct": 49.62727831493672, "mean_exposure_while_solvent": 0.9904867942682312, "realized_annual_volatility_pct": 63.80875022698387, "trading_costs_quote_units": 96.86170641082984, "borrowing_costs_quote_units": 97.3155531020084, "price_pnl_quote_units": 12695.425961377678, "turnover_quote_units": 161436.1773513831, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 29.664288307126185 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26757.435488001465, "return_pct": 167.57435488001465, "cagr_pct": 167.87529372682167, "max_drawdown_pct": 58.5804654848045, "mean_exposure_while_solvent": 1.2451670920810478, "realized_annual_volatility_pct": 79.20735520245815, "trading_costs_quote_units": 146.23156582555686, "borrowing_costs_quote_units": 591.6015260620121, "price_pnl_quote_units": 17495.268579888878, "turnover_quote_units": 243719.2763759281, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25228.73389039382, "return_pct": 152.2873389039382, "cagr_pct": 152.55411567078053, "max_drawdown_pct": 57.0895282969774, "mean_exposure_while_solvent": 1.1557796012570127, "realized_annual_volatility_pct": 74.68673585051634, "trading_costs_quote_units": 125.29241945629434, "borrowing_costs_quote_units": 343.00063310574774, "price_pnl_quote_units": 15697.026942955783, "turnover_quote_units": 208820.69909382393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 15.287015976076447 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21113.236957305246, "return_pct": 111.13236957305244, "cagr_pct": 111.31264567939718, "max_drawdown_pct": 58.49083035355196, "mean_exposure_while_solvent": 1.0629801404724804, "realized_annual_volatility_pct": 67.54880580683458, "trading_costs_quote_units": 238.5391379775691, "borrowing_costs_quote_units": 317.87399854170235, "price_pnl_quote_units": 11669.650093824494, "turnover_quote_units": 397565.2299626146, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23875.13207397319, "return_pct": 138.7513207397319, "cagr_pct": 138.98873186205844, "max_drawdown_pct": 53.94689096562468, "mean_exposure_while_solvent": 1.047510835673088, "realized_annual_volatility_pct": 67.69259103435255, "trading_costs_quote_units": 243.94345367100578, "borrowing_costs_quote_units": 267.4873437261259, "price_pnl_quote_units": 14386.562871370257, "turnover_quote_units": 406572.42278500966, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 309, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -27.618951166679466 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24451.986963971045, "return_pct": 144.51986963971044, "cagr_pct": 144.76969071572339, "max_drawdown_pct": 46.584076342541145, "mean_exposure_while_solvent": 0.9532799317826821, "realized_annual_volatility_pct": 60.95175178601247, "trading_costs_quote_units": 70.09513536882984, "borrowing_costs_quote_units": 104.43931497646096, "price_pnl_quote_units": 14626.521414316348, "turnover_quote_units": 116825.22561471656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19565.800346418684, "return_pct": 95.65800346418685, "cagr_pct": 95.80804414618905, "max_drawdown_pct": 52.164102024492706, "mean_exposure_while_solvent": 0.9729635857708187, "realized_annual_volatility_pct": 64.06941558860896, "trading_costs_quote_units": 42.70531280581784, "borrowing_costs_quote_units": 23.875651376449085, "price_pnl_quote_units": 9632.381310600971, "turnover_quote_units": 71175.52134302967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 48.86186617552359 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21173.41255306102, "return_pct": 111.73412553061021, "cagr_pct": 111.9156042654188, "max_drawdown_pct": 45.97810563998769, "mean_exposure_while_solvent": 0.8913618303392379, "realized_annual_volatility_pct": 56.68363820323613, "trading_costs_quote_units": 54.233625091767635, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11227.646178152805, "turnover_quote_units": 90389.37515294596, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20837.146050405816, "return_pct": 108.37146050405818, "cagr_pct": 108.54624409193514, "max_drawdown_pct": 47.697935018051, "mean_exposure_while_solvent": 0.9209908391388557, "realized_annual_volatility_pct": 58.65847596710794, "trading_costs_quote_units": 48.08567604892668, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10885.231726454718, "turnover_quote_units": 80142.79341487783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 149, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 3.362665026552037 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24523.983028165738, "return_pct": 145.23983028165736, "cagr_pct": 145.49121122745538, "max_drawdown_pct": 50.8872711743224, "mean_exposure_while_solvent": 0.9848948610313534, "realized_annual_volatility_pct": 64.98740208425883, "trading_costs_quote_units": 63.60059973505688, "borrowing_costs_quote_units": 104.47089170785746, "price_pnl_quote_units": 14692.054519608717, "turnover_quote_units": 106000.9995584281, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 302, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19565.800346418684, "return_pct": 95.65800346418685, "cagr_pct": 95.80804414618905, "max_drawdown_pct": 52.164102024492706, "mean_exposure_while_solvent": 0.9729635857708187, "realized_annual_volatility_pct": 64.06941558860896, "trading_costs_quote_units": 42.70531280581784, "borrowing_costs_quote_units": 23.875651376449085, "price_pnl_quote_units": 9632.381310600971, "turnover_quote_units": 71175.52134302967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 49.581826817470514 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24451.986963971045, "return_pct": 144.51986963971044, "cagr_pct": 144.76969071572339, "max_drawdown_pct": 46.584076342541145, "mean_exposure_while_solvent": 0.9532799317826821, "realized_annual_volatility_pct": 60.95175178601247, "trading_costs_quote_units": 70.09513536882984, "borrowing_costs_quote_units": 104.43931497646096, "price_pnl_quote_units": 14626.521414316348, "turnover_quote_units": 116825.22561471656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19565.800346418684, "return_pct": 95.65800346418685, "cagr_pct": 95.80804414618905, "max_drawdown_pct": 52.164102024492706, "mean_exposure_while_solvent": 0.9729635857708187, "realized_annual_volatility_pct": 64.06941558860896, "trading_costs_quote_units": 42.70531280581784, "borrowing_costs_quote_units": 23.875651376449085, "price_pnl_quote_units": 9632.381310600971, "turnover_quote_units": 71175.52134302967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 48.86186617552359 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17207.547757680513, "return_pct": 72.07547757680513, "cagr_pct": 72.18217602184144, "max_drawdown_pct": 41.29184114754369, "mean_exposure_while_solvent": 0.7496219570383812, "realized_annual_volatility_pct": 49.13155044824835, "trading_costs_quote_units": 22.779211113001075, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7230.326968793491, "turnover_quote_units": 37965.35185500183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17207.547757680513, "return_pct": 72.07547757680513, "cagr_pct": 72.18217602184144, "max_drawdown_pct": 41.29184114754369, "mean_exposure_while_solvent": 0.7496219570383812, "realized_annual_volatility_pct": 49.13155044824835, "trading_costs_quote_units": 22.779211113001075, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7230.326968793491, "turnover_quote_units": 37965.35185500183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19362.532616542925, "return_pct": 93.62532616542924, "cagr_pct": 93.77149696098658, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9995417048579285, "realized_annual_volatility_pct": 65.45423025630569, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9368.529018701594, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19362.532616542925, "return_pct": 93.62532616542924, "cagr_pct": 93.77149696098658, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9995417048579285, "realized_annual_volatility_pct": 65.45423025630569, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9368.529018701594, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20535.922305729055, "return_pct": 105.35922305729054, "cagr_pct": 105.52806190940483, "max_drawdown_pct": 62.967435470170855, "mean_exposure_while_solvent": 1.2496000977070885, "realized_annual_volatility_pct": 81.79790441329186, "trading_costs_quote_units": 50.084760279910185, "borrowing_costs_quote_units": 564.5308171785285, "price_pnl_quote_units": 11150.537883187511, "turnover_quote_units": 83474.60046651693, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20535.922305729055, "return_pct": 105.35922305729054, "cagr_pct": 105.52806190940483, "max_drawdown_pct": 62.967435470170855, "mean_exposure_while_solvent": 1.2496000977070885, "realized_annual_volatility_pct": 81.79790441329186, "trading_costs_quote_units": 50.084760279910185, "borrowing_costs_quote_units": 564.5308171785285, "price_pnl_quote_units": 11150.537883187511, "turnover_quote_units": 83474.60046651693, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21091.629424357634, "return_pct": 110.91629424357632, "cagr_pct": 111.09613899509618, "max_drawdown_pct": 71.60753148864309, "mean_exposure_while_solvent": 1.4998240230868916, "realized_annual_volatility_pct": 98.18895651608278, "trading_costs_quote_units": 126.75901900864491, "borrowing_costs_quote_units": 1273.1447180704977, "price_pnl_quote_units": 12491.533161436806, "turnover_quote_units": 211265.03168107514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21091.629424357634, "return_pct": 110.91629424357632, "cagr_pct": 111.09613899509618, "max_drawdown_pct": 71.60753148864309, "mean_exposure_while_solvent": 1.4998240230868916, "realized_annual_volatility_pct": 98.18895651608278, "trading_costs_quote_units": 126.75901900864491, "borrowing_costs_quote_units": 1273.1447180704977, "price_pnl_quote_units": 12491.533161436806, "turnover_quote_units": 211265.03168107514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22290.530559542894, "return_pct": 122.90530559542896, "cagr_pct": 123.1094599403538, "max_drawdown_pct": 33.49958139058559, "mean_exposure_while_solvent": 0.6789770838746877, "realized_annual_volatility_pct": 45.07013678265882, "trading_costs_quote_units": 83.8780406696232, "borrowing_costs_quote_units": 37.40177920885713, "price_pnl_quote_units": 12411.810379421366, "turnover_quote_units": 139796.73444937213, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18843.18325736854, "return_pct": 88.43183257368538, "cagr_pct": 88.56822730671765, "max_drawdown_pct": 40.52594784487019, "mean_exposure_while_solvent": 0.7777072597667575, "realized_annual_volatility_pct": 50.344177463156704, "trading_costs_quote_units": 86.73089325440856, "borrowing_costs_quote_units": 15.515290068432057, "price_pnl_quote_units": 8945.429440691367, "turnover_quote_units": 144551.4887573474, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 34.47347302174357 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25211.930890331372, "return_pct": 152.1193089033137, "cagr_pct": 152.38571594825635, "max_drawdown_pct": 47.98178606226564, "mean_exposure_while_solvent": 0.9930626574096469, "realized_annual_volatility_pct": 63.96592239631747, "trading_costs_quote_units": 119.85472503204218, "borrowing_costs_quote_units": 294.7130876525608, "price_pnl_quote_units": 15626.498703016043, "turnover_quote_units": 199757.87505340355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22346.356402818616, "return_pct": 123.46356402818617, "cagr_pct": 123.66886862617844, "max_drawdown_pct": 49.663401975930086, "mean_exposure_while_solvent": 0.9904978164927921, "realized_annual_volatility_pct": 63.80955245122743, "trading_costs_quote_units": 96.33241097127987, "borrowing_costs_quote_units": 193.84575141920638, "price_pnl_quote_units": 12636.534565209067, "turnover_quote_units": 160554.0182854663, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 28.65574487512754 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26045.750005616086, "return_pct": 160.45750005616085, "cagr_pct": 160.74240682410675, "max_drawdown_pct": 58.97087113842818, "mean_exposure_while_solvent": 1.2452112381194074, "realized_annual_volatility_pct": 79.20973560661064, "trading_costs_quote_units": 143.8168962219846, "borrowing_costs_quote_units": 1163.870310252143, "price_pnl_quote_units": 17353.437212090237, "turnover_quote_units": 239694.8270366412, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24782.903904497965, "return_pct": 147.82903904497965, "cagr_pct": 148.08604972504926, "max_drawdown_pct": 57.287775658308426, "mean_exposure_while_solvent": 1.155809081072447, "realized_annual_volatility_pct": 74.68828667875351, "trading_costs_quote_units": 123.90256318954795, "borrowing_costs_quote_units": 678.5574720738421, "price_pnl_quote_units": 15585.363939761322, "turnover_quote_units": 206504.2719825799, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 12.628461011181201 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20746.04555391202, "return_pct": 107.46045553912018, "cagr_pct": 107.63343594342803, "max_drawdown_pct": 58.736070354003736, "mean_exposure_while_solvent": 1.0630097427789515, "realized_annual_volatility_pct": 67.55194464563866, "trading_costs_quote_units": 235.94097460411362, "borrowing_costs_quote_units": 629.1305193597145, "price_pnl_quote_units": 11611.117047875847, "turnover_quote_units": 393234.95767352276, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23538.57960264947, "return_pct": 135.38579602649472, "cagr_pct": 135.61604029280625, "max_drawdown_pct": 54.15320499554406, "mean_exposure_while_solvent": 1.0475347299443125, "realized_annual_volatility_pct": 67.6945475182048, "trading_costs_quote_units": 241.747329356707, "borrowing_costs_quote_units": 530.4161801870574, "price_pnl_quote_units": 14310.743112193242, "turnover_quote_units": 402912.21559451206, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 309, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -27.92534048737454 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24266.850035153628, "return_pct": 142.66850035153627, "cagr_pct": 142.91432140164085, "max_drawdown_pct": 46.59185367740785, "mean_exposure_while_solvent": 0.9532918503289124, "realized_annual_volatility_pct": 60.95113999321698, "trading_costs_quote_units": 69.66664151146341, "borrowing_costs_quote_units": 207.99858001260833, "price_pnl_quote_units": 14544.51525667773, "turnover_quote_units": 116111.06918577242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19523.91752185621, "return_pct": 95.23917521856208, "cagr_pct": 95.3884165350358, "max_drawdown_pct": 52.16811268255128, "mean_exposure_while_solvent": 0.9729669553345083, "realized_annual_volatility_pct": 64.06977272365775, "trading_costs_quote_units": 42.63966108766597, "borrowing_costs_quote_units": 47.70449087281779, "price_pnl_quote_units": 9614.261673816729, "turnover_quote_units": 71066.10181277666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 47.429325132974185 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21173.41255306102, "return_pct": 111.73412553061021, "cagr_pct": 111.9156042654188, "max_drawdown_pct": 45.97810563998769, "mean_exposure_while_solvent": 0.8913618303392379, "realized_annual_volatility_pct": 56.68363820323613, "trading_costs_quote_units": 54.233625091767635, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11227.646178152805, "turnover_quote_units": 90389.37515294596, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20837.146050405816, "return_pct": 108.37146050405818, "cagr_pct": 108.54624409193514, "max_drawdown_pct": 47.697935018051, "mean_exposure_while_solvent": 0.9209908391388557, "realized_annual_volatility_pct": 58.65847596710794, "trading_costs_quote_units": 48.08567604892668, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10885.231726454718, "turnover_quote_units": 80142.79341487783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 149, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 3.362665026552037 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24338.300984947957, "return_pct": 143.38300984947958, "cagr_pct": 143.6303727435055, "max_drawdown_pct": 50.894421965924266, "mean_exposure_while_solvent": 0.9849067795775838, "realized_annual_volatility_pct": 64.98682986067567, "trading_costs_quote_units": 63.218613731714086, "borrowing_costs_quote_units": 208.06127671240827, "price_pnl_quote_units": 14609.580875392094, "turnover_quote_units": 105364.35621952362, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 302, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19523.91752185621, "return_pct": 95.23917521856208, "cagr_pct": 95.3884165350358, "max_drawdown_pct": 52.16811268255128, "mean_exposure_while_solvent": 0.9729669553345083, "realized_annual_volatility_pct": 64.06977272365775, "trading_costs_quote_units": 42.63966108766597, "borrowing_costs_quote_units": 47.70449087281779, "price_pnl_quote_units": 9614.261673816729, "turnover_quote_units": 71066.10181277666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 48.143834630917496 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24266.850035153628, "return_pct": 142.66850035153627, "cagr_pct": 142.91432140164085, "max_drawdown_pct": 46.59185367740785, "mean_exposure_while_solvent": 0.9532918503289124, "realized_annual_volatility_pct": 60.95113999321698, "trading_costs_quote_units": 69.66664151146341, "borrowing_costs_quote_units": 207.99858001260833, "price_pnl_quote_units": 14544.51525667773, "turnover_quote_units": 116111.06918577242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19523.91752185621, "return_pct": 95.23917521856208, "cagr_pct": 95.3884165350358, "max_drawdown_pct": 52.16811268255128, "mean_exposure_while_solvent": 0.9729669553345083, "realized_annual_volatility_pct": 64.06977272365775, "trading_costs_quote_units": 42.63966108766597, "borrowing_costs_quote_units": 47.70449087281779, "price_pnl_quote_units": 9614.261673816729, "turnover_quote_units": 71066.10181277666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 47.429325132974185 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 17207.547757680513, "return_pct": 72.07547757680513, "cagr_pct": 72.18217602184144, "max_drawdown_pct": 41.29184114754369, "mean_exposure_while_solvent": 0.7496219570383812, "realized_annual_volatility_pct": 49.13155044824835, "trading_costs_quote_units": 22.779211113001075, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7230.326968793491, "turnover_quote_units": 37965.35185500183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 17207.547757680513, "return_pct": 72.07547757680513, "cagr_pct": 72.18217602184144, "max_drawdown_pct": 41.29184114754369, "mean_exposure_while_solvent": 0.7496219570383812, "realized_annual_volatility_pct": 49.13155044824835, "trading_costs_quote_units": 22.779211113001075, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7230.326968793491, "turnover_quote_units": 37965.35185500183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19362.532616542925, "return_pct": 93.62532616542924, "cagr_pct": 93.77149696098658, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9995417048579285, "realized_annual_volatility_pct": 65.45423025630569, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9368.529018701594, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19362.532616542925, "return_pct": 93.62532616542924, "cagr_pct": 93.77149696098658, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9995417048579285, "realized_annual_volatility_pct": 65.45423025630569, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9368.529018701594, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20029.930397762284, "return_pct": 100.29930397762286, "cagr_pct": 100.45827112131471, "max_drawdown_pct": 63.41078421101862, "mean_exposure_while_solvent": 1.2496364860348066, "realized_annual_volatility_pct": 81.80142356458111, "trading_costs_quote_units": 49.48494678257485, "borrowing_costs_quote_units": 1113.2398703300805, "price_pnl_quote_units": 11192.655214874861, "turnover_quote_units": 82474.91130429125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20029.930397762284, "return_pct": 100.29930397762286, "cagr_pct": 100.45827112131471, "max_drawdown_pct": 63.41078421101862, "mean_exposure_while_solvent": 1.2496364860348066, "realized_annual_volatility_pct": 81.80142356458111, "trading_costs_quote_units": 49.48494678257485, "borrowing_costs_quote_units": 1113.2398703300805, "price_pnl_quote_units": 11192.655214874861, "turnover_quote_units": 82474.91130429125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20064.61629453481, "return_pct": 100.64616294534812, "cagr_pct": 100.80580216943802, "max_drawdown_pct": 72.28472437179026, "mean_exposure_while_solvent": 1.4999114521924082, "realized_annual_volatility_pct": 98.19742452558879, "trading_costs_quote_units": 123.48157455977031, "borrowing_costs_quote_units": 2475.00396664352, "price_pnl_quote_units": 12663.10183573807, "turnover_quote_units": 205802.62426628414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20064.61629453481, "return_pct": 100.64616294534812, "cagr_pct": 100.80580216943802, "max_drawdown_pct": 72.28472437179026, "mean_exposure_while_solvent": 1.4999114521924082, "realized_annual_volatility_pct": 98.19742452558879, "trading_costs_quote_units": 123.48157455977031, "borrowing_costs_quote_units": 2475.00396664352, "price_pnl_quote_units": 12663.10183573807, "turnover_quote_units": 205802.62426628414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21593.223165717736, "return_pct": 115.93223165717737, "cagr_pct": 116.12215458923991, "max_drawdown_pct": 35.20709884473048, "mean_exposure_while_solvent": 0.6787063083081074, "realized_annual_volatility_pct": 45.254265300403816, "trading_costs_quote_units": 83.93604629724693, "borrowing_costs_quote_units": 9.594456779438325, "price_pnl_quote_units": 11686.75366879443, "turnover_quote_units": 139893.41049541155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19196.183326270617, "return_pct": 91.96183326270616, "cagr_pct": 92.10485519515363, "max_drawdown_pct": 40.99634347020622, "mean_exposure_while_solvent": 0.777188800457398, "realized_annual_volatility_pct": 50.26769582970505, "trading_costs_quote_units": 88.15545126067147, "borrowing_costs_quote_units": 3.9064169568908427, "price_pnl_quote_units": 9288.245194488183, "turnover_quote_units": 146925.7521011193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 23.970398394471204 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24988.060944131586, "return_pct": 149.88060944131587, "cagr_pct": 150.14210286654824, "max_drawdown_pct": 49.515932168107355, "mean_exposure_while_solvent": 0.9919944358043535, "realized_annual_volatility_pct": 64.19849732826687, "trading_costs_quote_units": 122.35000032656757, "borrowing_costs_quote_units": 74.46451656445659, "price_pnl_quote_units": 15184.875461022577, "turnover_quote_units": 203916.66721094583, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 22333.20587811208, "return_pct": 123.33205878112081, "cagr_pct": 123.53709227775207, "max_drawdown_pct": 50.65687889595186, "mean_exposure_while_solvent": 0.9892900690708875, "realized_annual_volatility_pct": 63.95569203057643, "trading_costs_quote_units": 96.87161812304336, "borrowing_costs_quote_units": 48.74249547173716, "price_pnl_quote_units": 12478.81999170683, "turnover_quote_units": 161452.69687173897, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 26.548550660195062 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26630.77354235153, "return_pct": 166.3077354235153, "cagr_pct": 166.60580494993843, "max_drawdown_pct": 59.26757358108521, "mean_exposure_while_solvent": 1.2434251073512708, "realized_annual_volatility_pct": 79.43159441743367, "trading_costs_quote_units": 146.89570072212035, "borrowing_costs_quote_units": 296.87733169929527, "price_pnl_quote_units": 17074.546574772914, "turnover_quote_units": 244826.16787020068, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24621.955698365964, "return_pct": 146.21955698365966, "cagr_pct": 146.4730644939963, "max_drawdown_pct": 57.70053380323428, "mean_exposure_while_solvent": 1.1540463424848268, "realized_annual_volatility_pct": 74.97660752373692, "trading_costs_quote_units": 123.7429495855867, "borrowing_costs_quote_units": 169.48165907710725, "price_pnl_quote_units": 14915.180307028666, "turnover_quote_units": 206238.24930931118, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 20.088178439855653 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20651.0505681832, "return_pct": 106.51050568183197, "cagr_pct": 106.68161069346658, "max_drawdown_pct": 60.2363245979223, "mean_exposure_while_solvent": 1.061943019155719, "realized_annual_volatility_pct": 68.05372390997547, "trading_costs_quote_units": 240.7988150274322, "borrowing_costs_quote_units": 158.7040651099842, "price_pnl_quote_units": 11050.553448320577, "turnover_quote_units": 401331.35837905394, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23533.55304492158, "return_pct": 135.3355304492158, "cagr_pct": 135.56566809088127, "max_drawdown_pct": 55.81636385389306, "mean_exposure_while_solvent": 1.0465245076327547, "realized_annual_volatility_pct": 68.09495529489573, "trading_costs_quote_units": 248.2089986446025, "borrowing_costs_quote_units": 134.26731881997685, "price_pnl_quote_units": 13916.029362386154, "turnover_quote_units": 413681.6644076708, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -28.825024767383837 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24578.229544627065, "return_pct": 145.78229544627064, "cagr_pct": 146.03485329784016, "max_drawdown_pct": 47.042730383373645, "mean_exposure_while_solvent": 0.9526892117104896, "realized_annual_volatility_pct": 61.08792321049542, "trading_costs_quote_units": 71.32719305897861, "borrowing_costs_quote_units": 52.87073792741435, "price_pnl_quote_units": 14702.427475613455, "turnover_quote_units": 118878.65509829768, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19925.634160046466, "return_pct": 99.25634160046467, "cagr_pct": 99.41329202612816, "max_drawdown_pct": 51.76752286010178, "mean_exposure_while_solvent": 0.972402619324267, "realized_annual_volatility_pct": 63.926666662559306, "trading_costs_quote_units": 44.05501248789799, "borrowing_costs_quote_units": 12.19332352284105, "price_pnl_quote_units": 9981.882496057144, "turnover_quote_units": 73425.02081316333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 46.52595384580597 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20787.906720376046, "return_pct": 107.87906720376048, "cagr_pct": 108.05287561332068, "max_drawdown_pct": 46.81834476599901, "mean_exposure_while_solvent": 0.8906777768096554, "realized_annual_volatility_pct": 56.78139211013278, "trading_costs_quote_units": 53.61371766057761, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10841.52043803668, "turnover_quote_units": 89356.19610096265, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 214, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20841.705362203378, "return_pct": 108.41705362203378, "cagr_pct": 108.59192757386951, "max_drawdown_pct": 47.921942186265134, "mean_exposure_while_solvent": 0.9202660614317805, "realized_annual_volatility_pct": 58.671605075333744, "trading_costs_quote_units": 47.692806235481235, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10889.398168438905, "turnover_quote_units": 79488.01039246868, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 151, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -0.5379864182732916 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24858.713343404735, "return_pct": 148.58713343404736, "cagr_pct": 148.8457983181289, "max_drawdown_pct": 51.047257607543386, "mean_exposure_while_solvent": 0.9842727585736047, "realized_annual_volatility_pct": 65.07972687375954, "trading_costs_quote_units": 65.18905167252957, "borrowing_costs_quote_units": 52.9299493543645, "price_pnl_quote_units": 14976.832344431718, "turnover_quote_units": 108648.41945421587, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19925.634160046466, "return_pct": 99.25634160046467, "cagr_pct": 99.41329202612816, "max_drawdown_pct": 51.76752286010178, "mean_exposure_while_solvent": 0.972402619324267, "realized_annual_volatility_pct": 63.926666662559306, "trading_costs_quote_units": 44.05501248789799, "borrowing_costs_quote_units": 12.19332352284105, "price_pnl_quote_units": 9981.882496057144, "turnover_quote_units": 73425.02081316333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 49.330791833582694 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24578.229544627065, "return_pct": 145.78229544627064, "cagr_pct": 146.03485329784016, "max_drawdown_pct": 47.042730383373645, "mean_exposure_while_solvent": 0.9526892117104896, "realized_annual_volatility_pct": 61.08792321049542, "trading_costs_quote_units": 71.32719305897861, "borrowing_costs_quote_units": 52.87073792741435, "price_pnl_quote_units": 14702.427475613455, "turnover_quote_units": 118878.65509829768, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19925.634160046466, "return_pct": 99.25634160046467, "cagr_pct": 99.41329202612816, "max_drawdown_pct": 51.76752286010178, "mean_exposure_while_solvent": 0.972402619324267, "realized_annual_volatility_pct": 63.926666662559306, "trading_costs_quote_units": 44.05501248789799, "borrowing_costs_quote_units": 12.19332352284105, "price_pnl_quote_units": 9981.882496057144, "turnover_quote_units": 73425.02081316333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 46.52595384580597 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17178.006286184223, "return_pct": 71.78006286184224, "cagr_pct": 71.8862408253716, "max_drawdown_pct": 41.62136309892871, "mean_exposure_while_solvent": 0.7492737554486788, "realized_annual_volatility_pct": 49.13805955365558, "trading_costs_quote_units": 20.459849203612702, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7198.466135387823, "turnover_quote_units": 34099.7486726879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17178.006286184223, "return_pct": 71.78006286184224, "cagr_pct": 71.8862408253716, "max_drawdown_pct": 41.62136309892871, "mean_exposure_while_solvent": 0.7492737554486788, "realized_annual_volatility_pct": 49.13805955365558, "trading_costs_quote_units": 20.459849203612702, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7198.466135387823, "turnover_quote_units": 34099.7486726879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19526.68202913032, "return_pct": 95.2668202913032, "cagr_pct": 95.4161143388327, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9986251145737856, "realized_annual_volatility_pct": 65.45011682296806, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9532.678431289058, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19526.68202913032, "return_pct": 95.2668202913032, "cagr_pct": 95.4161143388327, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9986251145737856, "realized_annual_volatility_pct": 65.45011682296806, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9532.678431289058, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21297.24158957688, "return_pct": 112.97241589576879, "cagr_pct": 113.15637554453919, "max_drawdown_pct": 62.393600218185206, "mean_exposure_while_solvent": 1.2478855287436386, "realized_annual_volatility_pct": 81.77317846746995, "trading_costs_quote_units": 45.302757737480384, "borrowing_costs_quote_units": 288.4807403142784, "price_pnl_quote_units": 11631.025087628648, "turnover_quote_units": 75504.59622913395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21297.24158957688, "return_pct": 112.97241589576879, "cagr_pct": 113.15637554453919, "max_drawdown_pct": 62.393600218185206, "mean_exposure_while_solvent": 1.2478855287436386, "realized_annual_volatility_pct": 81.77317846746995, "trading_costs_quote_units": 45.302757737480384, "borrowing_costs_quote_units": 288.4807403142784, "price_pnl_quote_units": 11631.025087628648, "turnover_quote_units": 75504.59622913395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 22604.368161937273, "return_pct": 126.04368161937272, "cagr_pct": 126.2543230445917, "max_drawdown_pct": 70.62296468732268, "mean_exposure_while_solvent": 1.4971010324952276, "realized_annual_volatility_pct": 98.12949361565055, "trading_costs_quote_units": 115.28658732832689, "borrowing_costs_quote_units": 662.867833832466, "price_pnl_quote_units": 13382.522583098173, "turnover_quote_units": 192144.3122138781, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 22604.368161937273, "return_pct": 126.04368161937272, "cagr_pct": 126.2543230445917, "max_drawdown_pct": 70.62296468732268, "mean_exposure_while_solvent": 1.4971010324952276, "realized_annual_volatility_pct": 98.12949361565055, "trading_costs_quote_units": 115.28658732832689, "borrowing_costs_quote_units": 662.867833832466, "price_pnl_quote_units": 13382.522583098173, "turnover_quote_units": 192144.3122138781, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21575.373161883075, "return_pct": 115.75373161883076, "cagr_pct": 115.94329359629643, "max_drawdown_pct": 35.20709884473045, "mean_exposure_while_solvent": 0.6787076166252647, "realized_annual_volatility_pct": 45.25384600119115, "trading_costs_quote_units": 83.8770857301164, "borrowing_costs_quote_units": 19.182087525698066, "price_pnl_quote_units": 11678.432335138916, "turnover_quote_units": 139795.14288352733, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19189.152945285678, "return_pct": 91.89152945285677, "cagr_pct": 92.03441866792605, "max_drawdown_pct": 40.99634347020622, "mean_exposure_while_solvent": 0.7771893016578002, "realized_annual_volatility_pct": 50.267630345085415, "trading_costs_quote_units": 88.12589503127748, "borrowing_costs_quote_units": 7.811911049060291, "price_pnl_quote_units": 9285.090751365997, "turnover_quote_units": 146876.4917187959, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 23.862202165973983 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24862.664870426823, "return_pct": 148.62664870426823, "cagr_pct": 148.88539988548993, "max_drawdown_pct": 49.5445364876645, "mean_exposure_while_solvent": 0.9920021960518842, "realized_annual_volatility_pct": 64.19851002247005, "trading_costs_quote_units": 121.86407350396836, "borrowing_costs_quote_units": 148.4828827446984, "price_pnl_quote_units": 15133.011826675527, "turnover_quote_units": 203106.78917328073, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22256.530476893364, "return_pct": 122.56530476893363, "cagr_pct": 122.76875934931284, "max_drawdown_pct": 50.67468794184907, "mean_exposure_while_solvent": 0.9892953596159333, "realized_annual_volatility_pct": 63.95590884211014, "trading_costs_quote_units": 96.60986002903543, "borrowing_costs_quote_units": 97.28896202702147, "price_pnl_quote_units": 12450.429298949395, "turnover_quote_units": 161016.4333817257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 26.061343935334605 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26274.693795893887, "return_pct": 162.74693795893887, "cagr_pct": 163.03697812693935, "max_drawdown_pct": 59.46005213355598, "mean_exposure_while_solvent": 1.2434467549594959, "realized_annual_volatility_pct": 79.43253253983873, "trading_costs_quote_units": 145.68772123850624, "borrowing_costs_quote_units": 588.9016721800276, "price_pnl_quote_units": 17009.283189312428, "turnover_quote_units": 242812.868730844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24403.761156781, "return_pct": 144.03761156781002, "cagr_pct": 144.28638913791204, "max_drawdown_pct": 57.7984106961824, "mean_exposure_while_solvent": 1.1540606486759117, "realized_annual_volatility_pct": 74.97716053568453, "trading_costs_quote_units": 123.06334896228329, "borrowing_costs_quote_units": 337.13098456491804, "price_pnl_quote_units": 14863.955490308163, "turnover_quote_units": 205105.5816038053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 18.709326391128855 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20470.860186502585, "return_pct": 104.70860186502584, "cagr_pct": 104.87616331233491, "max_drawdown_pct": 60.355131113893854, "mean_exposure_while_solvent": 1.0619572525469396, "realized_annual_volatility_pct": 68.05517177988139, "trading_costs_quote_units": 239.4921329929017, "borrowing_costs_quote_units": 315.7613318296628, "price_pnl_quote_units": 11026.113651325146, "turnover_quote_units": 399153.5549881694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23367.247582661083, "return_pct": 133.67247582661085, "cagr_pct": 133.8990926980914, "max_drawdown_pct": 55.9167401491776, "mean_exposure_while_solvent": 1.046535908859511, "realized_annual_volatility_pct": 68.09581156154367, "trading_costs_quote_units": 247.0914791284896, "borrowing_costs_quote_units": 267.39097250638736, "price_pnl_quote_units": 13881.730034295966, "turnover_quote_units": 411819.13188081596, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -28.96387396158501 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24484.942949825403, "return_pct": 144.84942949825404, "cagr_pct": 145.09996429936967, "max_drawdown_pct": 47.046603360917096, "mean_exposure_while_solvent": 0.9526950051495297, "realized_annual_volatility_pct": 61.08767361086828, "trading_costs_quote_units": 71.11656422229909, "borrowing_costs_quote_units": 105.51789486809346, "price_pnl_quote_units": 14661.577408915748, "turnover_quote_units": 118527.60703716514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19904.054984054685, "return_pct": 99.04054984054684, "cagr_pct": 99.1970837806236, "max_drawdown_pct": 51.76954677377152, "mean_exposure_while_solvent": 0.9724041567739921, "realized_annual_volatility_pct": 63.92679434292331, "trading_costs_quote_units": 44.02068373675431, "borrowing_costs_quote_units": 24.374334240688594, "price_pnl_quote_units": 9972.450002032074, "turnover_quote_units": 73367.80622792384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 45.808879657707195 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20787.906720376046, "return_pct": 107.87906720376048, "cagr_pct": 108.05287561332068, "max_drawdown_pct": 46.81834476599901, "mean_exposure_while_solvent": 0.8906777768096554, "realized_annual_volatility_pct": 56.78139211013278, "trading_costs_quote_units": 53.61371766057761, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10841.52043803668, "turnover_quote_units": 89356.19610096265, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 214, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20841.705362203378, "return_pct": 108.41705362203378, "cagr_pct": 108.59192757386951, "max_drawdown_pct": 47.921942186265134, "mean_exposure_while_solvent": 0.9202660614317805, "realized_annual_volatility_pct": 58.671605075333744, "trading_costs_quote_units": 47.692806235481235, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10889.398168438905, "turnover_quote_units": 79488.01039246868, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 151, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -0.5379864182732916 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24764.36217320567, "return_pct": 147.6436217320567, "cagr_pct": 147.90022822492918, "max_drawdown_pct": 51.05083771794842, "mean_exposure_while_solvent": 0.9842785520126449, "realized_annual_volatility_pct": 65.0794956278156, "trading_costs_quote_units": 65.00048168682055, "borrowing_costs_quote_units": 105.63588774256145, "price_pnl_quote_units": 14934.998542635087, "turnover_quote_units": 108334.13614470098, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19904.054984054685, "return_pct": 99.04054984054684, "cagr_pct": 99.1970837806236, "max_drawdown_pct": 51.76954677377152, "mean_exposure_while_solvent": 0.9724041567739921, "realized_annual_volatility_pct": 63.92679434292331, "trading_costs_quote_units": 44.02068373675431, "borrowing_costs_quote_units": 24.374334240688594, "price_pnl_quote_units": 9972.450002032074, "turnover_quote_units": 73367.80622792384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 48.60307189150984 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24484.942949825403, "return_pct": 144.84942949825404, "cagr_pct": 145.09996429936967, "max_drawdown_pct": 47.046603360917096, "mean_exposure_while_solvent": 0.9526950051495297, "realized_annual_volatility_pct": 61.08767361086828, "trading_costs_quote_units": 71.11656422229909, "borrowing_costs_quote_units": 105.51789486809346, "price_pnl_quote_units": 14661.577408915748, "turnover_quote_units": 118527.60703716514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19904.054984054685, "return_pct": 99.04054984054684, "cagr_pct": 99.1970837806236, "max_drawdown_pct": 51.76954677377152, "mean_exposure_while_solvent": 0.9724041567739921, "realized_annual_volatility_pct": 63.92679434292331, "trading_costs_quote_units": 44.02068373675431, "borrowing_costs_quote_units": 24.374334240688594, "price_pnl_quote_units": 9972.450002032074, "turnover_quote_units": 73367.80622792384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 45.808879657707195 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17178.006286184223, "return_pct": 71.78006286184224, "cagr_pct": 71.8862408253716, "max_drawdown_pct": 41.62136309892871, "mean_exposure_while_solvent": 0.7492737554486788, "realized_annual_volatility_pct": 49.13805955365558, "trading_costs_quote_units": 20.459849203612702, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7198.466135387823, "turnover_quote_units": 34099.7486726879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17178.006286184223, "return_pct": 71.78006286184224, "cagr_pct": 71.8862408253716, "max_drawdown_pct": 41.62136309892871, "mean_exposure_while_solvent": 0.7492737554486788, "realized_annual_volatility_pct": 49.13805955365558, "trading_costs_quote_units": 20.459849203612702, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7198.466135387823, "turnover_quote_units": 34099.7486726879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19526.68202913032, "return_pct": 95.2668202913032, "cagr_pct": 95.4161143388327, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9986251145737856, "realized_annual_volatility_pct": 65.45011682296806, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9532.678431289058, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19526.68202913032, "return_pct": 95.2668202913032, "cagr_pct": 95.4161143388327, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9986251145737856, "realized_annual_volatility_pct": 65.45011682296806, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9532.678431289058, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21033.577520221963, "return_pct": 110.33577520221965, "cagr_pct": 110.51446230901706, "max_drawdown_pct": 62.619185709088676, "mean_exposure_while_solvent": 1.247903329444802, "realized_annual_volatility_pct": 81.77461637036208, "trading_costs_quote_units": 45.040285335945825, "borrowing_costs_quote_units": 572.8959411833583, "price_pnl_quote_units": 11651.513746741326, "turnover_quote_units": 75067.1422265764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21033.577520221963, "return_pct": 110.33577520221965, "cagr_pct": 110.51446230901706, "max_drawdown_pct": 62.619185709088676, "mean_exposure_while_solvent": 1.247903329444802, "realized_annual_volatility_pct": 81.77461637036208, "trading_costs_quote_units": 45.040285335945825, "borrowing_costs_quote_units": 572.8959411833583, "price_pnl_quote_units": 11651.513746741326, "turnover_quote_units": 75067.1422265764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22047.986513064025, "return_pct": 120.47986513064023, "cagr_pct": 120.67904065188868, "max_drawdown_pct": 70.97499964078736, "mean_exposure_while_solvent": 1.4971437533575211, "realized_annual_volatility_pct": 98.13295018031613, "trading_costs_quote_units": 113.82052903882614, "borrowing_costs_quote_units": 1306.948085814635, "price_pnl_quote_units": 13468.755127917575, "turnover_quote_units": 189700.8817313771, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22047.986513064025, "return_pct": 120.47986513064023, "cagr_pct": 120.67904065188868, "max_drawdown_pct": 70.97499964078736, "mean_exposure_while_solvent": 1.4971437533575211, "realized_annual_volatility_pct": 98.13295018031613, "trading_costs_quote_units": 113.82052903882614, "borrowing_costs_quote_units": 1306.948085814635, "price_pnl_quote_units": 13468.755127917575, "turnover_quote_units": 189700.8817313771, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21539.70872388433, "return_pct": 115.39708723884333, "cagr_pct": 115.58592853269016, "max_drawdown_pct": 35.20709884473043, "mean_exposure_while_solvent": 0.6787102337438764, "realized_annual_volatility_pct": 45.25301129118122, "trading_costs_quote_units": 83.75927740414204, "borrowing_costs_quote_units": 38.33688448947329, "price_pnl_quote_units": 11661.804885777963, "turnover_quote_units": 139598.79567357022, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19175.096950247393, "return_pct": 91.75096950247392, "cagr_pct": 91.89359346115347, "max_drawdown_pct": 40.99634347020622, "mean_exposure_while_solvent": 0.7771903041986529, "realized_annual_volatility_pct": 50.26750027456942, "trading_costs_quote_units": 88.06680200526958, "borrowing_costs_quote_units": 15.620130670483423, "price_pnl_quote_units": 9278.783882923124, "turnover_quote_units": 146778.00334211587, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 23.646117736369405 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24613.697407115735, "return_pct": 146.13697407115734, "cagr_pct": 146.39030215712395, "max_drawdown_pct": 49.601708473935915, "mean_exposure_while_solvent": 0.9920177193703347, "realized_annual_volatility_pct": 64.19854872774584, "trading_costs_quote_units": 120.89829730612468, "borrowing_costs_quote_units": 295.1906676662821, "price_pnl_quote_units": 15029.7863720882, "turnover_quote_units": 201497.1621768744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 22103.931611881984, "return_pct": 121.03931611881987, "cagr_pct": 121.23963735611953, "max_drawdown_pct": 50.710294653845835, "mean_exposure_while_solvent": 0.9893059426366344, "realized_annual_volatility_pct": 63.95635310265896, "trading_costs_quote_units": 96.08854381201303, "borrowing_costs_quote_units": 193.79656904257882, "price_pnl_quote_units": 12393.816724736655, "turnover_quote_units": 160147.57302002158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 25.09765795233747 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25576.578398757327, "return_pct": 155.7657839875733, "cagr_pct": 156.04024313871153, "max_drawdown_pct": 59.842375946728254, "mean_exposure_while_solvent": 1.24349005870787, "realized_annual_volatility_pct": 79.43442519599444, "trading_costs_quote_units": 143.3041564212793, "borrowing_costs_quote_units": 1158.662347793758, "price_pnl_quote_units": 16878.544902972368, "turnover_quote_units": 238840.260702132, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23973.046610712398, "return_pct": 139.73046610712396, "cagr_pct": 139.96997254178552, "max_drawdown_pct": 57.99353186997216, "mean_exposure_while_solvent": 1.1540892667247917, "realized_annual_volatility_pct": 74.97828545249645, "trading_costs_quote_units": 121.71632308451552, "borrowing_costs_quote_units": 667.0006963489478, "price_pnl_quote_units": 14761.763630145839, "turnover_quote_units": 202860.53847419267, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 16.035317880449327 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20115.091240444708, "return_pct": 101.1509124044471, "cagr_pct": 101.31153086588984, "max_drawdown_pct": 60.59174119187776, "mean_exposure_while_solvent": 1.0619857250480773, "realized_annual_volatility_pct": 68.05809051100863, "trading_costs_quote_units": 236.90135034267436, "borrowing_costs_quote_units": 624.9944156872814, "price_pnl_quote_units": 10976.987006474645, "turnover_quote_units": 394835.5839044574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23038.07056185673, "return_pct": 130.3807056185673, "cagr_pct": 130.60039368296293, "max_drawdown_pct": 56.11685994183881, "mean_exposure_while_solvent": 1.046558715816367, "realized_annual_volatility_pct": 68.0975437414451, "trading_costs_quote_units": 244.8725009593095, "borrowing_costs_quote_units": 530.2405013479048, "price_pnl_quote_units": 13813.18356416397, "turnover_quote_units": 408120.83493218274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -29.229793214120207 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24299.386485395247, "return_pct": 142.99386485395246, "cagr_pct": 143.24038771172206, "max_drawdown_pct": 47.054349860839025, "mean_exposure_while_solvent": 0.9527065940914429, "realized_annual_volatility_pct": 61.087185046604844, "trading_costs_quote_units": 70.69738754332379, "borrowing_costs_quote_units": 210.14488417794786, "price_pnl_quote_units": 14580.228757116533, "turnover_quote_units": 117828.97923887293, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19860.95696300247, "return_pct": 98.60956963002472, "cagr_pct": 98.76527256487523, "max_drawdown_pct": 51.77359507336345, "mean_exposure_while_solvent": 0.972407232166961, "realized_annual_volatility_pct": 63.92705256933902, "trading_costs_quote_units": 43.95210825305847, "borrowing_costs_quote_units": 48.69945802370826, "price_pnl_quote_units": 9953.608529279234, "turnover_quote_units": 73253.51375509749, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 44.38429522392774 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20787.906720376046, "return_pct": 107.87906720376048, "cagr_pct": 108.05287561332068, "max_drawdown_pct": 46.81834476599901, "mean_exposure_while_solvent": 0.8906777768096554, "realized_annual_volatility_pct": 56.78139211013278, "trading_costs_quote_units": 53.61371766057761, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10841.52043803668, "turnover_quote_units": 89356.19610096265, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 214, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20841.705362203378, "return_pct": 108.41705362203378, "cagr_pct": 108.59192757386951, "max_drawdown_pct": 47.921942186265134, "mean_exposure_while_solvent": 0.9202660614317805, "realized_annual_volatility_pct": 58.671605075333744, "trading_costs_quote_units": 47.692806235481235, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10889.398168438905, "turnover_quote_units": 79488.01039246868, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 151, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -0.5379864182732916 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24576.688160726102, "return_pct": 145.76688160726104, "cagr_pct": 146.01940599879285, "max_drawdown_pct": 51.05799844239407, "mean_exposure_while_solvent": 0.984290140954558, "realized_annual_volatility_pct": 65.07904312043941, "trading_costs_quote_units": 64.62519575272908, "borrowing_costs_quote_units": 210.37915895176403, "price_pnl_quote_units": 14851.692515430534, "turnover_quote_units": 107708.6595878818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19860.95696300247, "return_pct": 98.60956963002472, "cagr_pct": 98.76527256487523, "max_drawdown_pct": 51.77359507336345, "mean_exposure_while_solvent": 0.972407232166961, "realized_annual_volatility_pct": 63.92705256933902, "trading_costs_quote_units": 43.95210825305847, "borrowing_costs_quote_units": 48.69945802370826, "price_pnl_quote_units": 9953.608529279234, "turnover_quote_units": 73253.51375509749, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 47.15731197723632 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24299.386485395247, "return_pct": 142.99386485395246, "cagr_pct": 143.24038771172206, "max_drawdown_pct": 47.054349860839025, "mean_exposure_while_solvent": 0.9527065940914429, "realized_annual_volatility_pct": 61.087185046604844, "trading_costs_quote_units": 70.69738754332379, "borrowing_costs_quote_units": 210.14488417794786, "price_pnl_quote_units": 14580.228757116533, "turnover_quote_units": 117828.97923887293, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19860.95696300247, "return_pct": 98.60956963002472, "cagr_pct": 98.76527256487523, "max_drawdown_pct": 51.77359507336345, "mean_exposure_while_solvent": 0.972407232166961, "realized_annual_volatility_pct": 63.92705256933902, "trading_costs_quote_units": 43.95210825305847, "borrowing_costs_quote_units": 48.69945802370826, "price_pnl_quote_units": 9953.608529279234, "turnover_quote_units": 73253.51375509749, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 44.38429522392774 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 17178.006286184223, "return_pct": 71.78006286184224, "cagr_pct": 71.8862408253716, "max_drawdown_pct": 41.62136309892871, "mean_exposure_while_solvent": 0.7492737554486788, "realized_annual_volatility_pct": 49.13805955365558, "trading_costs_quote_units": 20.459849203612702, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7198.466135387823, "turnover_quote_units": 34099.7486726879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 17178.006286184223, "return_pct": 71.78006286184224, "cagr_pct": 71.8862408253716, "max_drawdown_pct": 41.62136309892871, "mean_exposure_while_solvent": 0.7492737554486788, "realized_annual_volatility_pct": 49.13805955365558, "trading_costs_quote_units": 20.459849203612702, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7198.466135387823, "turnover_quote_units": 34099.7486726879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19526.68202913032, "return_pct": 95.2668202913032, "cagr_pct": 95.4161143388327, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9986251145737856, "realized_annual_volatility_pct": 65.45011682296806, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9532.678431289058, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19526.68202913032, "return_pct": 95.2668202913032, "cagr_pct": 95.4161143388327, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9986251145737856, "realized_annual_volatility_pct": 65.45011682296806, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9532.678431289058, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20515.886671784192, "return_pct": 105.15886671784193, "cagr_pct": 105.32731194627543, "max_drawdown_pct": 63.06640573922429, "mean_exposure_while_solvent": 1.24793893638502, "realized_annual_volatility_pct": 81.77749309902615, "trading_costs_quote_units": 44.522335495333856, "borrowing_costs_quote_units": 1129.7284644947688, "price_pnl_quote_units": 11690.137471774291, "turnover_quote_units": 74203.89249222307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20515.886671784192, "return_pct": 105.15886671784193, "cagr_pct": 105.32731194627543, "max_drawdown_pct": 63.06640573922429, "mean_exposure_while_solvent": 1.24793893638502, "realized_annual_volatility_pct": 81.77749309902615, "trading_costs_quote_units": 44.522335495333856, "borrowing_costs_quote_units": 1129.7284644947688, "price_pnl_quote_units": 11690.137471774291, "turnover_quote_units": 74203.89249222307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20975.680740003063, "return_pct": 109.75680740003062, "cagr_pct": 109.93434178166162, "max_drawdown_pct": 71.66665501196726, "mean_exposure_while_solvent": 1.4972292137996186, "realized_annual_volatility_pct": 98.13986615075001, "trading_costs_quote_units": 110.95727771279604, "borrowing_costs_quote_units": 2540.5734038419555, "price_pnl_quote_units": 13627.211421557817, "turnover_quote_units": 184928.79618799355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20975.680740003063, "return_pct": 109.75680740003062, "cagr_pct": 109.93434178166162, "max_drawdown_pct": 71.66665501196726, "mean_exposure_while_solvent": 1.4972292137996186, "realized_annual_volatility_pct": 98.13986615075001, "trading_costs_quote_units": 110.95727771279604, "borrowing_costs_quote_units": 2540.5734038419555, "price_pnl_quote_units": 13627.211421557817, "turnover_quote_units": 184928.79618799355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21937.85552135786, "return_pct": 119.37855521357857, "cagr_pct": 119.57548008070478, "max_drawdown_pct": 33.9357933425125, "mean_exposure_while_solvent": 0.678973195917351, "realized_annual_volatility_pct": 45.049982081268304, "trading_costs_quote_units": 415.7317927858662, "borrowing_costs_quote_units": 9.30982788787164, "price_pnl_quote_units": 12362.897142031601, "turnover_quote_units": 138577.26426195554, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18512.24122285453, "return_pct": 85.12241222854529, "cagr_pct": 85.25266257647152, "max_drawdown_pct": 40.969548504581454, "mean_exposure_while_solvent": 0.7777057448917041, "realized_annual_volatility_pct": 50.337303517482454, "trading_costs_quote_units": 429.41489320418094, "borrowing_costs_quote_units": 3.8659547889334394, "price_pnl_quote_units": 8945.52207084763, "turnover_quote_units": 143138.29773472715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 34.25614298503328 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25059.458640751276, "return_pct": 150.59458640751276, "cagr_pct": 150.85764442490571, "max_drawdown_pct": 48.35805294821386, "mean_exposure_while_solvent": 0.9930387489685818, "realized_annual_volatility_pct": 63.95393089781003, "trading_costs_quote_units": 598.9275361151313, "borrowing_costs_quote_units": 73.6518237755301, "price_pnl_quote_units": 15732.038000642042, "turnover_quote_units": 199642.5120383772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22160.43329839369, "return_pct": 121.60433298393691, "cagr_pct": 121.80581298051933, "max_drawdown_pct": 49.99094711817686, "mean_exposure_while_solvent": 0.9904812842265092, "realized_annual_volatility_pct": 63.79612798003986, "trading_costs_quote_units": 480.16198080480996, "borrowing_costs_quote_units": 48.34454523205516, "price_pnl_quote_units": 12688.939824430503, "turnover_quote_units": 160053.99360160332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 28.99025342357585 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26535.06483212136, "return_pct": 165.35064832121358, "cagr_pct": 165.64655429464983, "max_drawdown_pct": 58.813923209147156, "mean_exposure_while_solvent": 1.2451450235580157, "realized_annual_volatility_pct": 79.20095380649391, "trading_costs_quote_units": 727.7796145904781, "borrowing_costs_quote_units": 294.358209234677, "price_pnl_quote_units": 17557.202655946516, "turnover_quote_units": 242593.20486349266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24918.55609098397, "return_pct": 149.18556090983967, "cagr_pct": 149.44553346510955, "max_drawdown_pct": 57.38274646635367, "mean_exposure_while_solvent": 1.1557648644167071, "realized_annual_volatility_pct": 74.67812213722833, "trading_costs_quote_units": 621.8659534992137, "borrowing_costs_quote_units": 170.28023634417002, "price_pnl_quote_units": 15710.702280827381, "turnover_quote_units": 207288.65116640457, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 16.165087411373918 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20449.346281406695, "return_pct": 104.49346281406697, "cagr_pct": 104.66060238580064, "max_drawdown_pct": 59.216860881702885, "mean_exposure_while_solvent": 1.0629653425576706, "realized_annual_volatility_pct": 67.52224667817724, "trading_costs_quote_units": 1171.8029166321373, "borrowing_costs_quote_units": 156.2022838573962, "price_pnl_quote_units": 11777.35148189623, "turnover_quote_units": 390600.97221071227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23057.996949292305, "return_pct": 130.57996949292306, "cagr_pct": 130.80007546247398, "max_drawdown_pct": 54.736140623587715, "mean_exposure_while_solvent": 1.0474988911609093, "realized_annual_volatility_pct": 67.66377232373434, "trading_costs_quote_units": 1195.421359219404, "borrowing_costs_quote_units": 131.1778179460162, "price_pnl_quote_units": 14384.596126457729, "turnover_quote_units": 398473.78640646813, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 309, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -26.086506678856082 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24216.596305289477, "return_pct": 142.16596305289477, "cagr_pct": 142.41070111693958, "max_drawdown_pct": 46.83172974660569, "mean_exposure_while_solvent": 0.9532739736402823, "realized_annual_volatility_pct": 60.94534617478919, "trading_costs_quote_units": 348.6029819545677, "borrowing_costs_quote_units": 52.01480233784203, "price_pnl_quote_units": 14617.214089581865, "turnover_quote_units": 116200.99398485593, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19375.95334308806, "return_pct": 93.7595334308806, "cagr_pct": 93.90595898515437, "max_drawdown_pct": 52.32013264812745, "mean_exposure_while_solvent": 0.9729619013308146, "realized_annual_volatility_pct": 64.06304320569575, "trading_costs_quote_units": 212.23582405905378, "borrowing_costs_quote_units": 11.87518737862124, "price_pnl_quote_units": 9600.064354525739, "turnover_quote_units": 70745.27468635124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 48.40642962201417 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20960.631738665474, "return_pct": 109.60631738665474, "cagr_pct": 109.78355244184144, "max_drawdown_pct": 46.270378735348174, "mean_exposure_while_solvent": 0.8913618303392379, "realized_annual_volatility_pct": 56.68465463506773, "trading_costs_quote_units": 269.58518384575063, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11230.216922511208, "turnover_quote_units": 89861.72794858359, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20652.9807602017, "return_pct": 106.529807602017, "cagr_pct": 106.70095066984433, "max_drawdown_pct": 47.950874450483795, "mean_exposure_while_solvent": 0.9209908391388557, "realized_annual_volatility_pct": 58.657455304731634, "trading_costs_quote_units": 239.1716379166574, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10892.152398118365, "turnover_quote_units": 79723.87930555249, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 149, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 3.076509784637736 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24309.034153203815, "return_pct": 143.09034153203814, "cagr_pct": 143.3370725848214, "max_drawdown_pct": 51.11728764630683, "mean_exposure_while_solvent": 0.9848889028889537, "realized_annual_volatility_pct": 64.98080356450014, "trading_costs_quote_units": 316.43769198157094, "borrowing_costs_quote_units": 52.03508970527006, "price_pnl_quote_units": 14677.506934890647, "turnover_quote_units": 105479.23066052362, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 302, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19375.95334308806, "return_pct": 93.7595334308806, "cagr_pct": 93.90595898515437, "max_drawdown_pct": 52.32013264812745, "mean_exposure_while_solvent": 0.9729619013308146, "realized_annual_volatility_pct": 64.06304320569575, "trading_costs_quote_units": 212.23582405905378, "borrowing_costs_quote_units": 11.87518737862124, "price_pnl_quote_units": 9600.064354525739, "turnover_quote_units": 70745.27468635124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 49.330808101157544 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24216.596305289477, "return_pct": 142.16596305289477, "cagr_pct": 142.41070111693958, "max_drawdown_pct": 46.83172974660569, "mean_exposure_while_solvent": 0.9532739736402823, "realized_annual_volatility_pct": 60.94534617478919, "trading_costs_quote_units": 348.6029819545677, "borrowing_costs_quote_units": 52.01480233784203, "price_pnl_quote_units": 14617.214089581865, "turnover_quote_units": 116200.99398485593, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19375.95334308806, "return_pct": 93.7595334308806, "cagr_pct": 93.90595898515437, "max_drawdown_pct": 52.32013264812745, "mean_exposure_while_solvent": 0.9729619013308146, "realized_annual_volatility_pct": 64.06304320569575, "trading_costs_quote_units": 212.23582405905378, "borrowing_costs_quote_units": 11.87518737862124, "price_pnl_quote_units": 9600.064354525739, "turnover_quote_units": 70745.27468635124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 48.40642962201417 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17108.362792562515, "return_pct": 71.08362792562515, "cagr_pct": 71.18858116533863, "max_drawdown_pct": 41.42588742732887, "mean_exposure_while_solvent": 0.7496219570383812, "realized_annual_volatility_pct": 49.12946136609973, "trading_costs_quote_units": 113.50707015406347, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7221.869862716528, "turnover_quote_units": 37835.69005135449, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17108.362792562515, "return_pct": 71.08362792562515, "cagr_pct": 71.18858116533863, "max_drawdown_pct": 41.42588742732887, "mean_exposure_while_solvent": 0.7496219570383812, "realized_annual_volatility_pct": 49.12946136609973, "trading_costs_quote_units": 113.50707015406347, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7221.869862716528, "turnover_quote_units": 37835.69005135449, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19316.201531518298, "return_pct": 93.16201531518298, "cagr_pct": 93.30730745015194, "max_drawdown_pct": 52.61547365616198, "mean_exposure_while_solvent": 0.9995417048579285, "realized_annual_volatility_pct": 65.45500272891928, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9346.111800710712, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19316.201531518298, "return_pct": 93.16201531518298, "cagr_pct": 93.30730745015194, "max_drawdown_pct": 52.61547365616198, "mean_exposure_while_solvent": 0.9995417048579285, "realized_annual_volatility_pct": 65.45500272891928, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9346.111800710712, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20594.542779302275, "return_pct": 105.94542779302274, "cagr_pct": 106.11541959738804, "max_drawdown_pct": 62.88631988612094, "mean_exposure_while_solvent": 1.2495819064882272, "realized_annual_volatility_pct": 81.79375593647869, "trading_costs_quote_units": 250.40548134215726, "borrowing_costs_quote_units": 282.38660160589563, "price_pnl_quote_units": 11127.334862250293, "turnover_quote_units": 83468.493780719, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20594.542779302275, "return_pct": 105.94542779302274, "cagr_pct": 106.11541959738804, "max_drawdown_pct": 62.88631988612094, "mean_exposure_while_solvent": 1.2495819064882272, "realized_annual_volatility_pct": 81.79375593647869, "trading_costs_quote_units": 250.40548134215726, "borrowing_costs_quote_units": 282.38660160589563, "price_pnl_quote_units": 11127.334862250293, "turnover_quote_units": 83468.493780719, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21206.84970295698, "return_pct": 112.06849702956983, "cagr_pct": 112.25064486270813, "max_drawdown_pct": 71.5268959569519, "mean_exposure_while_solvent": 1.499780318492488, "realized_annual_volatility_pct": 98.1789939933379, "trading_costs_quote_units": 634.7540111591676, "borrowing_costs_quote_units": 637.7625787969306, "price_pnl_quote_units": 12479.366292913055, "turnover_quote_units": 211584.6703863893, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21206.84970295698, "return_pct": 112.06849702956983, "cagr_pct": 112.25064486270813, "max_drawdown_pct": 71.5268959569519, "mean_exposure_while_solvent": 1.499780318492488, "realized_annual_volatility_pct": 98.1789939933379, "trading_costs_quote_units": 634.7540111591676, "borrowing_costs_quote_units": 637.7625787969306, "price_pnl_quote_units": 12479.366292913055, "turnover_quote_units": 211584.6703863893, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21919.792340488322, "return_pct": 119.19792340488323, "cagr_pct": 119.39447973315995, "max_drawdown_pct": 33.935793342512454, "mean_exposure_while_solvent": 0.6789744917436148, "realized_annual_volatility_pct": 45.04930314674632, "trading_costs_quote_units": 415.4267956894635, "borrowing_costs_quote_units": 18.6131415319775, "price_pnl_quote_units": 12353.832277709727, "turnover_quote_units": 138475.59856315434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18505.461098653464, "return_pct": 85.05461098653464, "cagr_pct": 85.18473615584954, "max_drawdown_pct": 40.96954850458149, "mean_exposure_while_solvent": 0.7777062498028723, "realized_annual_volatility_pct": 50.337264634416826, "trading_costs_quote_units": 429.27308595901513, "borrowing_costs_quote_units": 7.7309962991897345, "price_pnl_quote_units": 8942.465180911651, "turnover_quote_units": 143091.02865300493, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 34.143312418348586 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24933.487749142074, "return_pct": 149.33487749142077, "cagr_pct": 149.59517658673133, "max_drawdown_pct": 48.38718691142417, "mean_exposure_while_solvent": 0.9930467174392064, "realized_annual_volatility_pct": 63.954022652460665, "trading_costs_quote_units": 596.496238123908, "borrowing_costs_quote_units": 146.86142958340747, "price_pnl_quote_units": 15676.845416849412, "turnover_quote_units": 198832.07937463617, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22084.12657924704, "return_pct": 120.84126579247041, "cagr_pct": 121.04118125121062, "max_drawdown_pct": 50.008867235685294, "mean_exposure_while_solvent": 0.9904867942682312, "realized_annual_volatility_pct": 63.79653046385315, "trading_costs_quote_units": 478.84448409595717, "borrowing_costs_quote_units": 96.494372579077, "price_pnl_quote_units": 12659.465435922079, "turnover_quote_units": 159614.82803198585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 28.49361169895036 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26180.00377365463, "return_pct": 161.80003773654627, "cagr_pct": 162.0879519751376, "max_drawdown_pct": 59.00847081984602, "mean_exposure_while_solvent": 1.2451670920810478, "realized_annual_volatility_pct": 79.20215633870194, "trading_costs_quote_units": 721.7417592783313, "borrowing_costs_quote_units": 583.8917970059554, "price_pnl_quote_units": 17485.637329938887, "turnover_quote_units": 240580.58642611027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24697.483424327722, "return_pct": 146.9748342432772, "cagr_pct": 147.22998418178062, "max_drawdown_pct": 57.48140845178644, "mean_exposure_while_solvent": 1.1557796012570127, "realized_annual_volatility_pct": 74.67890347128929, "trading_costs_quote_units": 618.4009541559566, "borrowing_costs_quote_units": 338.71051663912027, "price_pnl_quote_units": 15654.594895122835, "turnover_quote_units": 206133.65138531872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 14.825203493269072 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20270.791420562222, "return_pct": 102.7079142056222, "cagr_pct": 102.87156243773987, "max_drawdown_pct": 59.338301412793626, "mean_exposure_while_solvent": 1.0629801404724804, "realized_annual_volatility_pct": 67.52380995272217, "trading_costs_quote_units": 1165.412823615872, "borrowing_costs_quote_units": 310.7814796337891, "price_pnl_quote_units": 11746.985723811875, "turnover_quote_units": 388470.94120529084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22894.96247198553, "return_pct": 128.9496247198553, "cagr_pct": 129.16631726264535, "max_drawdown_pct": 54.838476339025746, "mean_exposure_while_solvent": 1.047510835673088, "realized_annual_volatility_pct": 67.66474796510865, "trading_costs_quote_units": 1190.0362939019712, "borrowing_costs_quote_units": 261.2407555722477, "price_pnl_quote_units": 14346.239521459804, "turnover_quote_units": 396678.76463399036, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 309, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -26.241710514233105 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24124.853896512705, "return_pct": 141.24853896512707, "cagr_pct": 141.4913030272839, "max_drawdown_pct": 46.835597801392694, "mean_exposure_while_solvent": 0.9532799317826821, "realized_annual_volatility_pct": 60.94504033732579, "trading_costs_quote_units": 347.5370295009659, "borrowing_costs_quote_units": 103.81054617735082, "price_pnl_quote_units": 14576.201472191076, "turnover_quote_units": 115845.67650032192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19355.227756878012, "return_pct": 93.55227756878013, "cagr_pct": 93.69830974469144, "max_drawdown_pct": 52.322129957355855, "mean_exposure_while_solvent": 0.9729635857708187, "realized_annual_volatility_pct": 64.06322221632846, "trading_costs_quote_units": 212.07309759087167, "borrowing_costs_quote_units": 23.738758177674097, "price_pnl_quote_units": 9591.039612646588, "turnover_quote_units": 70691.03253029055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 47.69626139634694 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20960.631738665474, "return_pct": 109.60631738665474, "cagr_pct": 109.78355244184144, "max_drawdown_pct": 46.270378735348174, "mean_exposure_while_solvent": 0.8913618303392379, "realized_annual_volatility_pct": 56.68465463506773, "trading_costs_quote_units": 269.58518384575063, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11230.216922511208, "turnover_quote_units": 89861.72794858359, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20652.9807602017, "return_pct": 106.529807602017, "cagr_pct": 106.70095066984433, "max_drawdown_pct": 47.950874450483795, "mean_exposure_while_solvent": 0.9209908391388557, "realized_annual_volatility_pct": 58.657455304731634, "trading_costs_quote_units": 239.1716379166574, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10892.152398118365, "turnover_quote_units": 79723.87930555249, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 149, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 3.076509784637736 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24216.941551909378, "return_pct": 142.16941551909377, "cagr_pct": 142.4141610192592, "max_drawdown_pct": 51.120843921668445, "mean_exposure_while_solvent": 0.9848948610313534, "realized_annual_volatility_pct": 64.98051773756337, "trading_costs_quote_units": 315.4869674579368, "borrowing_costs_quote_units": 103.85097409634889, "price_pnl_quote_units": 14636.279493463715, "turnover_quote_units": 105162.32248597892, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 302, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19355.227756878012, "return_pct": 93.55227756878013, "cagr_pct": 93.69830974469144, "max_drawdown_pct": 52.322129957355855, "mean_exposure_while_solvent": 0.9729635857708187, "realized_annual_volatility_pct": 64.06322221632846, "trading_costs_quote_units": 212.07309759087167, "borrowing_costs_quote_units": 23.738758177674097, "price_pnl_quote_units": 9591.039612646588, "turnover_quote_units": 70691.03253029055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 48.61713795031365 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24124.853896512705, "return_pct": 141.24853896512707, "cagr_pct": 141.4913030272839, "max_drawdown_pct": 46.835597801392694, "mean_exposure_while_solvent": 0.9532799317826821, "realized_annual_volatility_pct": 60.94504033732579, "trading_costs_quote_units": 347.5370295009659, "borrowing_costs_quote_units": 103.81054617735082, "price_pnl_quote_units": 14576.201472191076, "turnover_quote_units": 115845.67650032192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19355.227756878012, "return_pct": 93.55227756878013, "cagr_pct": 93.69830974469144, "max_drawdown_pct": 52.322129957355855, "mean_exposure_while_solvent": 0.9729635857708187, "realized_annual_volatility_pct": 64.06322221632846, "trading_costs_quote_units": 212.07309759087167, "borrowing_costs_quote_units": 23.738758177674097, "price_pnl_quote_units": 9591.039612646588, "turnover_quote_units": 70691.03253029055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 47.69626139634694 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17108.362792562515, "return_pct": 71.08362792562515, "cagr_pct": 71.18858116533863, "max_drawdown_pct": 41.42588742732887, "mean_exposure_while_solvent": 0.7496219570383812, "realized_annual_volatility_pct": 49.12946136609973, "trading_costs_quote_units": 113.50707015406347, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7221.869862716528, "turnover_quote_units": 37835.69005135449, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17108.362792562515, "return_pct": 71.08362792562515, "cagr_pct": 71.18858116533863, "max_drawdown_pct": 41.42588742732887, "mean_exposure_while_solvent": 0.7496219570383812, "realized_annual_volatility_pct": 49.12946136609973, "trading_costs_quote_units": 113.50707015406347, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7221.869862716528, "turnover_quote_units": 37835.69005135449, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19316.201531518298, "return_pct": 93.16201531518298, "cagr_pct": 93.30730745015194, "max_drawdown_pct": 52.61547365616198, "mean_exposure_while_solvent": 0.9995417048579285, "realized_annual_volatility_pct": 65.45500272891928, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9346.111800710712, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19316.201531518298, "return_pct": 93.16201531518298, "cagr_pct": 93.30730745015194, "max_drawdown_pct": 52.61547365616198, "mean_exposure_while_solvent": 0.9995417048579285, "realized_annual_volatility_pct": 65.45500272891928, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9346.111800710712, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20339.31116187686, "return_pct": 103.39311161876861, "cagr_pct": 103.55809751956015, "max_drawdown_pct": 63.10921736902579, "mean_exposure_while_solvent": 1.2496000977070885, "realized_annual_volatility_pct": 81.79553894089564, "trading_costs_quote_units": 248.899856397838, "borrowing_costs_quote_units": 560.7998224039528, "price_pnl_quote_units": 11149.010840678562, "turnover_quote_units": 82966.61879927924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20339.31116187686, "return_pct": 103.39311161876861, "cagr_pct": 103.55809751956015, "max_drawdown_pct": 63.10921736902579, "mean_exposure_while_solvent": 1.2496000977070885, "realized_annual_volatility_pct": 81.79553894089564, "trading_costs_quote_units": 248.899856397838, "borrowing_costs_quote_units": 560.7998224039528, "price_pnl_quote_units": 11149.010840678562, "turnover_quote_units": 82966.61879927924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20684.242369121395, "return_pct": 106.84242369121395, "cagr_pct": 107.01418340878175, "max_drawdown_pct": 71.86864552026285, "mean_exposure_while_solvent": 1.4998240230868916, "realized_annual_volatility_pct": 98.1832845348286, "trading_costs_quote_units": 626.487381840816, "borrowing_costs_quote_units": 1257.5228246893132, "price_pnl_quote_units": 12568.25257565145, "turnover_quote_units": 208829.12728027184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20684.242369121395, "return_pct": 106.84242369121395, "cagr_pct": 107.01418340878175, "max_drawdown_pct": 71.86864552026285, "mean_exposure_while_solvent": 1.4998240230868916, "realized_annual_volatility_pct": 98.1832845348286, "trading_costs_quote_units": 626.487381840816, "borrowing_costs_quote_units": 1257.5228246893132, "price_pnl_quote_units": 12568.25257565145, "turnover_quote_units": 208829.12728027184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21883.70181094003, "return_pct": 118.83701810940033, "cagr_pct": 119.03283860138649, "max_drawdown_pct": 33.93579334251244, "mean_exposure_while_solvent": 0.6789770838746877, "realized_annual_volatility_pct": 45.047949201020806, "trading_costs_quote_units": 414.81739378794214, "borrowing_costs_quote_units": 37.20023882371815, "price_pnl_quote_units": 12335.719443551654, "turnover_quote_units": 138272.46459598074, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18491.90544807253, "return_pct": 84.91905448072532, "cagr_pct": 85.0489294629365, "max_drawdown_pct": 40.96954850458147, "mean_exposure_while_solvent": 0.7777072597667575, "realized_annual_volatility_pct": 50.33718772469855, "trading_costs_quote_units": 428.9895650154193, "borrowing_costs_quote_units": 15.458339515884752, "price_pnl_quote_units": 8936.353352603805, "turnover_quote_units": 142996.52167180643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 33.91796362867501 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24683.34640493279, "return_pct": 146.8334640493279, "cagr_pct": 147.08830636244326, "max_drawdown_pct": 48.445417675352665, "mean_exposure_while_solvent": 0.9930626574096469, "realized_annual_volatility_pct": 63.95421961609959, "trading_costs_quote_units": 591.6776725866605, "borrowing_costs_quote_units": 291.96307498535964, "price_pnl_quote_units": 15566.987152504813, "turnover_quote_units": 197225.89086222037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21932.23189880386, "return_pct": 119.32231898803862, "cagr_pct": 119.51912909945777, "max_drawdown_pct": 50.04469611861416, "mean_exposure_while_solvent": 0.9904978164927921, "realized_annual_volatility_pct": 63.79734608660262, "trading_costs_quote_units": 476.2340379757252, "borrowing_costs_quote_units": 192.2124004643254, "price_pnl_quote_units": 12600.67833724392, "turnover_quote_units": 158744.67932524174, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 27.51114506128927 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25483.83694695105, "return_pct": 154.83836946951052, "cagr_pct": 155.1107750376954, "max_drawdown_pct": 59.39491593852322, "mean_exposure_while_solvent": 1.2452112381194074, "realized_annual_volatility_pct": 79.2045773232549, "trading_costs_quote_units": 709.8541745691111, "borrowing_costs_quote_units": 1148.7527651437276, "price_pnl_quote_units": 17342.443886663852, "turnover_quote_units": 236618.05818970388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24261.037913322063, "return_pct": 142.61037913322065, "cagr_pct": 142.85607486903697, "max_drawdown_pct": 57.67810528731887, "mean_exposure_while_solvent": 1.155809081072447, "realized_annual_volatility_pct": 74.68048446144738, "trading_costs_quote_units": 611.55783818709, "borrowing_costs_quote_units": 670.0888273252592, "price_pnl_quote_units": 15542.6845788344, "turnover_quote_units": 203852.61272903008, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 245, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 12.227990336289878 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19918.210175270702, "return_pct": 99.18210175270703, "cagr_pct": 99.3389088626982, "max_drawdown_pct": 59.58183983513665, "mean_exposure_while_solvent": 1.0630097427789515, "realized_annual_volatility_pct": 67.52695957585969, "trading_costs_quote_units": 1152.761251546747, "borrowing_costs_quote_units": 615.1276411547939, "price_pnl_quote_units": 11686.099067972178, "turnover_quote_units": 384253.75051558204, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22572.211074473496, "return_pct": 125.72211074473496, "cagr_pct": 125.93208517233343, "max_drawdown_pct": 55.044373366944946, "mean_exposure_while_solvent": 1.0475347299443125, "realized_annual_volatility_pct": 67.6667191906446, "trading_costs_quote_units": 1179.3615213274293, "borrowing_costs_quote_units": 518.0533756536416, "price_pnl_quote_units": 14269.625971454643, "turnover_quote_units": 393120.5071091431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 309, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -26.540008992027936 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23942.362769504834, "return_pct": 139.4236276950483, "cagr_pct": 139.662477020604, "max_drawdown_pct": 46.84333445880506, "mean_exposure_while_solvent": 0.9532918503289124, "realized_annual_volatility_pct": 60.944439204252674, "trading_costs_quote_units": 345.4176723232125, "borrowing_costs_quote_units": 206.74818566423122, "price_pnl_quote_units": 14494.528627492258, "turnover_quote_units": 115139.22410773732, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19313.832651749446, "return_pct": 93.13832651749445, "cagr_pct": 93.28357376123355, "max_drawdown_pct": 52.3261250422471, "mean_exposure_while_solvent": 0.9729669553345083, "realized_annual_volatility_pct": 64.06358296912165, "trading_costs_quote_units": 211.74802594228015, "borrowing_costs_quote_units": 47.43108625312218, "price_pnl_quote_units": 9573.011763944847, "turnover_quote_units": 70582.67531409339, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 46.28530117755386 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20960.631738665474, "return_pct": 109.60631738665474, "cagr_pct": 109.78355244184144, "max_drawdown_pct": 46.270378735348174, "mean_exposure_while_solvent": 0.8913618303392379, "realized_annual_volatility_pct": 56.68465463506773, "trading_costs_quote_units": 269.58518384575063, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11230.216922511208, "turnover_quote_units": 89861.72794858359, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20652.9807602017, "return_pct": 106.529807602017, "cagr_pct": 106.70095066984433, "max_drawdown_pct": 47.950874450483795, "mean_exposure_while_solvent": 0.9209908391388557, "realized_annual_volatility_pct": 58.657455304731634, "trading_costs_quote_units": 239.1716379166574, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10892.152398118365, "turnover_quote_units": 79723.87930555249, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 149, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 3.076509784637736 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24033.7538329101, "return_pct": 140.337538329101, "cagr_pct": 140.57834616173804, "max_drawdown_pct": 51.12795697607231, "mean_exposure_while_solvent": 0.9849067795775838, "realized_annual_volatility_pct": 64.9799559719235, "trading_costs_quote_units": 313.59689009657563, "borrowing_costs_quote_units": 206.82845726703275, "price_pnl_quote_units": 14554.179180273679, "turnover_quote_units": 104532.29669885858, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 302, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19313.832651749446, "return_pct": 93.13832651749445, "cagr_pct": 93.28357376123355, "max_drawdown_pct": 52.3261250422471, "mean_exposure_while_solvent": 0.9729669553345083, "realized_annual_volatility_pct": 64.06358296912165, "trading_costs_quote_units": 211.74802594228015, "borrowing_costs_quote_units": 47.43108625312218, "price_pnl_quote_units": 9573.011763944847, "turnover_quote_units": 70582.67531409339, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 47.199211811606546 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23942.362769504834, "return_pct": 139.4236276950483, "cagr_pct": 139.662477020604, "max_drawdown_pct": 46.84333445880506, "mean_exposure_while_solvent": 0.9532918503289124, "realized_annual_volatility_pct": 60.944439204252674, "trading_costs_quote_units": 345.4176723232125, "borrowing_costs_quote_units": 206.74818566423122, "price_pnl_quote_units": 14494.528627492258, "turnover_quote_units": 115139.22410773732, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19313.832651749446, "return_pct": 93.13832651749445, "cagr_pct": 93.28357376123355, "max_drawdown_pct": 52.3261250422471, "mean_exposure_while_solvent": 0.9729669553345083, "realized_annual_volatility_pct": 64.06358296912165, "trading_costs_quote_units": 211.74802594228015, "borrowing_costs_quote_units": 47.43108625312218, "price_pnl_quote_units": 9573.011763944847, "turnover_quote_units": 70582.67531409339, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 46.28530117755386 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 17108.362792562515, "return_pct": 71.08362792562515, "cagr_pct": 71.18858116533863, "max_drawdown_pct": 41.42588742732887, "mean_exposure_while_solvent": 0.7496219570383812, "realized_annual_volatility_pct": 49.12946136609973, "trading_costs_quote_units": 113.50707015406347, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7221.869862716528, "turnover_quote_units": 37835.69005135449, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 17108.362792562515, "return_pct": 71.08362792562515, "cagr_pct": 71.18858116533863, "max_drawdown_pct": 41.42588742732887, "mean_exposure_while_solvent": 0.7496219570383812, "realized_annual_volatility_pct": 49.12946136609973, "trading_costs_quote_units": 113.50707015406347, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7221.869862716528, "turnover_quote_units": 37835.69005135449, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19316.201531518298, "return_pct": 93.16201531518298, "cagr_pct": 93.30730745015194, "max_drawdown_pct": 52.61547365616198, "mean_exposure_while_solvent": 0.9995417048579285, "realized_annual_volatility_pct": 65.45500272891928, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9346.111800710712, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19316.201531518298, "return_pct": 93.16201531518298, "cagr_pct": 93.30730745015194, "max_drawdown_pct": 52.61547365616198, "mean_exposure_while_solvent": 0.9995417048579285, "realized_annual_volatility_pct": 65.45500272891928, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9346.111800710712, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19838.169244850134, "return_pct": 98.38169244850134, "cagr_pct": 98.53695642864841, "max_drawdown_pct": 63.55110475433459, "mean_exposure_while_solvent": 1.2496364860348066, "realized_annual_volatility_pct": 81.79910536202092, "trading_costs_quote_units": 245.92851106435683, "borrowing_costs_quote_units": 1105.8993151140976, "price_pnl_quote_units": 11189.997071028602, "turnover_quote_units": 81976.17035478554, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19838.169244850134, "return_pct": 98.38169244850134, "cagr_pct": 98.53695642864841, "max_drawdown_pct": 63.55110475433459, "mean_exposure_while_solvent": 1.2496364860348066, "realized_annual_volatility_pct": 81.79910536202092, "trading_costs_quote_units": 245.92851106435683, "borrowing_costs_quote_units": 1105.8993151140976, "price_pnl_quote_units": 11189.997071028602, "turnover_quote_units": 81976.17035478554, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19677.03274274613, "return_pct": 96.7703274274613, "cagr_pct": 96.9224960385813, "max_drawdown_pct": 72.54007540512515, "mean_exposure_while_solvent": 1.4999114521924082, "realized_annual_volatility_pct": 98.19186741105042, "trading_costs_quote_units": 610.3388196885413, "borrowing_costs_quote_units": 2444.77868130364, "price_pnl_quote_units": 12732.150243738313, "turnover_quote_units": 203446.27322951387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 19677.03274274613, "return_pct": 96.7703274274613, "cagr_pct": 96.9224960385813, "max_drawdown_pct": 72.54007540512515, "mean_exposure_while_solvent": 1.4999114521924082, "realized_annual_volatility_pct": 98.19186741105042, "trading_costs_quote_units": 610.3388196885413, "borrowing_costs_quote_units": 2444.77868130364, "price_pnl_quote_units": 12732.150243738313, "turnover_quote_units": 203446.27322951387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 361, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21190.04154266099, "return_pct": 111.9004154266099, "cagr_pct": 112.08222684245244, "max_drawdown_pct": 35.621001912424646, "mean_exposure_while_solvent": 0.6787063083081074, "realized_annual_volatility_pct": 45.2555127998358, "trading_costs_quote_units": 415.01219394813285, "borrowing_costs_quote_units": 9.541115165122033, "price_pnl_quote_units": 11614.594851774254, "turnover_quote_units": 138337.397982711, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18836.3383126552, "return_pct": 88.36338312655201, "cagr_pct": 88.49965009635781, "max_drawdown_pct": 41.43007590329325, "mean_exposure_while_solvent": 0.777188800457398, "realized_annual_volatility_pct": 50.2728359902436, "trading_costs_quote_units": 435.99316622004517, "borrowing_costs_quote_units": 3.8917090970994583, "price_pnl_quote_units": 9276.223187972342, "turnover_quote_units": 145331.05540668181, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 23.537032300057888 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24453.721326829764, "return_pct": 144.53721326829765, "cagr_pct": 144.78707189259862, "max_drawdown_pct": 49.965436589396376, "mean_exposure_while_solvent": 0.9919944358043535, "realized_annual_volatility_pct": 64.19792471416538, "trading_costs_quote_units": 603.8480378855257, "borrowing_costs_quote_units": 73.75962337284705, "price_pnl_quote_units": 15131.328988088135, "turnover_quote_units": 201282.67929517533, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21919.680083833562, "return_pct": 119.19680083833563, "cagr_pct": 119.39335487679857, "max_drawdown_pct": 51.03192761221136, "mean_exposure_while_solvent": 0.9892900690708875, "realized_annual_volatility_pct": 63.95725296207427, "trading_costs_quote_units": 478.91601649575944, "borrowing_costs_quote_units": 48.33445237856677, "price_pnl_quote_units": 12446.930552707934, "turnover_quote_units": 159638.672165253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 25.340412429962015 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26059.432354384655, "return_pct": 160.59432354384654, "cagr_pct": 160.87953645357348, "max_drawdown_pct": 59.691869984166246, "mean_exposure_while_solvent": 1.2434251073512708, "realized_annual_volatility_pct": 79.43281154866865, "trading_costs_quote_units": 725.1264826555984, "borrowing_costs_quote_units": 293.06285237366694, "price_pnl_quote_units": 17077.621689413856, "turnover_quote_units": 241708.8275518662, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24105.726989908762, "return_pct": 141.05726989908766, "cagr_pct": 141.2996229141853, "max_drawdown_pct": 58.09208822851536, "mean_exposure_while_solvent": 1.1540463424848268, "realized_annual_volatility_pct": 74.98418728591206, "trading_costs_quote_units": 610.8520937027093, "borrowing_costs_quote_units": 167.40339604320573, "price_pnl_quote_units": 14883.982479654702, "turnover_quote_units": 203617.3645675699, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 19.537053644758885 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19812.38111824517, "return_pct": 98.12381118245167, "cagr_pct": 98.27857877299387, "max_drawdown_pct": 61.06263262440792, "mean_exposure_while_solvent": 1.061943019155719, "realized_annual_volatility_pct": 68.06691798840264, "trading_costs_quote_units": 1176.0450735670756, "borrowing_costs_quote_units": 155.11723372432525, "price_pnl_quote_units": 11143.543425536598, "turnover_quote_units": 392015.0245223585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 22548.97498583861, "return_pct": 125.4897498583861, "cagr_pct": 125.69924265267235, "max_drawdown_pct": 56.693054354454354, "mean_exposure_while_solvent": 1.0465245076327547, "realized_annual_volatility_pct": 68.10746777058662, "trading_costs_quote_units": 1210.3378148326258, "borrowing_costs_quote_units": 131.07432979613995, "price_pnl_quote_units": 13890.38713046738, "turnover_quote_units": 403445.93827754195, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -27.36593867593443 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24242.184804464476, "return_pct": 142.42184804464478, "cagr_pct": 142.6671374011124, "max_drawdown_pct": 47.287939305606244, "mean_exposure_while_solvent": 0.9526892117104896, "realized_annual_volatility_pct": 61.090357119207304, "trading_costs_quote_units": 353.57776079732014, "borrowing_costs_quote_units": 52.5453564809468, "price_pnl_quote_units": 14648.307921742715, "turnover_quote_units": 117859.25359910683, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19703.328126371165, "return_pct": 97.03328126371164, "cagr_pct": 97.18595397114646, "max_drawdown_pct": 51.926692461315604, "mean_exposure_while_solvent": 0.972402619324267, "realized_annual_volatility_pct": 63.93381104568405, "trading_costs_quote_units": 218.72256745402504, "borrowing_costs_quote_units": 12.122595440500556, "price_pnl_quote_units": 9934.173289265666, "turnover_quote_units": 72907.522484675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 45.38856678093313 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20578.630113291187, "return_pct": 105.78630113291187, "cagr_pct": 105.95597977663131, "max_drawdown_pct": 47.10141627891022, "mean_exposure_while_solvent": 0.8906777768096554, "realized_annual_volatility_pct": 56.781523495767026, "trading_costs_quote_units": 266.4982671411671, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10845.128380432336, "turnover_quote_units": 88832.75571372232, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 214, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20657.717556619853, "return_pct": 106.57717556619852, "cagr_pct": 106.74841203474554, "max_drawdown_pct": 48.171476693745994, "mean_exposure_while_solvent": 0.9202660614317805, "realized_annual_volatility_pct": 58.67124983661305, "trading_costs_quote_units": 237.21723435920967, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10894.934790979009, "turnover_quote_units": 79072.41145306993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 151, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -0.7908744332866462 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24540.596541953983, "return_pct": 145.40596541953983, "cagr_pct": 145.6577066582152, "max_drawdown_pct": 51.27857712347384, "mean_exposure_while_solvent": 0.9842727585736047, "realized_annual_volatility_pct": 65.0824953106031, "trading_costs_quote_units": 323.3051971291334, "borrowing_costs_quote_units": 52.60841632138417, "price_pnl_quote_units": 14916.510155404487, "turnover_quote_units": 107768.39904304456, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19703.328126371165, "return_pct": 97.03328126371164, "cagr_pct": 97.18595397114646, "max_drawdown_pct": 51.926692461315604, "mean_exposure_while_solvent": 0.972402619324267, "realized_annual_volatility_pct": 63.93381104568405, "trading_costs_quote_units": 218.72256745402504, "borrowing_costs_quote_units": 12.122595440500556, "price_pnl_quote_units": 9934.173289265666, "turnover_quote_units": 72907.522484675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 48.37268415582818 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24242.184804464476, "return_pct": 142.42184804464478, "cagr_pct": 142.6671374011124, "max_drawdown_pct": 47.287939305606244, "mean_exposure_while_solvent": 0.9526892117104896, "realized_annual_volatility_pct": 61.090357119207304, "trading_costs_quote_units": 353.57776079732014, "borrowing_costs_quote_units": 52.5453564809468, "price_pnl_quote_units": 14648.307921742715, "turnover_quote_units": 117859.25359910683, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19703.328126371165, "return_pct": 97.03328126371164, "cagr_pct": 97.18595397114646, "max_drawdown_pct": 51.926692461315604, "mean_exposure_while_solvent": 0.972402619324267, "realized_annual_volatility_pct": 63.93381104568405, "trading_costs_quote_units": 218.72256745402504, "borrowing_costs_quote_units": 12.122595440500556, "price_pnl_quote_units": 9934.173289265666, "turnover_quote_units": 72907.522484675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 45.38856678093313 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17086.862414495532, "return_pct": 70.86862414495532, "cagr_pct": 70.9731999418655, "max_drawdown_pct": 41.72933027639299, "mean_exposure_while_solvent": 0.7492737554486788, "realized_annual_volatility_pct": 49.14053987124758, "trading_costs_quote_units": 101.97441924070694, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7188.836833736212, "turnover_quote_units": 33991.47308023566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17086.862414495532, "return_pct": 70.86862414495532, "cagr_pct": 70.9731999418655, "max_drawdown_pct": 41.72933027639299, "mean_exposure_while_solvent": 0.7492737554486788, "realized_annual_volatility_pct": 49.14053987124758, "trading_costs_quote_units": 101.97441924070694, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7188.836833736212, "turnover_quote_units": 33991.47308023566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19479.95816385623, "return_pct": 94.7995816385623, "cagr_pct": 94.94798506313009, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9986251145737856, "realized_annual_volatility_pct": 65.45089077362182, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9509.86843304863, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19479.95816385623, "return_pct": 94.7995816385623, "cagr_pct": 94.94798506313009, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9986251145737856, "realized_annual_volatility_pct": 65.45089077362182, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9509.86843304863, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21109.454351233326, "return_pct": 111.09454351233326, "cagr_pct": 111.27474408759528, "max_drawdown_pct": 62.51059389358258, "mean_exposure_while_solvent": 1.2478855287436386, "realized_annual_volatility_pct": 81.77741560616558, "trading_costs_quote_units": 225.21114165106235, "borrowing_costs_quote_units": 286.661019528296, "price_pnl_quote_units": 11621.326512412681, "turnover_quote_units": 75070.38055035414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21109.454351233326, "return_pct": 111.09454351233326, "cagr_pct": 111.27474408759528, "max_drawdown_pct": 62.51059389358258, "mean_exposure_while_solvent": 1.2478855287436386, "realized_annual_volatility_pct": 81.77741560616558, "trading_costs_quote_units": 225.21114165106235, "borrowing_costs_quote_units": 286.661019528296, "price_pnl_quote_units": 11621.326512412681, "turnover_quote_units": 75070.38055035414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 22208.42547885204, "return_pct": 122.08425478852041, "cagr_pct": 122.28672032308836, "max_drawdown_pct": 70.84302247849614, "mean_exposure_while_solvent": 1.4971010324952276, "realized_annual_volatility_pct": 98.1387280681155, "trading_costs_quote_units": 570.2447949212236, "borrowing_costs_quote_units": 655.1940942070156, "price_pnl_quote_units": 13433.864367980372, "turnover_quote_units": 190081.59830707457, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 22208.42547885204, "return_pct": 122.08425478852041, "cagr_pct": 122.28672032308836, "max_drawdown_pct": 70.84302247849614, "mean_exposure_while_solvent": 1.4971010324952276, "realized_annual_volatility_pct": 98.1387280681155, "trading_costs_quote_units": 570.2447949212236, "borrowing_costs_quote_units": 655.1940942070156, "price_pnl_quote_units": 13433.864367980372, "turnover_quote_units": 190081.59830707457, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21172.5344978804, "return_pct": 111.725344978804, "cagr_pct": 111.9068061513162, "max_drawdown_pct": 35.62100191242461, "mean_exposure_while_solvent": 0.6787076166252647, "realized_annual_volatility_pct": 45.25510105290363, "trading_costs_quote_units": 414.7213338771687, "borrowing_costs_quote_units": 19.075453235165156, "price_pnl_quote_units": 11606.331284992764, "turnover_quote_units": 138240.44462572283, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18829.444951496116, "return_pct": 88.29444951496117, "cagr_pct": 88.43058784659459, "max_drawdown_pct": 41.43007590329313, "mean_exposure_while_solvent": 0.7771893016578001, "realized_annual_volatility_pct": 50.27277162137823, "trading_costs_quote_units": 435.8472469480173, "borrowing_costs_quote_units": 7.782500652744859, "price_pnl_quote_units": 9273.0746990969, "turnover_quote_units": 145282.41564933906, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 23.43089546384283 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24331.063939385065, "return_pct": 143.31063939385066, "cagr_pct": 143.55784600988994, "max_drawdown_pct": 49.99377778859174, "mean_exposure_while_solvent": 0.9920021960518842, "realized_annual_volatility_pct": 64.19794487551624, "trading_costs_quote_units": 601.4548800888722, "borrowing_costs_quote_units": 147.07864723882568, "price_pnl_quote_units": 15079.597466712778, "turnover_quote_units": 200484.96002962426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21844.474168509772, "return_pct": 118.44474168509774, "cagr_pct": 118.6397631519485, "max_drawdown_pct": 51.04959171521983, "mean_exposure_while_solvent": 0.9892953596159333, "realized_annual_volatility_pct": 63.957475155690325, "trading_costs_quote_units": 477.62486033169756, "borrowing_costs_quote_units": 96.47508267277811, "price_pnl_quote_units": 12418.574111514232, "turnover_quote_units": 159208.2867772324, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 24.865897708752925 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25711.026348551575, "return_pct": 157.11026348551576, "cagr_pct": 157.38770656174327, "max_drawdown_pct": 59.8823877707962, "mean_exposure_while_solvent": 1.2434467549594959, "realized_annual_volatility_pct": 79.43376081723711, "trading_costs_quote_units": 719.1779297613158, "borrowing_costs_quote_units": 581.3472683076062, "price_pnl_quote_units": 17011.551546620434, "turnover_quote_units": 239725.97658710508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23892.0661239166, "return_pct": 138.920661239166, "cagr_pct": 139.15843441183543, "max_drawdown_pct": 58.18918909893167, "mean_exposure_while_solvent": 1.1540606486759117, "realized_annual_volatility_pct": 74.98474876736714, "trading_costs_quote_units": 607.5050457147971, "borrowing_costs_quote_units": 333.0012836187845, "price_pnl_quote_units": 14832.572453250166, "turnover_quote_units": 202501.68190493243, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 18.18960224634975 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19639.472337562347, "return_pct": 96.39472337562347, "cagr_pct": 96.5461726315575, "max_drawdown_pct": 61.17907233151049, "mean_exposure_while_solvent": 1.0619572525469396, "realized_annual_volatility_pct": 68.06838706081274, "trading_costs_quote_units": 1169.683912323333, "borrowing_costs_quote_units": 308.63330877217305, "price_pnl_quote_units": 11117.789558657905, "turnover_quote_units": 389894.6374411113, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22389.612450092754, "return_pct": 123.89612450092753, "cagr_pct": 124.10232145767202, "max_drawdown_pct": 56.791483992930914, "mean_exposure_while_solvent": 1.046535908859511, "realized_annual_volatility_pct": 68.10834427193055, "trading_costs_quote_units": 1204.907714113457, "borrowing_costs_quote_units": 261.0380060061104, "price_pnl_quote_units": 13855.558170212282, "turnover_quote_units": 401635.9047044852, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -27.501401125304056 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24150.200027035462, "return_pct": 141.50200027035459, "cagr_pct": 141.74530930125516, "max_drawdown_pct": 47.291791214897735, "mean_exposure_while_solvent": 0.9526950051495297, "realized_annual_volatility_pct": 61.09011258866972, "trading_costs_quote_units": 352.5357470778658, "borrowing_costs_quote_units": 104.86884021906101, "price_pnl_quote_units": 14607.604614332477, "turnover_quote_units": 117511.91569262199, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19682.007106865207, "return_pct": 96.82007106865207, "cagr_pct": 96.97233501012347, "max_drawdown_pct": 51.92870744807294, "mean_exposure_while_solvent": 0.9724041567739921, "realized_annual_volatility_pct": 63.933942165360534, "trading_costs_quote_units": 218.55262661028672, "borrowing_costs_quote_units": 24.23297972813214, "price_pnl_quote_units": 9924.792713203597, "turnover_quote_units": 72850.8755367622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 44.681929201702516 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20578.630113291187, "return_pct": 105.78630113291187, "cagr_pct": 105.95597977663131, "max_drawdown_pct": 47.10141627891022, "mean_exposure_while_solvent": 0.8906777768096554, "realized_annual_volatility_pct": 56.781523495767026, "trading_costs_quote_units": 266.4982671411671, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10845.128380432336, "turnover_quote_units": 88832.75571372232, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 214, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20657.717556619853, "return_pct": 106.57717556619852, "cagr_pct": 106.74841203474554, "max_drawdown_pct": 48.171476693745994, "mean_exposure_while_solvent": 0.9202660614317805, "realized_annual_volatility_pct": 58.67124983661305, "trading_costs_quote_units": 237.21723435920967, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10894.934790979009, "turnover_quote_units": 79072.41145306993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 151, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -0.7908744332866462 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24447.479468179743, "return_pct": 144.47479468179742, "cagr_pct": 144.72451817884712, "max_drawdown_pct": 51.28213741876488, "mean_exposure_while_solvent": 0.9842785520126449, "realized_annual_volatility_pct": 65.08226905527556, "trading_costs_quote_units": 322.3719373583556, "borrowing_costs_quote_units": 104.9945021063566, "price_pnl_quote_units": 14874.845907644489, "turnover_quote_units": 107457.31245278523, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19682.007106865207, "return_pct": 96.82007106865207, "cagr_pct": 96.97233501012347, "max_drawdown_pct": 51.92870744807294, "mean_exposure_while_solvent": 0.9724041567739921, "realized_annual_volatility_pct": 63.933942165360534, "trading_costs_quote_units": 218.55262661028672, "borrowing_costs_quote_units": 24.23297972813214, "price_pnl_quote_units": 9924.792713203597, "turnover_quote_units": 72850.8755367622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 47.65472361314535 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24150.200027035462, "return_pct": 141.50200027035459, "cagr_pct": 141.74530930125516, "max_drawdown_pct": 47.291791214897735, "mean_exposure_while_solvent": 0.9526950051495297, "realized_annual_volatility_pct": 61.09011258866972, "trading_costs_quote_units": 352.5357470778658, "borrowing_costs_quote_units": 104.86884021906101, "price_pnl_quote_units": 14607.604614332477, "turnover_quote_units": 117511.91569262199, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19682.007106865207, "return_pct": 96.82007106865207, "cagr_pct": 96.97233501012347, "max_drawdown_pct": 51.92870744807294, "mean_exposure_while_solvent": 0.9724041567739921, "realized_annual_volatility_pct": 63.933942165360534, "trading_costs_quote_units": 218.55262661028672, "borrowing_costs_quote_units": 24.23297972813214, "price_pnl_quote_units": 9924.792713203597, "turnover_quote_units": 72850.8755367622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 44.681929201702516 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17086.862414495532, "return_pct": 70.86862414495532, "cagr_pct": 70.9731999418655, "max_drawdown_pct": 41.72933027639299, "mean_exposure_while_solvent": 0.7492737554486788, "realized_annual_volatility_pct": 49.14053987124758, "trading_costs_quote_units": 101.97441924070694, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7188.836833736212, "turnover_quote_units": 33991.47308023566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17086.862414495532, "return_pct": 70.86862414495532, "cagr_pct": 70.9731999418655, "max_drawdown_pct": 41.72933027639299, "mean_exposure_while_solvent": 0.7492737554486788, "realized_annual_volatility_pct": 49.14053987124758, "trading_costs_quote_units": 101.97441924070694, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7188.836833736212, "turnover_quote_units": 33991.47308023566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19479.95816385623, "return_pct": 94.7995816385623, "cagr_pct": 94.94798506313009, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9986251145737856, "realized_annual_volatility_pct": 65.45089077362182, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9509.86843304863, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 19479.95816385623, "return_pct": 94.7995816385623, "cagr_pct": 94.94798506313009, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9986251145737856, "realized_annual_volatility_pct": 65.45089077362182, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9509.86843304863, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20848.116057505318, "return_pct": 108.48116057505317, "cagr_pct": 108.6561616039245, "max_drawdown_pct": 62.73555428602471, "mean_exposure_while_solvent": 1.247903329444802, "realized_annual_volatility_pct": 81.77886689433304, "trading_costs_quote_units": 223.91081376371588, "borrowing_costs_quote_units": 569.2857132150106, "price_pnl_quote_units": 11641.31258448408, "turnover_quote_units": 74636.93792123852, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20848.116057505318, "return_pct": 108.48116057505317, "cagr_pct": 108.6561616039245, "max_drawdown_pct": 62.73555428602471, "mean_exposure_while_solvent": 1.247903329444802, "realized_annual_volatility_pct": 81.77886689433304, "trading_costs_quote_units": 223.91081376371588, "borrowing_costs_quote_units": 569.2857132150106, "price_pnl_quote_units": 11641.31258448408, "turnover_quote_units": 74636.93792123852, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21661.76901212708, "return_pct": 116.61769012127077, "cagr_pct": 116.80900072407239, "max_drawdown_pct": 71.19257923987831, "mean_exposure_while_solvent": 1.4971437533575211, "realized_annual_volatility_pct": 98.14221865221813, "trading_costs_quote_units": 563.0156677369869, "borrowing_costs_quote_units": 1291.8499262393068, "price_pnl_quote_units": 13516.634606103346, "turnover_quote_units": 187671.8892456622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21661.76901212708, "return_pct": 116.61769012127077, "cagr_pct": 116.80900072407239, "max_drawdown_pct": 71.19257923987831, "mean_exposure_while_solvent": 1.4971437533575211, "realized_annual_volatility_pct": 98.14221865221813, "trading_costs_quote_units": 563.0156677369869, "borrowing_costs_quote_units": 1291.8499262393068, "price_pnl_quote_units": 13516.634606103346, "turnover_quote_units": 187671.8892456622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21137.555271531495, "return_pct": 111.37555271531494, "cagr_pct": 111.55631459492356, "max_drawdown_pct": 35.621001912424575, "mean_exposure_while_solvent": 0.6787102337438764, "realized_annual_volatility_pct": 45.254281452451515, "trading_costs_quote_units": 414.14016966093334, "borrowing_costs_quote_units": 38.123811545560564, "price_pnl_quote_units": 11589.819252737912, "turnover_quote_units": 138046.72322031113, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 18815.662898046856, "return_pct": 88.15662898046857, "cagr_pct": 88.29251020947164, "max_drawdown_pct": 41.43007590329321, "mean_exposure_while_solvent": 0.7771903041986529, "realized_annual_volatility_pct": 50.2726437816814, "trading_costs_quote_units": 435.5555042099213, "borrowing_costs_quote_units": 15.561331168836185, "price_pnl_quote_units": 9266.779733425592, "turnover_quote_units": 145185.16806997382, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 23.21892373484637 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24087.533146537175, "return_pct": 140.87533146537177, "cagr_pct": 141.11729364661173, "max_drawdown_pct": 50.05042388536853, "mean_exposure_while_solvent": 0.9920177193703347, "realized_annual_volatility_pct": 64.19799851494314, "trading_costs_quote_units": 596.6984627127297, "borrowing_costs_quote_units": 292.40426384081917, "price_pnl_quote_units": 14976.635873090787, "turnover_quote_units": 198899.48757091, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21694.79935891448, "return_pct": 116.94799358914479, "cagr_pct": 117.13997375881142, "max_drawdown_pct": 51.08490864417854, "mean_exposure_while_solvent": 0.9893059426366343, "realized_annual_volatility_pct": 63.957930176488766, "trading_costs_quote_units": 475.05338535753924, "borrowing_costs_quote_units": 192.1776013222524, "price_pnl_quote_units": 12362.030345594247, "turnover_quote_units": 158351.12845251313, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 23.927337876226986 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25027.95439414533, "return_pct": 150.2795439414533, "cagr_pct": 150.5419112948565, "max_drawdown_pct": 60.260816273085084, "mean_exposure_while_solvent": 1.24349005870787, "realized_annual_volatility_pct": 79.43567579836383, "trading_costs_quote_units": 707.440089520591, "borrowing_costs_quote_units": 1143.8471840571358, "price_pnl_quote_units": 16879.241667723094, "turnover_quote_units": 235813.3631735303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23470.302086924225, "return_pct": 134.70302086924227, "cagr_pct": 134.93181786617643, "max_drawdown_pct": 58.38276237075733, "mean_exposure_while_solvent": 1.1540892667247917, "realized_annual_volatility_pct": 74.98589065713783, "trading_costs_quote_units": 600.8708355945622, "borrowing_costs_quote_units": 658.8475137631775, "price_pnl_quote_units": 14730.020436281975, "turnover_quote_units": 200290.2785315207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 248, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 15.576523072211046 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19298.08115333039, "return_pct": 92.98081153330389, "cagr_pct": 93.1257603643445, "max_drawdown_pct": 61.41096788966538, "mean_exposure_while_solvent": 1.0619857250480773, "realized_annual_volatility_pct": 68.07134825231606, "trading_costs_quote_units": 1157.071309058758, "borrowing_costs_quote_units": 610.9191273818956, "price_pnl_quote_units": 11066.071589771032, "turnover_quote_units": 385690.436352919, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 22074.17822408348, "return_pct": 120.74178224083481, "cagr_pct": 120.9414939478012, "max_drawdown_pct": 56.98772245776791, "mean_exposure_while_solvent": 1.046558715816367, "realized_annual_volatility_pct": 68.11011696632502, "trading_costs_quote_units": 1194.1253887103092, "borrowing_costs_quote_units": 517.6655628646781, "price_pnl_quote_units": 13785.969175658489, "turnover_quote_units": 398041.79623676976, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -27.760970707530916 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23967.232708147603, "return_pct": 139.672327081476, "cagr_pct": 139.91170897410606, "max_drawdown_pct": 47.29949557607828, "mean_exposure_while_solvent": 0.9527065940914429, "realized_annual_volatility_pct": 61.08963417018016, "trading_costs_quote_units": 350.4620075373869, "borrowing_costs_quote_units": 208.8535785937135, "price_pnl_quote_units": 14526.548294278688, "turnover_quote_units": 116820.66917912895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19639.424619624566, "return_pct": 96.39424619624566, "cagr_pct": 96.54569453881037, "max_drawdown_pct": 51.932737892032144, "mean_exposure_while_solvent": 0.972407232166961, "realized_annual_volatility_pct": 63.93420727376981, "trading_costs_quote_units": 218.21315024773816, "borrowing_costs_quote_units": 48.41715518293943, "price_pnl_quote_units": 9906.054925055281, "turnover_quote_units": 72737.71674924603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 43.27808088523034 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20578.630113291187, "return_pct": 105.78630113291187, "cagr_pct": 105.95597977663131, "max_drawdown_pct": 47.10141627891022, "mean_exposure_while_solvent": 0.8906777768096554, "realized_annual_volatility_pct": 56.781523495767026, "trading_costs_quote_units": 266.4982671411671, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10845.128380432336, "turnover_quote_units": 88832.75571372232, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 214, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20657.717556619853, "return_pct": 106.57717556619852, "cagr_pct": 106.74841203474554, "max_drawdown_pct": 48.171476693745994, "mean_exposure_while_solvent": 0.9202660614317805, "realized_annual_volatility_pct": 58.67124983661305, "trading_costs_quote_units": 237.21723435920967, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10894.934790979009, "turnover_quote_units": 79072.41145306993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 151, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -0.7908744332866462 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24262.25989373098, "return_pct": 142.62259893730982, "cagr_pct": 142.8683210187398, "max_drawdown_pct": 51.28925851086657, "mean_exposure_while_solvent": 0.984290140954558, "realized_annual_volatility_pct": 65.08182653633003, "trading_costs_quote_units": 320.51458718900517, "borrowing_costs_quote_units": 209.10308071217466, "price_pnl_quote_units": 14791.87756163212, "turnover_quote_units": 106838.1957296684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19639.424619624566, "return_pct": 96.39424619624566, "cagr_pct": 96.54569453881037, "max_drawdown_pct": 51.932737892032144, "mean_exposure_while_solvent": 0.972407232166961, "realized_annual_volatility_pct": 63.93420727376981, "trading_costs_quote_units": 218.21315024773816, "borrowing_costs_quote_units": 48.41715518293943, "price_pnl_quote_units": 9906.054925055281, "turnover_quote_units": 72737.71674924603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 46.22835274106416 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23967.232708147603, "return_pct": 139.672327081476, "cagr_pct": 139.91170897410606, "max_drawdown_pct": 47.29949557607828, "mean_exposure_while_solvent": 0.9527065940914429, "realized_annual_volatility_pct": 61.08963417018016, "trading_costs_quote_units": 350.4620075373869, "borrowing_costs_quote_units": 208.8535785937135, "price_pnl_quote_units": 14526.548294278688, "turnover_quote_units": 116820.66917912895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19639.424619624566, "return_pct": 96.39424619624566, "cagr_pct": 96.54569453881037, "max_drawdown_pct": 51.932737892032144, "mean_exposure_while_solvent": 0.972407232166961, "realized_annual_volatility_pct": 63.93420727376981, "trading_costs_quote_units": 218.21315024773816, "borrowing_costs_quote_units": 48.41715518293943, "price_pnl_quote_units": 9906.054925055281, "turnover_quote_units": 72737.71674924603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 128, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 43.27808088523034 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 17086.862414495532, "return_pct": 70.86862414495532, "cagr_pct": 70.9731999418655, "max_drawdown_pct": 41.72933027639299, "mean_exposure_while_solvent": 0.7492737554486788, "realized_annual_volatility_pct": 49.14053987124758, "trading_costs_quote_units": 101.97441924070694, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7188.836833736212, "turnover_quote_units": 33991.47308023566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 17086.862414495532, "return_pct": 70.86862414495532, "cagr_pct": 70.9731999418655, "max_drawdown_pct": 41.72933027639299, "mean_exposure_while_solvent": 0.7492737554486788, "realized_annual_volatility_pct": 49.14053987124758, "trading_costs_quote_units": 101.97441924070694, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 7188.836833736212, "turnover_quote_units": 33991.47308023566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19479.95816385623, "return_pct": 94.7995816385623, "cagr_pct": 94.94798506313009, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9986251145737856, "realized_annual_volatility_pct": 65.45089077362182, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9509.86843304863, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 19479.95816385623, "return_pct": 94.7995816385623, "cagr_pct": 94.94798506313009, "max_drawdown_pct": 52.615473656161996, "mean_exposure_while_solvent": 0.9986251145737856, "realized_annual_volatility_pct": 65.45089077362182, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 9509.86843304863, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20334.98854595925, "return_pct": 103.3498854595925, "cagr_pct": 103.51478689446299, "max_drawdown_pct": 63.181539429238285, "mean_exposure_while_solvent": 1.24793893638502, "realized_annual_volatility_pct": 81.78177044181103, "trading_costs_quote_units": 221.34474272086808, "borrowing_costs_quote_units": 1122.6232674535277, "price_pnl_quote_units": 11678.956556133675, "turnover_quote_units": 73781.58090695605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20334.98854595925, "return_pct": 103.3498854595925, "cagr_pct": 103.51478689446299, "max_drawdown_pct": 63.181539429238285, "mean_exposure_while_solvent": 1.24793893638502, "realized_annual_volatility_pct": 81.78177044181103, "trading_costs_quote_units": 221.34474272086808, "borrowing_costs_quote_units": 1122.6232674535277, "price_pnl_quote_units": 11678.956556133675, "turnover_quote_units": 73781.58090695605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20608.200191100528, "return_pct": 106.08200191100528, "cagr_pct": 106.25226260490419, "max_drawdown_pct": 71.87937049737975, "mean_exposure_while_solvent": 1.4972292137996186, "realized_annual_volatility_pct": 98.14920280816666, "trading_costs_quote_units": 548.8962705435803, "borrowing_costs_quote_units": 2511.3478791683683, "price_pnl_quote_units": 13668.444340812468, "turnover_quote_units": 182965.42351452672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20608.200191100528, "return_pct": 106.08200191100528, "cagr_pct": 106.25226260490419, "max_drawdown_pct": 71.87937049737975, "mean_exposure_while_solvent": 1.4972292137996186, "realized_annual_volatility_pct": 98.14920280816666, "trading_costs_quote_units": 548.8962705435803, "borrowing_costs_quote_units": 2511.3478791683683, "price_pnl_quote_units": 13668.444340812468, "turnover_quote_units": 182965.42351452672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29841.5396482027, "return_pct": 198.415396482027, "cagr_pct": 197.89561350012667, "max_drawdown_pct": 42.85807326456567, "mean_exposure_while_solvent": 0.7731289412820692, "realized_annual_volatility_pct": 46.71891875219812, "trading_costs_quote_units": 59.34604135288067, "borrowing_costs_quote_units": 21.544411001136275, "price_pnl_quote_units": 19922.430100556736, "turnover_quote_units": 98910.06892146777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29841.5396482027, "return_pct": 198.415396482027, "cagr_pct": 197.89561350012667, "max_drawdown_pct": 42.85807326456567, "mean_exposure_while_solvent": 0.7731289412820692, "realized_annual_volatility_pct": 46.71891875219812, "trading_costs_quote_units": 59.34604135288067, "borrowing_costs_quote_units": 21.544411001136275, "price_pnl_quote_units": 19922.430100556736, "turnover_quote_units": 98910.06892146777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39078.55957358892, "return_pct": 290.7855957358892, "cagr_pct": 289.9372116157604, "max_drawdown_pct": 58.960112018585264, "mean_exposure_while_solvent": 1.1068923924600476, "realized_annual_volatility_pct": 69.52943772041318, "trading_costs_quote_units": 75.96435800165055, "borrowing_costs_quote_units": 129.97834967798315, "price_pnl_quote_units": 29284.502281268546, "turnover_quote_units": 126607.26333608423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39078.55957358892, "return_pct": 290.7855957358892, "cagr_pct": 289.9372116157604, "max_drawdown_pct": 58.960112018585264, "mean_exposure_while_solvent": 1.1068923924600476, "realized_annual_volatility_pct": 69.52943772041318, "trading_costs_quote_units": 75.96435800165055, "borrowing_costs_quote_units": 129.97834967798315, "price_pnl_quote_units": 29284.502281268546, "turnover_quote_units": 126607.26333608423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 44994.12997327276, "return_pct": 349.94129973272754, "cagr_pct": 348.86359135631403, "max_drawdown_pct": 70.22949032407384, "mean_exposure_while_solvent": 1.3220516720076159, "realized_annual_volatility_pct": 89.74003483331519, "trading_costs_quote_units": 69.94438830815108, "borrowing_costs_quote_units": 261.23155255882205, "price_pnl_quote_units": 35325.30591413973, "turnover_quote_units": 116573.98051358505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 44994.12997327276, "return_pct": 349.94129973272754, "cagr_pct": 348.86359135631403, "max_drawdown_pct": 70.22949032407384, "mean_exposure_while_solvent": 1.3220516720076159, "realized_annual_volatility_pct": 89.74003483331519, "trading_costs_quote_units": 69.94438830815108, "borrowing_costs_quote_units": 261.23155255882205, "price_pnl_quote_units": 35325.30591413973, "turnover_quote_units": 116573.98051358505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39410.5553878663, "return_pct": 294.105553878663, "cagr_pct": 293.24465759699666, "max_drawdown_pct": 57.67228109207131, "mean_exposure_while_solvent": 1.1294385627662875, "realized_annual_volatility_pct": 68.8639335789789, "trading_costs_quote_units": 127.31340769533388, "borrowing_costs_quote_units": 141.47731520445717, "price_pnl_quote_units": 29679.34611076608, "turnover_quote_units": 212189.0128255566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39410.5553878663, "return_pct": 294.105553878663, "cagr_pct": 293.24465759699666, "max_drawdown_pct": 57.67228109207131, "mean_exposure_while_solvent": 1.1294385627662875, "realized_annual_volatility_pct": 68.8639335789789, "trading_costs_quote_units": 127.31340769533388, "borrowing_costs_quote_units": 141.47731520445717, "price_pnl_quote_units": 29679.34611076608, "turnover_quote_units": 212189.0128255566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36957.89915211866, "return_pct": 269.57899152118665, "cagr_pct": 268.8094564638254, "max_drawdown_pct": 61.01914020722011, "mean_exposure_while_solvent": 1.0856534161657954, "realized_annual_volatility_pct": 71.87392562097624, "trading_costs_quote_units": 49.06768820735882, "borrowing_costs_quote_units": 125.77709623328683, "price_pnl_quote_units": 27132.74393655932, "turnover_quote_units": 81779.48034559804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36957.89915211866, "return_pct": 269.57899152118665, "cagr_pct": 268.8094564638254, "max_drawdown_pct": 61.01914020722011, "mean_exposure_while_solvent": 1.0856534161657954, "realized_annual_volatility_pct": 71.87392562097624, "trading_costs_quote_units": 49.06768820735882, "borrowing_costs_quote_units": 125.77709623328683, "price_pnl_quote_units": 27132.74393655932, "turnover_quote_units": 81779.48034559804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32731.65878412504, "return_pct": 227.31658784125042, "cagr_pct": 226.69830530856143, "max_drawdown_pct": 53.33937913927961, "mean_exposure_while_solvent": 0.9141706596925023, "realized_annual_volatility_pct": 59.98059510239537, "trading_costs_quote_units": 26.35193540192342, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22758.010719526956, "turnover_quote_units": 43919.89233653901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32731.65878412504, "return_pct": 227.31658784125042, "cagr_pct": 226.69830530856143, "max_drawdown_pct": 53.33937913927961, "mean_exposure_while_solvent": 0.9141706596925023, "realized_annual_volatility_pct": 59.98059510239537, "trading_costs_quote_units": 26.35193540192342, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22758.010719526956, "turnover_quote_units": 43919.89233653901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36957.89915211866, "return_pct": 269.57899152118665, "cagr_pct": 268.8094564638254, "max_drawdown_pct": 61.01914020722011, "mean_exposure_while_solvent": 1.0856534161657954, "realized_annual_volatility_pct": 71.87392562097624, "trading_costs_quote_units": 49.06768820735882, "borrowing_costs_quote_units": 125.77709623328683, "price_pnl_quote_units": 27132.74393655932, "turnover_quote_units": 81779.48034559804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36957.89915211866, "return_pct": 269.57899152118665, "cagr_pct": 268.8094564638254, "max_drawdown_pct": 61.01914020722011, "mean_exposure_while_solvent": 1.0856534161657954, "realized_annual_volatility_pct": 71.87392562097624, "trading_costs_quote_units": 49.06768820735882, "borrowing_costs_quote_units": 125.77709623328683, "price_pnl_quote_units": 27132.74393655932, "turnover_quote_units": 81779.48034559804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36957.89915211866, "return_pct": 269.57899152118665, "cagr_pct": 268.8094564638254, "max_drawdown_pct": 61.01914020722011, "mean_exposure_while_solvent": 1.0856534161657954, "realized_annual_volatility_pct": 71.87392562097624, "trading_costs_quote_units": 49.06768820735882, "borrowing_costs_quote_units": 125.77709623328683, "price_pnl_quote_units": 27132.74393655932, "turnover_quote_units": 81779.48034559804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36957.89915211866, "return_pct": 269.57899152118665, "cagr_pct": 268.8094564638254, "max_drawdown_pct": 61.01914020722011, "mean_exposure_while_solvent": 1.0856534161657954, "realized_annual_volatility_pct": 71.87392562097624, "trading_costs_quote_units": 49.06768820735882, "borrowing_costs_quote_units": 125.77709623328683, "price_pnl_quote_units": 27132.74393655932, "turnover_quote_units": 81779.48034559804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29851.999883936645, "return_pct": 198.51999883936645, "cagr_pct": 197.99986712948754, "max_drawdown_pct": 45.10659265819581, "mean_exposure_while_solvent": 0.7498588346251662, "realized_annual_volatility_pct": 50.447528160391876, "trading_costs_quote_units": 18.26133436454444, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19870.26121830116, "turnover_quote_units": 30435.557274240713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29851.999883936645, "return_pct": 198.51999883936645, "cagr_pct": 197.99986712948754, "max_drawdown_pct": 45.10659265819581, "mean_exposure_while_solvent": 0.7498588346251662, "realized_annual_volatility_pct": 50.447528160391876, "trading_costs_quote_units": 18.26133436454444, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19870.26121830116, "turnover_quote_units": 30435.557274240713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40318.757655148336, "return_pct": 303.1875765514833, "cagr_pct": 302.29222630220784, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 68.3021045467923, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30324.754057307073, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40318.757655148336, "return_pct": 303.1875765514833, "cagr_pct": 302.29222630220784, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 68.3021045467923, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30324.754057307073, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 51776.69367873436, "return_pct": 417.7669367873436, "cagr_pct": 416.4111412721221, "max_drawdown_pct": 65.41620559090718, "mean_exposure_while_solvent": 1.249221084908388, "realized_annual_volatility_pct": 87.09317564807833, "trading_costs_quote_units": 34.40294068648538, "borrowing_costs_quote_units": 204.36718042136184, "price_pnl_quote_units": 42015.46379984217, "turnover_quote_units": 57338.234477475664, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 51776.69367873436, "return_pct": 417.7669367873436, "cagr_pct": 416.4111412721221, "max_drawdown_pct": 65.41620559090718, "mean_exposure_while_solvent": 1.249221084908388, "realized_annual_volatility_pct": 87.09317564807833, "trading_costs_quote_units": 34.40294068648538, "borrowing_costs_quote_units": 204.36718042136184, "price_pnl_quote_units": 42015.46379984217, "turnover_quote_units": 57338.234477475664, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 63962.276923552934, "return_pct": 539.6227692355294, "cagr_pct": 537.7329303123574, "max_drawdown_pct": 73.25786266946133, "mean_exposure_while_solvent": 1.4989627565356762, "realized_annual_volatility_pct": 107.33674364321904, "trading_costs_quote_units": 76.72682630272215, "borrowing_costs_quote_units": 424.875486368927, "price_pnl_quote_units": 54463.87923622452, "turnover_quote_units": 127878.0438378702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 63962.276923552934, "return_pct": 539.6227692355294, "cagr_pct": 537.7329303123574, "max_drawdown_pct": 73.25786266946133, "mean_exposure_while_solvent": 1.4989627565356762, "realized_annual_volatility_pct": 107.33674364321904, "trading_costs_quote_units": 76.72682630272215, "borrowing_costs_quote_units": 424.875486368927, "price_pnl_quote_units": 54463.87923622452, "turnover_quote_units": 127878.0438378702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29789.679422857807, "return_pct": 197.89679422857807, "cagr_pct": 197.37873932488256, "max_drawdown_pct": 42.85807326456567, "mean_exposure_while_solvent": 0.7731315647174286, "realized_annual_volatility_pct": 46.71846779157358, "trading_costs_quote_units": 59.29698936664072, "borrowing_costs_quote_units": 43.051534943560654, "price_pnl_quote_units": 19892.027947168048, "turnover_quote_units": 98828.31561106793, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29789.679422857807, "return_pct": 197.89679422857807, "cagr_pct": 197.37873932488256, "max_drawdown_pct": 42.85807326456567, "mean_exposure_while_solvent": 0.7731315647174286, "realized_annual_volatility_pct": 46.71846779157358, "trading_costs_quote_units": 59.29698936664072, "borrowing_costs_quote_units": 43.051534943560654, "price_pnl_quote_units": 19892.027947168048, "turnover_quote_units": 98828.31561106793, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 38704.258179678254, "return_pct": 287.04258179678254, "cagr_pct": 286.2082504858963, "max_drawdown_pct": 59.00205854032755, "mean_exposure_while_solvent": 1.1069074161429475, "realized_annual_volatility_pct": 69.53035111539671, "trading_costs_quote_units": 75.6320356762912, "borrowing_costs_quote_units": 258.64248258482877, "price_pnl_quote_units": 29038.53269793933, "turnover_quote_units": 126053.39279381865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 38704.258179678254, "return_pct": 287.04258179678254, "cagr_pct": 286.2082504858963, "max_drawdown_pct": 59.00205854032755, "mean_exposure_while_solvent": 1.1069074161429475, "realized_annual_volatility_pct": 69.53035111539671, "trading_costs_quote_units": 75.6320356762912, "borrowing_costs_quote_units": 258.64248258482877, "price_pnl_quote_units": 29038.53269793933, "turnover_quote_units": 126053.39279381865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44184.86885053852, "return_pct": 341.8486885053852, "cagr_pct": 340.80312045849917, "max_drawdown_pct": 70.2903107542657, "mean_exposure_while_solvent": 1.3220819312935082, "realized_annual_volatility_pct": 89.74416555358285, "trading_costs_quote_units": 69.30653491431354, "borrowing_costs_quote_units": 517.2057153805251, "price_pnl_quote_units": 34771.38110083336, "turnover_quote_units": 115510.89152385584, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44184.86885053852, "return_pct": 341.8486885053852, "cagr_pct": 340.80312045849917, "max_drawdown_pct": 70.2903107542657, "mean_exposure_while_solvent": 1.3220819312935082, "realized_annual_volatility_pct": 89.74416555358285, "trading_costs_quote_units": 69.30653491431354, "borrowing_costs_quote_units": 517.2057153805251, "price_pnl_quote_units": 34771.38110083336, "turnover_quote_units": 115510.89152385584, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 39010.78730968979, "return_pct": 290.1078730968979, "cagr_pct": 289.26203766382514, "max_drawdown_pct": 57.710009296480514, "mean_exposure_while_solvent": 1.1294551569348155, "realized_annual_volatility_pct": 68.86477234125284, "trading_costs_quote_units": 126.6325269646483, "borrowing_costs_quote_units": 281.452592982282, "price_pnl_quote_units": 29418.87242963672, "turnover_quote_units": 211054.2116077469, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 39010.78730968979, "return_pct": 290.1078730968979, "cagr_pct": 289.26203766382514, "max_drawdown_pct": 57.710009296480514, "mean_exposure_while_solvent": 1.1294551569348155, "realized_annual_volatility_pct": 68.86477234125284, "trading_costs_quote_units": 126.6325269646483, "borrowing_costs_quote_units": 281.452592982282, "price_pnl_quote_units": 29418.87242963672, "turnover_quote_units": 211054.2116077469, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36617.020035987065, "return_pct": 266.17020035987065, "cagr_pct": 265.4131621266818, "max_drawdown_pct": 61.051904289739255, "mean_exposure_while_solvent": 1.0856677894812423, "realized_annual_volatility_pct": 71.87518401648379, "trading_costs_quote_units": 48.86281557935017, "borrowing_costs_quote_units": 250.31039802796727, "price_pnl_quote_units": 26916.1932495944, "turnover_quote_units": 81438.0259655837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36617.020035987065, "return_pct": 266.17020035987065, "cagr_pct": 265.4131621266818, "max_drawdown_pct": 61.051904289739255, "mean_exposure_while_solvent": 1.0856677894812423, "realized_annual_volatility_pct": 71.87518401648379, "trading_costs_quote_units": 48.86281557935017, "borrowing_costs_quote_units": 250.31039802796727, "price_pnl_quote_units": 26916.1932495944, "turnover_quote_units": 81438.0259655837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32731.65878412504, "return_pct": 227.31658784125042, "cagr_pct": 226.69830530856143, "max_drawdown_pct": 53.33937913927961, "mean_exposure_while_solvent": 0.9141706596925023, "realized_annual_volatility_pct": 59.98059510239537, "trading_costs_quote_units": 26.35193540192342, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22758.010719526956, "turnover_quote_units": 43919.89233653901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32731.65878412504, "return_pct": 227.31658784125042, "cagr_pct": 226.69830530856143, "max_drawdown_pct": 53.33937913927961, "mean_exposure_while_solvent": 0.9141706596925023, "realized_annual_volatility_pct": 59.98059510239537, "trading_costs_quote_units": 26.35193540192342, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22758.010719526956, "turnover_quote_units": 43919.89233653901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36617.020035987065, "return_pct": 266.17020035987065, "cagr_pct": 265.4131621266818, "max_drawdown_pct": 61.051904289739255, "mean_exposure_while_solvent": 1.0856677894812423, "realized_annual_volatility_pct": 71.87518401648379, "trading_costs_quote_units": 48.86281557935017, "borrowing_costs_quote_units": 250.31039802796727, "price_pnl_quote_units": 26916.1932495944, "turnover_quote_units": 81438.0259655837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36617.020035987065, "return_pct": 266.17020035987065, "cagr_pct": 265.4131621266818, "max_drawdown_pct": 61.051904289739255, "mean_exposure_while_solvent": 1.0856677894812423, "realized_annual_volatility_pct": 71.87518401648379, "trading_costs_quote_units": 48.86281557935017, "borrowing_costs_quote_units": 250.31039802796727, "price_pnl_quote_units": 26916.1932495944, "turnover_quote_units": 81438.0259655837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36617.020035987065, "return_pct": 266.17020035987065, "cagr_pct": 265.4131621266818, "max_drawdown_pct": 61.051904289739255, "mean_exposure_while_solvent": 1.0856677894812423, "realized_annual_volatility_pct": 71.87518401648379, "trading_costs_quote_units": 48.86281557935017, "borrowing_costs_quote_units": 250.31039802796727, "price_pnl_quote_units": 26916.1932495944, "turnover_quote_units": 81438.0259655837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36617.020035987065, "return_pct": 266.17020035987065, "cagr_pct": 265.4131621266818, "max_drawdown_pct": 61.051904289739255, "mean_exposure_while_solvent": 1.0856677894812423, "realized_annual_volatility_pct": 71.87518401648379, "trading_costs_quote_units": 48.86281557935017, "borrowing_costs_quote_units": 250.31039802796727, "price_pnl_quote_units": 26916.1932495944, "turnover_quote_units": 81438.0259655837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29851.999883936645, "return_pct": 198.51999883936645, "cagr_pct": 197.99986712948754, "max_drawdown_pct": 45.10659265819581, "mean_exposure_while_solvent": 0.7498588346251662, "realized_annual_volatility_pct": 50.447528160391876, "trading_costs_quote_units": 18.26133436454444, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19870.26121830116, "turnover_quote_units": 30435.557274240713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29851.999883936645, "return_pct": 198.51999883936645, "cagr_pct": 197.99986712948754, "max_drawdown_pct": 45.10659265819581, "mean_exposure_while_solvent": 0.7498588346251662, "realized_annual_volatility_pct": 50.447528160391876, "trading_costs_quote_units": 18.26133436454444, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19870.26121830116, "turnover_quote_units": 30435.557274240713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40318.757655148336, "return_pct": 303.1875765514833, "cagr_pct": 302.29222630220784, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 68.3021045467923, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30324.754057307073, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40318.757655148336, "return_pct": 303.1875765514833, "cagr_pct": 302.29222630220784, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 68.3021045467923, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30324.754057307073, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 51134.879995017116, "return_pct": 411.34879995017116, "cagr_pct": 410.01995431698884, "max_drawdown_pct": 65.45577153142162, "mean_exposure_while_solvent": 1.2492388650849007, "realized_annual_volatility_pct": 87.0952441227848, "trading_costs_quote_units": 34.16844048343676, "borrowing_costs_quote_units": 405.70944981996047, "price_pnl_quote_units": 41574.75788532054, "turnover_quote_units": 56947.40080572796, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 51134.879995017116, "return_pct": 411.34879995017116, "cagr_pct": 410.01995431698884, "max_drawdown_pct": 65.45577153142162, "mean_exposure_while_solvent": 1.2492388650849007, "realized_annual_volatility_pct": 87.0952441227848, "trading_costs_quote_units": 34.16844048343676, "borrowing_costs_quote_units": 405.70944981996047, "price_pnl_quote_units": 41574.75788532054, "turnover_quote_units": 56947.40080572796, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62386.350871238006, "return_pct": 523.86350871238, "cagr_pct": 522.0449760256711, "max_drawdown_pct": 73.31963082660364, "mean_exposure_while_solvent": 1.49900545752542, "realized_annual_volatility_pct": 107.34231695711294, "trading_costs_quote_units": 75.605396670315, "borrowing_costs_quote_units": 836.9078536982663, "price_pnl_quote_units": 53298.86412160659, "turnover_quote_units": 126008.99445052505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62386.350871238006, "return_pct": 523.86350871238, "cagr_pct": 522.0449760256711, "max_drawdown_pct": 73.31963082660364, "mean_exposure_while_solvent": 1.49900545752542, "realized_annual_volatility_pct": 107.34231695711294, "trading_costs_quote_units": 75.605396670315, "borrowing_costs_quote_units": 836.9078536982663, "price_pnl_quote_units": 53298.86412160659, "turnover_quote_units": 126008.99445052505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29686.204855383374, "return_pct": 196.86204855383374, "cagr_pct": 196.3474373234085, "max_drawdown_pct": 42.85807326456567, "mean_exposure_while_solvent": 0.7731368125062079, "realized_annual_volatility_pct": 46.71757263988386, "trading_costs_quote_units": 59.199070480986066, "borrowing_costs_quote_units": 85.95414497373282, "price_pnl_quote_units": 19831.358070838116, "turnover_quote_units": 98665.11746830991, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29686.204855383374, "return_pct": 196.86204855383374, "cagr_pct": 196.3474373234085, "max_drawdown_pct": 42.85807326456567, "mean_exposure_while_solvent": 0.7731368125062079, "realized_annual_volatility_pct": 46.71757263988386, "trading_costs_quote_units": 59.199070480986066, "borrowing_costs_quote_units": 85.95414497373282, "price_pnl_quote_units": 19831.358070838116, "turnover_quote_units": 98665.11746830991, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37966.18878713123, "return_pct": 279.6618878713123, "cagr_pct": 278.8550976906, "max_drawdown_pct": 59.085842056515204, "mean_exposure_while_solvent": 1.1069374691219052, "realized_annual_volatility_pct": 69.5321944655791, "trading_costs_quote_units": 74.97758704330606, "borrowing_costs_quote_units": 512.0793276244597, "price_pnl_quote_units": 28553.245701798984, "turnover_quote_units": 124962.64507217673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37966.18878713123, "return_pct": 279.6618878713123, "cagr_pct": 278.8550976906, "max_drawdown_pct": 59.085842056515204, "mean_exposure_while_solvent": 1.1069374691219052, "realized_annual_volatility_pct": 69.5321944655791, "trading_costs_quote_units": 74.97758704330606, "borrowing_costs_quote_units": 512.0793276244597, "price_pnl_quote_units": 28553.245701798984, "turnover_quote_units": 124962.64507217673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 42609.320684990096, "return_pct": 326.093206849901, "cagr_pct": 325.1095334043721, "max_drawdown_pct": 70.41161253748614, "mean_exposure_while_solvent": 1.3221424625104474, "realized_annual_volatility_pct": 89.75244307815052, "trading_costs_quote_units": 68.0637054642934, "borrowing_costs_quote_units": 1013.7910893709706, "price_pnl_quote_units": 33691.17547982535, "turnover_quote_units": 113439.50910715571, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 42609.320684990096, "return_pct": 326.093206849901, "cagr_pct": 325.1095334043721, "max_drawdown_pct": 70.41161253748614, "mean_exposure_while_solvent": 1.3221424625104474, "realized_annual_volatility_pct": 89.75244307815052, "trading_costs_quote_units": 68.0637054642934, "borrowing_costs_quote_units": 1013.7910893709706, "price_pnl_quote_units": 33691.17547982535, "turnover_quote_units": 113439.50910715571, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 38223.17380262447, "return_pct": 282.2317380262447, "cagr_pct": 281.4153840664415, "max_drawdown_pct": 57.785382642284574, "mean_exposure_while_solvent": 1.1294883519466412, "realized_annual_volatility_pct": 68.86647262343062, "trading_costs_quote_units": 125.2868314388548, "borrowing_costs_quote_units": 556.9587744125661, "price_pnl_quote_units": 28905.419408475886, "turnover_quote_units": 208811.38573142467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 38223.17380262447, "return_pct": 282.2317380262447, "cagr_pct": 281.4153840664415, "max_drawdown_pct": 57.785382642284574, "mean_exposure_while_solvent": 1.1294883519466412, "realized_annual_volatility_pct": 68.86647262343062, "trading_costs_quote_units": 125.2868314388548, "borrowing_costs_quote_units": 556.9587744125661, "price_pnl_quote_units": 28905.419408475886, "turnover_quote_units": 208811.38573142467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35944.49951359468, "return_pct": 259.4449951359468, "cagr_pct": 258.7124635901511, "max_drawdown_pct": 61.11736385373037, "mean_exposure_while_solvent": 1.0856965414141142, "realized_annual_volatility_pct": 71.87771649643062, "trading_costs_quote_units": 48.45788176167019, "borrowing_costs_quote_units": 495.6930545376428, "price_pnl_quote_units": 26488.650449893965, "turnover_quote_units": 80763.13626945045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35944.49951359468, "return_pct": 259.4449951359468, "cagr_pct": 258.7124635901511, "max_drawdown_pct": 61.11736385373037, "mean_exposure_while_solvent": 1.0856965414141142, "realized_annual_volatility_pct": 71.87771649643062, "trading_costs_quote_units": 48.45788176167019, "borrowing_costs_quote_units": 495.6930545376428, "price_pnl_quote_units": 26488.650449893965, "turnover_quote_units": 80763.13626945045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32731.65878412504, "return_pct": 227.31658784125042, "cagr_pct": 226.69830530856143, "max_drawdown_pct": 53.33937913927961, "mean_exposure_while_solvent": 0.9141706596925023, "realized_annual_volatility_pct": 59.98059510239537, "trading_costs_quote_units": 26.35193540192342, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22758.010719526956, "turnover_quote_units": 43919.89233653901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32731.65878412504, "return_pct": 227.31658784125042, "cagr_pct": 226.69830530856143, "max_drawdown_pct": 53.33937913927961, "mean_exposure_while_solvent": 0.9141706596925023, "realized_annual_volatility_pct": 59.98059510239537, "trading_costs_quote_units": 26.35193540192342, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22758.010719526956, "turnover_quote_units": 43919.89233653901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35944.49951359468, "return_pct": 259.4449951359468, "cagr_pct": 258.7124635901511, "max_drawdown_pct": 61.11736385373037, "mean_exposure_while_solvent": 1.0856965414141142, "realized_annual_volatility_pct": 71.87771649643062, "trading_costs_quote_units": 48.45788176167019, "borrowing_costs_quote_units": 495.6930545376428, "price_pnl_quote_units": 26488.650449893965, "turnover_quote_units": 80763.13626945045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35944.49951359468, "return_pct": 259.4449951359468, "cagr_pct": 258.7124635901511, "max_drawdown_pct": 61.11736385373037, "mean_exposure_while_solvent": 1.0856965414141142, "realized_annual_volatility_pct": 71.87771649643062, "trading_costs_quote_units": 48.45788176167019, "borrowing_costs_quote_units": 495.6930545376428, "price_pnl_quote_units": 26488.650449893965, "turnover_quote_units": 80763.13626945045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35944.49951359468, "return_pct": 259.4449951359468, "cagr_pct": 258.7124635901511, "max_drawdown_pct": 61.11736385373037, "mean_exposure_while_solvent": 1.0856965414141142, "realized_annual_volatility_pct": 71.87771649643062, "trading_costs_quote_units": 48.45788176167019, "borrowing_costs_quote_units": 495.6930545376428, "price_pnl_quote_units": 26488.650449893965, "turnover_quote_units": 80763.13626945045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35944.49951359468, "return_pct": 259.4449951359468, "cagr_pct": 258.7124635901511, "max_drawdown_pct": 61.11736385373037, "mean_exposure_while_solvent": 1.0856965414141142, "realized_annual_volatility_pct": 71.87771649643062, "trading_costs_quote_units": 48.45788176167019, "borrowing_costs_quote_units": 495.6930545376428, "price_pnl_quote_units": 26488.650449893965, "turnover_quote_units": 80763.13626945045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29851.999883936645, "return_pct": 198.51999883936645, "cagr_pct": 197.99986712948754, "max_drawdown_pct": 45.10659265819581, "mean_exposure_while_solvent": 0.7498588346251662, "realized_annual_volatility_pct": 50.447528160391876, "trading_costs_quote_units": 18.26133436454444, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19870.26121830116, "turnover_quote_units": 30435.557274240713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29851.999883936645, "return_pct": 198.51999883936645, "cagr_pct": 197.99986712948754, "max_drawdown_pct": 45.10659265819581, "mean_exposure_while_solvent": 0.7498588346251662, "realized_annual_volatility_pct": 50.447528160391876, "trading_costs_quote_units": 18.26133436454444, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19870.26121830116, "turnover_quote_units": 30435.557274240713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 40318.757655148336, "return_pct": 303.1875765514833, "cagr_pct": 302.29222630220784, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 68.3021045467923, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30324.754057307073, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 40318.757655148336, "return_pct": 303.1875765514833, "cagr_pct": 302.29222630220784, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 68.3021045467923, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30324.754057307073, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 49874.73495118696, "return_pct": 398.7473495118696, "cagr_pct": 397.47104396290734, "max_drawdown_pct": 65.53478524037091, "mean_exposure_while_solvent": 1.2492744309115036, "realized_annual_volatility_pct": 87.09938192121326, "trading_costs_quote_units": 33.71066897706413, "borrowing_costs_quote_units": 799.4848821043944, "price_pnl_quote_units": 40707.930502268406, "turnover_quote_units": 56184.44829510689, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 49874.73495118696, "return_pct": 398.7473495118696, "cagr_pct": 397.47104396290734, "max_drawdown_pct": 65.53478524037091, "mean_exposure_while_solvent": 1.2492744309115036, "realized_annual_volatility_pct": 87.09938192121326, "trading_costs_quote_units": 33.71066897706413, "borrowing_costs_quote_units": 799.4848821043944, "price_pnl_quote_units": 40707.930502268406, "turnover_quote_units": 56184.44829510689, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 59349.18802821983, "return_pct": 493.4918802821984, "cagr_pct": 491.8089737876053, "max_drawdown_pct": 73.4427735830949, "mean_exposure_while_solvent": 1.4990908780465158, "realized_annual_volatility_pct": 107.35346746651457, "trading_costs_quote_units": 73.4405353245563, "borrowing_costs_quote_units": 1623.874775174553, "price_pnl_quote_units": 51046.503338718954, "turnover_quote_units": 122400.89220759373, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 59349.18802821983, "return_pct": 493.4918802821984, "cagr_pct": 491.8089737876053, "max_drawdown_pct": 73.4427735830949, "mean_exposure_while_solvent": 1.4990908780465158, "realized_annual_volatility_pct": 107.35346746651457, "trading_costs_quote_units": 73.4405353245563, "borrowing_costs_quote_units": 1623.874775174553, "price_pnl_quote_units": 51046.503338718954, "turnover_quote_units": 122400.89220759373, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30247.286160390795, "return_pct": 202.47286160390794, "cagr_pct": 201.9395091553736, "max_drawdown_pct": 43.420941447028625, "mean_exposure_while_solvent": 0.7726483774256109, "realized_annual_volatility_pct": 47.18773359982391, "trading_costs_quote_units": 61.56580622890726, "borrowing_costs_quote_units": 21.597206401390107, "price_pnl_quote_units": 20330.449173021076, "turnover_quote_units": 102609.67704817877, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30247.286160390795, "return_pct": 202.47286160390794, "cagr_pct": 201.9395091553736, "max_drawdown_pct": 43.420941447028625, "mean_exposure_while_solvent": 0.7726483774256109, "realized_annual_volatility_pct": 47.18773359982391, "trading_costs_quote_units": 61.56580622890726, "borrowing_costs_quote_units": 21.597206401390107, "price_pnl_quote_units": 20330.449173021076, "turnover_quote_units": 102609.67704817877, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 40263.579771471464, "return_pct": 302.6357977147146, "cagr_pct": 301.7425500649435, "max_drawdown_pct": 58.848860125657964, "mean_exposure_while_solvent": 1.1055723394843178, "realized_annual_volatility_pct": 69.31152550123937, "trading_costs_quote_units": 74.81245455992544, "borrowing_costs_quote_units": 131.75801596750426, "price_pnl_quote_units": 30470.150241998945, "turnover_quote_units": 124687.4242665425, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 40263.579771471464, "return_pct": 302.6357977147146, "cagr_pct": 301.7425500649435, "max_drawdown_pct": 58.848860125657964, "mean_exposure_while_solvent": 1.1055723394843178, "realized_annual_volatility_pct": 69.31152550123937, "trading_costs_quote_units": 74.81245455992544, "borrowing_costs_quote_units": 131.75801596750426, "price_pnl_quote_units": 30470.150241998945, "turnover_quote_units": 124687.4242665425, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46880.33167961395, "return_pct": 368.8033167961395, "cagr_pct": 367.64980637965704, "max_drawdown_pct": 68.89974006538327, "mean_exposure_while_solvent": 1.3199778882220854, "realized_annual_volatility_pct": 87.27577814909793, "trading_costs_quote_units": 70.53517355358204, "borrowing_costs_quote_units": 268.4980019914071, "price_pnl_quote_units": 37219.36485515894, "turnover_quote_units": 117558.62258930346, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46880.33167961395, "return_pct": 368.8033167961395, "cagr_pct": 367.64980637965704, "max_drawdown_pct": 68.89974006538327, "mean_exposure_while_solvent": 1.3199778882220854, "realized_annual_volatility_pct": 87.27577814909793, "trading_costs_quote_units": 70.53517355358204, "borrowing_costs_quote_units": 268.4980019914071, "price_pnl_quote_units": 37219.36485515894, "turnover_quote_units": 117558.62258930346, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39838.92598568338, "return_pct": 298.3892598568338, "cagr_pct": 297.5121536780332, "max_drawdown_pct": 57.927631568374785, "mean_exposure_while_solvent": 1.1283487954509297, "realized_annual_volatility_pct": 68.76234895857658, "trading_costs_quote_units": 128.64941589827265, "borrowing_costs_quote_units": 141.83384249663249, "price_pnl_quote_units": 30109.40924407825, "turnover_quote_units": 214415.69316378803, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39838.92598568338, "return_pct": 298.3892598568338, "cagr_pct": 297.5121536780332, "max_drawdown_pct": 57.927631568374785, "mean_exposure_while_solvent": 1.1283487954509297, "realized_annual_volatility_pct": 68.76234895857658, "trading_costs_quote_units": 128.64941589827265, "borrowing_costs_quote_units": 141.83384249663249, "price_pnl_quote_units": 30109.40924407825, "turnover_quote_units": 214415.69316378803, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37684.804694383194, "return_pct": 276.84804694383195, "cagr_pct": 276.0516968611306, "max_drawdown_pct": 60.46673250558614, "mean_exposure_while_solvent": 1.0843463178824702, "realized_annual_volatility_pct": 71.27161240638252, "trading_costs_quote_units": 48.548621546773006, "borrowing_costs_quote_units": 127.3111868494881, "price_pnl_quote_units": 27860.664502779444, "turnover_quote_units": 80914.36924462176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37684.804694383194, "return_pct": 276.84804694383195, "cagr_pct": 276.0516968611306, "max_drawdown_pct": 60.46673250558614, "mean_exposure_while_solvent": 1.0843463178824702, "realized_annual_volatility_pct": 71.27161240638252, "trading_costs_quote_units": 48.548621546773006, "borrowing_costs_quote_units": 127.3111868494881, "price_pnl_quote_units": 27860.664502779444, "turnover_quote_units": 80914.36924462176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32965.36346294139, "return_pct": 229.6536346294139, "cagr_pct": 229.0272048624522, "max_drawdown_pct": 53.3393791392796, "mean_exposure_while_solvent": 0.9133946148871551, "realized_annual_volatility_pct": 60.0487831511231, "trading_costs_quote_units": 26.91407359161513, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22992.27753653302, "turnover_quote_units": 44856.78931935853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32965.36346294139, "return_pct": 229.6536346294139, "cagr_pct": 229.0272048624522, "max_drawdown_pct": 53.3393791392796, "mean_exposure_while_solvent": 0.9133946148871551, "realized_annual_volatility_pct": 60.0487831511231, "trading_costs_quote_units": 26.91407359161513, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22992.27753653302, "turnover_quote_units": 44856.78931935853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37684.804694383194, "return_pct": 276.84804694383195, "cagr_pct": 276.0516968611306, "max_drawdown_pct": 60.46673250558614, "mean_exposure_while_solvent": 1.0843463178824702, "realized_annual_volatility_pct": 71.27161240638252, "trading_costs_quote_units": 48.548621546773006, "borrowing_costs_quote_units": 127.3111868494881, "price_pnl_quote_units": 27860.664502779444, "turnover_quote_units": 80914.36924462176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37684.804694383194, "return_pct": 276.84804694383195, "cagr_pct": 276.0516968611306, "max_drawdown_pct": 60.46673250558614, "mean_exposure_while_solvent": 1.0843463178824702, "realized_annual_volatility_pct": 71.27161240638252, "trading_costs_quote_units": 48.548621546773006, "borrowing_costs_quote_units": 127.3111868494881, "price_pnl_quote_units": 27860.664502779444, "turnover_quote_units": 80914.36924462176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37684.804694383194, "return_pct": 276.84804694383195, "cagr_pct": 276.0516968611306, "max_drawdown_pct": 60.46673250558614, "mean_exposure_while_solvent": 1.0843463178824702, "realized_annual_volatility_pct": 71.27161240638252, "trading_costs_quote_units": 48.548621546773006, "borrowing_costs_quote_units": 127.3111868494881, "price_pnl_quote_units": 27860.664502779444, "turnover_quote_units": 80914.36924462176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37684.804694383194, "return_pct": 276.84804694383195, "cagr_pct": 276.0516968611306, "max_drawdown_pct": 60.46673250558614, "mean_exposure_while_solvent": 1.0843463178824702, "realized_annual_volatility_pct": 71.27161240638252, "trading_costs_quote_units": 48.548621546773006, "borrowing_costs_quote_units": 127.3111868494881, "price_pnl_quote_units": 27860.664502779444, "turnover_quote_units": 80914.36924462176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29666.13450920201, "return_pct": 196.6613450920201, "cagr_pct": 196.1474011473151, "max_drawdown_pct": 45.311898925943204, "mean_exposure_while_solvent": 0.7494634408986918, "realized_annual_volatility_pct": 50.890091726865805, "trading_costs_quote_units": 17.690702627498005, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19683.82521182949, "turnover_quote_units": 29484.504379163336, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29666.13450920201, "return_pct": 196.6613450920201, "cagr_pct": 196.1474011473151, "max_drawdown_pct": 45.311898925943204, "mean_exposure_while_solvent": 0.7494634408986918, "realized_annual_volatility_pct": 50.890091726865805, "trading_costs_quote_units": 17.690702627498005, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19683.82521182949, "turnover_quote_units": 29484.504379163336, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 40160.03801080172, "return_pct": 301.60038010801725, "cagr_pct": 300.7110747607646, "max_drawdown_pct": 56.07200016907762, "mean_exposure_while_solvent": 0.9986338797814207, "realized_annual_volatility_pct": 68.30001182420675, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30166.034412960427, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 40160.03801080172, "return_pct": 301.60038010801725, "cagr_pct": 300.7110747607646, "max_drawdown_pct": 56.07200016907762, "mean_exposure_while_solvent": 0.9986338797814207, "realized_annual_volatility_pct": 68.30001182420675, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30166.034412960427, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 51910.416897026276, "return_pct": 419.1041689702628, "cagr_pct": 417.7427424367072, "max_drawdown_pct": 65.14055044818878, "mean_exposure_while_solvent": 1.2475766575420937, "realized_annual_volatility_pct": 86.04324992312677, "trading_costs_quote_units": 33.37516615923036, "borrowing_costs_quote_units": 204.22685321637576, "price_pnl_quote_units": 42148.01891640192, "turnover_quote_units": 55625.27693205063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 51910.416897026276, "return_pct": 419.1041689702628, "cagr_pct": 417.7427424367072, "max_drawdown_pct": 65.14055044818878, "mean_exposure_while_solvent": 1.2475766575420937, "realized_annual_volatility_pct": 86.04324992312677, "trading_costs_quote_units": 33.37516615923036, "borrowing_costs_quote_units": 204.22685321637576, "price_pnl_quote_units": 42148.01891640192, "turnover_quote_units": 55625.27693205063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64939.80804278253, "return_pct": 549.3980804278253, "cagr_pct": 547.4637002560706, "max_drawdown_pct": 72.66448375743637, "mean_exposure_while_solvent": 1.4963298005861025, "realized_annual_volatility_pct": 104.20006491951357, "trading_costs_quote_units": 74.75468317506972, "borrowing_costs_quote_units": 429.1673731361402, "price_pnl_quote_units": 55443.73009909375, "turnover_quote_units": 124591.13862511616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64939.80804278253, "return_pct": 549.3980804278253, "cagr_pct": 547.4637002560706, "max_drawdown_pct": 72.66448375743637, "mean_exposure_while_solvent": 1.4963298005861025, "realized_annual_volatility_pct": 104.20006491951357, "trading_costs_quote_units": 74.75468317506972, "borrowing_costs_quote_units": 429.1673731361402, "price_pnl_quote_units": 55443.73009909375, "turnover_quote_units": 124591.13862511616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30194.74866760018, "return_pct": 201.94748667600177, "cagr_pct": 201.4158961496279, "max_drawdown_pct": 43.420941447028625, "mean_exposure_while_solvent": 0.7726509921643313, "realized_annual_volatility_pct": 47.18725158607865, "trading_costs_quote_units": 61.51508007190467, "borrowing_costs_quote_units": 43.15697311138874, "price_pnl_quote_units": 20299.42072078348, "turnover_quote_units": 102525.13345317444, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30194.74866760018, "return_pct": 201.94748667600177, "cagr_pct": 201.4158961496279, "max_drawdown_pct": 43.420941447028625, "mean_exposure_while_solvent": 0.7726509921643313, "realized_annual_volatility_pct": 47.18725158607865, "trading_costs_quote_units": 61.51508007190467, "borrowing_costs_quote_units": 43.15697311138874, "price_pnl_quote_units": 20299.42072078348, "turnover_quote_units": 102525.13345317444, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 39878.117346934814, "return_pct": 298.7811734693481, "cagr_pct": 297.90258059188244, "max_drawdown_pct": 58.89125989677011, "mean_exposure_while_solvent": 1.105587304586255, "realized_annual_volatility_pct": 69.31227232645882, "trading_costs_quote_units": 74.49018100519784, "borrowing_costs_quote_units": 262.1753206563473, "price_pnl_quote_units": 30214.78284859634, "turnover_quote_units": 124150.30167532983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 39878.117346934814, "return_pct": 298.7811734693481, "cagr_pct": 297.90258059188244, "max_drawdown_pct": 58.89125989677011, "mean_exposure_while_solvent": 1.105587304586255, "realized_annual_volatility_pct": 69.31227232645882, "trading_costs_quote_units": 74.49018100519784, "borrowing_costs_quote_units": 262.1753206563473, "price_pnl_quote_units": 30214.78284859634, "turnover_quote_units": 124150.30167532983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46038.01869424684, "return_pct": 360.3801869424684, "cagr_pct": 359.2606790074263, "max_drawdown_pct": 68.96289604295094, "mean_exposure_while_solvent": 1.320007982153871, "realized_annual_volatility_pct": 87.2790500571102, "trading_costs_quote_units": 69.88982896799514, "borrowing_costs_quote_units": 531.5451067633718, "price_pnl_quote_units": 36639.45362997818, "turnover_quote_units": 116483.04827999203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46038.01869424684, "return_pct": 360.3801869424684, "cagr_pct": 359.2606790074263, "max_drawdown_pct": 68.96289604295094, "mean_exposure_while_solvent": 1.320007982153871, "realized_annual_volatility_pct": 87.2790500571102, "trading_costs_quote_units": 69.88982896799514, "borrowing_costs_quote_units": 531.5451067633718, "price_pnl_quote_units": 36639.45362997818, "turnover_quote_units": 116483.04827999203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 39434.77855521869, "return_pct": 294.3477855521869, "cagr_pct": 293.48597461130583, "max_drawdown_pct": 57.966072189339734, "mean_exposure_while_solvent": 1.1283653472819801, "realized_annual_volatility_pct": 68.76312425720316, "trading_costs_quote_units": 127.96374540521465, "borrowing_costs_quote_units": 282.1576360024619, "price_pnl_quote_units": 29844.899936626356, "turnover_quote_units": 213272.90900869115, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 39434.77855521869, "return_pct": 294.3477855521869, "cagr_pct": 293.48597461130583, "max_drawdown_pct": 57.966072189339734, "mean_exposure_while_solvent": 1.1283653472819801, "realized_annual_volatility_pct": 68.76312425720316, "trading_costs_quote_units": 127.96374540521465, "borrowing_costs_quote_units": 282.1576360024619, "price_pnl_quote_units": 29844.899936626356, "turnover_quote_units": 213272.90900869115, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37337.34506883013, "return_pct": 273.3734506883013, "cagr_pct": 272.5899461994992, "max_drawdown_pct": 60.49985880746477, "mean_exposure_while_solvent": 1.0843606375606705, "realized_annual_volatility_pct": 71.27266636028283, "trading_costs_quote_units": 48.3535678463195, "borrowing_costs_quote_units": 253.3574295711138, "price_pnl_quote_units": 27639.05606624755, "turnover_quote_units": 80589.27974386586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37337.34506883013, "return_pct": 273.3734506883013, "cagr_pct": 272.5899461994992, "max_drawdown_pct": 60.49985880746477, "mean_exposure_while_solvent": 1.0843606375606705, "realized_annual_volatility_pct": 71.27266636028283, "trading_costs_quote_units": 48.3535678463195, "borrowing_costs_quote_units": 253.3574295711138, "price_pnl_quote_units": 27639.05606624755, "turnover_quote_units": 80589.27974386586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32965.36346294139, "return_pct": 229.6536346294139, "cagr_pct": 229.0272048624522, "max_drawdown_pct": 53.3393791392796, "mean_exposure_while_solvent": 0.9133946148871551, "realized_annual_volatility_pct": 60.0487831511231, "trading_costs_quote_units": 26.91407359161513, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22992.27753653302, "turnover_quote_units": 44856.78931935853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32965.36346294139, "return_pct": 229.6536346294139, "cagr_pct": 229.0272048624522, "max_drawdown_pct": 53.3393791392796, "mean_exposure_while_solvent": 0.9133946148871551, "realized_annual_volatility_pct": 60.0487831511231, "trading_costs_quote_units": 26.91407359161513, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22992.27753653302, "turnover_quote_units": 44856.78931935853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37337.34506883013, "return_pct": 273.3734506883013, "cagr_pct": 272.5899461994992, "max_drawdown_pct": 60.49985880746477, "mean_exposure_while_solvent": 1.0843606375606705, "realized_annual_volatility_pct": 71.27266636028283, "trading_costs_quote_units": 48.3535678463195, "borrowing_costs_quote_units": 253.3574295711138, "price_pnl_quote_units": 27639.05606624755, "turnover_quote_units": 80589.27974386586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37337.34506883013, "return_pct": 273.3734506883013, "cagr_pct": 272.5899461994992, "max_drawdown_pct": 60.49985880746477, "mean_exposure_while_solvent": 1.0843606375606705, "realized_annual_volatility_pct": 71.27266636028283, "trading_costs_quote_units": 48.3535678463195, "borrowing_costs_quote_units": 253.3574295711138, "price_pnl_quote_units": 27639.05606624755, "turnover_quote_units": 80589.27974386586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37337.34506883013, "return_pct": 273.3734506883013, "cagr_pct": 272.5899461994992, "max_drawdown_pct": 60.49985880746477, "mean_exposure_while_solvent": 1.0843606375606705, "realized_annual_volatility_pct": 71.27266636028283, "trading_costs_quote_units": 48.3535678463195, "borrowing_costs_quote_units": 253.3574295711138, "price_pnl_quote_units": 27639.05606624755, "turnover_quote_units": 80589.27974386586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37337.34506883013, "return_pct": 273.3734506883013, "cagr_pct": 272.5899461994992, "max_drawdown_pct": 60.49985880746477, "mean_exposure_while_solvent": 1.0843606375606705, "realized_annual_volatility_pct": 71.27266636028283, "trading_costs_quote_units": 48.3535678463195, "borrowing_costs_quote_units": 253.3574295711138, "price_pnl_quote_units": 27639.05606624755, "turnover_quote_units": 80589.27974386586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29666.13450920201, "return_pct": 196.6613450920201, "cagr_pct": 196.1474011473151, "max_drawdown_pct": 45.311898925943204, "mean_exposure_while_solvent": 0.7494634408986918, "realized_annual_volatility_pct": 50.890091726865805, "trading_costs_quote_units": 17.690702627498005, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19683.82521182949, "turnover_quote_units": 29484.504379163336, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29666.13450920201, "return_pct": 196.6613450920201, "cagr_pct": 196.1474011473151, "max_drawdown_pct": 45.311898925943204, "mean_exposure_while_solvent": 0.7494634408986918, "realized_annual_volatility_pct": 50.890091726865805, "trading_costs_quote_units": 17.690702627498005, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19683.82521182949, "turnover_quote_units": 29484.504379163336, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40160.03801080172, "return_pct": 301.60038010801725, "cagr_pct": 300.7110747607646, "max_drawdown_pct": 56.07200016907762, "mean_exposure_while_solvent": 0.9986338797814207, "realized_annual_volatility_pct": 68.30001182420675, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30166.034412960427, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40160.03801080172, "return_pct": 301.60038010801725, "cagr_pct": 300.7110747607646, "max_drawdown_pct": 56.07200016907762, "mean_exposure_while_solvent": 0.9986338797814207, "realized_annual_volatility_pct": 68.30001182420675, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30166.034412960427, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 51267.57606021019, "return_pct": 412.6757606021019, "cagr_pct": 411.3413534716302, "max_drawdown_pct": 65.1805227275946, "mean_exposure_while_solvent": 1.2475943616002583, "realized_annual_volatility_pct": 86.04506392772922, "trading_costs_quote_units": 33.15351893762287, "borrowing_costs_quote_units": 405.4301158095798, "price_pnl_quote_units": 41706.15969495736, "turnover_quote_units": 55255.864896038074, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 51267.57606021019, "return_pct": 412.6757606021019, "cagr_pct": 411.3413534716302, "max_drawdown_pct": 65.1805227275946, "mean_exposure_while_solvent": 1.2475943616002583, "realized_annual_volatility_pct": 86.04506392772922, "trading_costs_quote_units": 33.15351893762287, "borrowing_costs_quote_units": 405.4301158095798, "price_pnl_quote_units": 41706.15969495736, "turnover_quote_units": 55255.864896038074, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63341.56759155328, "return_pct": 533.4156759155328, "cagr_pct": 531.5539967734748, "max_drawdown_pct": 72.72772393470348, "mean_exposure_while_solvent": 1.4963722570315714, "realized_annual_volatility_pct": 104.20457033278115, "trading_costs_quote_units": 73.6664642131057, "borrowing_costs_quote_units": 845.3301468840729, "price_pnl_quote_units": 54260.564202650436, "turnover_quote_units": 122777.44035517615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63341.56759155328, "return_pct": 533.4156759155328, "cagr_pct": 531.5539967734748, "max_drawdown_pct": 72.72772393470348, "mean_exposure_while_solvent": 1.4963722570315714, "realized_annual_volatility_pct": 104.20457033278115, "trading_costs_quote_units": 73.6664642131057, "borrowing_costs_quote_units": 845.3301468840729, "price_pnl_quote_units": 54260.564202650436, "turnover_quote_units": 122777.44035517615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 30089.922635417184, "return_pct": 200.89922635417184, "cagr_pct": 200.37114697961152, "max_drawdown_pct": 43.420941447028625, "mean_exposure_while_solvent": 0.7726562225579506, "realized_annual_volatility_pct": 47.18629443029327, "trading_costs_quote_units": 61.41382200818517, "borrowing_costs_quote_units": 86.16441174270983, "price_pnl_quote_units": 20237.500869168085, "turnover_quote_units": 102356.37001364201, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 30089.922635417184, "return_pct": 200.89922635417184, "cagr_pct": 200.37114697961152, "max_drawdown_pct": 43.420941447028625, "mean_exposure_while_solvent": 0.7726562225579506, "realized_annual_volatility_pct": 47.18629443029327, "trading_costs_quote_units": 61.41382200818517, "borrowing_costs_quote_units": 86.16441174270983, "price_pnl_quote_units": 20237.500869168085, "turnover_quote_units": 102356.37001364201, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 39118.04238080911, "return_pct": 291.18042380809106, "cagr_pct": 290.3305540113756, "max_drawdown_pct": 58.975947852645625, "mean_exposure_while_solvent": 1.1056172403748965, "realized_annual_volatility_pct": 69.31378331564424, "trading_costs_quote_units": 73.85234233125739, "borrowing_costs_quote_units": 519.0402154727337, "price_pnl_quote_units": 29710.934938613118, "turnover_quote_units": 123087.23721876236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 39118.04238080911, "return_pct": 291.18042380809106, "cagr_pct": 290.3305540113756, "max_drawdown_pct": 58.975947852645625, "mean_exposure_while_solvent": 1.1056172403748965, "realized_annual_volatility_pct": 69.31378331564424, "trading_costs_quote_units": 73.85234233125739, "borrowing_costs_quote_units": 519.0402154727337, "price_pnl_quote_units": 29710.934938613118, "turnover_quote_units": 123087.23721876236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44398.08942400818, "return_pct": 343.9808942400818, "cagr_pct": 342.92688066615256, "max_drawdown_pct": 69.08885823427383, "mean_exposure_while_solvent": 1.3200681825542004, "realized_annual_volatility_pct": 87.28561054562154, "trading_costs_quote_units": 68.62749850137479, "borrowing_costs_quote_units": 1041.7117083946582, "price_pnl_quote_units": 35508.42863090415, "turnover_quote_units": 114379.16416895807, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44398.08942400818, "return_pct": 343.9808942400818, "cagr_pct": 342.92688066615256, "max_drawdown_pct": 69.08885823427383, "mean_exposure_while_solvent": 1.3200681825542004, "realized_annual_volatility_pct": 87.28561054562154, "trading_costs_quote_units": 68.62749850137479, "borrowing_costs_quote_units": 1041.7117083946582, "price_pnl_quote_units": 35508.42863090415, "turnover_quote_units": 114379.16416895807, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38638.533285126396, "return_pct": 286.38533285126397, "cagr_pct": 285.5534632031275, "max_drawdown_pct": 58.04286671342888, "mean_exposure_while_solvent": 1.1283984575977608, "realized_annual_volatility_pct": 68.7646980683334, "trading_costs_quote_units": 126.61040311158305, "borrowing_costs_quote_units": 558.3372102240587, "price_pnl_quote_units": 29323.48089846202, "turnover_quote_units": 211017.33851930534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38638.533285126396, "return_pct": 286.38533285126397, "cagr_pct": 285.5534632031275, "max_drawdown_pct": 58.04286671342888, "mean_exposure_while_solvent": 1.1283984575977608, "realized_annual_volatility_pct": 68.7646980683334, "trading_costs_quote_units": 126.61040311158305, "borrowing_costs_quote_units": 558.3372102240587, "price_pnl_quote_units": 29323.48089846202, "turnover_quote_units": 211017.33851930534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36651.83614419713, "return_pct": 266.51836144197125, "cagr_pct": 265.7600491340157, "max_drawdown_pct": 60.56604236745737, "mean_exposure_while_solvent": 1.08438928219334, "realized_annual_volatility_pct": 71.2747906312558, "trading_costs_quote_units": 47.968972414689006, "borrowing_costs_quote_units": 501.70338291973536, "price_pnl_quote_units": 27201.508499531526, "turnover_quote_units": 79948.28735781505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36651.83614419713, "return_pct": 266.51836144197125, "cagr_pct": 265.7600491340157, "max_drawdown_pct": 60.56604236745737, "mean_exposure_while_solvent": 1.08438928219334, "realized_annual_volatility_pct": 71.2747906312558, "trading_costs_quote_units": 47.968972414689006, "borrowing_costs_quote_units": 501.70338291973536, "price_pnl_quote_units": 27201.508499531526, "turnover_quote_units": 79948.28735781505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32965.36346294139, "return_pct": 229.6536346294139, "cagr_pct": 229.0272048624522, "max_drawdown_pct": 53.3393791392796, "mean_exposure_while_solvent": 0.9133946148871551, "realized_annual_volatility_pct": 60.0487831511231, "trading_costs_quote_units": 26.91407359161513, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22992.27753653302, "turnover_quote_units": 44856.78931935853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32965.36346294139, "return_pct": 229.6536346294139, "cagr_pct": 229.0272048624522, "max_drawdown_pct": 53.3393791392796, "mean_exposure_while_solvent": 0.9133946148871551, "realized_annual_volatility_pct": 60.0487831511231, "trading_costs_quote_units": 26.91407359161513, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22992.27753653302, "turnover_quote_units": 44856.78931935853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36651.83614419713, "return_pct": 266.51836144197125, "cagr_pct": 265.7600491340157, "max_drawdown_pct": 60.56604236745737, "mean_exposure_while_solvent": 1.08438928219334, "realized_annual_volatility_pct": 71.2747906312558, "trading_costs_quote_units": 47.968972414689006, "borrowing_costs_quote_units": 501.70338291973536, "price_pnl_quote_units": 27201.508499531526, "turnover_quote_units": 79948.28735781505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36651.83614419713, "return_pct": 266.51836144197125, "cagr_pct": 265.7600491340157, "max_drawdown_pct": 60.56604236745737, "mean_exposure_while_solvent": 1.08438928219334, "realized_annual_volatility_pct": 71.2747906312558, "trading_costs_quote_units": 47.968972414689006, "borrowing_costs_quote_units": 501.70338291973536, "price_pnl_quote_units": 27201.508499531526, "turnover_quote_units": 79948.28735781505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36651.83614419713, "return_pct": 266.51836144197125, "cagr_pct": 265.7600491340157, "max_drawdown_pct": 60.56604236745737, "mean_exposure_while_solvent": 1.08438928219334, "realized_annual_volatility_pct": 71.2747906312558, "trading_costs_quote_units": 47.968972414689006, "borrowing_costs_quote_units": 501.70338291973536, "price_pnl_quote_units": 27201.508499531526, "turnover_quote_units": 79948.28735781505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36651.83614419713, "return_pct": 266.51836144197125, "cagr_pct": 265.7600491340157, "max_drawdown_pct": 60.56604236745737, "mean_exposure_while_solvent": 1.08438928219334, "realized_annual_volatility_pct": 71.2747906312558, "trading_costs_quote_units": 47.968972414689006, "borrowing_costs_quote_units": 501.70338291973536, "price_pnl_quote_units": 27201.508499531526, "turnover_quote_units": 79948.28735781505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29666.13450920201, "return_pct": 196.6613450920201, "cagr_pct": 196.1474011473151, "max_drawdown_pct": 45.311898925943204, "mean_exposure_while_solvent": 0.7494634408986918, "realized_annual_volatility_pct": 50.890091726865805, "trading_costs_quote_units": 17.690702627498005, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19683.82521182949, "turnover_quote_units": 29484.504379163336, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29666.13450920201, "return_pct": 196.6613450920201, "cagr_pct": 196.1474011473151, "max_drawdown_pct": 45.311898925943204, "mean_exposure_while_solvent": 0.7494634408986918, "realized_annual_volatility_pct": 50.890091726865805, "trading_costs_quote_units": 17.690702627498005, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19683.82521182949, "turnover_quote_units": 29484.504379163336, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 40160.03801080172, "return_pct": 301.60038010801725, "cagr_pct": 300.7110747607646, "max_drawdown_pct": 56.07200016907762, "mean_exposure_while_solvent": 0.9986338797814207, "realized_annual_volatility_pct": 68.30001182420675, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30166.034412960427, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 40160.03801080172, "return_pct": 301.60038010801725, "cagr_pct": 300.7110747607646, "max_drawdown_pct": 56.07200016907762, "mean_exposure_while_solvent": 0.9986338797814207, "realized_annual_volatility_pct": 68.30001182420675, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30166.034412960427, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 50005.3898833322, "return_pct": 400.053898833322, "cagr_pct": 398.7721690757506, "max_drawdown_pct": 65.26034788529114, "mean_exposure_while_solvent": 1.2476297751592065, "realized_annual_volatility_pct": 86.04869319586632, "trading_costs_quote_units": 32.720572415546414, "borrowing_costs_quote_units": 798.9312277849812, "price_pnl_quote_units": 40837.04168353269, "turnover_quote_units": 54534.287359244045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 50005.3898833322, "return_pct": 400.053898833322, "cagr_pct": 398.7721690757506, "max_drawdown_pct": 65.26034788529114, "mean_exposure_while_solvent": 1.2476297751592065, "realized_annual_volatility_pct": 86.04869319586632, "trading_costs_quote_units": 32.720572415546414, "borrowing_costs_quote_units": 798.9312277849812, "price_pnl_quote_units": 40837.04168353269, "turnover_quote_units": 54534.287359244045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 60261.26812561239, "return_pct": 502.61268125612395, "cagr_pct": 500.8892989343183, "max_drawdown_pct": 72.85380115834022, "mean_exposure_while_solvent": 1.4964571882922075, "realized_annual_volatility_pct": 104.21358521554652, "trading_costs_quote_units": 71.56499758052783, "borrowing_costs_quote_units": 1640.0905329651816, "price_pnl_quote_units": 51972.923656158084, "turnover_quote_units": 119274.99596754642, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 60261.26812561239, "return_pct": 502.61268125612395, "cagr_pct": 500.8892989343183, "max_drawdown_pct": 72.85380115834022, "mean_exposure_while_solvent": 1.4964571882922075, "realized_annual_volatility_pct": 104.21358521554652, "trading_costs_quote_units": 71.56499758052783, "borrowing_costs_quote_units": 1640.0905329651816, "price_pnl_quote_units": 51972.923656158084, "turnover_quote_units": 119274.99596754642, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29292.755348445215, "return_pct": 192.92755348445218, "cagr_pct": 192.42598389883287, "max_drawdown_pct": 42.922688571021936, "mean_exposure_while_solvent": 0.7731289412820692, "realized_annual_volatility_pct": 46.710547587263996, "trading_costs_quote_units": 293.6614581656839, "borrowing_costs_quote_units": 21.273084865962243, "price_pnl_quote_units": 19607.689891476868, "turnover_quote_units": 97887.15272189451, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29292.755348445215, "return_pct": 192.92755348445218, "cagr_pct": 192.42598389883287, "max_drawdown_pct": 42.922688571021936, "mean_exposure_while_solvent": 0.7731289412820692, "realized_annual_volatility_pct": 46.710547587263996, "trading_costs_quote_units": 293.6614581656839, "borrowing_costs_quote_units": 21.273084865962243, "price_pnl_quote_units": 19607.689891476868, "turnover_quote_units": 97887.15272189451, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 38167.104370347406, "return_pct": 281.671043703474, "cagr_pct": 280.85677873281594, "max_drawdown_pct": 59.051695067128996, "mean_exposure_while_solvent": 1.1068923924600476, "realized_annual_volatility_pct": 69.50785281070094, "trading_costs_quote_units": 374.7656900859914, "borrowing_costs_quote_units": 127.97187160942515, "price_pnl_quote_units": 28669.841932042822, "turnover_quote_units": 124921.89669533058, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 38167.104370347406, "return_pct": 281.671043703474, "cagr_pct": 280.85677873281594, "max_drawdown_pct": 59.051695067128996, "mean_exposure_while_solvent": 1.1068923924600476, "realized_annual_volatility_pct": 69.50785281070094, "trading_costs_quote_units": 374.7656900859914, "borrowing_costs_quote_units": 127.97187160942515, "price_pnl_quote_units": 28669.841932042822, "turnover_quote_units": 124921.89669533058, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43996.40088026249, "return_pct": 339.9640088026249, "cagr_pct": 338.9258922447627, "max_drawdown_pct": 70.26811206911401, "mean_exposure_while_solvent": 1.3220516720076159, "realized_annual_volatility_pct": 89.68997351744729, "trading_costs_quote_units": 345.0066086013813, "borrowing_costs_quote_units": 257.3452591926345, "price_pnl_quote_units": 34598.75274805648, "turnover_quote_units": 115002.20286712702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43996.40088026249, "return_pct": 339.9640088026249, "cagr_pct": 338.9258922447627, "max_drawdown_pct": 70.26811206911401, "mean_exposure_while_solvent": 1.3220516720076159, "realized_annual_volatility_pct": 89.68997351744729, "trading_costs_quote_units": 345.0066086013813, "borrowing_costs_quote_units": 257.3452591926345, "price_pnl_quote_units": 34598.75274805648, "turnover_quote_units": 115002.20286712702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 38034.89736354258, "return_pct": 280.3489736354258, "cagr_pct": 279.5396291418927, "max_drawdown_pct": 57.80956353044899, "mean_exposure_while_solvent": 1.1294385627662875, "realized_annual_volatility_pct": 68.84238863906799, "trading_costs_quote_units": 623.5477904395823, "borrowing_costs_quote_units": 138.48670827139486, "price_pnl_quote_units": 28796.931862253572, "turnover_quote_units": 207849.26347986097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 38034.89736354258, "return_pct": 280.3489736354258, "cagr_pct": 279.5396291418927, "max_drawdown_pct": 57.80956353044899, "mean_exposure_while_solvent": 1.1294385627662875, "realized_annual_volatility_pct": 68.84238863906799, "trading_costs_quote_units": 623.5477904395823, "borrowing_costs_quote_units": 138.48670827139486, "price_pnl_quote_units": 28796.931862253572, "turnover_quote_units": 207849.26347986097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36350.88891562472, "return_pct": 263.50888915624716, "cagr_pct": 262.7615724217022, "max_drawdown_pct": 61.05758516126571, "mean_exposure_while_solvent": 1.0856534161657954, "realized_annual_volatility_pct": 71.84718141390773, "trading_costs_quote_units": 243.03450117730767, "borrowing_costs_quote_units": 124.33310192471878, "price_pnl_quote_units": 26718.256518726703, "turnover_quote_units": 81011.50039243595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36350.88891562472, "return_pct": 263.50888915624716, "cagr_pct": 262.7615724217022, "max_drawdown_pct": 61.05758516126571, "mean_exposure_while_solvent": 1.0856534161657954, "realized_annual_volatility_pct": 71.84718141390773, "trading_costs_quote_units": 243.03450117730767, "borrowing_costs_quote_units": 124.33310192471878, "price_pnl_quote_units": 26718.256518726703, "turnover_quote_units": 81011.50039243595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32432.916590424084, "return_pct": 224.32916590424082, "cagr_pct": 223.72125925850676, "max_drawdown_pct": 53.33937913927961, "mean_exposure_while_solvent": 0.9141706596925023, "realized_annual_volatility_pct": 59.962178774329345, "trading_costs_quote_units": 131.03791367974765, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22563.954504103847, "turnover_quote_units": 43679.30455991589, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32432.916590424084, "return_pct": 224.32916590424082, "cagr_pct": 223.72125925850676, "max_drawdown_pct": 53.33937913927961, "mean_exposure_while_solvent": 0.9141706596925023, "realized_annual_volatility_pct": 59.962178774329345, "trading_costs_quote_units": 131.03791367974765, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22563.954504103847, "turnover_quote_units": 43679.30455991589, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36350.88891562472, "return_pct": 263.50888915624716, "cagr_pct": 262.7615724217022, "max_drawdown_pct": 61.05758516126571, "mean_exposure_while_solvent": 1.0856534161657954, "realized_annual_volatility_pct": 71.84718141390773, "trading_costs_quote_units": 243.03450117730767, "borrowing_costs_quote_units": 124.33310192471878, "price_pnl_quote_units": 26718.256518726703, "turnover_quote_units": 81011.50039243595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36350.88891562472, "return_pct": 263.50888915624716, "cagr_pct": 262.7615724217022, "max_drawdown_pct": 61.05758516126571, "mean_exposure_while_solvent": 1.0856534161657954, "realized_annual_volatility_pct": 71.84718141390773, "trading_costs_quote_units": 243.03450117730767, "borrowing_costs_quote_units": 124.33310192471878, "price_pnl_quote_units": 26718.256518726703, "turnover_quote_units": 81011.50039243595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36350.88891562472, "return_pct": 263.50888915624716, "cagr_pct": 262.7615724217022, "max_drawdown_pct": 61.05758516126571, "mean_exposure_while_solvent": 1.0856534161657954, "realized_annual_volatility_pct": 71.84718141390773, "trading_costs_quote_units": 243.03450117730767, "borrowing_costs_quote_units": 124.33310192471878, "price_pnl_quote_units": 26718.256518726703, "turnover_quote_units": 81011.50039243595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36350.88891562472, "return_pct": 263.50888915624716, "cagr_pct": 262.7615724217022, "max_drawdown_pct": 61.05758516126571, "mean_exposure_while_solvent": 1.0856534161657954, "realized_annual_volatility_pct": 71.84718141390773, "trading_costs_quote_units": 243.03450117730767, "borrowing_costs_quote_units": 124.33310192471878, "price_pnl_quote_units": 26718.256518726703, "turnover_quote_units": 81011.50039243595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29681.808314541344, "return_pct": 196.81808314541342, "cagr_pct": 196.30361810674805, "max_drawdown_pct": 45.134892014064, "mean_exposure_while_solvent": 0.7498588346251662, "realized_annual_volatility_pct": 50.446063739034926, "trading_costs_quote_units": 91.01458909394009, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19772.822903635308, "turnover_quote_units": 30338.196364646697, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29681.808314541344, "return_pct": 196.81808314541342, "cagr_pct": 196.30361810674805, "max_drawdown_pct": 45.134892014064, "mean_exposure_while_solvent": 0.7498588346251662, "realized_annual_volatility_pct": 50.446063739034926, "trading_costs_quote_units": 91.01458909394009, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19772.822903635308, "turnover_quote_units": 30338.196364646697, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40222.282063550774, "return_pct": 302.22282063550773, "cagr_pct": 301.33114588368306, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 68.30295669738756, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30252.192332743183, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40222.282063550774, "return_pct": 302.22282063550773, "cagr_pct": 301.33114588368306, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 68.30295669738756, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30252.192332743183, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 51284.06523482759, "return_pct": 412.84065234827597, "cagr_pct": 411.5055537497655, "max_drawdown_pct": 65.44874270061496, "mean_exposure_while_solvent": 1.2492210849083882, "realized_annual_volatility_pct": 87.08902422450142, "trading_costs_quote_units": 170.86536101573972, "borrowing_costs_quote_units": 202.92802947496173, "price_pnl_quote_units": 41657.85862531829, "turnover_quote_units": 56955.120338579916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 51284.06523482759, "return_pct": 412.84065234827597, "cagr_pct": 411.5055537497655, "max_drawdown_pct": 65.44874270061496, "mean_exposure_while_solvent": 1.2492210849083882, "realized_annual_volatility_pct": 87.08902422450142, "trading_costs_quote_units": 170.86536101573972, "borrowing_costs_quote_units": 202.92802947496173, "price_pnl_quote_units": 41657.85862531829, "turnover_quote_units": 56955.120338579916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 62730.24698967868, "return_pct": 527.3024698967868, "cagr_pct": 525.46843022965, "max_drawdown_pct": 73.32162513157867, "mean_exposure_while_solvent": 1.4989627565356762, "realized_annual_volatility_pct": 107.32185002819872, "trading_costs_quote_units": 378.591408718154, "borrowing_costs_quote_units": 419.1267359021663, "price_pnl_quote_units": 53527.965134299055, "turnover_quote_units": 126197.13623938455, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 62730.24698967868, "return_pct": 527.3024698967868, "cagr_pct": 525.46843022965, "max_drawdown_pct": 73.32162513157867, "mean_exposure_while_solvent": 1.4989627565356762, "realized_annual_volatility_pct": 107.32185002819872, "trading_costs_quote_units": 378.591408718154, "borrowing_costs_quote_units": 419.1267359021663, "price_pnl_quote_units": 53527.965134299055, "turnover_quote_units": 126197.13623938455, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29241.899509670704, "return_pct": 192.41899509670705, "cagr_pct": 191.91910512043987, "max_drawdown_pct": 42.922688571021936, "mean_exposure_while_solvent": 0.7731315647174286, "realized_annual_volatility_pct": 46.71009925632125, "trading_costs_quote_units": 293.4202536275415, "borrowing_costs_quote_units": 42.50945336847305, "price_pnl_quote_units": 19577.829216666683, "turnover_quote_units": 97806.75120918044, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29241.899509670704, "return_pct": 192.41899509670705, "cagr_pct": 191.91910512043987, "max_drawdown_pct": 42.922688571021936, "mean_exposure_while_solvent": 0.7731315647174286, "realized_annual_volatility_pct": 46.71009925632125, "trading_costs_quote_units": 293.4202536275415, "borrowing_costs_quote_units": 42.50945336847305, "price_pnl_quote_units": 19577.829216666683, "turnover_quote_units": 97806.75120918044, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37801.59868360344, "return_pct": 278.0159868360344, "cagr_pct": 277.2153074233726, "max_drawdown_pct": 59.093615861047866, "mean_exposure_while_solvent": 1.1069074161429475, "realized_annual_volatility_pct": 69.50877118513624, "trading_costs_quote_units": 373.13664077275905, "borrowing_costs_quote_units": 254.65392946651585, "price_pnl_quote_units": 28429.389253842706, "turnover_quote_units": 124378.8802575861, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37801.59868360344, "return_pct": 278.0159868360344, "cagr_pct": 277.2153074233726, "max_drawdown_pct": 59.093615861047866, "mean_exposure_while_solvent": 1.1069074161429475, "realized_annual_volatility_pct": 69.50877118513624, "trading_costs_quote_units": 373.13664077275905, "borrowing_costs_quote_units": 254.65392946651585, "price_pnl_quote_units": 28429.389253842706, "turnover_quote_units": 124378.8802575861, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 43205.40546200562, "return_pct": 332.05405462005626, "cagr_pct": 331.04707129263267, "max_drawdown_pct": 70.32893578387969, "mean_exposure_while_solvent": 1.3220819312935082, "realized_annual_volatility_pct": 89.69411011842594, "trading_costs_quote_units": 341.8802206560093, "borrowing_costs_quote_units": 509.5300333493196, "price_pnl_quote_units": 34056.815716010955, "turnover_quote_units": 113960.07355200309, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 43205.40546200562, "return_pct": 332.05405462005626, "cagr_pct": 331.04707129263267, "max_drawdown_pct": 70.32893578387969, "mean_exposure_while_solvent": 1.3220819312935082, "realized_annual_volatility_pct": 89.69411011842594, "trading_costs_quote_units": 341.8802206560093, "borrowing_costs_quote_units": 509.5300333493196, "price_pnl_quote_units": 34056.815716010955, "turnover_quote_units": 113960.07355200309, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37649.11727239624, "return_pct": 276.4911727239624, "cagr_pct": 275.69614435962546, "max_drawdown_pct": 57.84725609733441, "mean_exposure_while_solvent": 1.1294551569348155, "realized_annual_volatility_pct": 68.84323052186957, "trading_costs_quote_units": 620.2389813190473, "borrowing_costs_quote_units": 275.5098762678144, "price_pnl_quote_units": 28544.866129983067, "turnover_quote_units": 206746.32710634882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37649.11727239624, "return_pct": 276.4911727239624, "cagr_pct": 275.69614435962546, "max_drawdown_pct": 57.84725609733441, "mean_exposure_while_solvent": 1.1294551569348155, "realized_annual_volatility_pct": 68.84323052186957, "trading_costs_quote_units": 620.2389813190473, "borrowing_costs_quote_units": 275.5098762678144, "price_pnl_quote_units": 28544.866129983067, "turnover_quote_units": 206746.32710634882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36015.8110762142, "return_pct": 260.15811076214203, "cagr_pct": 259.4229900289216, "max_drawdown_pct": 61.09032773144355, "mean_exposure_while_solvent": 1.0856677894812423, "realized_annual_volatility_pct": 71.8484461156466, "trading_costs_quote_units": 242.02544385729968, "borrowing_costs_quote_units": 247.44011457594544, "price_pnl_quote_units": 26505.276634647424, "turnover_quote_units": 80675.14795243322, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36015.8110762142, "return_pct": 260.15811076214203, "cagr_pct": 259.4229900289216, "max_drawdown_pct": 61.09032773144355, "mean_exposure_while_solvent": 1.0856677894812423, "realized_annual_volatility_pct": 71.8484461156466, "trading_costs_quote_units": 242.02544385729968, "borrowing_costs_quote_units": 247.44011457594544, "price_pnl_quote_units": 26505.276634647424, "turnover_quote_units": 80675.14795243322, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32432.916590424084, "return_pct": 224.32916590424082, "cagr_pct": 223.72125925850676, "max_drawdown_pct": 53.33937913927961, "mean_exposure_while_solvent": 0.9141706596925023, "realized_annual_volatility_pct": 59.962178774329345, "trading_costs_quote_units": 131.03791367974765, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22563.954504103847, "turnover_quote_units": 43679.30455991589, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32432.916590424084, "return_pct": 224.32916590424082, "cagr_pct": 223.72125925850676, "max_drawdown_pct": 53.33937913927961, "mean_exposure_while_solvent": 0.9141706596925023, "realized_annual_volatility_pct": 59.962178774329345, "trading_costs_quote_units": 131.03791367974765, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22563.954504103847, "turnover_quote_units": 43679.30455991589, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36015.8110762142, "return_pct": 260.15811076214203, "cagr_pct": 259.4229900289216, "max_drawdown_pct": 61.09032773144355, "mean_exposure_while_solvent": 1.0856677894812423, "realized_annual_volatility_pct": 71.8484461156466, "trading_costs_quote_units": 242.02544385729968, "borrowing_costs_quote_units": 247.44011457594544, "price_pnl_quote_units": 26505.276634647424, "turnover_quote_units": 80675.14795243322, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36015.8110762142, "return_pct": 260.15811076214203, "cagr_pct": 259.4229900289216, "max_drawdown_pct": 61.09032773144355, "mean_exposure_while_solvent": 1.0856677894812423, "realized_annual_volatility_pct": 71.8484461156466, "trading_costs_quote_units": 242.02544385729968, "borrowing_costs_quote_units": 247.44011457594544, "price_pnl_quote_units": 26505.276634647424, "turnover_quote_units": 80675.14795243322, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36015.8110762142, "return_pct": 260.15811076214203, "cagr_pct": 259.4229900289216, "max_drawdown_pct": 61.09032773144355, "mean_exposure_while_solvent": 1.0856677894812423, "realized_annual_volatility_pct": 71.8484461156466, "trading_costs_quote_units": 242.02544385729968, "borrowing_costs_quote_units": 247.44011457594544, "price_pnl_quote_units": 26505.276634647424, "turnover_quote_units": 80675.14795243322, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36015.8110762142, "return_pct": 260.15811076214203, "cagr_pct": 259.4229900289216, "max_drawdown_pct": 61.09032773144355, "mean_exposure_while_solvent": 1.0856677894812423, "realized_annual_volatility_pct": 71.8484461156466, "trading_costs_quote_units": 242.02544385729968, "borrowing_costs_quote_units": 247.44011457594544, "price_pnl_quote_units": 26505.276634647424, "turnover_quote_units": 80675.14795243322, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29681.808314541344, "return_pct": 196.81808314541342, "cagr_pct": 196.30361810674805, "max_drawdown_pct": 45.134892014064, "mean_exposure_while_solvent": 0.7498588346251662, "realized_annual_volatility_pct": 50.446063739034926, "trading_costs_quote_units": 91.01458909394009, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19772.822903635308, "turnover_quote_units": 30338.196364646697, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29681.808314541344, "return_pct": 196.81808314541342, "cagr_pct": 196.30361810674805, "max_drawdown_pct": 45.134892014064, "mean_exposure_while_solvent": 0.7498588346251662, "realized_annual_volatility_pct": 50.446063739034926, "trading_costs_quote_units": 91.01458909394009, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19772.822903635308, "turnover_quote_units": 30338.196364646697, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40222.282063550774, "return_pct": 302.22282063550773, "cagr_pct": 301.33114588368306, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 68.30295669738756, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30252.192332743183, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40222.282063550774, "return_pct": 302.22282063550773, "cagr_pct": 301.33114588368306, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 68.30295669738756, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30252.192332743183, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 50648.671860799404, "return_pct": 406.486718607994, "cagr_pct": 405.1782038805258, "max_drawdown_pct": 65.48830722739709, "mean_exposure_while_solvent": 1.2492388650849007, "realized_annual_volatility_pct": 87.09110490492353, "trading_costs_quote_units": 169.70591375867528, "borrowing_costs_quote_units": 402.8564166185617, "price_pnl_quote_units": 41221.23419117665, "turnover_quote_units": 56568.63791955844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 50648.671860799404, "return_pct": 406.486718607994, "cagr_pct": 405.1782038805258, "max_drawdown_pct": 65.48830722739709, "mean_exposure_while_solvent": 1.2492388650849007, "realized_annual_volatility_pct": 87.09110490492353, "trading_costs_quote_units": 169.70591375867528, "borrowing_costs_quote_units": 402.8564166185617, "price_pnl_quote_units": 41221.23419117665, "turnover_quote_units": 56568.63791955844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 61185.5112033294, "return_pct": 511.855112033294, "cagr_pct": 510.09049058373995, "max_drawdown_pct": 73.38331859641758, "mean_exposure_while_solvent": 1.4990054575254201, "realized_annual_volatility_pct": 107.32744922885162, "trading_costs_quote_units": 373.0890698899144, "borrowing_costs_quote_units": 825.6180789443698, "price_pnl_quote_units": 52384.218352163705, "turnover_quote_units": 124363.02329663816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 61185.5112033294, "return_pct": 511.855112033294, "cagr_pct": 510.09049058373995, "max_drawdown_pct": 73.38331859641758, "mean_exposure_while_solvent": 1.4990054575254201, "realized_annual_volatility_pct": 107.32744922885162, "trading_costs_quote_units": 373.0890698899144, "borrowing_costs_quote_units": 825.6180789443698, "price_pnl_quote_units": 52384.218352163705, "turnover_quote_units": 124363.02329663816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29140.428704227437, "return_pct": 191.4042870422744, "cagr_pct": 190.90774412673963, "max_drawdown_pct": 42.922688571021936, "mean_exposure_while_solvent": 0.7731368125062078, "realized_annual_volatility_pct": 46.70920934553613, "trading_costs_quote_units": 292.9387528194379, "borrowing_costs_quote_units": 84.87226067042153, "price_pnl_quote_units": 19518.2397177173, "turnover_quote_units": 97646.25093981251, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29140.428704227437, "return_pct": 191.4042870422744, "cagr_pct": 190.90774412673963, "max_drawdown_pct": 42.922688571021936, "mean_exposure_while_solvent": 0.7731368125062078, "realized_annual_volatility_pct": 46.70920934553613, "trading_costs_quote_units": 292.9387528194379, "borrowing_costs_quote_units": 84.87226067042153, "price_pnl_quote_units": 19518.2397177173, "turnover_quote_units": 97646.25093981251, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37080.842023813544, "return_pct": 270.80842023813545, "cagr_pct": 270.0343657441147, "max_drawdown_pct": 59.177347789855936, "mean_exposure_while_solvent": 1.1069374691219052, "realized_annual_volatility_pct": 69.5106239629864, "trading_costs_quote_units": 369.9283673908808, "borrowing_costs_quote_units": 504.19874684542236, "price_pnl_quote_units": 27954.969138049837, "turnover_quote_units": 123309.45579696036, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37080.842023813544, "return_pct": 270.80842023813545, "cagr_pct": 270.0343657441147, "max_drawdown_pct": 59.177347789855936, "mean_exposure_while_solvent": 1.1069374691219052, "realized_annual_volatility_pct": 69.5106239629864, "trading_costs_quote_units": 369.9283673908808, "borrowing_costs_quote_units": 504.19874684542236, "price_pnl_quote_units": 27954.969138049837, "turnover_quote_units": 123309.45579696036, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 41665.327996561195, "return_pct": 316.65327996561194, "cagr_pct": 315.70624961216186, "max_drawdown_pct": 70.45024363325159, "mean_exposure_while_solvent": 1.3221424625104474, "realized_annual_volatility_pct": 89.70239987382365, "trading_costs_quote_units": 335.7881265198748, "borrowing_costs_quote_units": 998.8186800993172, "price_pnl_quote_units": 32999.9348031804, "turnover_quote_units": 111929.37550662489, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 41665.327996561195, "return_pct": 316.65327996561194, "cagr_pct": 315.70624961216186, "max_drawdown_pct": 70.45024363325159, "mean_exposure_while_solvent": 1.3221424625104474, "realized_annual_volatility_pct": 89.70239987382365, "trading_costs_quote_units": 335.7881265198748, "borrowing_costs_quote_units": 998.8186800993172, "price_pnl_quote_units": 32999.9348031804, "turnover_quote_units": 111929.37550662489, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36889.061555209526, "return_pct": 268.89061555209526, "cagr_pct": 268.12360816047556, "max_drawdown_pct": 57.9225580324914, "mean_exposure_while_solvent": 1.1294883519466412, "realized_annual_volatility_pct": 68.84493706059848, "trading_costs_quote_units": 613.699237594065, "borrowing_costs_quote_units": 545.2256373579655, "price_pnl_quote_units": 28047.98643016153, "turnover_quote_units": 204566.41253135508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36889.061555209526, "return_pct": 268.89061555209526, "cagr_pct": 268.12360816047556, "max_drawdown_pct": 57.9225580324914, "mean_exposure_while_solvent": 1.1294883519466412, "realized_annual_volatility_pct": 68.84493706059848, "trading_costs_quote_units": 613.699237594065, "borrowing_costs_quote_units": 545.2256373579655, "price_pnl_quote_units": 28047.98643016153, "turnover_quote_units": 204566.41253135508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35354.72074363145, "return_pct": 253.5472074363145, "cagr_pct": 252.83600305206414, "max_drawdown_pct": 61.155744290188416, "mean_exposure_while_solvent": 1.0856965414141142, "realized_annual_volatility_pct": 71.85099129622286, "trading_costs_quote_units": 240.0309666631511, "borrowing_costs_quote_units": 490.02250505851947, "price_pnl_quote_units": 26084.774215353078, "turnover_quote_units": 80010.32222105033, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35354.72074363145, "return_pct": 253.5472074363145, "cagr_pct": 252.83600305206414, "max_drawdown_pct": 61.155744290188416, "mean_exposure_while_solvent": 1.0856965414141142, "realized_annual_volatility_pct": 71.85099129622286, "trading_costs_quote_units": 240.0309666631511, "borrowing_costs_quote_units": 490.02250505851947, "price_pnl_quote_units": 26084.774215353078, "turnover_quote_units": 80010.32222105033, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32432.916590424084, "return_pct": 224.32916590424082, "cagr_pct": 223.72125925850676, "max_drawdown_pct": 53.33937913927961, "mean_exposure_while_solvent": 0.9141706596925023, "realized_annual_volatility_pct": 59.962178774329345, "trading_costs_quote_units": 131.03791367974765, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22563.954504103847, "turnover_quote_units": 43679.30455991589, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32432.916590424084, "return_pct": 224.32916590424082, "cagr_pct": 223.72125925850676, "max_drawdown_pct": 53.33937913927961, "mean_exposure_while_solvent": 0.9141706596925023, "realized_annual_volatility_pct": 59.962178774329345, "trading_costs_quote_units": 131.03791367974765, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22563.954504103847, "turnover_quote_units": 43679.30455991589, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35354.72074363145, "return_pct": 253.5472074363145, "cagr_pct": 252.83600305206414, "max_drawdown_pct": 61.155744290188416, "mean_exposure_while_solvent": 1.0856965414141142, "realized_annual_volatility_pct": 71.85099129622286, "trading_costs_quote_units": 240.0309666631511, "borrowing_costs_quote_units": 490.02250505851947, "price_pnl_quote_units": 26084.774215353078, "turnover_quote_units": 80010.32222105033, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35354.72074363145, "return_pct": 253.5472074363145, "cagr_pct": 252.83600305206414, "max_drawdown_pct": 61.155744290188416, "mean_exposure_while_solvent": 1.0856965414141142, "realized_annual_volatility_pct": 71.85099129622286, "trading_costs_quote_units": 240.0309666631511, "borrowing_costs_quote_units": 490.02250505851947, "price_pnl_quote_units": 26084.774215353078, "turnover_quote_units": 80010.32222105033, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35354.72074363145, "return_pct": 253.5472074363145, "cagr_pct": 252.83600305206414, "max_drawdown_pct": 61.155744290188416, "mean_exposure_while_solvent": 1.0856965414141142, "realized_annual_volatility_pct": 71.85099129622286, "trading_costs_quote_units": 240.0309666631511, "borrowing_costs_quote_units": 490.02250505851947, "price_pnl_quote_units": 26084.774215353078, "turnover_quote_units": 80010.32222105033, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35354.72074363145, "return_pct": 253.5472074363145, "cagr_pct": 252.83600305206414, "max_drawdown_pct": 61.155744290188416, "mean_exposure_while_solvent": 1.0856965414141142, "realized_annual_volatility_pct": 71.85099129622286, "trading_costs_quote_units": 240.0309666631511, "borrowing_costs_quote_units": 490.02250505851947, "price_pnl_quote_units": 26084.774215353078, "turnover_quote_units": 80010.32222105033, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29681.808314541344, "return_pct": 196.81808314541342, "cagr_pct": 196.30361810674805, "max_drawdown_pct": 45.134892014064, "mean_exposure_while_solvent": 0.7498588346251662, "realized_annual_volatility_pct": 50.446063739034926, "trading_costs_quote_units": 91.01458909394009, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19772.822903635308, "turnover_quote_units": 30338.196364646697, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29681.808314541344, "return_pct": 196.81808314541342, "cagr_pct": 196.30361810674805, "max_drawdown_pct": 45.134892014064, "mean_exposure_while_solvent": 0.7498588346251662, "realized_annual_volatility_pct": 50.446063739034926, "trading_costs_quote_units": 91.01458909394009, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19772.822903635308, "turnover_quote_units": 30338.196364646697, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 40222.282063550774, "return_pct": 302.22282063550773, "cagr_pct": 301.33114588368306, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 68.30295669738756, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30252.192332743183, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 40222.282063550774, "return_pct": 302.22282063550773, "cagr_pct": 301.33114588368306, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 68.30295669738756, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30252.192332743183, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 49401.08164429113, "return_pct": 394.01081644291133, "cagr_pct": 392.7541291908156, "max_drawdown_pct": 65.56731799535369, "mean_exposure_while_solvent": 1.2492744309115036, "realized_annual_volatility_pct": 87.09526728574679, "trading_costs_quote_units": 167.44249451276607, "borrowing_costs_quote_units": 793.878147964021, "price_pnl_quote_units": 40362.40228676794, "turnover_quote_units": 55814.16483758865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 49401.08164429113, "return_pct": 394.01081644291133, "cagr_pct": 392.7541291908156, "max_drawdown_pct": 65.56731799535369, "mean_exposure_while_solvent": 1.2492744309115036, "realized_annual_volatility_pct": 87.09526728574679, "trading_costs_quote_units": 167.44249451276607, "borrowing_costs_quote_units": 793.878147964021, "price_pnl_quote_units": 40362.40228676794, "turnover_quote_units": 55814.16483758865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 58208.28711597829, "return_pct": 482.08287115978294, "cagr_pct": 480.45028131368485, "max_drawdown_pct": 73.50631196410681, "mean_exposure_while_solvent": 1.4990908780465158, "realized_annual_volatility_pct": 107.33865192175745, "trading_costs_quote_units": 362.4662695955642, "borrowing_costs_quote_units": 1602.099946894242, "price_pnl_quote_units": 50172.85333246801, "turnover_quote_units": 120822.08986518798, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 58208.28711597829, "return_pct": 482.08287115978294, "cagr_pct": 480.45028131368485, "max_drawdown_pct": 73.50631196410681, "mean_exposure_while_solvent": 1.4990908780465158, "realized_annual_volatility_pct": 107.33865192175745, "trading_costs_quote_units": 362.4662695955642, "borrowing_costs_quote_units": 1602.099946894242, "price_pnl_quote_units": 50172.85333246801, "turnover_quote_units": 120822.08986518798, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29671.583623000944, "return_pct": 196.71583623000944, "cagr_pct": 196.20171113807348, "max_drawdown_pct": 43.492364077558435, "mean_exposure_while_solvent": 0.7726483774256109, "realized_annual_volatility_pct": 47.191877236688256, "trading_costs_quote_units": 304.51567405239, "borrowing_costs_quote_units": 21.31621202256035, "price_pnl_quote_units": 19997.415509075894, "turnover_quote_units": 101505.22468413007, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29671.583623000944, "return_pct": 196.71583623000944, "cagr_pct": 196.20171113807348, "max_drawdown_pct": 43.492364077558435, "mean_exposure_while_solvent": 0.7726483774256109, "realized_annual_volatility_pct": 47.191877236688256, "trading_costs_quote_units": 304.51567405239, "borrowing_costs_quote_units": 21.31621202256035, "price_pnl_quote_units": 19997.415509075894, "turnover_quote_units": 101505.22468413007, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39346.985099509344, "return_pct": 293.46985099509345, "cagr_pct": 292.6113539824634, "max_drawdown_pct": 58.944702535828405, "mean_exposure_while_solvent": 1.1055723394843178, "realized_annual_volatility_pct": 69.31462135871345, "trading_costs_quote_units": 369.1593743871297, "borrowing_costs_quote_units": 129.75582779457267, "price_pnl_quote_units": 29845.900301691025, "turnover_quote_units": 123053.12479570995, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39346.985099509344, "return_pct": 293.46985099509345, "cagr_pct": 292.6113539824634, "max_drawdown_pct": 58.944702535828405, "mean_exposure_while_solvent": 1.1055723394843178, "realized_annual_volatility_pct": 69.31462135871345, "trading_costs_quote_units": 369.1593743871297, "borrowing_costs_quote_units": 129.75582779457267, "price_pnl_quote_units": 29845.900301691025, "turnover_quote_units": 123053.12479570995, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45867.50024026368, "return_pct": 358.6750024026368, "cagr_pct": 357.56234831017906, "max_drawdown_pct": 68.96270400679431, "mean_exposure_while_solvent": 1.3199778882220854, "realized_annual_volatility_pct": 87.2941430171986, "trading_costs_quote_units": 347.9850170901329, "borrowing_costs_quote_units": 264.5754195882249, "price_pnl_quote_units": 36480.06067694204, "turnover_quote_units": 115995.00569671082, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45867.50024026368, "return_pct": 358.6750024026368, "cagr_pct": 357.56234831017906, "max_drawdown_pct": 68.96270400679431, "mean_exposure_while_solvent": 1.3199778882220854, "realized_annual_volatility_pct": 87.2941430171986, "trading_costs_quote_units": 347.9850170901329, "borrowing_costs_quote_units": 264.5754195882249, "price_pnl_quote_units": 36480.06067694204, "turnover_quote_units": 115995.00569671082, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 38438.11855755626, "return_pct": 284.38118557556265, "cagr_pct": 283.556811291002, "max_drawdown_pct": 58.066964795447994, "mean_exposure_while_solvent": 1.1283487954509297, "realized_annual_volatility_pct": 68.76266768475354, "trading_costs_quote_units": 629.9529486676983, "borrowing_costs_quote_units": 138.80062976207677, "price_pnl_quote_units": 29206.872135986046, "turnover_quote_units": 209984.31622256618, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 38438.11855755626, "return_pct": 284.38118557556265, "cagr_pct": 283.556811291002, "max_drawdown_pct": 58.066964795447994, "mean_exposure_while_solvent": 1.1283487954509297, "realized_annual_volatility_pct": 68.76266768475354, "trading_costs_quote_units": 629.9529486676983, "borrowing_costs_quote_units": 138.80062976207677, "price_pnl_quote_units": 29206.872135986046, "turnover_quote_units": 209984.31622256618, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37078.15273310076, "return_pct": 270.7815273310076, "cagr_pct": 270.00757176590923, "max_drawdown_pct": 60.511369412335256, "mean_exposure_while_solvent": 1.0843463178824702, "realized_annual_volatility_pct": 71.27752219314941, "trading_costs_quote_units": 240.4951524457161, "borrowing_costs_quote_units": 125.87001603447318, "price_pnl_quote_units": 27444.517901580963, "turnover_quote_units": 80165.05081523872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37078.15273310076, "return_pct": 270.7815273310076, "cagr_pct": 270.00757176590923, "max_drawdown_pct": 60.511369412335256, "mean_exposure_while_solvent": 1.0843463178824702, "realized_annual_volatility_pct": 71.27752219314941, "trading_costs_quote_units": 240.4951524457161, "borrowing_costs_quote_units": 125.87001603447318, "price_pnl_quote_units": 27444.517901580963, "turnover_quote_units": 80165.05081523872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32658.469177961757, "return_pct": 226.58469177961757, "cagr_pct": 225.9689552840028, "max_drawdown_pct": 53.3393791392796, "mean_exposure_while_solvent": 0.9133946148871551, "realized_annual_volatility_pct": 60.049317820832705, "trading_costs_quote_units": 133.81858798772956, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22792.287765949477, "turnover_quote_units": 44606.19599590987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32658.469177961757, "return_pct": 226.58469177961757, "cagr_pct": 225.9689552840028, "max_drawdown_pct": 53.3393791392796, "mean_exposure_while_solvent": 0.9133946148871551, "realized_annual_volatility_pct": 60.049317820832705, "trading_costs_quote_units": 133.81858798772956, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22792.287765949477, "turnover_quote_units": 44606.19599590987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37078.15273310076, "return_pct": 270.7815273310076, "cagr_pct": 270.00757176590923, "max_drawdown_pct": 60.511369412335256, "mean_exposure_while_solvent": 1.0843463178824702, "realized_annual_volatility_pct": 71.27752219314941, "trading_costs_quote_units": 240.4951524457161, "borrowing_costs_quote_units": 125.87001603447318, "price_pnl_quote_units": 27444.517901580963, "turnover_quote_units": 80165.05081523872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37078.15273310076, "return_pct": 270.7815273310076, "cagr_pct": 270.00757176590923, "max_drawdown_pct": 60.511369412335256, "mean_exposure_while_solvent": 1.0843463178824702, "realized_annual_volatility_pct": 71.27752219314941, "trading_costs_quote_units": 240.4951524457161, "borrowing_costs_quote_units": 125.87001603447318, "price_pnl_quote_units": 27444.517901580963, "turnover_quote_units": 80165.05081523872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37078.15273310076, "return_pct": 270.7815273310076, "cagr_pct": 270.00757176590923, "max_drawdown_pct": 60.511369412335256, "mean_exposure_while_solvent": 1.0843463178824702, "realized_annual_volatility_pct": 71.27752219314941, "trading_costs_quote_units": 240.4951524457161, "borrowing_costs_quote_units": 125.87001603447318, "price_pnl_quote_units": 27444.517901580963, "turnover_quote_units": 80165.05081523872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37078.15273310076, "return_pct": 270.7815273310076, "cagr_pct": 270.00757176590923, "max_drawdown_pct": 60.511369412335256, "mean_exposure_while_solvent": 1.0843463178824702, "realized_annual_volatility_pct": 71.27752219314941, "trading_costs_quote_units": 240.4951524457161, "borrowing_costs_quote_units": 125.87001603447318, "price_pnl_quote_units": 27444.517901580963, "turnover_quote_units": 80165.05081523872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29500.382158159984, "return_pct": 195.00382158159985, "cagr_pct": 194.49538019888246, "max_drawdown_pct": 45.344481498147495, "mean_exposure_while_solvent": 0.7494634408986918, "realized_annual_volatility_pct": 50.89353837242917, "trading_costs_quote_units": 88.17655778827287, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19588.558715948246, "turnover_quote_units": 29392.185929424286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29500.382158159984, "return_pct": 195.00382158159985, "cagr_pct": 194.49538019888246, "max_drawdown_pct": 45.344481498147495, "mean_exposure_while_solvent": 0.7494634408986918, "realized_annual_volatility_pct": 50.89353837242917, "trading_costs_quote_units": 88.17655778827287, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19588.558715948246, "turnover_quote_units": 29392.185929424286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 40063.94220698724, "return_pct": 300.63942206987235, "cagr_pct": 299.7537717301331, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9986338797814207, "realized_annual_volatility_pct": 68.3008633713268, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30093.852476179643, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 40063.94220698724, "return_pct": 300.63942206987235, "cagr_pct": 299.7537717301331, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9986338797814207, "realized_annual_volatility_pct": 68.3008633713268, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30093.852476179643, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 51428.01184934331, "return_pct": 414.2801184934331, "cagr_pct": 412.9389799694225, "max_drawdown_pct": 65.17740437598395, "mean_exposure_while_solvent": 1.2475766575420937, "realized_annual_volatility_pct": 86.05092935153708, "trading_costs_quote_units": 165.77821159561785, "borrowing_costs_quote_units": 202.81682583716835, "price_pnl_quote_units": 41796.60688677609, "turnover_quote_units": 55259.403865205924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 51428.01184934331, "return_pct": 414.2801184934331, "cagr_pct": 412.9389799694225, "max_drawdown_pct": 65.17740437598395, "mean_exposure_while_solvent": 1.2475766575420937, "realized_annual_volatility_pct": 86.05092935153708, "trading_costs_quote_units": 165.77821159561785, "borrowing_costs_quote_units": 202.81682583716835, "price_pnl_quote_units": 41796.60688677609, "turnover_quote_units": 55259.403865205924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 63727.13627512331, "return_pct": 537.2713627512331, "cagr_pct": 535.3922027768764, "max_drawdown_pct": 72.73613956099814, "mean_exposure_while_solvent": 1.4963298005861025, "realized_annual_volatility_pct": 104.22002381338909, "trading_costs_quote_units": 368.96452924172473, "borrowing_costs_quote_units": 423.5174481580493, "price_pnl_quote_units": 54519.61825252307, "turnover_quote_units": 122988.17641390825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 63727.13627512331, "return_pct": 537.2713627512331, "cagr_pct": 535.3922027768764, "max_drawdown_pct": 72.73613956099814, "mean_exposure_while_solvent": 1.4963298005861025, "realized_annual_volatility_pct": 104.22002381338909, "trading_costs_quote_units": 368.96452924172473, "borrowing_costs_quote_units": 423.5174481580493, "price_pnl_quote_units": 54519.61825252307, "turnover_quote_units": 122988.17641390825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29620.08970870918, "return_pct": 196.2008970870918, "cagr_pct": 195.6884831940939, "max_drawdown_pct": 43.492364077558435, "mean_exposure_while_solvent": 0.7726509921643313, "realized_annual_volatility_pct": 47.191397455534656, "trading_costs_quote_units": 304.26635150505706, "borrowing_costs_quote_units": 42.595564977996894, "price_pnl_quote_units": 19966.951625192214, "turnover_quote_units": 101422.11716835236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29620.08970870918, "return_pct": 196.2008970870918, "cagr_pct": 195.6884831940939, "max_drawdown_pct": 43.492364077558435, "mean_exposure_while_solvent": 0.7726509921643313, "realized_annual_volatility_pct": 47.191397455534656, "trading_costs_quote_units": 304.26635150505706, "borrowing_costs_quote_units": 42.595564977996894, "price_pnl_quote_units": 19966.951625192214, "turnover_quote_units": 101422.11716835236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 38970.27758099934, "return_pct": 289.7027758099934, "cagr_pct": 288.8584629187705, "max_drawdown_pct": 58.98707708683575, "mean_exposure_while_solvent": 1.105587304586255, "realized_annual_volatility_pct": 69.3153802055002, "trading_costs_quote_units": 367.5788494919462, "borrowing_costs_quote_units": 258.1950975544065, "price_pnl_quote_units": 29596.051528045646, "turnover_quote_units": 122526.28316398217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 38970.27758099934, "return_pct": 289.7027758099934, "cagr_pct": 288.8584629187705, "max_drawdown_pct": 58.98707708683575, "mean_exposure_while_solvent": 1.105587304586255, "realized_annual_volatility_pct": 69.3153802055002, "trading_costs_quote_units": 367.5788494919462, "borrowing_costs_quote_units": 258.1950975544065, "price_pnl_quote_units": 29596.051528045646, "turnover_quote_units": 122526.28316398217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45043.549077406686, "return_pct": 350.43549077406686, "cagr_pct": 349.3558121540501, "max_drawdown_pct": 69.02580144920543, "mean_exposure_while_solvent": 1.320007982153871, "realized_annual_volatility_pct": 87.29746473831975, "trading_costs_quote_units": 344.820382339792, "borrowing_costs_quote_units": 523.7968217855679, "price_pnl_quote_units": 35912.16628153203, "turnover_quote_units": 114940.1274465974, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45043.549077406686, "return_pct": 350.43549077406686, "cagr_pct": 349.3558121540501, "max_drawdown_pct": 69.02580144920543, "mean_exposure_while_solvent": 1.320007982153871, "realized_annual_volatility_pct": 87.29746473831975, "trading_costs_quote_units": 344.820382339792, "borrowing_costs_quote_units": 523.7968217855679, "price_pnl_quote_units": 35912.16628153203, "turnover_quote_units": 114940.1274465974, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 38048.17308663815, "return_pct": 280.4817308663815, "cagr_pct": 279.6718926066219, "max_drawdown_pct": 58.10535485426114, "mean_exposure_while_solvent": 1.1283653472819801, "realized_annual_volatility_pct": 68.76345983873095, "trading_costs_quote_units": 626.621574263538, "borrowing_costs_quote_units": 276.13012185861595, "price_pnl_quote_units": 28950.9247827603, "turnover_quote_units": 208873.85808784614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 38048.17308663815, "return_pct": 280.4817308663815, "cagr_pct": 279.6718926066219, "max_drawdown_pct": 58.10535485426114, "mean_exposure_while_solvent": 1.1283653472819801, "realized_annual_volatility_pct": 68.76345983873095, "trading_costs_quote_units": 626.621574263538, "borrowing_costs_quote_units": 276.13012185861595, "price_pnl_quote_units": 28950.9247827603, "turnover_quote_units": 208873.85808784614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36736.37988679966, "return_pct": 267.3637988679966, "cagr_pct": 266.6023905460363, "max_drawdown_pct": 60.54445826293665, "mean_exposure_while_solvent": 1.0843606375606705, "realized_annual_volatility_pct": 71.27859795120922, "trading_costs_quote_units": 239.53411056768869, "borrowing_costs_quote_units": 250.49240389413143, "price_pnl_quote_units": 27226.40640126146, "turnover_quote_units": 79844.70352256286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36736.37988679966, "return_pct": 267.3637988679966, "cagr_pct": 266.6023905460363, "max_drawdown_pct": 60.54445826293665, "mean_exposure_while_solvent": 1.0843606375606705, "realized_annual_volatility_pct": 71.27859795120922, "trading_costs_quote_units": 239.53411056768869, "borrowing_costs_quote_units": 250.49240389413143, "price_pnl_quote_units": 27226.40640126146, "turnover_quote_units": 79844.70352256286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32658.469177961757, "return_pct": 226.58469177961757, "cagr_pct": 225.9689552840028, "max_drawdown_pct": 53.3393791392796, "mean_exposure_while_solvent": 0.9133946148871551, "realized_annual_volatility_pct": 60.049317820832705, "trading_costs_quote_units": 133.81858798772956, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22792.287765949477, "turnover_quote_units": 44606.19599590987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32658.469177961757, "return_pct": 226.58469177961757, "cagr_pct": 225.9689552840028, "max_drawdown_pct": 53.3393791392796, "mean_exposure_while_solvent": 0.9133946148871551, "realized_annual_volatility_pct": 60.049317820832705, "trading_costs_quote_units": 133.81858798772956, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22792.287765949477, "turnover_quote_units": 44606.19599590987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36736.37988679966, "return_pct": 267.3637988679966, "cagr_pct": 266.6023905460363, "max_drawdown_pct": 60.54445826293665, "mean_exposure_while_solvent": 1.0843606375606705, "realized_annual_volatility_pct": 71.27859795120922, "trading_costs_quote_units": 239.53411056768869, "borrowing_costs_quote_units": 250.49240389413143, "price_pnl_quote_units": 27226.40640126146, "turnover_quote_units": 79844.70352256286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36736.37988679966, "return_pct": 267.3637988679966, "cagr_pct": 266.6023905460363, "max_drawdown_pct": 60.54445826293665, "mean_exposure_while_solvent": 1.0843606375606705, "realized_annual_volatility_pct": 71.27859795120922, "trading_costs_quote_units": 239.53411056768869, "borrowing_costs_quote_units": 250.49240389413143, "price_pnl_quote_units": 27226.40640126146, "turnover_quote_units": 79844.70352256286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36736.37988679966, "return_pct": 267.3637988679966, "cagr_pct": 266.6023905460363, "max_drawdown_pct": 60.54445826293665, "mean_exposure_while_solvent": 1.0843606375606705, "realized_annual_volatility_pct": 71.27859795120922, "trading_costs_quote_units": 239.53411056768869, "borrowing_costs_quote_units": 250.49240389413143, "price_pnl_quote_units": 27226.40640126146, "turnover_quote_units": 79844.70352256286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36736.37988679966, "return_pct": 267.3637988679966, "cagr_pct": 266.6023905460363, "max_drawdown_pct": 60.54445826293665, "mean_exposure_while_solvent": 1.0843606375606705, "realized_annual_volatility_pct": 71.27859795120922, "trading_costs_quote_units": 239.53411056768869, "borrowing_costs_quote_units": 250.49240389413143, "price_pnl_quote_units": 27226.40640126146, "turnover_quote_units": 79844.70352256286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29500.382158159984, "return_pct": 195.00382158159985, "cagr_pct": 194.49538019888246, "max_drawdown_pct": 45.344481498147495, "mean_exposure_while_solvent": 0.7494634408986918, "realized_annual_volatility_pct": 50.89353837242917, "trading_costs_quote_units": 88.17655778827287, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19588.558715948246, "turnover_quote_units": 29392.185929424286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29500.382158159984, "return_pct": 195.00382158159985, "cagr_pct": 194.49538019888246, "max_drawdown_pct": 45.344481498147495, "mean_exposure_while_solvent": 0.7494634408986918, "realized_annual_volatility_pct": 50.89353837242917, "trading_costs_quote_units": 88.17655778827287, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19588.558715948246, "turnover_quote_units": 29392.185929424286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40063.94220698724, "return_pct": 300.63942206987235, "cagr_pct": 299.7537717301331, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9986338797814207, "realized_annual_volatility_pct": 68.3008633713268, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30093.852476179643, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 40063.94220698724, "return_pct": 300.63942206987235, "cagr_pct": 299.7537717301331, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9986338797814207, "realized_annual_volatility_pct": 68.3008633713268, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30093.852476179643, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 50791.334733991105, "return_pct": 407.91334733991107, "cagr_pct": 406.5988747823814, "max_drawdown_pct": 65.21737482538772, "mean_exposure_while_solvent": 1.2475943616002583, "realized_annual_volatility_pct": 86.05277039286399, "trading_costs_quote_units": 164.6821739174455, "borrowing_costs_quote_units": 402.63415301373834, "price_pnl_quote_units": 41358.65106092233, "turnover_quote_units": 54894.057972481845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 50791.334733991105, "return_pct": 407.91334733991107, "cagr_pct": 406.5988747823814, "max_drawdown_pct": 65.21737482538772, "mean_exposure_while_solvent": 1.2475943616002583, "realized_annual_volatility_pct": 86.05277039286399, "trading_costs_quote_units": 164.6821739174455, "borrowing_costs_quote_units": 402.63415301373834, "price_pnl_quote_units": 41358.65106092233, "turnover_quote_units": 54894.057972481845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62159.22720037436, "return_pct": 521.5922720037436, "cagr_pct": 519.7839642995039, "max_drawdown_pct": 72.79929606430342, "mean_exposure_while_solvent": 1.4963722570315714, "realized_annual_volatility_pct": 104.22459768874954, "trading_costs_quote_units": 363.6223122958726, "borrowing_costs_quote_units": 834.2312042762, "price_pnl_quote_units": 53357.08071694644, "turnover_quote_units": 121207.43743195756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62159.22720037436, "return_pct": 521.5922720037436, "cagr_pct": 519.7839642995039, "max_drawdown_pct": 72.79929606430342, "mean_exposure_while_solvent": 1.4963722570315714, "realized_annual_volatility_pct": 104.22459768874954, "trading_costs_quote_units": 363.6223122958726, "borrowing_costs_quote_units": 834.2312042762, "price_pnl_quote_units": 53357.08071694644, "turnover_quote_units": 121207.43743195756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29517.34567543688, "return_pct": 195.1734567543688, "cagr_pct": 194.66445290391795, "max_drawdown_pct": 43.492364077558435, "mean_exposure_while_solvent": 0.7726562225579506, "realized_annual_volatility_pct": 47.190444747120544, "trading_costs_quote_units": 303.768659454967, "borrowing_costs_quote_units": 85.04391402012078, "price_pnl_quote_units": 19906.158248912012, "turnover_quote_units": 101256.21981832253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29517.34567543688, "return_pct": 195.1734567543688, "cagr_pct": 194.66445290391795, "max_drawdown_pct": 43.492364077558435, "mean_exposure_while_solvent": 0.7726562225579506, "realized_annual_volatility_pct": 47.190444747120544, "trading_costs_quote_units": 303.768659454967, "borrowing_costs_quote_units": 85.04391402012078, "price_pnl_quote_units": 19906.158248912012, "turnover_quote_units": 101256.21981832253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38227.46657201594, "return_pct": 282.2746657201594, "cagr_pct": 281.4581517699869, "max_drawdown_pct": 59.07171445117495, "mean_exposure_while_solvent": 1.1056172403748965, "realized_annual_volatility_pct": 69.31691525746052, "trading_costs_quote_units": 364.4506355943746, "borrowing_costs_quote_units": 511.17538246595404, "price_pnl_quote_units": 29103.0925900763, "turnover_quote_units": 121483.54519812502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38227.46657201594, "return_pct": 282.2746657201594, "cagr_pct": 281.4581517699869, "max_drawdown_pct": 59.07171445117495, "mean_exposure_while_solvent": 1.1056172403748965, "realized_annual_volatility_pct": 69.31691525746052, "trading_costs_quote_units": 364.4506355943746, "borrowing_costs_quote_units": 511.17538246595404, "price_pnl_quote_units": 29103.0925900763, "turnover_quote_units": 121483.54519812502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 43439.33743465287, "return_pct": 334.39337434652873, "cagr_pct": 333.37720732470456, "max_drawdown_pct": 69.15164649102996, "mean_exposure_while_solvent": 1.3200681825542004, "realized_annual_volatility_pct": 87.30412501811564, "trading_costs_quote_units": 338.6298497945655, "borrowing_costs_quote_units": 1026.5942754393075, "price_pnl_quote_units": 34804.56155988674, "turnover_quote_units": 112876.61659818844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 43439.33743465287, "return_pct": 334.39337434652873, "cagr_pct": 333.37720732470456, "max_drawdown_pct": 69.15164649102996, "mean_exposure_while_solvent": 1.3200681825542004, "realized_annual_volatility_pct": 87.30412501811564, "trading_costs_quote_units": 338.6298497945655, "borrowing_costs_quote_units": 1026.5942754393075, "price_pnl_quote_units": 34804.56155988674, "turnover_quote_units": 112876.61659818844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37279.89042585218, "return_pct": 272.7989042585218, "cagr_pct": 272.01751893326167, "max_drawdown_pct": 58.18204817223298, "mean_exposure_while_solvent": 1.1283984575977608, "realized_annual_volatility_pct": 68.76506671758067, "trading_costs_quote_units": 620.0459840899941, "borrowing_costs_quote_units": 546.4359878271501, "price_pnl_quote_units": 28446.372397769344, "turnover_quote_units": 206681.99469666477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37279.89042585218, "return_pct": 272.7989042585218, "cagr_pct": 272.01751893326167, "max_drawdown_pct": 58.18204817223298, "mean_exposure_while_solvent": 1.1283984575977608, "realized_annual_volatility_pct": 68.76506671758067, "trading_costs_quote_units": 620.0459840899941, "borrowing_costs_quote_units": 546.4359878271501, "price_pnl_quote_units": 28446.372397769344, "turnover_quote_units": 206681.99469666477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36062.0689189698, "return_pct": 260.620689189698, "cagr_pct": 259.8838877222413, "max_drawdown_pct": 60.61056699903551, "mean_exposure_while_solvent": 1.08438928219334, "realized_annual_volatility_pct": 71.28076596055935, "trading_costs_quote_units": 237.6391213436172, "borrowing_costs_quote_units": 496.041712818525, "price_pnl_quote_units": 26795.749753131924, "turnover_quote_units": 79213.04044787236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36062.0689189698, "return_pct": 260.620689189698, "cagr_pct": 259.8838877222413, "max_drawdown_pct": 60.61056699903551, "mean_exposure_while_solvent": 1.08438928219334, "realized_annual_volatility_pct": 71.28076596055935, "trading_costs_quote_units": 237.6391213436172, "borrowing_costs_quote_units": 496.041712818525, "price_pnl_quote_units": 26795.749753131924, "turnover_quote_units": 79213.04044787236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32658.469177961757, "return_pct": 226.58469177961757, "cagr_pct": 225.9689552840028, "max_drawdown_pct": 53.3393791392796, "mean_exposure_while_solvent": 0.9133946148871551, "realized_annual_volatility_pct": 60.049317820832705, "trading_costs_quote_units": 133.81858798772956, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22792.287765949477, "turnover_quote_units": 44606.19599590987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32658.469177961757, "return_pct": 226.58469177961757, "cagr_pct": 225.9689552840028, "max_drawdown_pct": 53.3393791392796, "mean_exposure_while_solvent": 0.9133946148871551, "realized_annual_volatility_pct": 60.049317820832705, "trading_costs_quote_units": 133.81858798772956, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22792.287765949477, "turnover_quote_units": 44606.19599590987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 127, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36062.0689189698, "return_pct": 260.620689189698, "cagr_pct": 259.8838877222413, "max_drawdown_pct": 60.61056699903551, "mean_exposure_while_solvent": 1.08438928219334, "realized_annual_volatility_pct": 71.28076596055935, "trading_costs_quote_units": 237.6391213436172, "borrowing_costs_quote_units": 496.041712818525, "price_pnl_quote_units": 26795.749753131924, "turnover_quote_units": 79213.04044787236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36062.0689189698, "return_pct": 260.620689189698, "cagr_pct": 259.8838877222413, "max_drawdown_pct": 60.61056699903551, "mean_exposure_while_solvent": 1.08438928219334, "realized_annual_volatility_pct": 71.28076596055935, "trading_costs_quote_units": 237.6391213436172, "borrowing_costs_quote_units": 496.041712818525, "price_pnl_quote_units": 26795.749753131924, "turnover_quote_units": 79213.04044787236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36062.0689189698, "return_pct": 260.620689189698, "cagr_pct": 259.8838877222413, "max_drawdown_pct": 60.61056699903551, "mean_exposure_while_solvent": 1.08438928219334, "realized_annual_volatility_pct": 71.28076596055935, "trading_costs_quote_units": 237.6391213436172, "borrowing_costs_quote_units": 496.041712818525, "price_pnl_quote_units": 26795.749753131924, "turnover_quote_units": 79213.04044787236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36062.0689189698, "return_pct": 260.620689189698, "cagr_pct": 259.8838877222413, "max_drawdown_pct": 60.61056699903551, "mean_exposure_while_solvent": 1.08438928219334, "realized_annual_volatility_pct": 71.28076596055935, "trading_costs_quote_units": 237.6391213436172, "borrowing_costs_quote_units": 496.041712818525, "price_pnl_quote_units": 26795.749753131924, "turnover_quote_units": 79213.04044787236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29500.382158159984, "return_pct": 195.00382158159985, "cagr_pct": 194.49538019888246, "max_drawdown_pct": 45.344481498147495, "mean_exposure_while_solvent": 0.7494634408986918, "realized_annual_volatility_pct": 50.89353837242917, "trading_costs_quote_units": 88.17655778827287, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19588.558715948246, "turnover_quote_units": 29392.185929424286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29500.382158159984, "return_pct": 195.00382158159985, "cagr_pct": 194.49538019888246, "max_drawdown_pct": 45.344481498147495, "mean_exposure_while_solvent": 0.7494634408986918, "realized_annual_volatility_pct": 50.89353837242917, "trading_costs_quote_units": 88.17655778827287, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19588.558715948246, "turnover_quote_units": 29392.185929424286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 40063.94220698724, "return_pct": 300.63942206987235, "cagr_pct": 299.7537717301331, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9986338797814207, "realized_annual_volatility_pct": 68.3008633713268, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30093.852476179643, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 40063.94220698724, "return_pct": 300.63942206987235, "cagr_pct": 299.7537717301331, "max_drawdown_pct": 56.072000169077626, "mean_exposure_while_solvent": 0.9986338797814207, "realized_annual_volatility_pct": 68.3008633713268, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30093.852476179643, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 49541.19917992955, "return_pct": 395.4119917992955, "cagr_pct": 394.14950848412656, "max_drawdown_pct": 65.29719619480963, "mean_exposure_while_solvent": 1.2476297751592065, "realized_annual_volatility_pct": 86.05645408083606, "trading_costs_quote_units": 162.54122149453733, "borrowing_costs_quote_units": 793.4337951410382, "price_pnl_quote_units": 40497.17419656511, "turnover_quote_units": 54180.40716484571, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 49541.19917992955, "return_pct": 395.4119917992955, "cagr_pct": 394.14950848412656, "max_drawdown_pct": 65.29719619480963, "mean_exposure_while_solvent": 1.2476297751592065, "realized_annual_volatility_pct": 86.05645408083606, "trading_costs_quote_units": 162.54122149453733, "borrowing_costs_quote_units": 793.4337951410382, "price_pnl_quote_units": 40497.17419656511, "turnover_quote_units": 54180.40716484571, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59137.22264755174, "return_pct": 491.37222647551744, "cagr_pct": 489.6986947325748, "max_drawdown_pct": 72.9252059270295, "mean_exposure_while_solvent": 1.4964571882922075, "realized_annual_volatility_pct": 104.23375035226574, "trading_costs_quote_units": 353.3051509409484, "borrowing_costs_quote_units": 1618.6701302169706, "price_pnl_quote_units": 51109.197928709575, "turnover_quote_units": 117768.38364698282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59137.22264755174, "return_pct": 491.37222647551744, "cagr_pct": 489.6986947325748, "max_drawdown_pct": 72.9252059270295, "mean_exposure_while_solvent": 1.4964571882922075, "realized_annual_volatility_pct": 104.23375035226574, "trading_costs_quote_units": 353.3051509409484, "borrowing_costs_quote_units": 1618.6701302169706, "price_pnl_quote_units": 51109.197928709575, "turnover_quote_units": 117768.38364698282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29014.905381822835, "return_pct": 190.14905381822837, "cagr_pct": 189.6566435746359, "max_drawdown_pct": 44.625888154322226, "mean_exposure_while_solvent": 0.7828535319873458, "realized_annual_volatility_pct": 47.31157503488172, "trading_costs_quote_units": 58.36905539209912, "borrowing_costs_quote_units": 22.559213676740697, "price_pnl_quote_units": 19095.83365089169, "turnover_quote_units": 97281.7589868319, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30208.472501545213, "return_pct": 202.08472501545214, "cagr_pct": 201.5526743801777, "max_drawdown_pct": 55.86649279855615, "mean_exposure_while_solvent": 0.829171261605128, "realized_annual_volatility_pct": 60.66727817084059, "trading_costs_quote_units": 58.671581978445026, "borrowing_costs_quote_units": 8.43390755672724, "price_pnl_quote_units": 20275.5779910804, "turnover_quote_units": 97785.96996407514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -11.935671197223769 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36980.15359197263, "return_pct": 269.8015359197263, "cagr_pct": 269.0311832598713, "max_drawdown_pct": 61.17218203478123, "mean_exposure_while_solvent": 1.117246656844886, "realized_annual_volatility_pct": 70.65432960187587, "trading_costs_quote_units": 72.99173753470143, "borrowing_costs_quote_units": 130.56302573926072, "price_pnl_quote_units": 27183.708355246574, "turnover_quote_units": 121652.89589116898, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43714.64743468148, "return_pct": 337.1464743468148, "cagr_pct": 336.11947359077084, "max_drawdown_pct": 57.67083014239611, "mean_exposure_while_solvent": 1.0879616684327802, "realized_annual_volatility_pct": 71.11070017968967, "trading_costs_quote_units": 78.97097802069145, "borrowing_costs_quote_units": 112.59488302687242, "price_pnl_quote_units": 33906.21329572903, "turnover_quote_units": 131618.29670115234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -67.3449384270885 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 41361.05348396138, "return_pct": 313.6105348396138, "cagr_pct": 312.67524352046723, "max_drawdown_pct": 72.19828818180521, "mean_exposure_while_solvent": 1.3251466003596835, "realized_annual_volatility_pct": 91.75555056433596, "trading_costs_quote_units": 64.76183736707743, "borrowing_costs_quote_units": 247.28051075377599, "price_pnl_quote_units": 31673.09583208224, "turnover_quote_units": 107936.39561179565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 55910.16706401019, "return_pct": 459.1016706401018, "cagr_pct": 457.56934865983266, "max_drawdown_pct": 57.90385887541182, "mean_exposure_while_solvent": 1.2451166258178048, "realized_annual_volatility_pct": 77.86541562148133, "trading_costs_quote_units": 85.34616716653692, "borrowing_costs_quote_units": 256.27567281475007, "price_pnl_quote_units": 46251.788903991444, "turnover_quote_units": 142243.61194422812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -145.491135800488 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37581.71271770465, "return_pct": 275.81712717704653, "cagr_pct": 275.0245937394426, "max_drawdown_pct": 59.43468508178134, "mean_exposure_while_solvent": 1.13947227831585, "realized_annual_volatility_pct": 69.56708047304399, "trading_costs_quote_units": 121.01485075723161, "borrowing_costs_quote_units": 141.76322863653704, "price_pnl_quote_units": 27844.490797098413, "turnover_quote_units": 201691.41792871934, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 38670.98731003173, "return_pct": 286.7098731003173, "cagr_pct": 285.8767881396512, "max_drawdown_pct": 58.7190556952755, "mean_exposure_while_solvent": 1.1211503659203215, "realized_annual_volatility_pct": 69.82545293118557, "trading_costs_quote_units": 120.61597214022817, "borrowing_costs_quote_units": 126.01010946505562, "price_pnl_quote_units": 28917.613391637013, "turnover_quote_units": 201026.6202337138, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 316, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -10.892745923270752 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35059.416240096805, "return_pct": 250.59416240096803, "cagr_pct": 249.89357804232512, "max_drawdown_pct": 62.83428258353908, "mean_exposure_while_solvent": 1.095268517453939, "realized_annual_volatility_pct": 73.04194579648188, "trading_costs_quote_units": 47.47796521861399, "borrowing_costs_quote_units": 125.73997364322855, "price_pnl_quote_units": 25232.6341789587, "turnover_quote_units": 79129.94203102324, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 47127.72408990359, "return_pct": 371.2772408990359, "cagr_pct": 370.11369789200035, "max_drawdown_pct": 56.97088048838113, "mean_exposure_while_solvent": 1.103909281369935, "realized_annual_volatility_pct": 72.598376618396, "trading_costs_quote_units": 46.38332178905947, "borrowing_costs_quote_units": 100.50302403542477, "price_pnl_quote_units": 37274.610435728064, "turnover_quote_units": 77305.53631509906, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -120.68307849806789 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32064.88034009238, "return_pct": 220.64880340092378, "cagr_pct": 220.05361919823773, "max_drawdown_pct": 53.75606710765395, "mean_exposure_while_solvent": 0.9151615707961023, "realized_annual_volatility_pct": 59.7995500688095, "trading_costs_quote_units": 25.59795322879053, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22090.47829332118, "turnover_quote_units": 42663.25538131754, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 124, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36649.55859666278, "return_pct": 266.49558596662774, "cagr_pct": 265.737357020236, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9417419673972003, "realized_annual_volatility_pct": 64.73999231851597, "trading_costs_quote_units": 24.30327504545673, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 26673.861871708235, "turnover_quote_units": 40505.45840909455, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 78, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -45.84678256570396 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35059.416240096805, "return_pct": 250.59416240096803, "cagr_pct": 249.89357804232512, "max_drawdown_pct": 62.83428258353908, "mean_exposure_while_solvent": 1.095268517453939, "realized_annual_volatility_pct": 73.04194579648188, "trading_costs_quote_units": 47.47796521861399, "borrowing_costs_quote_units": 125.73997364322855, "price_pnl_quote_units": 25232.6341789587, "turnover_quote_units": 79129.94203102324, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 47127.72408990359, "return_pct": 371.2772408990359, "cagr_pct": 370.11369789200035, "max_drawdown_pct": 56.97088048838113, "mean_exposure_while_solvent": 1.103909281369935, "realized_annual_volatility_pct": 72.598376618396, "trading_costs_quote_units": 46.38332178905947, "borrowing_costs_quote_units": 100.50302403542477, "price_pnl_quote_units": 37274.610435728064, "turnover_quote_units": 77305.53631509906, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -120.68307849806789 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35059.416240096805, "return_pct": 250.59416240096803, "cagr_pct": 249.89357804232512, "max_drawdown_pct": 62.83428258353908, "mean_exposure_while_solvent": 1.095268517453939, "realized_annual_volatility_pct": 73.04194579648188, "trading_costs_quote_units": 47.47796521861399, "borrowing_costs_quote_units": 125.73997364322855, "price_pnl_quote_units": 25232.6341789587, "turnover_quote_units": 79129.94203102324, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 47127.72408990359, "return_pct": 371.2772408990359, "cagr_pct": 370.11369789200035, "max_drawdown_pct": 56.97088048838113, "mean_exposure_while_solvent": 1.103909281369935, "realized_annual_volatility_pct": 72.598376618396, "trading_costs_quote_units": 46.38332178905947, "borrowing_costs_quote_units": 100.50302403542477, "price_pnl_quote_units": 37274.610435728064, "turnover_quote_units": 77305.53631509906, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -120.68307849806789 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29811.506972787225, "return_pct": 198.11506972787228, "cagr_pct": 197.59628766473415, "max_drawdown_pct": 44.86559009736803, "mean_exposure_while_solvent": 0.7498542188570325, "realized_annual_volatility_pct": 50.19563839020582, "trading_costs_quote_units": 18.15694715147582, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19829.663919938717, "turnover_quote_units": 30261.578585793002, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29811.506972787225, "return_pct": 198.11506972787228, "cagr_pct": 197.59628766473415, "max_drawdown_pct": 44.86559009736803, "mean_exposure_while_solvent": 0.7498542188570325, "realized_annual_volatility_pct": 50.19563839020582, "trading_costs_quote_units": 18.15694715147582, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19829.663919938717, "turnover_quote_units": 30261.578585793002, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40092.88184085206, "return_pct": 300.9288184085206, "cagr_pct": 300.04206773359607, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9995435874030123, "realized_annual_volatility_pct": 67.99481771232678, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30098.878243010782, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40092.88184085206, "return_pct": 300.9288184085206, "cagr_pct": 300.04206773359607, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9995435874030123, "realized_annual_volatility_pct": 67.99481771232678, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30098.878243010782, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 51103.95707692949, "return_pct": 411.0395707692949, "cagr_pct": 409.71202037839276, "max_drawdown_pct": 65.60146589191459, "mean_exposure_while_solvent": 1.249227552603692, "realized_annual_volatility_pct": 86.7625706924058, "trading_costs_quote_units": 33.94543324638264, "borrowing_costs_quote_units": 202.37768535658486, "price_pnl_quote_units": 41340.28019553244, "turnover_quote_units": 56575.72207730445, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 51103.95707692949, "return_pct": 411.0395707692949, "cagr_pct": 409.71202037839276, "max_drawdown_pct": 65.60146589191459, "mean_exposure_while_solvent": 1.249227552603692, "realized_annual_volatility_pct": 86.7625706924058, "trading_costs_quote_units": 33.94543324638264, "borrowing_costs_quote_units": 202.37768535658486, "price_pnl_quote_units": 41340.28019553244, "turnover_quote_units": 56575.72207730445, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 62368.00414935835, "return_pct": 523.6800414935834, "cagr_pct": 521.8623352541193, "max_drawdown_pct": 73.71282626931742, "mean_exposure_while_solvent": 1.4989835494112644, "realized_annual_volatility_pct": 107.04467116609884, "trading_costs_quote_units": 74.91506062125396, "borrowing_costs_quote_units": 416.5369896835098, "price_pnl_quote_units": 52859.45619966308, "turnover_quote_units": 124858.43436875666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 62368.00414935835, "return_pct": 523.6800414935834, "cagr_pct": 521.8623352541193, "max_drawdown_pct": 73.71282626931742, "mean_exposure_while_solvent": 1.4989835494112644, "realized_annual_volatility_pct": 107.04467116609884, "trading_costs_quote_units": 74.91506062125396, "borrowing_costs_quote_units": 416.5369896835098, "price_pnl_quote_units": 52859.45619966308, "turnover_quote_units": 124858.43436875666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28960.458659531072, "return_pct": 189.60458659531074, "cagr_pct": 189.11396624903028, "max_drawdown_pct": 44.625888154322226, "mean_exposure_while_solvent": 0.7828563863792379, "realized_annual_volatility_pct": 47.31113030196533, "trading_costs_quote_units": 58.31906402716764, "borrowing_costs_quote_units": 45.0759791423832, "price_pnl_quote_units": 19063.85370270062, "turnover_quote_units": 97198.44004527939, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30189.929950071542, "return_pct": 201.89929950071544, "cagr_pct": 201.36787050443377, "max_drawdown_pct": 55.86649279855615, "mean_exposure_while_solvent": 0.82917207600724, "realized_annual_volatility_pct": 60.66722069094729, "trading_costs_quote_units": 58.6615441048039, "borrowing_costs_quote_units": 16.863582820074583, "price_pnl_quote_units": 20265.45507699642, "turnover_quote_units": 97769.24017467322, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -12.294712905404708 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36608.58228725784, "return_pct": 266.08582287257843, "cagr_pct": 265.32909333462993, "max_drawdown_pct": 61.220941257433815, "mean_exposure_while_solvent": 1.117262585911122, "realized_annual_volatility_pct": 70.65554016884678, "trading_costs_quote_units": 72.6558557101282, "borrowing_costs_quote_units": 259.75814180933247, "price_pnl_quote_units": 26940.996284777306, "turnover_quote_units": 121093.09285021367, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 43396.35097529639, "return_pct": 333.9635097529639, "cagr_pct": 332.9490317960335, "max_drawdown_pct": 57.686557027983035, "mean_exposure_while_solvent": 1.0879730542602613, "realized_annual_volatility_pct": 71.11127998507185, "trading_costs_quote_units": 78.72855034871598, "borrowing_costs_quote_units": 224.3200611378043, "price_pnl_quote_units": 33699.39958678293, "turnover_quote_units": 131214.25058119348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -67.87768688038545 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40610.38986762661, "return_pct": 306.1038986762661, "cagr_pct": 305.1974156524944, "max_drawdown_pct": 72.25594701227051, "mean_exposure_while_solvent": 1.3251775016744285, "realized_annual_volatility_pct": 91.7605280433243, "trading_costs_quote_units": 64.18420500656798, "borrowing_costs_quote_units": 489.6112048358047, "price_pnl_quote_units": 31164.18527746898, "turnover_quote_units": 106973.67501094671, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 55140.332730014205, "return_pct": 451.403327300142, "cagr_pct": 449.9042611464961, "max_drawdown_pct": 57.92441683364108, "mean_exposure_while_solvent": 1.2451401596019522, "realized_annual_volatility_pct": 77.86658186623102, "trading_costs_quote_units": 84.73956766093794, "borrowing_costs_quote_units": 508.47246005174117, "price_pnl_quote_units": 45733.54475772689, "turnover_quote_units": 141232.61276822985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -145.29942862387588 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37184.45488191011, "return_pct": 271.84454881910113, "cagr_pct": 271.06668043920996, "max_drawdown_pct": 59.47878627033292, "mean_exposure_while_solvent": 1.1394898735316643, "realized_annual_volatility_pct": 69.56810474830024, "trading_costs_quote_units": 120.34466565482306, "borrowing_costs_quote_units": 281.9744308229159, "price_pnl_quote_units": 27586.773978387846, "turnover_quote_units": 200574.44275803844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 38313.073786388755, "return_pct": 283.1307378638876, "cagr_pct": 282.3110317577205, "max_drawdown_pct": 58.74941645442816, "mean_exposure_while_solvent": 1.1211658192942413, "realized_annual_volatility_pct": 69.82635590675879, "trading_costs_quote_units": 120.07494597455778, "borrowing_costs_quote_units": 250.81379477545593, "price_pnl_quote_units": 28683.96252713875, "turnover_quote_units": 200124.9099575964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 316, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -11.286189044786454 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34720.8913445271, "return_pct": 247.20891344527104, "cagr_pct": 246.52045480667502, "max_drawdown_pct": 62.87070238807495, "mean_exposure_while_solvent": 1.0952836486392932, "realized_annual_volatility_pct": 73.04353622418922, "trading_costs_quote_units": 47.274124451240624, "borrowing_costs_quote_units": 250.18953976865112, "price_pnl_quote_units": 25018.355008747043, "turnover_quote_units": 78790.20741873435, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46863.23235109772, "return_pct": 368.63232351097724, "cagr_pct": 367.47950576474915, "max_drawdown_pct": 56.98195095602783, "mean_exposure_while_solvent": 1.1039178798300104, "realized_annual_volatility_pct": 72.598643297086, "trading_costs_quote_units": 46.27670742970037, "borrowing_costs_quote_units": 200.37432395444145, "price_pnl_quote_units": 37109.8833824818, "turnover_quote_units": 77127.84571616724, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -121.42341006570621 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32064.88034009238, "return_pct": 220.64880340092378, "cagr_pct": 220.05361919823773, "max_drawdown_pct": 53.75606710765395, "mean_exposure_while_solvent": 0.9151615707961023, "realized_annual_volatility_pct": 59.7995500688095, "trading_costs_quote_units": 25.59795322879053, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22090.47829332118, "turnover_quote_units": 42663.25538131754, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 124, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36649.55859666278, "return_pct": 266.49558596662774, "cagr_pct": 265.737357020236, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9417419673972003, "realized_annual_volatility_pct": 64.73999231851597, "trading_costs_quote_units": 24.30327504545673, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 26673.861871708235, "turnover_quote_units": 40505.45840909455, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 78, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -45.84678256570396 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34720.8913445271, "return_pct": 247.20891344527104, "cagr_pct": 246.52045480667502, "max_drawdown_pct": 62.87070238807495, "mean_exposure_while_solvent": 1.0952836486392932, "realized_annual_volatility_pct": 73.04353622418922, "trading_costs_quote_units": 47.274124451240624, "borrowing_costs_quote_units": 250.18953976865112, "price_pnl_quote_units": 25018.355008747043, "turnover_quote_units": 78790.20741873435, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46863.23235109772, "return_pct": 368.63232351097724, "cagr_pct": 367.47950576474915, "max_drawdown_pct": 56.98195095602783, "mean_exposure_while_solvent": 1.1039178798300104, "realized_annual_volatility_pct": 72.598643297086, "trading_costs_quote_units": 46.27670742970037, "borrowing_costs_quote_units": 200.37432395444145, "price_pnl_quote_units": 37109.8833824818, "turnover_quote_units": 77127.84571616724, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -121.42341006570621 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34720.8913445271, "return_pct": 247.20891344527104, "cagr_pct": 246.52045480667502, "max_drawdown_pct": 62.87070238807495, "mean_exposure_while_solvent": 1.0952836486392932, "realized_annual_volatility_pct": 73.04353622418922, "trading_costs_quote_units": 47.274124451240624, "borrowing_costs_quote_units": 250.18953976865112, "price_pnl_quote_units": 25018.355008747043, "turnover_quote_units": 78790.20741873435, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46863.23235109772, "return_pct": 368.63232351097724, "cagr_pct": 367.47950576474915, "max_drawdown_pct": 56.98195095602783, "mean_exposure_while_solvent": 1.1039178798300104, "realized_annual_volatility_pct": 72.598643297086, "trading_costs_quote_units": 46.27670742970037, "borrowing_costs_quote_units": 200.37432395444145, "price_pnl_quote_units": 37109.8833824818, "turnover_quote_units": 77127.84571616724, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -121.42341006570621 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29811.506972787225, "return_pct": 198.11506972787228, "cagr_pct": 197.59628766473415, "max_drawdown_pct": 44.86559009736803, "mean_exposure_while_solvent": 0.7498542188570325, "realized_annual_volatility_pct": 50.19563839020582, "trading_costs_quote_units": 18.15694715147582, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19829.663919938717, "turnover_quote_units": 30261.578585793002, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29811.506972787225, "return_pct": 198.11506972787228, "cagr_pct": 197.59628766473415, "max_drawdown_pct": 44.86559009736803, "mean_exposure_while_solvent": 0.7498542188570325, "realized_annual_volatility_pct": 50.19563839020582, "trading_costs_quote_units": 18.15694715147582, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19829.663919938717, "turnover_quote_units": 30261.578585793002, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40092.88184085206, "return_pct": 300.9288184085206, "cagr_pct": 300.04206773359607, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9995435874030123, "realized_annual_volatility_pct": 67.99481771232678, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30098.878243010782, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 40092.88184085206, "return_pct": 300.9288184085206, "cagr_pct": 300.04206773359607, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9995435874030123, "realized_annual_volatility_pct": 67.99481771232678, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30098.878243010782, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 50470.39876259583, "return_pct": 404.7039876259583, "cagr_pct": 403.4029088978885, "max_drawdown_pct": 65.64086743308724, "mean_exposure_while_solvent": 1.2492455458828327, "realized_annual_volatility_pct": 86.76465339837561, "trading_costs_quote_units": 33.71381244735691, "borrowing_costs_quote_units": 401.76225809853014, "price_pnl_quote_units": 40905.87483314173, "turnover_quote_units": 56189.6874122615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 50470.39876259583, "return_pct": 404.7039876259583, "cagr_pct": 403.4029088978885, "max_drawdown_pct": 65.64086743308724, "mean_exposure_while_solvent": 1.2492455458828327, "realized_annual_volatility_pct": 86.76465339837561, "trading_costs_quote_units": 33.71381244735691, "borrowing_costs_quote_units": 401.76225809853014, "price_pnl_quote_units": 40905.87483314173, "turnover_quote_units": 56189.6874122615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 60830.9725178925, "return_pct": 508.309725178925, "cagr_pct": 506.5609494015209, "max_drawdown_pct": 73.7736961917265, "mean_exposure_while_solvent": 1.499026766561653, "realized_annual_volatility_pct": 107.05031050806504, "trading_costs_quote_units": 73.82196225678797, "borrowing_costs_quote_units": 820.5086854776262, "price_pnl_quote_units": 51725.30316562695, "turnover_quote_units": 123036.60376131328, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 60830.9725178925, "return_pct": 508.309725178925, "cagr_pct": 506.5609494015209, "max_drawdown_pct": 73.7736961917265, "mean_exposure_while_solvent": 1.499026766561653, "realized_annual_volatility_pct": 107.05031050806504, "trading_costs_quote_units": 73.82196225678797, "borrowing_costs_quote_units": 820.5086854776262, "price_pnl_quote_units": 51725.30316562695, "turnover_quote_units": 123036.60376131328, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28851.845824796783, "return_pct": 188.51845824796786, "cagr_pct": 188.0314036088686, "max_drawdown_pct": 44.625888154322226, "mean_exposure_while_solvent": 0.7828620961703572, "realized_annual_volatility_pct": 47.31024822706318, "trading_costs_quote_units": 58.219287932561926, "borrowing_costs_quote_units": 89.98244439349361, "price_pnl_quote_units": 19000.04755712282, "turnover_quote_units": 97032.14655426989, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30152.871450734678, "return_pct": 201.52871450734676, "cagr_pct": 200.9985273547355, "max_drawdown_pct": 55.86649279855615, "mean_exposure_while_solvent": 0.829173705025039, "realized_annual_volatility_pct": 60.667106692847206, "trading_costs_quote_units": 58.64148060907596, "borrowing_costs_quote_units": 33.71024190262999, "price_pnl_quote_units": 20245.22317324637, "turnover_quote_units": 97735.80101512664, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -13.010256259378906 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35876.41371004278, "return_pct": 258.76413710042783, "cagr_pct": 258.0340755234262, "max_drawdown_pct": 61.31829914774094, "mean_exposure_while_solvent": 1.117294450102318, "realized_annual_volatility_pct": 70.65797842554818, "trading_costs_quote_units": 71.99421909502962, "borrowing_costs_quote_units": 514.1004610172381, "price_pnl_quote_units": 26462.50839015506, "turnover_quote_units": 119990.3651583827, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 42766.53370044434, "return_pct": 327.6653370044435, "cagr_pct": 326.6755285317313, "max_drawdown_pct": 57.71800100011326, "mean_exposure_while_solvent": 1.0879958301597719, "realized_annual_volatility_pct": 71.11245449443196, "trading_costs_quote_units": 78.24956586321521, "borrowing_costs_quote_units": 445.1866942733327, "price_pnl_quote_units": 33289.96996058088, "turnover_quote_units": 130415.9431053588, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -68.90119990401564 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 39149.29155978035, "return_pct": 291.4929155978035, "cagr_pct": 290.64186949429643, "max_drawdown_pct": 72.37093803111773, "mean_exposure_while_solvent": 1.3252393175815984, "realized_annual_volatility_pct": 91.77049974127924, "trading_costs_quote_units": 63.05480421394859, "borrowing_costs_quote_units": 959.8108495818221, "price_pnl_quote_units": 30172.15721357612, "turnover_quote_units": 105091.34035658097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 53631.90715557633, "return_pct": 436.3190715557633, "cagr_pct": 434.8846703852336, "max_drawdown_pct": 57.96551375592978, "mean_exposure_while_solvent": 1.2451872373483504, "realized_annual_volatility_pct": 77.86893816229662, "trading_costs_quote_units": 83.5471597636598, "borrowing_costs_quote_units": 1000.870258863877, "price_pnl_quote_units": 44716.32457420381, "turnover_quote_units": 139245.2662727664, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -144.82615595795977 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36402.28103913117, "return_pct": 264.02281039131174, "cagr_pct": 263.2736187594778, "max_drawdown_pct": 59.5668660545537, "mean_exposure_while_solvent": 1.1395250713500247, "realized_annual_volatility_pct": 69.57017627420824, "trading_costs_quote_units": 119.02312790995954, "borrowing_costs_quote_units": 557.8070828647946, "price_pnl_quote_units": 27079.111249905898, "turnover_quote_units": 198371.8798499327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 37606.96394163888, "return_pct": 276.0696394163888, "cagr_pct": 275.2761715493216, "max_drawdown_pct": 58.81008651988671, "mean_exposure_while_solvent": 1.1211967325808645, "realized_annual_volatility_pct": 69.82818465864965, "trading_costs_quote_units": 119.00541558739334, "borrowing_costs_quote_units": 496.84673539267027, "price_pnl_quote_units": 28222.816092618927, "turnover_quote_units": 198342.35931232222, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 316, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -12.046829025077045 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 34053.45262674067, "return_pct": 240.5345262674067, "cagr_pct": 239.86982069282757, "max_drawdown_pct": 62.943450919843656, "mean_exposure_while_solvent": 1.0953139166363628, "realized_annual_volatility_pct": 73.04673318230564, "trading_costs_quote_units": 46.870865746658005, "borrowing_costs_quote_units": 495.2689925847063, "price_pnl_quote_units": 24595.592485072015, "turnover_quote_units": 78118.10957776337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46338.56715142335, "return_pct": 363.3856715142334, "cagr_pct": 362.2540588960501, "max_drawdown_pct": 57.00408824318479, "mean_exposure_while_solvent": 1.1039350798169942, "realized_annual_volatility_pct": 72.59918864966468, "trading_costs_quote_units": 46.06497207378588, "borrowing_costs_quote_units": 398.23636914582795, "price_pnl_quote_units": 36782.86849264296, "turnover_quote_units": 76774.95345630981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -122.85114524682672 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32064.88034009238, "return_pct": 220.64880340092378, "cagr_pct": 220.05361919823773, "max_drawdown_pct": 53.75606710765395, "mean_exposure_while_solvent": 0.9151615707961023, "realized_annual_volatility_pct": 59.7995500688095, "trading_costs_quote_units": 25.59795322879053, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22090.47829332118, "turnover_quote_units": 42663.25538131754, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 124, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36649.55859666278, "return_pct": 266.49558596662774, "cagr_pct": 265.737357020236, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9417419673972003, "realized_annual_volatility_pct": 64.73999231851597, "trading_costs_quote_units": 24.30327504545673, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 26673.861871708235, "turnover_quote_units": 40505.45840909455, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 78, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -45.84678256570396 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 34053.45262674067, "return_pct": 240.5345262674067, "cagr_pct": 239.86982069282757, "max_drawdown_pct": 62.943450919843656, "mean_exposure_while_solvent": 1.0953139166363628, "realized_annual_volatility_pct": 73.04673318230564, "trading_costs_quote_units": 46.870865746658005, "borrowing_costs_quote_units": 495.2689925847063, "price_pnl_quote_units": 24595.592485072015, "turnover_quote_units": 78118.10957776337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46338.56715142335, "return_pct": 363.3856715142334, "cagr_pct": 362.2540588960501, "max_drawdown_pct": 57.00408824318479, "mean_exposure_while_solvent": 1.1039350798169942, "realized_annual_volatility_pct": 72.59918864966468, "trading_costs_quote_units": 46.06497207378588, "borrowing_costs_quote_units": 398.23636914582795, "price_pnl_quote_units": 36782.86849264296, "turnover_quote_units": 76774.95345630981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -122.85114524682672 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 34053.45262674067, "return_pct": 240.5345262674067, "cagr_pct": 239.86982069282757, "max_drawdown_pct": 62.943450919843656, "mean_exposure_while_solvent": 1.0953139166363628, "realized_annual_volatility_pct": 73.04673318230564, "trading_costs_quote_units": 46.870865746658005, "borrowing_costs_quote_units": 495.2689925847063, "price_pnl_quote_units": 24595.592485072015, "turnover_quote_units": 78118.10957776337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46338.56715142335, "return_pct": 363.3856715142334, "cagr_pct": 362.2540588960501, "max_drawdown_pct": 57.00408824318479, "mean_exposure_while_solvent": 1.1039350798169942, "realized_annual_volatility_pct": 72.59918864966468, "trading_costs_quote_units": 46.06497207378588, "borrowing_costs_quote_units": 398.23636914582795, "price_pnl_quote_units": 36782.86849264296, "turnover_quote_units": 76774.95345630981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -122.85114524682672 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29811.506972787225, "return_pct": 198.11506972787228, "cagr_pct": 197.59628766473415, "max_drawdown_pct": 44.86559009736803, "mean_exposure_while_solvent": 0.7498542188570325, "realized_annual_volatility_pct": 50.19563839020582, "trading_costs_quote_units": 18.15694715147582, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19829.663919938717, "turnover_quote_units": 30261.578585793002, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29811.506972787225, "return_pct": 198.11506972787228, "cagr_pct": 197.59628766473415, "max_drawdown_pct": 44.86559009736803, "mean_exposure_while_solvent": 0.7498542188570325, "realized_annual_volatility_pct": 50.19563839020582, "trading_costs_quote_units": 18.15694715147582, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19829.663919938717, "turnover_quote_units": 30261.578585793002, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 40092.88184085206, "return_pct": 300.9288184085206, "cagr_pct": 300.04206773359607, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9995435874030123, "realized_annual_volatility_pct": 67.99481771232678, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30098.878243010782, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 40092.88184085206, "return_pct": 300.9288184085206, "cagr_pct": 300.04206773359607, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9995435874030123, "realized_annual_volatility_pct": 67.99481771232678, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30098.878243010782, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 49226.46726150529, "return_pct": 392.2646726150529, "cagr_pct": 391.0151995783549, "max_drawdown_pct": 65.7195526032037, "mean_exposure_while_solvent": 1.2492815381434568, "realized_annual_volatility_pct": 86.76881965839979, "trading_costs_quote_units": 33.259413954344474, "borrowing_costs_quote_units": 791.7159375471766, "price_pnl_quote_units": 40051.44261300681, "turnover_quote_units": 55432.35659057416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 49226.46726150529, "return_pct": 392.2646726150529, "cagr_pct": 391.0151995783549, "max_drawdown_pct": 65.7195526032037, "mean_exposure_while_solvent": 1.2492815381434568, "realized_annual_volatility_pct": 86.76881965839979, "trading_costs_quote_units": 33.259413954344474, "borrowing_costs_quote_units": 791.7159375471766, "price_pnl_quote_units": 40051.44261300681, "turnover_quote_units": 55432.35659057416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57868.80065979238, "return_pct": 478.6880065979238, "cagr_pct": 477.0703207508665, "max_drawdown_pct": 73.89504713410378, "mean_exposure_while_solvent": 1.499113220162566, "realized_annual_volatility_pct": 107.06159315985926, "trading_costs_quote_units": 71.70635793380539, "borrowing_costs_quote_units": 1592.1566320291822, "price_pnl_quote_units": 49532.66364975539, "turnover_quote_units": 119510.59655634224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57868.80065979238, "return_pct": 478.6880065979238, "cagr_pct": 477.0703207508665, "max_drawdown_pct": 73.89504713410378, "mean_exposure_while_solvent": 1.499113220162566, "realized_annual_volatility_pct": 107.06159315985926, "trading_costs_quote_units": 71.70635793380539, "borrowing_costs_quote_units": 1592.1566320291822, "price_pnl_quote_units": 49532.66364975539, "turnover_quote_units": 119510.59655634224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29822.235911241136, "return_pct": 198.22235911241134, "cagr_pct": 197.70321953405065, "max_drawdown_pct": 45.04252185982834, "mean_exposure_while_solvent": 0.7822947109241783, "realized_annual_volatility_pct": 47.81394500448267, "trading_costs_quote_units": 59.97766609464172, "borrowing_costs_quote_units": 22.924918850000456, "price_pnl_quote_units": 19905.138496185762, "turnover_quote_units": 99962.77682440286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29613.395498955928, "return_pct": 196.13395498955927, "cagr_pct": 195.62176344800827, "max_drawdown_pct": 55.70817460888604, "mean_exposure_while_solvent": 0.8282884548951405, "realized_annual_volatility_pct": 60.646944694552005, "trading_costs_quote_units": 58.683259508925175, "borrowing_costs_quote_units": 8.22710451452299, "price_pnl_quote_units": 19680.30586297937, "turnover_quote_units": 97805.43251487525, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 2.0884041228520687 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39235.390239832355, "return_pct": 292.35390239832356, "cagr_pct": 291.4996132500287, "max_drawdown_pct": 60.6836171328373, "mean_exposure_while_solvent": 1.1157630181106457, "realized_annual_volatility_pct": 70.31382658483844, "trading_costs_quote_units": 71.17066444947983, "borrowing_costs_quote_units": 135.0781849859352, "price_pnl_quote_units": 29441.639089267745, "turnover_quote_units": 118617.77408246639, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 43587.200238501806, "return_pct": 335.87200238501805, "cagr_pct": 334.85002024232705, "max_drawdown_pct": 57.392869543264126, "mean_exposure_while_solvent": 1.086443567424681, "realized_annual_volatility_pct": 70.9829519021143, "trading_costs_quote_units": 73.4650986545089, "borrowing_costs_quote_units": 111.17028304971019, "price_pnl_quote_units": 33771.835620206, "turnover_quote_units": 122441.83109084822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -43.518099986694494 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45443.21374772828, "return_pct": 354.4321374772828, "cagr_pct": 353.33649344402227, "max_drawdown_pct": 70.39099212903976, "mean_exposure_while_solvent": 1.3229988079587978, "realized_annual_volatility_pct": 88.64102828070635, "trading_costs_quote_units": 67.1780598727763, "borrowing_costs_quote_units": 264.129322940266, "price_pnl_quote_units": 35774.52113054132, "turnover_quote_units": 111963.43312129384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 55369.32514481337, "return_pct": 453.6932514481337, "cagr_pct": 452.1843108474866, "max_drawdown_pct": 57.85570719904571, "mean_exposure_while_solvent": 1.2434313803986101, "realized_annual_volatility_pct": 77.81787352860847, "trading_costs_quote_units": 81.31543096946511, "borrowing_costs_quote_units": 253.13545453382307, "price_pnl_quote_units": 45703.77603031665, "turnover_quote_units": 135525.71828244178, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -99.26111397085089 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 38775.581681769305, "return_pct": 287.7558168176931, "cagr_pct": 286.91881214773395, "max_drawdown_pct": 59.72881992785302, "mean_exposure_while_solvent": 1.1386110315261, "realized_annual_volatility_pct": 69.48691481022283, "trading_costs_quote_units": 124.14575986344133, "borrowing_costs_quote_units": 144.60221514772465, "price_pnl_quote_units": 29044.329656780446, "turnover_quote_units": 206909.59977240214, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39659.334562289645, "return_pct": 296.59334562289644, "cagr_pct": 295.72304428479026, "max_drawdown_pct": 59.2271187186467, "mean_exposure_while_solvent": 1.1201225071232759, "realized_annual_volatility_pct": 69.69168819468214, "trading_costs_quote_units": 123.47540125653083, "borrowing_costs_quote_units": 128.16327483182744, "price_pnl_quote_units": 29910.973238377985, "turnover_quote_units": 205792.33542755138, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 317, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -8.837528805203362 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36817.67400885054, "return_pct": 268.17674008850537, "cagr_pct": 267.41235183929143, "max_drawdown_pct": 62.120964060780224, "mean_exposure_while_solvent": 1.0939341671265594, "realized_annual_volatility_pct": 72.28876295249556, "trading_costs_quote_units": 47.47745601371894, "borrowing_costs_quote_units": 130.22746759804946, "price_pnl_quote_units": 26995.378932462332, "turnover_quote_units": 79129.09335619822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46307.30032307379, "return_pct": 363.07300323073787, "cagr_pct": 361.9426513400771, "max_drawdown_pct": 56.929951193935814, "mean_exposure_while_solvent": 1.1027234075179244, "realized_annual_volatility_pct": 72.65452370349591, "trading_costs_quote_units": 45.27272783895651, "borrowing_costs_quote_units": 98.96176728948294, "price_pnl_quote_units": 36451.534818202264, "turnover_quote_units": 75454.54639826078, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -94.8962631422325 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32837.15105386464, "return_pct": 228.3715105386464, "cagr_pct": 227.74955368660187, "max_drawdown_pct": 53.75606710765395, "mean_exposure_while_solvent": 0.9144232247120601, "realized_annual_volatility_pct": 59.960963750068906, "trading_costs_quote_units": 26.359499319143776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22863.510553183773, "turnover_quote_units": 43932.49886523961, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35775.40828788393, "return_pct": 257.7540828788393, "cagr_pct": 257.02768172253064, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9409193413490596, "realized_annual_volatility_pct": 64.7492904103334, "trading_costs_quote_units": 23.913635816556063, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 25799.321923700514, "turnover_quote_units": 39856.059694260126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 79, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -29.382572340192922 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36817.67400885054, "return_pct": 268.17674008850537, "cagr_pct": 267.41235183929143, "max_drawdown_pct": 62.120964060780224, "mean_exposure_while_solvent": 1.0939341671265594, "realized_annual_volatility_pct": 72.28876295249556, "trading_costs_quote_units": 47.47745601371894, "borrowing_costs_quote_units": 130.22746759804946, "price_pnl_quote_units": 26995.378932462332, "turnover_quote_units": 79129.09335619822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46307.30032307379, "return_pct": 363.07300323073787, "cagr_pct": 361.9426513400771, "max_drawdown_pct": 56.929951193935814, "mean_exposure_while_solvent": 1.1027234075179244, "realized_annual_volatility_pct": 72.65452370349591, "trading_costs_quote_units": 45.27272783895651, "borrowing_costs_quote_units": 98.96176728948294, "price_pnl_quote_units": 36451.534818202264, "turnover_quote_units": 75454.54639826078, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -94.8962631422325 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36817.67400885054, "return_pct": 268.17674008850537, "cagr_pct": 267.41235183929143, "max_drawdown_pct": 62.120964060780224, "mean_exposure_while_solvent": 1.0939341671265594, "realized_annual_volatility_pct": 72.28876295249556, "trading_costs_quote_units": 47.47745601371894, "borrowing_costs_quote_units": 130.22746759804946, "price_pnl_quote_units": 26995.378932462332, "turnover_quote_units": 79129.09335619822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 46307.30032307379, "return_pct": 363.07300323073787, "cagr_pct": 361.9426513400771, "max_drawdown_pct": 56.929951193935814, "mean_exposure_while_solvent": 1.1027234075179244, "realized_annual_volatility_pct": 72.65452370349591, "trading_costs_quote_units": 45.27272783895651, "borrowing_costs_quote_units": 98.96176728948294, "price_pnl_quote_units": 36451.534818202264, "turnover_quote_units": 75454.54639826078, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -94.8962631422325 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29531.36819491404, "return_pct": 195.31368194914043, "cagr_pct": 194.80421303010073, "max_drawdown_pct": 45.285079894881505, "mean_exposure_while_solvent": 0.7494595304168672, "realized_annual_volatility_pct": 50.6461926150144, "trading_costs_quote_units": 17.40783806253737, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19548.77603297658, "turnover_quote_units": 29013.06343756227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29531.36819491404, "return_pct": 195.31368194914043, "cagr_pct": 194.80421303010073, "max_drawdown_pct": 45.285079894881505, "mean_exposure_while_solvent": 0.7494595304168672, "realized_annual_volatility_pct": 50.6461926150144, "trading_costs_quote_units": 17.40783806253737, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19548.77603297658, "turnover_quote_units": 29013.06343756227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39957.87535061015, "return_pct": 299.5787535061015, "cagr_pct": 298.69713317202195, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.998630762209037, "realized_annual_volatility_pct": 67.99296293664013, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29963.871752768835, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39957.87535061015, "return_pct": 299.5787535061015, "cagr_pct": 298.69713317202195, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.998630762209037, "realized_annual_volatility_pct": 67.99296293664013, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29963.871752768835, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 51652.232750877214, "return_pct": 416.52232750877215, "cagr_pct": 415.17176805452357, "max_drawdown_pct": 65.05391602364902, "mean_exposure_while_solvent": 1.2475747958472454, "realized_annual_volatility_pct": 85.68680074995196, "trading_costs_quote_units": 32.83407169977043, "borrowing_costs_quote_units": 203.64855512326506, "price_pnl_quote_units": 41888.7153777003, "turnover_quote_units": 54723.45283295075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 51652.232750877214, "return_pct": 416.52232750877215, "cagr_pct": 415.17176805452357, "max_drawdown_pct": 65.05391602364902, "mean_exposure_while_solvent": 1.2475747958472454, "realized_annual_volatility_pct": 85.68680074995196, "trading_costs_quote_units": 32.83407169977043, "borrowing_costs_quote_units": 203.64855512326506, "price_pnl_quote_units": 41888.7153777003, "turnover_quote_units": 54723.45283295075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64653.0573941467, "return_pct": 546.530573941467, "cagr_pct": 544.6092839417029, "max_drawdown_pct": 72.55598552937911, "mean_exposure_while_solvent": 1.4963295658405533, "realized_annual_volatility_pct": 103.81221494951083, "trading_costs_quote_units": 73.42506542758798, "borrowing_costs_quote_units": 428.2801756577747, "price_pnl_quote_units": 55154.76263523217, "turnover_quote_units": 122375.10904598012, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64653.0573941467, "return_pct": 546.530573941467, "cagr_pct": 544.6092839417029, "max_drawdown_pct": 72.55598552937911, "mean_exposure_while_solvent": 1.4963295658405533, "realized_annual_volatility_pct": 103.81221494951083, "trading_costs_quote_units": 73.42506542758798, "borrowing_costs_quote_units": 428.2801756577747, "price_pnl_quote_units": 55154.76263523217, "turnover_quote_units": 122375.10904598012, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29766.3040562854, "return_pct": 197.663040562854, "cagr_pct": 197.14576410046067, "max_drawdown_pct": 45.04252185982834, "mean_exposure_while_solvent": 0.7822975558726248, "realized_annual_volatility_pct": 47.81346883306144, "trading_costs_quote_units": 59.926608173593266, "borrowing_costs_quote_units": 45.80661951716862, "price_pnl_quote_units": 19872.037283976166, "turnover_quote_units": 99877.68028932199, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29595.223193921174, "return_pct": 195.95223193921174, "cagr_pct": 195.44064387837983, "max_drawdown_pct": 55.70817460888604, "mean_exposure_while_solvent": 0.8282892656392845, "realized_annual_volatility_pct": 60.64689552963184, "trading_costs_quote_units": 58.67290599573785, "borrowing_costs_quote_units": 16.45007154828767, "price_pnl_quote_units": 19670.346171465193, "turnover_quote_units": 97788.17665956318, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 1.710808623642265 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 38841.85214469623, "return_pct": 288.41852144696236, "cagr_pct": 287.5790309488702, "max_drawdown_pct": 60.7327458552924, "mean_exposure_while_solvent": 1.1157788999034297, "realized_annual_volatility_pct": 70.31483703974321, "trading_costs_quote_units": 70.8426346737282, "borrowing_costs_quote_units": 268.7256802907071, "price_pnl_quote_units": 29181.420459660665, "turnover_quote_units": 118071.05778954702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 43270.502626243004, "return_pct": 332.70502626243007, "cagr_pct": 331.69548936796855, "max_drawdown_pct": 57.40872743462454, "mean_exposure_while_solvent": 1.086454911228378, "realized_annual_volatility_pct": 70.98340472366344, "trading_costs_quote_units": 73.24635905805457, "borrowing_costs_quote_units": 221.48221493806065, "price_pnl_quote_units": 33565.231200239105, "turnover_quote_units": 122077.26509675766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -44.28650481546771 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 44619.661342256186, "return_pct": 346.1966134225618, "cagr_pct": 345.13380630030576, "max_drawdown_pct": 70.4517704218162, "mean_exposure_while_solvent": 1.323029396455357, "realized_annual_volatility_pct": 88.64478213455249, "trading_costs_quote_units": 66.56549498950555, "borrowing_costs_quote_units": 522.8713332012852, "price_pnl_quote_units": 35209.09817044696, "turnover_quote_units": 110942.4916491759, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 54606.79000556271, "return_pct": 446.06790005562715, "cagr_pct": 444.5917822690369, "max_drawdown_pct": 57.877297513203764, "mean_exposure_while_solvent": 1.2434547006486698, "realized_annual_volatility_pct": 77.81894100439098, "trading_costs_quote_units": 80.7504664382246, "borrowing_costs_quote_units": 502.2413346380476, "price_pnl_quote_units": 45189.78180663895, "turnover_quote_units": 134584.11073037435, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -99.87128663306532 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 38365.25897209818, "return_pct": 283.6525897209818, "cagr_pct": 282.8309362215829, "max_drawdown_pct": 59.77392862669967, "mean_exposure_while_solvent": 1.138628512040125, "realized_annual_volatility_pct": 69.48794814286846, "trading_costs_quote_units": 123.44860459146632, "borrowing_costs_quote_units": 287.6082664675033, "price_pnl_quote_units": 28776.31584315717, "turnover_quote_units": 205747.67431911078, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 39291.777616670035, "return_pct": 292.9177761667003, "cagr_pct": 292.0613614706162, "max_drawdown_pct": 59.25848426676696, "mean_exposure_while_solvent": 1.1201378523944816, "realized_annual_volatility_pct": 69.69261582335122, "trading_costs_quote_units": 122.91681512934683, "borrowing_costs_quote_units": 255.09021739239452, "price_pnl_quote_units": 29669.784649191788, "turnover_quote_units": 204861.35854891132, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 317, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -9.265186445718541 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36462.349088377574, "return_pct": 264.62349088377573, "cagr_pct": 263.87210637698416, "max_drawdown_pct": 62.15802234761505, "mean_exposure_while_solvent": 1.093949353171127, "realized_annual_volatility_pct": 72.29006818582853, "trading_costs_quote_units": 47.27433673683288, "borrowing_costs_quote_units": 259.10533716351995, "price_pnl_quote_units": 26768.728762277948, "turnover_quote_units": 78790.56122805482, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46047.311943154775, "return_pct": 360.4731194315478, "cagr_pct": 359.3532376738033, "max_drawdown_pct": 56.941601977988434, "mean_exposure_while_solvent": 1.1027320920733577, "realized_annual_volatility_pct": 72.65474225018032, "trading_costs_quote_units": 45.17382197404621, "borrowing_costs_quote_units": 197.30113261406467, "price_pnl_quote_units": 36289.78689774289, "turnover_quote_units": 75289.70329007706, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -95.84962854777206 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32837.15105386464, "return_pct": 228.3715105386464, "cagr_pct": 227.74955368660187, "max_drawdown_pct": 53.75606710765395, "mean_exposure_while_solvent": 0.9144232247120601, "realized_annual_volatility_pct": 59.960963750068906, "trading_costs_quote_units": 26.359499319143776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22863.510553183773, "turnover_quote_units": 43932.49886523961, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35775.40828788393, "return_pct": 257.7540828788393, "cagr_pct": 257.02768172253064, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9409193413490596, "realized_annual_volatility_pct": 64.7492904103334, "trading_costs_quote_units": 23.913635816556063, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 25799.321923700514, "turnover_quote_units": 39856.059694260126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 79, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -29.382572340192922 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36462.349088377574, "return_pct": 264.62349088377573, "cagr_pct": 263.87210637698416, "max_drawdown_pct": 62.15802234761505, "mean_exposure_while_solvent": 1.093949353171127, "realized_annual_volatility_pct": 72.29006818582853, "trading_costs_quote_units": 47.27433673683288, "borrowing_costs_quote_units": 259.10533716351995, "price_pnl_quote_units": 26768.728762277948, "turnover_quote_units": 78790.56122805482, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46047.311943154775, "return_pct": 360.4731194315478, "cagr_pct": 359.3532376738033, "max_drawdown_pct": 56.941601977988434, "mean_exposure_while_solvent": 1.1027320920733577, "realized_annual_volatility_pct": 72.65474225018032, "trading_costs_quote_units": 45.17382197404621, "borrowing_costs_quote_units": 197.30113261406467, "price_pnl_quote_units": 36289.78689774289, "turnover_quote_units": 75289.70329007706, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -95.84962854777206 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36462.349088377574, "return_pct": 264.62349088377573, "cagr_pct": 263.87210637698416, "max_drawdown_pct": 62.15802234761505, "mean_exposure_while_solvent": 1.093949353171127, "realized_annual_volatility_pct": 72.29006818582853, "trading_costs_quote_units": 47.27433673683288, "borrowing_costs_quote_units": 259.10533716351995, "price_pnl_quote_units": 26768.728762277948, "turnover_quote_units": 78790.56122805482, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46047.311943154775, "return_pct": 360.4731194315478, "cagr_pct": 359.3532376738033, "max_drawdown_pct": 56.941601977988434, "mean_exposure_while_solvent": 1.1027320920733577, "realized_annual_volatility_pct": 72.65474225018032, "trading_costs_quote_units": 45.17382197404621, "borrowing_costs_quote_units": 197.30113261406467, "price_pnl_quote_units": 36289.78689774289, "turnover_quote_units": 75289.70329007706, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -95.84962854777206 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29531.36819491404, "return_pct": 195.31368194914043, "cagr_pct": 194.80421303010073, "max_drawdown_pct": 45.285079894881505, "mean_exposure_while_solvent": 0.7494595304168672, "realized_annual_volatility_pct": 50.6461926150144, "trading_costs_quote_units": 17.40783806253737, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19548.77603297658, "turnover_quote_units": 29013.06343756227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29531.36819491404, "return_pct": 195.31368194914043, "cagr_pct": 194.80421303010073, "max_drawdown_pct": 45.285079894881505, "mean_exposure_while_solvent": 0.7494595304168672, "realized_annual_volatility_pct": 50.6461926150144, "trading_costs_quote_units": 17.40783806253737, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19548.77603297658, "turnover_quote_units": 29013.06343756227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 39957.87535061015, "return_pct": 299.5787535061015, "cagr_pct": 298.69713317202195, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.998630762209037, "realized_annual_volatility_pct": 67.99296293664013, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29963.871752768835, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 39957.87535061015, "return_pct": 299.5787535061015, "cagr_pct": 298.69713317202195, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.998630762209037, "realized_annual_volatility_pct": 67.99296293664013, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29963.871752768835, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 51012.55993728992, "return_pct": 410.1255993728993, "cagr_pct": 408.80187551965514, "max_drawdown_pct": 65.09400395422051, "mean_exposure_while_solvent": 1.2475925846047715, "realized_annual_volatility_pct": 85.68863387702268, "trading_costs_quote_units": 32.61635088352375, "borrowing_costs_quote_units": 404.2814587290556, "price_pnl_quote_units": 41449.4577469025, "turnover_quote_units": 54360.58480587289, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 51012.55993728992, "return_pct": 410.1255993728993, "cagr_pct": 408.80187551965514, "max_drawdown_pct": 65.09400395422051, "mean_exposure_while_solvent": 1.2475925846047715, "realized_annual_volatility_pct": 85.68863387702268, "trading_costs_quote_units": 32.61635088352375, "borrowing_costs_quote_units": 404.2814587290556, "price_pnl_quote_units": 41449.4577469025, "turnover_quote_units": 54360.58480587289, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63061.79968738234, "return_pct": 530.6179968738235, "cagr_pct": 528.7689784804516, "max_drawdown_pct": 72.61950426512213, "mean_exposure_while_solvent": 1.4963722244605853, "realized_annual_volatility_pct": 103.81677088717257, "trading_costs_quote_units": 72.35206707173148, "borrowing_costs_quote_units": 843.5772581483715, "price_pnl_quote_units": 53977.729012602445, "turnover_quote_units": 120586.77845288576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63061.79968738234, "return_pct": 530.6179968738235, "cagr_pct": 528.7689784804516, "max_drawdown_pct": 72.61950426512213, "mean_exposure_while_solvent": 1.4963722244605853, "realized_annual_volatility_pct": 103.81677088717257, "trading_costs_quote_units": 72.35206707173148, "borrowing_costs_quote_units": 843.5772581483715, "price_pnl_quote_units": 53977.729012602445, "turnover_quote_units": 120586.77845288576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29654.728447338937, "return_pct": 196.54728447338937, "cagr_pct": 196.03371965380057, "max_drawdown_pct": 45.04252185982834, "mean_exposure_while_solvent": 0.7823032467745734, "realized_annual_volatility_pct": 47.81252397739158, "trading_costs_quote_units": 59.82470796010313, "borrowing_costs_quote_units": 91.4406504236133, "price_pnl_quote_units": 19805.993805722665, "turnover_quote_units": 99707.8466001719, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29558.904645872448, "return_pct": 195.58904645872448, "cagr_pct": 195.07866396237202, "max_drawdown_pct": 55.70817460888604, "mean_exposure_while_solvent": 0.8282908873404123, "realized_annual_volatility_pct": 60.64679824102372, "trading_costs_quote_units": 58.65221165511389, "borrowing_costs_quote_units": 32.883598487726665, "price_pnl_quote_units": 19650.440456015265, "turnover_quote_units": 97753.68609185643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.9582380146648859 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38066.385079671556, "return_pct": 280.66385079671556, "cagr_pct": 279.85333505549204, "max_drawdown_pct": 60.830844729804255, "mean_exposure_while_solvent": 1.115810669575089, "realized_annual_volatility_pct": 70.31687572340259, "trading_costs_quote_units": 70.194179208278, "borrowing_costs_quote_units": 531.7871904512874, "price_pnl_quote_units": 28668.366449331115, "turnover_quote_units": 116990.29868046338, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 42643.83902753358, "return_pct": 326.4383902753358, "cagr_pct": 325.45337058594237, "max_drawdown_pct": 57.440435795557285, "mean_exposure_while_solvent": 1.0864776031092158, "realized_annual_volatility_pct": 70.98432576933934, "trading_costs_quote_units": 72.8125430091429, "borrowing_costs_quote_units": 439.556105052357, "price_pnl_quote_units": 33156.20767559505, "turnover_quote_units": 121354.23834857153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -45.77453947862023 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 43016.630199498584, "return_pct": 330.1663019949858, "cagr_pct": 329.16671493915794, "max_drawdown_pct": 70.5729889394647, "mean_exposure_while_solvent": 1.3230905864490576, "realized_annual_volatility_pct": 88.6523070948255, "trading_costs_quote_units": 65.36824582776593, "borrowing_costs_quote_units": 1024.61701711346, "price_pnl_quote_units": 34106.61546243984, "turnover_quote_units": 108947.07637960996, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53112.67147875618, "return_pct": 431.1267147875618, "cagr_pct": 429.71441793221965, "max_drawdown_pct": 57.92046072017627, "mean_exposure_while_solvent": 1.2435013511486395, "realized_annual_volatility_pct": 77.82110116887657, "trading_costs_quote_units": 79.64054893587092, "borrowing_costs_quote_units": 988.6024729709778, "price_pnl_quote_units": 44180.91450066305, "turnover_quote_units": 132734.24822645154, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -100.960412792576 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37557.38342553084, "return_pct": 275.57383425530844, "cagr_pct": 274.7822008758443, "max_drawdown_pct": 59.86401987952205, "mean_exposure_while_solvent": 1.1386634803290314, "realized_annual_volatility_pct": 69.49003875643228, "trading_costs_quote_units": 122.07154844272486, "borrowing_costs_quote_units": 568.9003972629366, "price_pnl_quote_units": 28248.355371236474, "turnover_quote_units": 203452.580737875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38566.66175760191, "return_pct": 285.6666175760191, "cagr_pct": 284.83743777384484, "max_drawdown_pct": 59.32116274304548, "mean_exposure_while_solvent": 1.1201685493536622, "realized_annual_volatility_pct": 69.69449476243685, "trading_costs_quote_units": 121.81107498347534, "borrowing_costs_quote_units": 505.2812605681245, "price_pnl_quote_units": 29193.754093153515, "turnover_quote_units": 203018.45830579224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 317, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -10.09278332071068 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 35761.77322895487, "return_pct": 257.6177322895487, "cagr_pct": 256.8918249188376, "max_drawdown_pct": 62.23205108335511, "mean_exposure_while_solvent": 1.0939797309903607, "realized_annual_volatility_pct": 72.29269555710364, "trading_costs_quote_units": 46.87566577481559, "borrowing_costs_quote_units": 512.8662706521393, "price_pnl_quote_units": 26321.515165381817, "turnover_quote_units": 78126.10962469272, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45531.57012783268, "return_pct": 355.31570127832686, "cagr_pct": 354.2165201187598, "max_drawdown_pct": 56.9649046469717, "mean_exposure_while_solvent": 1.1027494643736062, "realized_annual_volatility_pct": 72.65519190417805, "trading_costs_quote_units": 44.98105466501951, "borrowing_costs_quote_units": 392.1270166737935, "price_pnl_quote_units": 35968.678199171496, "turnover_quote_units": 74968.4244416992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -97.69796898877814 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32837.15105386464, "return_pct": 228.3715105386464, "cagr_pct": 227.74955368660187, "max_drawdown_pct": 53.75606710765395, "mean_exposure_while_solvent": 0.9144232247120601, "realized_annual_volatility_pct": 59.960963750068906, "trading_costs_quote_units": 26.359499319143776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22863.510553183773, "turnover_quote_units": 43932.49886523961, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 35775.40828788393, "return_pct": 257.7540828788393, "cagr_pct": 257.02768172253064, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9409193413490596, "realized_annual_volatility_pct": 64.7492904103334, "trading_costs_quote_units": 23.913635816556063, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 25799.321923700514, "turnover_quote_units": 39856.059694260126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 79, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -29.382572340192922 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 35761.77322895487, "return_pct": 257.6177322895487, "cagr_pct": 256.8918249188376, "max_drawdown_pct": 62.23205108335511, "mean_exposure_while_solvent": 1.0939797309903607, "realized_annual_volatility_pct": 72.29269555710364, "trading_costs_quote_units": 46.87566577481559, "borrowing_costs_quote_units": 512.8662706521393, "price_pnl_quote_units": 26321.515165381817, "turnover_quote_units": 78126.10962469272, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45531.57012783268, "return_pct": 355.31570127832686, "cagr_pct": 354.2165201187598, "max_drawdown_pct": 56.9649046469717, "mean_exposure_while_solvent": 1.1027494643736062, "realized_annual_volatility_pct": 72.65519190417805, "trading_costs_quote_units": 44.98105466501951, "borrowing_costs_quote_units": 392.1270166737935, "price_pnl_quote_units": 35968.678199171496, "turnover_quote_units": 74968.4244416992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -97.69796898877814 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 35761.77322895487, "return_pct": 257.6177322895487, "cagr_pct": 256.8918249188376, "max_drawdown_pct": 62.23205108335511, "mean_exposure_while_solvent": 1.0939797309903607, "realized_annual_volatility_pct": 72.29269555710364, "trading_costs_quote_units": 46.87566577481559, "borrowing_costs_quote_units": 512.8662706521393, "price_pnl_quote_units": 26321.515165381817, "turnover_quote_units": 78126.10962469272, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 45531.57012783268, "return_pct": 355.31570127832686, "cagr_pct": 354.2165201187598, "max_drawdown_pct": 56.9649046469717, "mean_exposure_while_solvent": 1.1027494643736062, "realized_annual_volatility_pct": 72.65519190417805, "trading_costs_quote_units": 44.98105466501951, "borrowing_costs_quote_units": 392.1270166737935, "price_pnl_quote_units": 35968.678199171496, "turnover_quote_units": 74968.4244416992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -97.69796898877814 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29531.36819491404, "return_pct": 195.31368194914043, "cagr_pct": 194.80421303010073, "max_drawdown_pct": 45.285079894881505, "mean_exposure_while_solvent": 0.7494595304168672, "realized_annual_volatility_pct": 50.6461926150144, "trading_costs_quote_units": 17.40783806253737, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19548.77603297658, "turnover_quote_units": 29013.06343756227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29531.36819491404, "return_pct": 195.31368194914043, "cagr_pct": 194.80421303010073, "max_drawdown_pct": 45.285079894881505, "mean_exposure_while_solvent": 0.7494595304168672, "realized_annual_volatility_pct": 50.6461926150144, "trading_costs_quote_units": 17.40783806253737, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19548.77603297658, "turnover_quote_units": 29013.06343756227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 39957.87535061015, "return_pct": 299.5787535061015, "cagr_pct": 298.69713317202195, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.998630762209037, "realized_annual_volatility_pct": 67.99296293664013, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29963.871752768835, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 39957.87535061015, "return_pct": 299.5787535061015, "cagr_pct": 298.69713317202195, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.998630762209037, "realized_annual_volatility_pct": 67.99296293664013, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29963.871752768835, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 49756.597218711686, "return_pct": 397.56597218711687, "cagr_pct": 396.29456651009167, "max_drawdown_pct": 65.17406118274945, "mean_exposure_while_solvent": 1.2476281676560292, "realized_annual_volatility_pct": 85.69230148378276, "trading_costs_quote_units": 32.18991693481838, "borrowing_costs_quote_units": 796.665262540577, "price_pnl_quote_units": 40585.452398187066, "turnover_quote_units": 53649.86155803061, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 49756.597218711686, "return_pct": 397.56597218711687, "cagr_pct": 396.29456651009167, "max_drawdown_pct": 65.17406118274945, "mean_exposure_while_solvent": 1.2476281676560292, "realized_annual_volatility_pct": 85.69230148378276, "trading_costs_quote_units": 32.18991693481838, "borrowing_costs_quote_units": 796.665262540577, "price_pnl_quote_units": 40585.452398187066, "turnover_quote_units": 53649.86155803061, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59994.96952027924, "return_pct": 499.94969520279244, "cagr_pct": 498.23815334505895, "max_drawdown_pct": 72.74613888103603, "mean_exposure_while_solvent": 1.4964575603801424, "realized_annual_volatility_pct": 103.8258870647602, "trading_costs_quote_units": 70.27732167180639, "borrowing_costs_quote_units": 1636.6686720790651, "price_pnl_quote_units": 51701.91551403015, "turnover_quote_units": 117128.86945301075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59994.96952027924, "return_pct": 499.94969520279244, "cagr_pct": 498.23815334505895, "max_drawdown_pct": 72.74613888103603, "mean_exposure_while_solvent": 1.4964575603801424, "realized_annual_volatility_pct": 103.8258870647602, "trading_costs_quote_units": 70.27732167180639, "borrowing_costs_quote_units": 1636.6686720790651, "price_pnl_quote_units": 51701.91551403015, "turnover_quote_units": 117128.86945301075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28474.385079169242, "return_pct": 184.7438507916924, "cagr_pct": 184.2691373159389, "max_drawdown_pct": 44.687996254942355, "mean_exposure_while_solvent": 0.7828535319873458, "realized_annual_volatility_pct": 47.303978594250275, "trading_costs_quote_units": 288.80597202583544, "borrowing_costs_quote_units": 22.268808089109953, "price_pnl_quote_units": 18785.459859284183, "turnover_quote_units": 96268.65734194506, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29643.523342115146, "return_pct": 196.43523342115148, "cagr_pct": 195.92204097920884, "max_drawdown_pct": 55.88379582520051, "mean_exposure_while_solvent": 0.829171261605128, "realized_annual_volatility_pct": 60.66528060592452, "trading_costs_quote_units": 290.1888088923733, "borrowing_costs_quote_units": 8.310578069319025, "price_pnl_quote_units": 19942.022729076827, "turnover_quote_units": 96729.60296412442, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -11.69138262945907 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36106.68494642941, "return_pct": 261.0668494642941, "cagr_pct": 260.3284260232644, "max_drawdown_pct": 61.25797820278167, "mean_exposure_while_solvent": 1.117246656844886, "realized_annual_volatility_pct": 70.63492071406465, "trading_costs_quote_units": 360.11715303316436, "borrowing_costs_quote_units": 128.55639761983014, "price_pnl_quote_units": 26595.3584970824, "turnover_quote_units": 120039.05101105475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 42732.710771781996, "return_pct": 327.3271077178199, "cagr_pct": 326.3386199156988, "max_drawdown_pct": 57.746203153144606, "mean_exposure_while_solvent": 1.0879616684327802, "realized_annual_volatility_pct": 71.11069779595395, "trading_costs_quote_units": 389.75314232960534, "borrowing_costs_quote_units": 110.82410886607815, "price_pnl_quote_units": 33233.2880229777, "turnover_quote_units": 129917.71410986834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -66.26025825352582 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 40433.47149230877, "return_pct": 304.33471492308763, "cagr_pct": 303.43498956972087, "max_drawdown_pct": 72.22962098068577, "mean_exposure_while_solvent": 1.3251466003596835, "realized_annual_volatility_pct": 91.7084229868851, "trading_costs_quote_units": 319.48132157864876, "borrowing_costs_quote_units": 243.58359595927396, "price_pnl_quote_units": 30996.53640984667, "turnover_quote_units": 106493.7738595496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 54743.76551372495, "return_pct": 447.4376551372496, "cagr_pct": 445.95565372029677, "max_drawdown_pct": 57.967693343813195, "mean_exposure_while_solvent": 1.2451166258178048, "realized_annual_volatility_pct": 77.86702532655652, "trading_costs_quote_units": 421.24466085251004, "borrowing_costs_quote_units": 252.48371119720258, "price_pnl_quote_units": 45417.49388577468, "turnover_quote_units": 140414.88695083672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -143.10294021416195 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36277.01731799332, "return_pct": 262.7701731799332, "cagr_pct": 262.0255494206289, "max_drawdown_pct": 59.57206217379171, "mean_exposure_while_solvent": 1.13947227831585, "realized_annual_volatility_pct": 69.54818974092147, "trading_costs_quote_units": 592.8617510375085, "borrowing_costs_quote_units": 138.84297403021202, "price_pnl_quote_units": 27008.722043061076, "turnover_quote_units": 197620.58367916945, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37287.30024821954, "return_pct": 272.8730024821954, "cagr_pct": 272.0913439311758, "max_drawdown_pct": 58.865693149827955, "mean_exposure_while_solvent": 1.1211503659203215, "realized_annual_volatility_pct": 69.81594952118976, "trading_costs_quote_units": 590.734246751555, "borrowing_costs_quote_units": 123.2294938735263, "price_pnl_quote_units": 28001.263988844632, "turnover_quote_units": 196911.41558385198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 316, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -10.102829302262194 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34476.40065140209, "return_pct": 244.76400651402085, "cagr_pct": 244.08427277285537, "max_drawdown_pct": 62.870949693882054, "mean_exposure_while_solvent": 1.095268517453939, "realized_annual_volatility_pct": 73.01762221863297, "trading_costs_quote_units": 235.1544467012954, "borrowing_costs_quote_units": 124.3047083155611, "price_pnl_quote_units": 24835.85980641894, "turnover_quote_units": 78384.81556709843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46529.22057521147, "return_pct": 365.29220575211474, "cagr_pct": 364.15289844722787, "max_drawdown_pct": 57.00960628181746, "mean_exposure_while_solvent": 1.1039092813699347, "realized_annual_volatility_pct": 72.59852032172644, "trading_costs_quote_units": 230.1465972572982, "borrowing_costs_quote_units": 99.53394286964159, "price_pnl_quote_units": 36858.901115338456, "turnover_quote_units": 76715.53241909946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -120.52819923809389 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31769.611424057584, "return_pct": 217.6961142405758, "cagr_pct": 217.11108853337032, "max_drawdown_pct": 53.75606710765395, "mean_exposure_while_solvent": 0.9151615707961023, "realized_annual_volatility_pct": 59.785902232634655, "trading_costs_quote_units": 127.2891382257102, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 21896.900562283292, "turnover_quote_units": 42429.71274190341, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 124, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36346.58812893511, "return_pct": 263.4658812893511, "cagr_pct": 262.7187214046104, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9417419673972003, "realized_annual_volatility_pct": 64.73992013168227, "trading_costs_quote_units": 120.89865352870213, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 26467.486782463806, "turnover_quote_units": 40299.55117623403, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 78, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -45.76976704877529 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34476.40065140209, "return_pct": 244.76400651402085, "cagr_pct": 244.08427277285537, "max_drawdown_pct": 62.870949693882054, "mean_exposure_while_solvent": 1.095268517453939, "realized_annual_volatility_pct": 73.01762221863297, "trading_costs_quote_units": 235.1544467012954, "borrowing_costs_quote_units": 124.3047083155611, "price_pnl_quote_units": 24835.85980641894, "turnover_quote_units": 78384.81556709843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46529.22057521147, "return_pct": 365.29220575211474, "cagr_pct": 364.15289844722787, "max_drawdown_pct": 57.00960628181746, "mean_exposure_while_solvent": 1.1039092813699347, "realized_annual_volatility_pct": 72.59852032172644, "trading_costs_quote_units": 230.1465972572982, "borrowing_costs_quote_units": 99.53394286964159, "price_pnl_quote_units": 36858.901115338456, "turnover_quote_units": 76715.53241909946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -120.52819923809389 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34476.40065140209, "return_pct": 244.76400651402085, "cagr_pct": 244.08427277285537, "max_drawdown_pct": 62.870949693882054, "mean_exposure_while_solvent": 1.095268517453939, "realized_annual_volatility_pct": 73.01762221863297, "trading_costs_quote_units": 235.1544467012954, "borrowing_costs_quote_units": 124.3047083155611, "price_pnl_quote_units": 24835.85980641894, "turnover_quote_units": 78384.81556709843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46529.22057521147, "return_pct": 365.29220575211474, "cagr_pct": 364.15289844722787, "max_drawdown_pct": 57.00960628181746, "mean_exposure_while_solvent": 1.1039092813699347, "realized_annual_volatility_pct": 72.59852032172644, "trading_costs_quote_units": 230.1465972572982, "borrowing_costs_quote_units": 99.53394286964159, "price_pnl_quote_units": 36858.901115338456, "turnover_quote_units": 76715.53241909946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -120.52819923809389 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29642.0357426598, "return_pct": 196.420357426598, "cagr_pct": 195.9072144167728, "max_drawdown_pct": 44.8953426534547, "mean_exposure_while_solvent": 0.7498542188570325, "realized_annual_volatility_pct": 50.194482730332766, "trading_costs_quote_units": 90.49511009231396, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19732.530852752116, "turnover_quote_units": 30165.036697437947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29642.0357426598, "return_pct": 196.420357426598, "cagr_pct": 195.9072144167728, "max_drawdown_pct": 44.8953426534547, "mean_exposure_while_solvent": 0.7498542188570325, "realized_annual_volatility_pct": 50.194482730332766, "trading_costs_quote_units": 90.49511009231396, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19732.530852752116, "turnover_quote_units": 30165.036697437947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39996.94672976727, "return_pct": 299.9694672976727, "cagr_pct": 299.08636296788654, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9995435874030123, "realized_annual_volatility_pct": 67.99567335045327, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30026.856998959713, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 39996.94672976727, "return_pct": 299.9694672976727, "cagr_pct": 299.08636296788654, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9995435874030123, "realized_annual_volatility_pct": 67.99567335045327, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30026.856998959713, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 50618.17209765139, "return_pct": 406.18172097651393, "cagr_pct": 404.87447914072766, "max_drawdown_pct": 65.6358577412694, "mean_exposure_while_solvent": 1.249227552603692, "realized_annual_volatility_pct": 86.75910419248926, "trading_costs_quote_units": 168.59485192214655, "borrowing_costs_quote_units": 200.9525872500189, "price_pnl_quote_units": 40987.7195368236, "turnover_quote_units": 56198.28397404888, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 50618.17209765139, "return_pct": 406.18172097651393, "cagr_pct": 404.87447914072766, "max_drawdown_pct": 65.6358577412694, "mean_exposure_while_solvent": 1.249227552603692, "realized_annual_volatility_pct": 86.75910419248926, "trading_costs_quote_units": 168.59485192214655, "borrowing_costs_quote_units": 200.9525872500189, "price_pnl_quote_units": 40987.7195368236, "turnover_quote_units": 56198.28397404888, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61165.46079985644, "return_pct": 511.65460799856436, "cagr_pct": 509.8908835489949, "max_drawdown_pct": 73.78029440225802, "mean_exposure_while_solvent": 1.4989835494112644, "realized_annual_volatility_pct": 107.03149212216063, "trading_costs_quote_units": 369.6554017512413, "borrowing_costs_quote_units": 410.8942051157401, "price_pnl_quote_units": 51946.01040672344, "turnover_quote_units": 123218.46725041371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61165.46079985644, "return_pct": 511.65460799856436, "cagr_pct": 509.8908835489949, "max_drawdown_pct": 73.78029440225802, "mean_exposure_while_solvent": 1.4989835494112644, "realized_annual_volatility_pct": 107.03149212216063, "trading_costs_quote_units": 369.6554017512413, "borrowing_costs_quote_units": 410.8942051157401, "price_pnl_quote_units": 51946.01040672344, "turnover_quote_units": 123218.46725041371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28420.99561446906, "return_pct": 184.2099561446906, "cagr_pct": 183.73698185395395, "max_drawdown_pct": 44.687996254942355, "mean_exposure_while_solvent": 0.7828563863792379, "realized_annual_volatility_pct": 47.303536333288434, "trading_costs_quote_units": 288.5601856781763, "borrowing_costs_quote_units": 44.49581632795504, "price_pnl_quote_units": 18754.051616475208, "turnover_quote_units": 96186.72855939218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29625.312143232033, "return_pct": 196.25312143232034, "cagr_pct": 195.74053405691294, "max_drawdown_pct": 55.88379582520051, "mean_exposure_while_solvent": 0.82917207600724, "realized_annual_volatility_pct": 60.665223979424574, "trading_costs_quote_units": 290.13949685889446, "borrowing_costs_quote_units": 16.61698437091318, "price_pnl_quote_units": 19932.068624461863, "turnover_quote_units": 96713.1656196315, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -12.043165287629733 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 35744.00693582774, "return_pct": 257.4400693582774, "cagr_pct": 256.71480525943934, "max_drawdown_pct": 61.30667900553024, "mean_exposure_while_solvent": 1.117262585911122, "realized_annual_volatility_pct": 70.63613582774866, "trading_costs_quote_units": 358.4709446380318, "borrowing_costs_quote_units": 255.77067057681523, "price_pnl_quote_units": 26358.248551042594, "turnover_quote_units": 119490.31487934386, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 42421.59963754076, "return_pct": 324.21599637540766, "cagr_pct": 323.23963642075546, "max_drawdown_pct": 57.761930256668315, "mean_exposure_while_solvent": 1.0879730542602613, "realized_annual_volatility_pct": 71.11128383991509, "trading_costs_quote_units": 388.56380127397676, "borrowing_costs_quote_units": 220.79460693192374, "price_pnl_quote_units": 33030.95804574668, "turnover_quote_units": 129521.2670913256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -66.77592701713024 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 39699.964514330895, "return_pct": 296.99964514330895, "cagr_pct": 296.12780543741553, "max_drawdown_pct": 72.2872924359767, "mean_exposure_while_solvent": 1.3251775016744287, "realized_annual_volatility_pct": 91.71340881708232, "trading_costs_quote_units": 316.6507474974534, "borrowing_costs_quote_units": 482.3102317363872, "price_pnl_quote_units": 30498.92549356477, "turnover_quote_units": 105550.24916581773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 53990.45249066797, "return_pct": 439.90452490667974, "cagr_pct": 438.4548135157574, "max_drawdown_pct": 57.98825520063906, "mean_exposure_while_solvent": 1.2451401596019522, "realized_annual_volatility_pct": 77.86820893631071, "trading_costs_quote_units": 418.26708514948064, "borrowing_costs_quote_units": 500.9614802191193, "price_pnl_quote_units": 44909.68105603657, "turnover_quote_units": 139422.3617164935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -142.9048797633708 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 35893.528757816704, "return_pct": 258.93528757816705, "cagr_pct": 258.2046053065315, "max_drawdown_pct": 59.61609692870194, "mean_exposure_while_solvent": 1.1394898735316643, "realized_annual_volatility_pct": 69.54921815074862, "trading_costs_quote_units": 589.6035636158723, "borrowing_costs_quote_units": 276.17311770682113, "price_pnl_quote_units": 26759.305439139418, "turnover_quote_units": 196534.52120529072, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36942.15774496861, "return_pct": 269.4215774496861, "cagr_pct": 268.65262058495307, "max_drawdown_pct": 58.89602722195817, "mean_exposure_while_solvent": 1.1211658192942413, "realized_annual_volatility_pct": 69.81686056239741, "trading_costs_quote_units": 588.1059042946764, "borrowing_costs_quote_units": 245.2852676265434, "price_pnl_quote_units": 27775.548916889864, "turnover_quote_units": 196035.3014315588, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 316, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -10.486289871519034 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34143.66291070028, "return_pct": 241.43662910700277, "cagr_pct": 240.7687251530279, "max_drawdown_pct": 62.90734621223748, "mean_exposure_while_solvent": 1.0952836486392932, "realized_annual_volatility_pct": 73.01922183992302, "trading_costs_quote_units": 234.15048898421188, "borrowing_costs_quote_units": 247.3373494561796, "price_pnl_quote_units": 24625.15074914068, "turnover_quote_units": 78050.16299473734, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46268.17402426226, "return_pct": 362.68174024262265, "cagr_pct": 361.5529655133456, "max_drawdown_pct": 57.02066431536599, "mean_exposure_while_solvent": 1.1039178798300104, "realized_annual_volatility_pct": 72.59879466138148, "trading_costs_quote_units": 229.62025946807987, "borrowing_costs_quote_units": 198.4434226762493, "price_pnl_quote_units": 36696.23770640657, "turnover_quote_units": 76540.08648935998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -121.24511113561988 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31769.611424057584, "return_pct": 217.6961142405758, "cagr_pct": 217.11108853337032, "max_drawdown_pct": 53.75606710765395, "mean_exposure_while_solvent": 0.9151615707961023, "realized_annual_volatility_pct": 59.785902232634655, "trading_costs_quote_units": 127.2891382257102, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 21896.900562283292, "turnover_quote_units": 42429.71274190341, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 124, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36346.58812893511, "return_pct": 263.4658812893511, "cagr_pct": 262.7187214046104, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9417419673972003, "realized_annual_volatility_pct": 64.73992013168227, "trading_costs_quote_units": 120.89865352870213, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 26467.486782463806, "turnover_quote_units": 40299.55117623403, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 78, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -45.76976704877529 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34143.66291070028, "return_pct": 241.43662910700277, "cagr_pct": 240.7687251530279, "max_drawdown_pct": 62.90734621223748, "mean_exposure_while_solvent": 1.0952836486392932, "realized_annual_volatility_pct": 73.01922183992302, "trading_costs_quote_units": 234.15048898421188, "borrowing_costs_quote_units": 247.3373494561796, "price_pnl_quote_units": 24625.15074914068, "turnover_quote_units": 78050.16299473734, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46268.17402426226, "return_pct": 362.68174024262265, "cagr_pct": 361.5529655133456, "max_drawdown_pct": 57.02066431536599, "mean_exposure_while_solvent": 1.1039178798300104, "realized_annual_volatility_pct": 72.59879466138148, "trading_costs_quote_units": 229.62025946807987, "borrowing_costs_quote_units": 198.4434226762493, "price_pnl_quote_units": 36696.23770640657, "turnover_quote_units": 76540.08648935998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -121.24511113561988 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34143.66291070028, "return_pct": 241.43662910700277, "cagr_pct": 240.7687251530279, "max_drawdown_pct": 62.90734621223748, "mean_exposure_while_solvent": 1.0952836486392932, "realized_annual_volatility_pct": 73.01922183992302, "trading_costs_quote_units": 234.15048898421188, "borrowing_costs_quote_units": 247.3373494561796, "price_pnl_quote_units": 24625.15074914068, "turnover_quote_units": 78050.16299473734, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46268.17402426226, "return_pct": 362.68174024262265, "cagr_pct": 361.5529655133456, "max_drawdown_pct": 57.02066431536599, "mean_exposure_while_solvent": 1.1039178798300104, "realized_annual_volatility_pct": 72.59879466138148, "trading_costs_quote_units": 229.62025946807987, "borrowing_costs_quote_units": 198.4434226762493, "price_pnl_quote_units": 36696.23770640657, "turnover_quote_units": 76540.08648935998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -121.24511113561988 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29642.0357426598, "return_pct": 196.420357426598, "cagr_pct": 195.9072144167728, "max_drawdown_pct": 44.8953426534547, "mean_exposure_while_solvent": 0.7498542188570325, "realized_annual_volatility_pct": 50.194482730332766, "trading_costs_quote_units": 90.49511009231396, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19732.530852752116, "turnover_quote_units": 30165.036697437947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29642.0357426598, "return_pct": 196.420357426598, "cagr_pct": 195.9072144167728, "max_drawdown_pct": 44.8953426534547, "mean_exposure_while_solvent": 0.7498542188570325, "realized_annual_volatility_pct": 50.194482730332766, "trading_costs_quote_units": 90.49511009231396, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19732.530852752116, "turnover_quote_units": 30165.036697437947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 39996.94672976727, "return_pct": 299.9694672976727, "cagr_pct": 299.08636296788654, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9995435874030123, "realized_annual_volatility_pct": 67.99567335045327, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30026.856998959713, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 39996.94672976727, "return_pct": 299.9694672976727, "cagr_pct": 299.08636296788654, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9995435874030123, "realized_annual_volatility_pct": 67.99567335045327, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30026.856998959713, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 49990.956124583, "return_pct": 399.90956124583, "cagr_pct": 398.6284309799896, "max_drawdown_pct": 65.67525600149212, "mean_exposure_while_solvent": 1.2492455458828327, "realized_annual_volatility_pct": 86.7612004614356, "trading_costs_quote_units": 167.44965834147644, "borrowing_costs_quote_units": 398.93713379809765, "price_pnl_quote_units": 40557.342916722584, "turnover_quote_units": 55816.55278049212, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 49990.956124583, "return_pct": 399.90956124583, "cagr_pct": 398.6284309799896, "max_drawdown_pct": 65.67525600149212, "mean_exposure_while_solvent": 1.2492455458828327, "realized_annual_volatility_pct": 86.7612004614356, "trading_costs_quote_units": 167.44965834147644, "borrowing_costs_quote_units": 398.93713379809765, "price_pnl_quote_units": 40557.342916722584, "turnover_quote_units": 55816.55278049212, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 59658.90699365547, "return_pct": 496.5890699365548, "cagr_pct": 494.892443671939, "max_drawdown_pct": 73.84108128825817, "mean_exposure_while_solvent": 1.499026766561653, "realized_annual_volatility_pct": 107.03716094971278, "trading_costs_quote_units": 364.2923810647585, "borrowing_costs_quote_units": 809.4270971607493, "price_pnl_quote_units": 50832.62647188106, "turnover_quote_units": 121430.79368825293, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 59658.90699365547, "return_pct": 496.5890699365548, "cagr_pct": 494.892443671939, "max_drawdown_pct": 73.84108128825817, "mean_exposure_while_solvent": 1.499026766561653, "realized_annual_volatility_pct": 107.03716094971278, "trading_costs_quote_units": 364.2923810647585, "borrowing_costs_quote_units": 809.4270971607493, "price_pnl_quote_units": 50832.62647188106, "turnover_quote_units": 121430.79368825293, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28314.491618559892, "return_pct": 183.1449161855989, "cagr_pct": 182.6754065443315, "max_drawdown_pct": 44.687996254942355, "mean_exposure_while_solvent": 0.7828620961703571, "realized_annual_volatility_pct": 47.30265918512778, "trading_costs_quote_units": 288.0696271665166, "borrowing_costs_quote_units": 88.82470737876153, "price_pnl_quote_units": 18691.38595310517, "turnover_quote_units": 96023.20905550542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29588.91590057426, "return_pct": 195.88915900574258, "cagr_pct": 195.37778036119943, "max_drawdown_pct": 55.88379582520051, "mean_exposure_while_solvent": 0.829173705025039, "realized_annual_volatility_pct": 60.665111691350674, "trading_costs_quote_units": 290.04093300329896, "borrowing_costs_quote_units": 33.217287033951955, "price_pnl_quote_units": 19912.17412061155, "turnover_quote_units": 96680.31100109952, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -12.744242820143683 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35029.32609008493, "return_pct": 250.2932609008493, "cagr_pct": 249.5937564602426, "max_drawdown_pct": 61.40392007137163, "mean_exposure_while_solvent": 1.117294450102318, "realized_annual_volatility_pct": 70.63858346293283, "trading_costs_quote_units": 355.2279841117618, "borrowing_costs_quote_units": 506.22730834852337, "price_pnl_quote_units": 25890.7813825452, "turnover_quote_units": 118409.32803725393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 41805.97331052904, "return_pct": 318.0597331052905, "cagr_pct": 317.10726465513517, "max_drawdown_pct": 57.7933746386184, "mean_exposure_while_solvent": 1.0879958301597719, "realized_annual_volatility_pct": 71.11247137053269, "trading_costs_quote_units": 386.2138126268069, "borrowing_costs_quote_units": 438.1995393278356, "price_pnl_quote_units": 32630.386662483717, "turnover_quote_units": 128737.93754226883, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -67.76647220444119 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 38272.20698580364, "return_pct": 282.72206985803643, "cagr_pct": 281.9038879889236, "max_drawdown_pct": 72.40230816754585, "mean_exposure_while_solvent": 1.3252393175815984, "realized_annual_volatility_pct": 91.7233974607417, "trading_costs_quote_units": 311.1159617914841, "borrowing_costs_quote_units": 945.571997902305, "price_pnl_quote_units": 29528.894945497414, "turnover_quote_units": 103705.32059716152, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52514.34758550714, "return_pct": 425.14347585507136, "cagr_pct": 423.7565501721905, "max_drawdown_pct": 58.02935987288972, "mean_exposure_while_solvent": 1.2451872373483504, "realized_annual_volatility_pct": 77.8706004698106, "trading_costs_quote_units": 412.4136725113284, "borrowing_costs_quote_units": 986.1350789972213, "price_pnl_quote_units": 43912.89633701563, "turnover_quote_units": 137471.22417044285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 268, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -142.42140599703492 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35138.43627960183, "return_pct": 251.3843627960183, "cagr_pct": 250.68094050126857, "max_drawdown_pct": 59.70404377678662, "mean_exposure_while_solvent": 1.1395250713500247, "realized_annual_volatility_pct": 69.55129783692762, "trading_costs_quote_units": 583.1783747875588, "borrowing_costs_quote_units": 546.3592823092345, "price_pnl_quote_units": 26267.973936698636, "turnover_quote_units": 194392.79159585305, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36261.22447601022, "return_pct": 262.61224476010216, "cagr_pct": 261.8681964159815, "max_drawdown_pct": 58.95664379378538, "mean_exposure_while_solvent": 1.1211967325808645, "realized_annual_volatility_pct": 69.81870559574602, "trading_costs_quote_units": 582.9097877826548, "borrowing_costs_quote_units": 485.9191359947647, "price_pnl_quote_units": 27330.053399787652, "turnover_quote_units": 194303.26259421802, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 316, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -11.22788196408385 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33487.626048435144, "return_pct": 234.87626048435146, "cagr_pct": 234.23152912043184, "max_drawdown_pct": 62.980048194597835, "mean_exposure_while_solvent": 1.095313916636363, "realized_annual_volatility_pct": 73.02243712245874, "trading_costs_quote_units": 232.1643038631992, "borrowing_costs_quote_units": 489.637146859783, "price_pnl_quote_units": 24209.427499158122, "turnover_quote_units": 77388.10128773308, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45750.33654603537, "return_pct": 357.50336546035373, "cagr_pct": 356.39541482885005, "max_drawdown_pct": 57.04277674008116, "mean_exposure_while_solvent": 1.1039350798169942, "realized_annual_volatility_pct": 72.59935527357891, "trading_costs_quote_units": 228.57493685647538, "borrowing_costs_quote_units": 394.40339873176885, "price_pnl_quote_units": 36373.31488162362, "turnover_quote_units": 76191.6456188251, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -122.62710497600227 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31769.611424057584, "return_pct": 217.6961142405758, "cagr_pct": 217.11108853337032, "max_drawdown_pct": 53.75606710765395, "mean_exposure_while_solvent": 0.9151615707961023, "realized_annual_volatility_pct": 59.785902232634655, "trading_costs_quote_units": 127.2891382257102, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 21896.900562283292, "turnover_quote_units": 42429.71274190341, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 124, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36346.58812893511, "return_pct": 263.4658812893511, "cagr_pct": 262.7187214046104, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9417419673972003, "realized_annual_volatility_pct": 64.73992013168227, "trading_costs_quote_units": 120.89865352870213, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 26467.486782463806, "turnover_quote_units": 40299.55117623403, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 78, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -45.76976704877529 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33487.626048435144, "return_pct": 234.87626048435146, "cagr_pct": 234.23152912043184, "max_drawdown_pct": 62.980048194597835, "mean_exposure_while_solvent": 1.095313916636363, "realized_annual_volatility_pct": 73.02243712245874, "trading_costs_quote_units": 232.1643038631992, "borrowing_costs_quote_units": 489.637146859783, "price_pnl_quote_units": 24209.427499158122, "turnover_quote_units": 77388.10128773308, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45750.33654603537, "return_pct": 357.50336546035373, "cagr_pct": 356.39541482885005, "max_drawdown_pct": 57.04277674008116, "mean_exposure_while_solvent": 1.1039350798169942, "realized_annual_volatility_pct": 72.59935527357891, "trading_costs_quote_units": 228.57493685647538, "borrowing_costs_quote_units": 394.40339873176885, "price_pnl_quote_units": 36373.31488162362, "turnover_quote_units": 76191.6456188251, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -122.62710497600227 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33487.626048435144, "return_pct": 234.87626048435146, "cagr_pct": 234.23152912043184, "max_drawdown_pct": 62.980048194597835, "mean_exposure_while_solvent": 1.095313916636363, "realized_annual_volatility_pct": 73.02243712245874, "trading_costs_quote_units": 232.1643038631992, "borrowing_costs_quote_units": 489.637146859783, "price_pnl_quote_units": 24209.427499158122, "turnover_quote_units": 77388.10128773308, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 45750.33654603537, "return_pct": 357.50336546035373, "cagr_pct": 356.39541482885005, "max_drawdown_pct": 57.04277674008116, "mean_exposure_while_solvent": 1.1039350798169942, "realized_annual_volatility_pct": 72.59935527357891, "trading_costs_quote_units": 228.57493685647538, "borrowing_costs_quote_units": 394.40339873176885, "price_pnl_quote_units": 36373.31488162362, "turnover_quote_units": 76191.6456188251, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -122.62710497600227 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29642.0357426598, "return_pct": 196.420357426598, "cagr_pct": 195.9072144167728, "max_drawdown_pct": 44.8953426534547, "mean_exposure_while_solvent": 0.7498542188570325, "realized_annual_volatility_pct": 50.194482730332766, "trading_costs_quote_units": 90.49511009231396, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19732.530852752116, "turnover_quote_units": 30165.036697437947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29642.0357426598, "return_pct": 196.420357426598, "cagr_pct": 195.9072144167728, "max_drawdown_pct": 44.8953426534547, "mean_exposure_while_solvent": 0.7498542188570325, "realized_annual_volatility_pct": 50.194482730332766, "trading_costs_quote_units": 90.49511009231396, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19732.530852752116, "turnover_quote_units": 30165.036697437947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 39996.94672976727, "return_pct": 299.9694672976727, "cagr_pct": 299.08636296788654, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9995435874030123, "realized_annual_volatility_pct": 67.99567335045327, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30026.856998959713, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 39996.94672976727, "return_pct": 299.9694672976727, "cagr_pct": 299.08636296788654, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9995435874030123, "realized_annual_volatility_pct": 67.99567335045327, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 30026.856998959713, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 48759.446448114366, "return_pct": 387.5944644811437, "cagr_pct": 386.36423804049844, "max_drawdown_pct": 65.75393450059474, "mean_exposure_while_solvent": 1.2492815381434568, "realized_annual_volatility_pct": 86.7653939534597, "trading_costs_quote_units": 165.2029370352975, "borrowing_costs_quote_units": 786.1643181636738, "price_pnl_quote_units": 39710.81370331336, "turnover_quote_units": 55067.64567843249, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 48759.446448114366, "return_pct": 387.5944644811437, "cagr_pct": 386.36423804049844, "max_drawdown_pct": 65.75393450059474, "mean_exposure_while_solvent": 1.2492815381434568, "realized_annual_volatility_pct": 86.7653939534597, "trading_costs_quote_units": 165.2029370352975, "borrowing_costs_quote_units": 786.1643181636738, "price_pnl_quote_units": 39710.81370331336, "turnover_quote_units": 55067.64567843249, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56755.357931231076, "return_pct": 467.5535793123108, "cagr_pct": 465.9845524794965, "max_drawdown_pct": 73.9622662038433, "mean_exposure_while_solvent": 1.499113220162566, "realized_annual_volatility_pct": 107.04850283727384, "trading_costs_quote_units": 353.91193145448455, "borrowing_costs_quote_units": 1570.7840422357006, "price_pnl_quote_units": 48680.05390492129, "turnover_quote_units": 117970.64381816139, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56755.357931231076, "return_pct": 467.5535793123108, "cagr_pct": 465.9845524794965, "max_drawdown_pct": 73.9622662038433, "mean_exposure_while_solvent": 1.499113220162566, "realized_annual_volatility_pct": 107.04850283727384, "trading_costs_quote_units": 353.91193145448455, "borrowing_costs_quote_units": 1570.7840422357006, "price_pnl_quote_units": 48680.05390492129, "turnover_quote_units": 117970.64381816139, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 364, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29258.872733647404, "return_pct": 192.58872733647405, "cagr_pct": 192.08827694384522, "max_drawdown_pct": 45.09312766676356, "mean_exposure_while_solvent": 0.7822947109241783, "realized_annual_volatility_pct": 47.81809234100368, "trading_costs_quote_units": 296.6869374399116, "borrowing_costs_quote_units": 22.628816766078558, "price_pnl_quote_units": 19578.188487853422, "turnover_quote_units": 98895.64581330388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29052.232981588164, "return_pct": 190.52232981588162, "cagr_pct": 190.02869151556604, "max_drawdown_pct": 55.72592618028076, "mean_exposure_while_solvent": 0.8282884548951405, "realized_annual_volatility_pct": 60.649922222330964, "trading_costs_quote_units": 290.2072890759786, "borrowing_costs_quote_units": 8.105915459764802, "price_pnl_quote_units": 19350.546186123913, "turnover_quote_units": 96735.76302532623, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 2.0663975205924316 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 38355.38888567302, "return_pct": 283.5538888567302, "cagr_pct": 282.73260376560745, "max_drawdown_pct": 60.75475676343287, "mean_exposure_while_solvent": 1.1157630181106457, "realized_annual_volatility_pct": 70.31779027334046, "trading_costs_quote_units": 351.2726866078378, "borrowing_costs_quote_units": 133.0960517908444, "price_pnl_quote_units": 28839.75762407169, "turnover_quote_units": 117090.89553594605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 42667.88460105508, "return_pct": 326.6788460105507, "cagr_pct": 325.6928882616617, "max_drawdown_pct": 57.44513324119609, "mean_exposure_while_solvent": 1.086443567424681, "realized_annual_volatility_pct": 70.98715462365391, "trading_costs_quote_units": 362.83276713645773, "borrowing_costs_quote_units": 109.53401109788507, "price_pnl_quote_units": 33140.251379289424, "turnover_quote_units": 120944.2557121527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -43.1249571538205 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44464.08725087165, "return_pct": 344.64087250871654, "cagr_pct": 343.58424150449764, "max_drawdown_pct": 70.44342148690541, "mean_exposure_while_solvent": 1.3229988079587978, "realized_annual_volatility_pct": 88.66269832733771, "trading_costs_quote_units": 331.457043017909, "borrowing_costs_quote_units": 260.2848694547197, "price_pnl_quote_units": 35055.82916334431, "turnover_quote_units": 110485.68100596957, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 54255.89981362294, "return_pct": 442.55899813622943, "cagr_pct": 441.0979275279953, "max_drawdown_pct": 57.91586197400109, "mean_exposure_while_solvent": 1.2434313803986101, "realized_annual_volatility_pct": 77.82171154329895, "trading_costs_quote_units": 401.52790384459007, "borrowing_costs_quote_units": 249.5331725153717, "price_pnl_quote_units": 44906.96088998293, "turnover_quote_units": 133842.63461486332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -97.9181256275129 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37421.186889587654, "return_pct": 274.21186889587653, "cagr_pct": 273.4252694562112, "max_drawdown_pct": 59.86694503911289, "mean_exposure_while_solvent": 1.1386110315261, "realized_annual_volatility_pct": 69.48663583982355, "trading_costs_quote_units": 608.0383808026374, "borrowing_costs_quote_units": 141.58637201673213, "price_pnl_quote_units": 28170.81164240702, "turnover_quote_units": 202679.46026754598, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 38231.71243482513, "return_pct": 282.3171243482513, "cagr_pct": 281.5004521483725, "max_drawdown_pct": 59.375133514502465, "mean_exposure_while_solvent": 1.1201225071232757, "realized_annual_volatility_pct": 69.69175142128682, "trading_costs_quote_units": 604.5823662447989, "borrowing_costs_quote_units": 125.30395501644395, "price_pnl_quote_units": 28961.59875608636, "turnover_quote_units": 201527.455414933, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 317, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -8.105255452374763 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36223.646062367094, "return_pct": 262.23646062367095, "cagr_pct": 261.493781016707, "max_drawdown_pct": 62.16697041227177, "mean_exposure_while_solvent": 1.0939341671265594, "realized_annual_volatility_pct": 72.29502454939912, "trading_costs_quote_units": 235.19356436408017, "borrowing_costs_quote_units": 128.7706172322077, "price_pnl_quote_units": 26587.6102439634, "turnover_quote_units": 78397.85478802682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45727.530748405785, "return_pct": 357.27530748405786, "cagr_pct": 356.1682718229344, "max_drawdown_pct": 56.96713409854656, "mean_exposure_while_solvent": 1.1027234075179244, "realized_annual_volatility_pct": 72.65917322225506, "trading_costs_quote_units": 224.65912258436538, "borrowing_costs_quote_units": 98.0230901867035, "price_pnl_quote_units": 36050.21296117683, "turnover_quote_units": 74886.37419478844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -95.03884686038691 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32530.84066293217, "return_pct": 225.3084066293217, "cagr_pct": 224.69710369123317, "max_drawdown_pct": 53.75606710765394, "mean_exposure_while_solvent": 0.9144232247120601, "realized_annual_volatility_pct": 59.96067958703484, "trading_costs_quote_units": 131.06537688564333, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22661.9060398178, "turnover_quote_units": 43688.45896188111, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35479.59213538451, "return_pct": 254.7959213538451, "cagr_pct": 254.08021441583654, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9409193413490596, "realized_annual_volatility_pct": 64.75266220443554, "trading_costs_quote_units": 118.96197492498584, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 25598.554110309517, "turnover_quote_units": 39653.99164166192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 79, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -29.487514724523407 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36223.646062367094, "return_pct": 262.23646062367095, "cagr_pct": 261.493781016707, "max_drawdown_pct": 62.16697041227177, "mean_exposure_while_solvent": 1.0939341671265594, "realized_annual_volatility_pct": 72.29502454939912, "trading_costs_quote_units": 235.19356436408017, "borrowing_costs_quote_units": 128.7706172322077, "price_pnl_quote_units": 26587.6102439634, "turnover_quote_units": 78397.85478802682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45727.530748405785, "return_pct": 357.27530748405786, "cagr_pct": 356.1682718229344, "max_drawdown_pct": 56.96713409854656, "mean_exposure_while_solvent": 1.1027234075179244, "realized_annual_volatility_pct": 72.65917322225506, "trading_costs_quote_units": 224.65912258436538, "borrowing_costs_quote_units": 98.0230901867035, "price_pnl_quote_units": 36050.21296117683, "turnover_quote_units": 74886.37419478844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -95.03884686038691 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36223.646062367094, "return_pct": 262.23646062367095, "cagr_pct": 261.493781016707, "max_drawdown_pct": 62.16697041227177, "mean_exposure_while_solvent": 1.0939341671265594, "realized_annual_volatility_pct": 72.29502454939912, "trading_costs_quote_units": 235.19356436408017, "borrowing_costs_quote_units": 128.7706172322077, "price_pnl_quote_units": 26587.6102439634, "turnover_quote_units": 78397.85478802682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 45727.530748405785, "return_pct": 357.27530748405786, "cagr_pct": 356.1682718229344, "max_drawdown_pct": 56.96713409854656, "mean_exposure_while_solvent": 1.1027234075179244, "realized_annual_volatility_pct": 72.65917322225506, "trading_costs_quote_units": 224.65912258436538, "borrowing_costs_quote_units": 98.0230901867035, "price_pnl_quote_units": 36050.21296117683, "turnover_quote_units": 74886.37419478844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -95.03884686038691 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29368.587957042022, "return_pct": 193.6858795704202, "cagr_pct": 193.18180286542437, "max_drawdown_pct": 45.314687111495424, "mean_exposure_while_solvent": 0.7494595304168672, "realized_annual_volatility_pct": 50.649788374028226, "trading_costs_quote_units": 86.77020846627981, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19455.358165508304, "turnover_quote_units": 28923.402822093274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29368.587957042022, "return_pct": 193.6858795704202, "cagr_pct": 193.18180286542437, "max_drawdown_pct": 45.314687111495424, "mean_exposure_while_solvent": 0.7494595304168672, "realized_annual_volatility_pct": 50.649788374028226, "trading_costs_quote_units": 86.77020846627981, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19455.358165508304, "turnover_quote_units": 28923.402822093274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39862.263285962625, "return_pct": 298.62263285962626, "cagr_pct": 297.74464146932195, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.998630762209037, "realized_annual_volatility_pct": 67.9938180528261, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29892.173555155037, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39862.263285962625, "return_pct": 298.62263285962626, "cagr_pct": 297.74464146932195, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.998630762209037, "realized_annual_volatility_pct": 67.9938180528261, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29892.173555155037, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 51178.669505328646, "return_pct": 411.7866950532864, "cagr_pct": 410.4560147377759, "max_drawdown_pct": 65.08769062361182, "mean_exposure_while_solvent": 1.2475747958472454, "realized_annual_volatility_pct": 85.69477232779543, "trading_costs_quote_units": 163.09954116576623, "borrowing_costs_quote_units": 202.26312466096783, "price_pnl_quote_units": 41544.03217115538, "turnover_quote_units": 54366.51372192209, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 51178.669505328646, "return_pct": 411.7866950532864, "cagr_pct": 410.4560147377759, "max_drawdown_pct": 65.08769062361182, "mean_exposure_while_solvent": 1.2475747958472454, "realized_annual_volatility_pct": 85.69477232779543, "trading_costs_quote_units": 163.09954116576623, "borrowing_costs_quote_units": 202.26312466096783, "price_pnl_quote_units": 41544.03217115538, "turnover_quote_units": 54366.51372192209, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 63464.89981867063, "return_pct": 534.6489981867063, "cagr_pct": 532.7817314755135, "max_drawdown_pct": 72.62196603455328, "mean_exposure_while_solvent": 1.4963295658405533, "realized_annual_volatility_pct": 103.83293559905422, "trading_costs_quote_units": 362.4507550294899, "borrowing_costs_quote_units": 422.74474488775456, "price_pnl_quote_units": 54250.09531858785, "turnover_quote_units": 120816.9183431633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 63464.89981867063, "return_pct": 534.6489981867063, "cagr_pct": 532.7817314755135, "max_drawdown_pct": 72.62196603455328, "mean_exposure_while_solvent": 1.4963295658405533, "realized_annual_volatility_pct": 103.83293559905422, "trading_costs_quote_units": 362.4507550294899, "borrowing_costs_quote_units": 422.74474488775456, "price_pnl_quote_units": 54250.09531858785, "turnover_quote_units": 120816.9183431633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29204.018459793697, "return_pct": 192.04018459793696, "cagr_pct": 191.54154480098876, "max_drawdown_pct": 45.09312766676356, "mean_exposure_while_solvent": 0.7822975558726248, "realized_annual_volatility_pct": 47.817618376281594, "trading_costs_quote_units": 296.4358834233318, "borrowing_costs_quote_units": 45.21505179850855, "price_pnl_quote_units": 19545.66939501554, "turnover_quote_units": 98811.96114111063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29034.390120293578, "return_pct": 190.34390120293577, "cagr_pct": 189.85085001772478, "max_drawdown_pct": 55.72592618028076, "mean_exposure_while_solvent": 0.8282892656392845, "realized_annual_volatility_pct": 60.64987285533595, "trading_costs_quote_units": 290.15643251651613, "borrowing_costs_quote_units": 16.20775316130891, "price_pnl_quote_units": 19340.75430597139, "turnover_quote_units": 96718.81083883875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 1.6962833950011884 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37970.691788613054, "return_pct": 279.70691788613055, "cagr_pct": 278.89996036210107, "max_drawdown_pct": 60.80387128345179, "mean_exposure_while_solvent": 1.1157788999034297, "realized_annual_volatility_pct": 70.31881437284363, "trading_costs_quote_units": 349.66341510159015, "borrowing_costs_quote_units": 264.7867209401272, "price_pnl_quote_units": 28585.141924654796, "turnover_quote_units": 116554.47170053008, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 42357.79805697976, "return_pct": 323.5779805697976, "cagr_pct": 322.6041032822602, "max_drawdown_pct": 57.46101624282722, "mean_exposure_while_solvent": 1.086454911228378, "realized_annual_volatility_pct": 70.9876194069001, "trading_costs_quote_units": 361.75844359639194, "borrowing_costs_quote_units": 218.2242875778774, "price_pnl_quote_units": 32937.780788154065, "turnover_quote_units": 120586.14786546392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -43.87106268366705 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 43658.46217213322, "return_pct": 336.5846217213322, "cagr_pct": 335.5598341558956, "max_drawdown_pct": 70.50417353096145, "mean_exposure_while_solvent": 1.323029396455357, "realized_annual_volatility_pct": 88.66650565419438, "trading_costs_quote_units": 328.4532087852272, "borrowing_costs_quote_units": 515.2783860230257, "price_pnl_quote_units": 34502.19376694141, "turnover_quote_units": 109484.40292840915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 53508.86737364271, "return_pct": 435.0886737364271, "cagr_pct": 433.65951772133957, "max_drawdown_pct": 57.937466283074656, "mean_exposure_while_solvent": 1.2434547006486698, "realized_annual_volatility_pct": 77.82281775130421, "trading_costs_quote_units": 398.7525784193474, "borrowing_costs_quote_units": 495.1043084453297, "price_pnl_quote_units": 44402.72426050744, "turnover_quote_units": 132917.52613978248, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -98.50405201509489 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37025.20217311171, "return_pct": 270.2520217311171, "cagr_pct": 269.48001338714306, "max_drawdown_pct": 59.91199405034446, "mean_exposure_while_solvent": 1.138628512040125, "realized_annual_volatility_pct": 69.48768654060751, "trading_costs_quote_units": 604.650047120658, "borrowing_costs_quote_units": 281.61715098276034, "price_pnl_quote_units": 27911.46937121511, "turnover_quote_units": 201550.01570688584, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37877.323487189155, "return_pct": 278.7732348718916, "cagr_pct": 277.9697454210648, "max_drawdown_pct": 59.40647850448869, "mean_exposure_while_solvent": 1.1201378523944816, "realized_annual_volatility_pct": 69.69269987600924, "trading_costs_quote_units": 601.8692452227947, "borrowing_costs_quote_units": 249.40504034052256, "price_pnl_quote_units": 28728.597772752426, "turnover_quote_units": 200623.0817409315, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 317, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -8.521213140774478 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35874.16565357251, "return_pct": 258.74165653572516, "cagr_pct": 258.01167647714334, "max_drawdown_pct": 62.20400931481378, "mean_exposure_while_solvent": 1.093949353171127, "realized_annual_volatility_pct": 72.29635010269114, "trading_costs_quote_units": 234.19280064164826, "borrowing_costs_quote_units": 256.2100745013866, "price_pnl_quote_units": 26364.56852871555, "turnover_quote_units": 78064.26688054942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45470.8095017336, "return_pct": 354.70809501733595, "cagr_pct": 353.611346549947, "max_drawdown_pct": 56.97876946011586, "mean_exposure_while_solvent": 1.1027320920733577, "realized_annual_volatility_pct": 72.65940462737302, "trading_costs_quote_units": 224.17073801201832, "borrowing_costs_quote_units": 195.43055820175556, "price_pnl_quote_units": 35890.41079794737, "turnover_quote_units": 74723.57933733938, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -95.9664384816108 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32530.84066293217, "return_pct": 225.3084066293217, "cagr_pct": 224.69710369123317, "max_drawdown_pct": 53.75606710765394, "mean_exposure_while_solvent": 0.9144232247120601, "realized_annual_volatility_pct": 59.96067958703484, "trading_costs_quote_units": 131.06537688564333, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22661.9060398178, "turnover_quote_units": 43688.45896188111, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35479.59213538451, "return_pct": 254.7959213538451, "cagr_pct": 254.08021441583654, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9409193413490596, "realized_annual_volatility_pct": 64.75266220443554, "trading_costs_quote_units": 118.96197492498584, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 25598.554110309517, "turnover_quote_units": 39653.99164166192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 79, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -29.487514724523407 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35874.16565357251, "return_pct": 258.74165653572516, "cagr_pct": 258.01167647714334, "max_drawdown_pct": 62.20400931481378, "mean_exposure_while_solvent": 1.093949353171127, "realized_annual_volatility_pct": 72.29635010269114, "trading_costs_quote_units": 234.19280064164826, "borrowing_costs_quote_units": 256.2100745013866, "price_pnl_quote_units": 26364.56852871555, "turnover_quote_units": 78064.26688054942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45470.8095017336, "return_pct": 354.70809501733595, "cagr_pct": 353.611346549947, "max_drawdown_pct": 56.97876946011586, "mean_exposure_while_solvent": 1.1027320920733577, "realized_annual_volatility_pct": 72.65940462737302, "trading_costs_quote_units": 224.17073801201832, "borrowing_costs_quote_units": 195.43055820175556, "price_pnl_quote_units": 35890.41079794737, "turnover_quote_units": 74723.57933733938, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -95.9664384816108 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35874.16565357251, "return_pct": 258.74165653572516, "cagr_pct": 258.01167647714334, "max_drawdown_pct": 62.20400931481378, "mean_exposure_while_solvent": 1.093949353171127, "realized_annual_volatility_pct": 72.29635010269114, "trading_costs_quote_units": 234.19280064164826, "borrowing_costs_quote_units": 256.2100745013866, "price_pnl_quote_units": 26364.56852871555, "turnover_quote_units": 78064.26688054942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45470.8095017336, "return_pct": 354.70809501733595, "cagr_pct": 353.611346549947, "max_drawdown_pct": 56.97876946011586, "mean_exposure_while_solvent": 1.1027320920733577, "realized_annual_volatility_pct": 72.65940462737302, "trading_costs_quote_units": 224.17073801201832, "borrowing_costs_quote_units": 195.43055820175556, "price_pnl_quote_units": 35890.41079794737, "turnover_quote_units": 74723.57933733938, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -95.9664384816108 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29368.587957042022, "return_pct": 193.6858795704202, "cagr_pct": 193.18180286542437, "max_drawdown_pct": 45.314687111495424, "mean_exposure_while_solvent": 0.7494595304168672, "realized_annual_volatility_pct": 50.649788374028226, "trading_costs_quote_units": 86.77020846627981, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19455.358165508304, "turnover_quote_units": 28923.402822093274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29368.587957042022, "return_pct": 193.6858795704202, "cagr_pct": 193.18180286542437, "max_drawdown_pct": 45.314687111495424, "mean_exposure_while_solvent": 0.7494595304168672, "realized_annual_volatility_pct": 50.649788374028226, "trading_costs_quote_units": 86.77020846627981, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19455.358165508304, "turnover_quote_units": 28923.402822093274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 39862.263285962625, "return_pct": 298.62263285962626, "cagr_pct": 297.74464146932195, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.998630762209037, "realized_annual_volatility_pct": 67.9938180528261, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29892.173555155037, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 39862.263285962625, "return_pct": 298.62263285962626, "cagr_pct": 297.74464146932195, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.998630762209037, "realized_annual_volatility_pct": 67.9938180528261, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29892.173555155037, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 50545.04433969489, "return_pct": 405.4504433969489, "cagr_pct": 404.1462523209975, "max_drawdown_pct": 65.12778693481945, "mean_exposure_while_solvent": 1.2475925846047715, "realized_annual_volatility_pct": 85.69663227063343, "trading_costs_quote_units": 162.02285235033693, "borrowing_costs_quote_units": 401.5342564046485, "price_pnl_quote_units": 41108.60144844992, "turnover_quote_units": 54007.61745011231, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 50545.04433969489, "return_pct": 405.4504433969489, "cagr_pct": 404.1462523209975, "max_drawdown_pct": 65.12778693481945, "mean_exposure_while_solvent": 1.2475925846047715, "realized_annual_volatility_pct": 85.69663227063343, "trading_costs_quote_units": 162.02285235033693, "borrowing_costs_quote_units": 401.5342564046485, "price_pnl_quote_units": 41108.60144844992, "turnover_quote_units": 54007.61745011231, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 61903.35326729691, "return_pct": 519.033532672969, "cagr_pct": 517.2367284895473, "max_drawdown_pct": 72.68542654371907, "mean_exposure_while_solvent": 1.4963722244605853, "realized_annual_volatility_pct": 103.83755955855491, "trading_costs_quote_units": 357.18208202201106, "borrowing_costs_quote_units": 832.7033176212439, "price_pnl_quote_units": 53093.23866694019, "turnover_quote_units": 119060.69400733699, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 61903.35326729691, "return_pct": 519.033532672969, "cagr_pct": 517.2367284895473, "max_drawdown_pct": 72.68542654371907, "mean_exposure_while_solvent": 1.4963722244605853, "realized_annual_volatility_pct": 103.83755955855491, "trading_costs_quote_units": 357.18208202201106, "borrowing_costs_quote_units": 832.7033176212439, "price_pnl_quote_units": 53093.23866694019, "turnover_quote_units": 119060.69400733699, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29094.592353621774, "return_pct": 190.94592353621772, "cagr_pct": 190.45089071352592, "max_drawdown_pct": 45.09312766676356, "mean_exposure_while_solvent": 0.7823032467745734, "realized_annual_volatility_pct": 47.81667792488676, "trading_costs_quote_units": 295.9348344757961, "borrowing_costs_quote_units": 90.26005618492971, "price_pnl_quote_units": 19480.787244282503, "turnover_quote_units": 98644.94482526545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28998.730013259363, "return_pct": 189.98730013259362, "cagr_pct": 189.49542181243123, "max_drawdown_pct": 55.72592618028076, "mean_exposure_while_solvent": 0.8282908873404123, "realized_annual_volatility_pct": 60.649775165031194, "trading_costs_quote_units": 290.05478173501956, "borrowing_costs_quote_units": 32.399200531803835, "price_pnl_quote_units": 19321.183995526204, "turnover_quote_units": 96684.92724500659, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.9586234036241024 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37212.641288686675, "return_pct": 272.1264128868667, "cagr_pct": 271.34750619935926, "max_drawdown_pct": 60.90194153550068, "mean_exposure_while_solvent": 1.115810669575089, "realized_annual_volatility_pct": 70.32088023401917, "trading_costs_quote_units": 346.48209495987896, "borrowing_costs_quote_units": 524.0093817213955, "price_pnl_quote_units": 28083.13276536798, "turnover_quote_units": 115494.03165329306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 41744.21283279163, "return_pct": 317.44212832791624, "cagr_pct": 316.49204879369313, "max_drawdown_pct": 57.49277477229715, "mean_exposure_while_solvent": 1.0864776031092158, "realized_annual_volatility_pct": 70.9885642761609, "trading_costs_quote_units": 359.62774159758726, "borrowing_costs_quote_units": 433.0982588680079, "price_pnl_quote_units": 32536.938833257234, "turnover_quote_units": 119875.91386586241, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -45.31571544104952 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 42090.283142296015, "return_pct": 320.90283142296016, "cagr_pct": 319.9393471153111, "max_drawdown_pct": 70.6253392264509, "mean_exposure_while_solvent": 1.3230905864490576, "realized_annual_volatility_pct": 88.67413864106697, "trading_costs_quote_units": 322.5819554802747, "borrowing_costs_quote_units": 1009.806198118989, "price_pnl_quote_units": 33422.671295895314, "turnover_quote_units": 107527.31849342489, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52045.076886558, "return_pct": 420.45076886558, "cagr_pct": 419.08366633949214, "max_drawdown_pct": 57.98065741868954, "mean_exposure_while_solvent": 1.2435013511486395, "realized_annual_volatility_pct": 77.82505659743309, "trading_costs_quote_units": 393.29994530406, "borrowing_costs_quote_units": 974.593680613229, "price_pnl_quote_units": 43412.97051247524, "turnover_quote_units": 131099.98176802, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 269, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -99.54793744261985 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36245.555631637675, "return_pct": 262.45555631637677, "cagr_pct": 261.7120787615706, "max_drawdown_pct": 60.001965803285806, "mean_exposure_while_solvent": 1.1386634803290314, "realized_annual_volatility_pct": 69.48981192296398, "trading_costs_quote_units": 597.9570315646627, "borrowing_costs_quote_units": 557.0785854571294, "price_pnl_quote_units": 27400.591248659483, "turnover_quote_units": 199319.01052155407, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37178.18657149328, "return_pct": 271.7818657149328, "cagr_pct": 271.0042281957664, "max_drawdown_pct": 59.46911570536071, "mean_exposure_while_solvent": 1.1201685493536622, "realized_annual_volatility_pct": 69.69462051322132, "trading_costs_quote_units": 596.4983666654238, "borrowing_costs_quote_units": 494.0434309558943, "price_pnl_quote_units": 28268.72836911459, "turnover_quote_units": 198832.78888847458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 317, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -9.32630939855602 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 35185.07686783284, "return_pct": 251.8507686783284, "cagr_pct": 251.1456700019254, "max_drawdown_pct": 62.27801080679165, "mean_exposure_while_solvent": 1.0939797309903607, "realized_annual_volatility_pct": 72.29901852888942, "trading_costs_quote_units": 232.2284915370672, "borrowing_costs_quote_units": 507.1484711767428, "price_pnl_quote_units": 25924.453830546663, "turnover_quote_units": 77409.49717902236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44961.50628552342, "return_pct": 349.61506285523416, "cagr_pct": 348.5386546495096, "max_drawdown_pct": 57.00205445895079, "mean_exposure_while_solvent": 1.1027494643736062, "realized_annual_volatility_pct": 72.65988043331163, "trading_costs_quote_units": 223.218848247389, "borrowing_costs_quote_units": 388.4126053682942, "price_pnl_quote_units": 35573.137739139085, "turnover_quote_units": 74406.2827491296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -97.76429417690576 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32530.84066293217, "return_pct": 225.3084066293217, "cagr_pct": 224.69710369123317, "max_drawdown_pct": 53.75606710765394, "mean_exposure_while_solvent": 0.9144232247120601, "realized_annual_volatility_pct": 59.96067958703484, "trading_costs_quote_units": 131.06537688564333, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 22661.9060398178, "turnover_quote_units": 43688.45896188111, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 125, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 35479.59213538451, "return_pct": 254.7959213538451, "cagr_pct": 254.08021441583654, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.9409193413490596, "realized_annual_volatility_pct": 64.75266220443554, "trading_costs_quote_units": 118.96197492498584, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 25598.554110309517, "turnover_quote_units": 39653.99164166192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 79, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -29.487514724523407 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 35185.07686783284, "return_pct": 251.8507686783284, "cagr_pct": 251.1456700019254, "max_drawdown_pct": 62.27801080679165, "mean_exposure_while_solvent": 1.0939797309903607, "realized_annual_volatility_pct": 72.29901852888942, "trading_costs_quote_units": 232.2284915370672, "borrowing_costs_quote_units": 507.1484711767428, "price_pnl_quote_units": 25924.453830546663, "turnover_quote_units": 77409.49717902236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44961.50628552342, "return_pct": 349.61506285523416, "cagr_pct": 348.5386546495096, "max_drawdown_pct": 57.00205445895079, "mean_exposure_while_solvent": 1.1027494643736062, "realized_annual_volatility_pct": 72.65988043331163, "trading_costs_quote_units": 223.218848247389, "borrowing_costs_quote_units": 388.4126053682942, "price_pnl_quote_units": 35573.137739139085, "turnover_quote_units": 74406.2827491296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -97.76429417690576 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 35185.07686783284, "return_pct": 251.8507686783284, "cagr_pct": 251.1456700019254, "max_drawdown_pct": 62.27801080679165, "mean_exposure_while_solvent": 1.0939797309903607, "realized_annual_volatility_pct": 72.29901852888942, "trading_costs_quote_units": 232.2284915370672, "borrowing_costs_quote_units": 507.1484711767428, "price_pnl_quote_units": 25924.453830546663, "turnover_quote_units": 77409.49717902236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44961.50628552342, "return_pct": 349.61506285523416, "cagr_pct": 348.5386546495096, "max_drawdown_pct": 57.00205445895079, "mean_exposure_while_solvent": 1.1027494643736062, "realized_annual_volatility_pct": 72.65988043331163, "trading_costs_quote_units": 223.218848247389, "borrowing_costs_quote_units": 388.4126053682942, "price_pnl_quote_units": 35573.137739139085, "turnover_quote_units": 74406.2827491296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 168, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": -97.76429417690576 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29368.587957042022, "return_pct": 193.6858795704202, "cagr_pct": 193.18180286542437, "max_drawdown_pct": 45.314687111495424, "mean_exposure_while_solvent": 0.7494595304168672, "realized_annual_volatility_pct": 50.649788374028226, "trading_costs_quote_units": 86.77020846627981, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19455.358165508304, "turnover_quote_units": 28923.402822093274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29368.587957042022, "return_pct": 193.6858795704202, "cagr_pct": 193.18180286542437, "max_drawdown_pct": 45.314687111495424, "mean_exposure_while_solvent": 0.7494595304168672, "realized_annual_volatility_pct": 50.649788374028226, "trading_costs_quote_units": 86.77020846627981, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 19455.358165508304, "turnover_quote_units": 28923.402822093274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 39862.263285962625, "return_pct": 298.62263285962626, "cagr_pct": 297.74464146932195, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.998630762209037, "realized_annual_volatility_pct": 67.9938180528261, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29892.173555155037, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 39862.263285962625, "return_pct": 298.62263285962626, "cagr_pct": 297.74464146932195, "max_drawdown_pct": 56.014408838757035, "mean_exposure_while_solvent": 0.998630762209037, "realized_annual_volatility_pct": 67.9938180528261, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 29892.173555155037, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 49300.91934853496, "return_pct": 393.0091934853496, "cagr_pct": 391.7566456519825, "max_drawdown_pct": 65.20786074640613, "mean_exposure_while_solvent": 1.2476281676560292, "realized_annual_volatility_pct": 85.70035404190747, "trading_costs_quote_units": 159.913973712883, "borrowing_costs_quote_units": 791.2637277071151, "price_pnl_quote_units": 40252.09704995496, "turnover_quote_units": 53304.657904294334, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 49300.91934853496, "return_pct": 393.0091934853496, "cagr_pct": 391.7566456519825, "max_drawdown_pct": 65.20786074640613, "mean_exposure_while_solvent": 1.2476281676560292, "realized_annual_volatility_pct": 85.70035404190747, "trading_costs_quote_units": 159.913973712883, "borrowing_costs_quote_units": 791.2637277071151, "price_pnl_quote_units": 40252.09704995496, "turnover_quote_units": 53304.657904294334, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58893.66606751234, "return_pct": 488.9366606751234, "cagr_pct": 487.27388599763276, "max_drawdown_pct": 72.81194445267161, "mean_exposure_while_solvent": 1.4964575603801424, "realized_annual_volatility_pct": 103.84681308171389, "trading_costs_quote_units": 346.9939261305127, "borrowing_costs_quote_units": 1615.6832232203735, "price_pnl_quote_units": 50856.34321686326, "turnover_quote_units": 115664.64204350428, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "native": { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58893.66606751234, "return_pct": 488.9366606751234, "cagr_pct": 487.27388599763276, "max_drawdown_pct": 72.81194445267161, "mean_exposure_while_solvent": 1.4964575603801424, "realized_annual_volatility_pct": 103.84681308171389, "trading_costs_quote_units": 346.9939261305127, "borrowing_costs_quote_units": 1615.6832232203735, "price_pnl_quote_units": 50856.34321686326, "turnover_quote_units": 115664.64204350428, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12596.70394206153, "return_pct": 25.96703942061529, "cagr_pct": 26.000254743489908, "max_drawdown_pct": 29.52589351408157, "mean_exposure_while_solvent": 0.5011128837811546, "realized_annual_volatility_pct": 41.469252543773635, "trading_costs_quote_units": 38.20435035823947, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2634.908292419769, "turnover_quote_units": 63673.91726373245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12596.70394206153, "return_pct": 25.96703942061529, "cagr_pct": 26.000254743489908, "max_drawdown_pct": 29.52589351408157, "mean_exposure_while_solvent": 0.5011128837811546, "realized_annual_volatility_pct": 41.469252543773635, "trading_costs_quote_units": 38.20435035823947, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2634.908292419769, "turnover_quote_units": 63673.91726373245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13362.495619009622, "return_pct": 33.62495619009622, "cagr_pct": 33.66919997483437, "max_drawdown_pct": 41.72390993901308, "mean_exposure_while_solvent": 0.7515700766605002, "realized_annual_volatility_pct": 62.34397852963791, "trading_costs_quote_units": 54.544889542249074, "borrowing_costs_quote_units": 3.480041655529838, "price_pnl_quote_units": 3420.5205502074114, "turnover_quote_units": 90908.14923708177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13362.495619009622, "return_pct": 33.62495619009622, "cagr_pct": 33.66919997483437, "max_drawdown_pct": 41.72390993901308, "mean_exposure_while_solvent": 0.7515700766605002, "realized_annual_volatility_pct": 62.34397852963791, "trading_costs_quote_units": 54.544889542249074, "borrowing_costs_quote_units": 3.480041655529838, "price_pnl_quote_units": 3420.5205502074114, "turnover_quote_units": 90908.14923708177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13574.94522547947, "return_pct": 35.74945225479471, "cagr_pct": 35.79684581924446, "max_drawdown_pct": 52.335514444107766, "mean_exposure_while_solvent": 1.0020591069118603, "realized_annual_volatility_pct": 83.34633994917738, "trading_costs_quote_units": 76.87145788789823, "borrowing_costs_quote_units": 88.04832156144423, "price_pnl_quote_units": 3739.8650049288353, "turnover_quote_units": 128119.09647983046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13574.94522547947, "return_pct": 35.74945225479471, "cagr_pct": 35.79684581924446, "max_drawdown_pct": 52.335514444107766, "mean_exposure_while_solvent": 1.0020591069118603, "realized_annual_volatility_pct": 83.34633994917738, "trading_costs_quote_units": 76.87145788789823, "borrowing_costs_quote_units": 88.04832156144423, "price_pnl_quote_units": 3739.8650049288353, "turnover_quote_units": 128119.09647983046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12505.914777251646, "return_pct": 25.059147772516454, "cagr_pct": 25.09109029811062, "max_drawdown_pct": 46.88214882082592, "mean_exposure_while_solvent": 0.7824194150274872, "realized_annual_volatility_pct": 63.976284763121136, "trading_costs_quote_units": 96.0761649310308, "borrowing_costs_quote_units": 16.513159918964277, "price_pnl_quote_units": 2618.50410210166, "turnover_quote_units": 160126.94155171808, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12505.914777251646, "return_pct": 25.059147772516454, "cagr_pct": 25.09109029811062, "max_drawdown_pct": 46.88214882082592, "mean_exposure_while_solvent": 0.7824194150274872, "realized_annual_volatility_pct": 63.976284763121136, "trading_costs_quote_units": 96.0761649310308, "borrowing_costs_quote_units": 16.513159918964277, "price_pnl_quote_units": 2618.50410210166, "turnover_quote_units": 160126.94155171808, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13756.149620329446, "return_pct": 37.56149620329445, "cagr_pct": 37.611606380638094, "max_drawdown_pct": 41.4919501997874, "mean_exposure_while_solvent": 0.7474007586920303, "realized_annual_volatility_pct": 61.841547667143445, "trading_costs_quote_units": 45.842513411475025, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3801.9921337409196, "turnover_quote_units": 76404.18901912516, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13756.149620329446, "return_pct": 37.56149620329445, "cagr_pct": 37.611606380638094, "max_drawdown_pct": 41.4919501997874, "mean_exposure_while_solvent": 0.7474007586920303, "realized_annual_volatility_pct": 61.841547667143445, "trading_costs_quote_units": 45.842513411475025, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3801.9921337409196, "turnover_quote_units": 76404.18901912516, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14963.977206144738, "return_pct": 49.63977206144739, "cagr_pct": 49.70867086849049, "max_drawdown_pct": 43.15602922925217, "mean_exposure_while_solvent": 0.7498154884698544, "realized_annual_volatility_pct": 65.58894279119407, "trading_costs_quote_units": 22.74041652699527, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4986.717622671729, "turnover_quote_units": 37900.69421165881, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14963.977206144738, "return_pct": 49.63977206144739, "cagr_pct": 49.70867086849049, "max_drawdown_pct": 43.15602922925217, "mean_exposure_while_solvent": 0.7498154884698544, "realized_annual_volatility_pct": 65.58894279119407, "trading_costs_quote_units": 22.74041652699527, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4986.717622671729, "turnover_quote_units": 37900.69421165881, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15834.492445957783, "return_pct": 58.34492445957784, "cagr_pct": 58.428062087625165, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 87.61319516977642, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5840.488848116501, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15834.492445957783, "return_pct": 58.34492445957784, "cagr_pct": 58.428062087625165, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 87.61319516977642, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5840.488848116501, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15848.919616548073, "return_pct": 58.48919616548074, "cagr_pct": 58.57257447277533, "max_drawdown_pct": 63.697479578416385, "mean_exposure_while_solvent": 1.249304556656587, "realized_annual_volatility_pct": 109.76788661799166, "trading_costs_quote_units": 42.38240351763506, "borrowing_costs_quote_units": 214.72081770316962, "price_pnl_quote_units": 6106.022837768886, "turnover_quote_units": 70637.33919605831, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15848.919616548073, "return_pct": 58.48919616548074, "cagr_pct": 58.57257447277533, "max_drawdown_pct": 63.697479578416385, "mean_exposure_while_solvent": 1.249304556656587, "realized_annual_volatility_pct": 109.76788661799166, "trading_costs_quote_units": 42.38240351763506, "borrowing_costs_quote_units": 214.72081770316962, "price_pnl_quote_units": 6106.022837768886, "turnover_quote_units": 70637.33919605831, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15228.36676218837, "return_pct": 52.2836676218837, "cagr_pct": 52.356831237429404, "max_drawdown_pct": 71.67230349979575, "mean_exposure_while_solvent": 1.4991620022343461, "realized_annual_volatility_pct": 132.08001908702929, "trading_costs_quote_units": 95.74155806617104, "borrowing_costs_quote_units": 445.61563984102196, "price_pnl_quote_units": 5769.72396009562, "turnover_quote_units": 159569.26344361834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15228.36676218837, "return_pct": 52.2836676218837, "cagr_pct": 52.356831237429404, "max_drawdown_pct": 71.67230349979575, "mean_exposure_while_solvent": 1.4991620022343461, "realized_annual_volatility_pct": 132.08001908702929, "trading_costs_quote_units": 95.74155806617104, "borrowing_costs_quote_units": 445.61563984102196, "price_pnl_quote_units": 5769.72396009562, "turnover_quote_units": 159569.26344361834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12596.70394206153, "return_pct": 25.96703942061529, "cagr_pct": 26.000254743489908, "max_drawdown_pct": 29.52589351408157, "mean_exposure_while_solvent": 0.5011128837811546, "realized_annual_volatility_pct": 41.469252543773635, "trading_costs_quote_units": 38.20435035823947, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2634.908292419769, "turnover_quote_units": 63673.91726373245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12596.70394206153, "return_pct": 25.96703942061529, "cagr_pct": 26.000254743489908, "max_drawdown_pct": 29.52589351408157, "mean_exposure_while_solvent": 0.5011128837811546, "realized_annual_volatility_pct": 41.469252543773635, "trading_costs_quote_units": 38.20435035823947, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2634.908292419769, "turnover_quote_units": 63673.91726373245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13359.68064214193, "return_pct": 33.59680642141929, "cagr_pct": 33.64100872927842, "max_drawdown_pct": 41.724840542037875, "mean_exposure_while_solvent": 0.7515703294001044, "realized_annual_volatility_pct": 62.34413517846217, "trading_costs_quote_units": 54.542987098866405, "borrowing_costs_quote_units": 6.959767470567896, "price_pnl_quote_units": 3421.183396711345, "turnover_quote_units": 90904.9784981107, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13359.68064214193, "return_pct": 33.59680642141929, "cagr_pct": 33.64100872927842, "max_drawdown_pct": 41.724840542037875, "mean_exposure_while_solvent": 0.7515703294001044, "realized_annual_volatility_pct": 62.34413517846217, "trading_costs_quote_units": 54.542987098866405, "borrowing_costs_quote_units": 6.959767470567896, "price_pnl_quote_units": 3421.183396711345, "turnover_quote_units": 90904.9784981107, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13505.048624753996, "return_pct": 35.05048624753995, "cagr_pct": 35.09683929741563, "max_drawdown_pct": 52.35861838105159, "mean_exposure_while_solvent": 1.002066560483255, "realized_annual_volatility_pct": 83.34775597875364, "trading_costs_quote_units": 76.7416830605949, "borrowing_costs_quote_units": 175.6463346153988, "price_pnl_quote_units": 3757.436642430028, "turnover_quote_units": 127902.8051009915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13505.048624753996, "return_pct": 35.05048624753995, "cagr_pct": 35.09683929741563, "max_drawdown_pct": 52.35861838105159, "mean_exposure_while_solvent": 1.002066560483255, "realized_annual_volatility_pct": 83.34775597875364, "trading_costs_quote_units": 76.7416830605949, "borrowing_costs_quote_units": 175.6463346153988, "price_pnl_quote_units": 3757.436642430028, "turnover_quote_units": 127902.8051009915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12492.45507651232, "return_pct": 24.92455076512321, "cagr_pct": 24.956305235898494, "max_drawdown_pct": 46.89375419946209, "mean_exposure_while_solvent": 0.7824208945051307, "realized_annual_volatility_pct": 63.976662652085906, "trading_costs_quote_units": 96.03751585777815, "borrowing_costs_quote_units": 33.01110925412576, "price_pnl_quote_units": 2621.5037016242372, "turnover_quote_units": 160062.52642963018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12492.45507651232, "return_pct": 24.92455076512321, "cagr_pct": 24.956305235898494, "max_drawdown_pct": 46.89375419946209, "mean_exposure_while_solvent": 0.7824208945051307, "realized_annual_volatility_pct": 63.976662652085906, "trading_costs_quote_units": 96.03751585777815, "borrowing_costs_quote_units": 33.01110925412576, "price_pnl_quote_units": 2621.5037016242372, "turnover_quote_units": 160062.52642963018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13756.149620329446, "return_pct": 37.56149620329445, "cagr_pct": 37.611606380638094, "max_drawdown_pct": 41.4919501997874, "mean_exposure_while_solvent": 0.7474007586920303, "realized_annual_volatility_pct": 61.841547667143445, "trading_costs_quote_units": 45.842513411475025, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3801.9921337409196, "turnover_quote_units": 76404.18901912516, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13756.149620329446, "return_pct": 37.56149620329445, "cagr_pct": 37.611606380638094, "max_drawdown_pct": 41.4919501997874, "mean_exposure_while_solvent": 0.7474007586920303, "realized_annual_volatility_pct": 61.841547667143445, "trading_costs_quote_units": 45.842513411475025, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3801.9921337409196, "turnover_quote_units": 76404.18901912516, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14963.977206144738, "return_pct": 49.63977206144739, "cagr_pct": 49.70867086849049, "max_drawdown_pct": 43.15602922925217, "mean_exposure_while_solvent": 0.7498154884698544, "realized_annual_volatility_pct": 65.58894279119407, "trading_costs_quote_units": 22.74041652699527, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4986.717622671729, "turnover_quote_units": 37900.69421165881, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14963.977206144738, "return_pct": 49.63977206144739, "cagr_pct": 49.70867086849049, "max_drawdown_pct": 43.15602922925217, "mean_exposure_while_solvent": 0.7498154884698544, "realized_annual_volatility_pct": 65.58894279119407, "trading_costs_quote_units": 22.74041652699527, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4986.717622671729, "turnover_quote_units": 37900.69421165881, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15834.492445957783, "return_pct": 58.34492445957784, "cagr_pct": 58.428062087625165, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 87.61319516977642, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5840.488848116501, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15834.492445957783, "return_pct": 58.34492445957784, "cagr_pct": 58.428062087625165, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 87.61319516977642, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5840.488848116501, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15652.292418886735, "return_pct": 56.52292418886735, "cagr_pct": 56.603035277707825, "max_drawdown_pct": 63.81887618106232, "mean_exposure_while_solvent": 1.2493223571455963, "realized_annual_volatility_pct": 109.77007693264615, "trading_costs_quote_units": 42.184115127468, "borrowing_costs_quote_units": 426.7337084965893, "price_pnl_quote_units": 6121.21024251079, "turnover_quote_units": 70306.85854578008, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15652.292418886735, "return_pct": 56.52292418886735, "cagr_pct": 56.603035277707825, "max_drawdown_pct": 63.81887618106232, "mean_exposure_while_solvent": 1.2493223571455963, "realized_annual_volatility_pct": 109.77007693264615, "trading_costs_quote_units": 42.184115127468, "borrowing_costs_quote_units": 426.7337084965893, "price_pnl_quote_units": 6121.21024251079, "turnover_quote_units": 70306.85854578008, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14852.577888384596, "return_pct": 48.52577888384595, "cagr_pct": 48.59289668039943, "max_drawdown_pct": 71.86208217992981, "mean_exposure_while_solvent": 1.4992047584650572, "realized_annual_volatility_pct": 132.08532469888544, "trading_costs_quote_units": 94.76840251867402, "borrowing_costs_quote_units": 880.1773063668508, "price_pnl_quote_units": 5827.523597270097, "turnover_quote_units": 157947.33753112346, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14852.577888384596, "return_pct": 48.52577888384595, "cagr_pct": 48.59289668039943, "max_drawdown_pct": 71.86208217992981, "mean_exposure_while_solvent": 1.4992047584650572, "realized_annual_volatility_pct": 132.08532469888544, "trading_costs_quote_units": 94.76840251867402, "borrowing_costs_quote_units": 880.1773063668508, "price_pnl_quote_units": 5827.523597270097, "turnover_quote_units": 157947.33753112346, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12596.70394206153, "return_pct": 25.96703942061529, "cagr_pct": 26.000254743489908, "max_drawdown_pct": 29.52589351408157, "mean_exposure_while_solvent": 0.5011128837811546, "realized_annual_volatility_pct": 41.469252543773635, "trading_costs_quote_units": 38.20435035823947, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2634.908292419769, "turnover_quote_units": 63673.91726373245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12596.70394206153, "return_pct": 25.96703942061529, "cagr_pct": 26.000254743489908, "max_drawdown_pct": 29.52589351408157, "mean_exposure_while_solvent": 0.5011128837811546, "realized_annual_volatility_pct": 41.469252543773635, "trading_costs_quote_units": 38.20435035823947, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2634.908292419769, "turnover_quote_units": 63673.91726373245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13354.051435437714, "return_pct": 33.54051435437712, "cagr_pct": 33.584633739834246, "max_drawdown_pct": 41.72670204477382, "mean_exposure_while_solvent": 0.7515708349330613, "realized_annual_volatility_pct": 62.344448654220244, "trading_costs_quote_units": 54.53918208967173, "borrowing_costs_quote_units": 13.918271298891435, "price_pnl_quote_units": 3422.508888826277, "turnover_quote_units": 90898.63681611953, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13354.051435437714, "return_pct": 33.54051435437712, "cagr_pct": 33.584633739834246, "max_drawdown_pct": 41.72670204477382, "mean_exposure_while_solvent": 0.7515708349330613, "realized_annual_volatility_pct": 62.344448654220244, "trading_costs_quote_units": 54.53918208967173, "borrowing_costs_quote_units": 13.918271298891435, "price_pnl_quote_units": 3422.508888826277, "turnover_quote_units": 90898.63681611953, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13366.302004163561, "return_pct": 33.66302004163562, "cagr_pct": 33.70731992180425, "max_drawdown_pct": 52.40480310748187, "mean_exposure_while_solvent": 1.0020814700370935, "realized_annual_volatility_pct": 83.3505958180954, "trading_costs_quote_units": 76.48324848479713, "borrowing_costs_quote_units": 349.50018305335976, "price_pnl_quote_units": 3792.2854357017177, "turnover_quote_units": 127472.08080799523, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13366.302004163561, "return_pct": 33.66302004163562, "cagr_pct": 33.70731992180425, "max_drawdown_pct": 52.40480310748187, "mean_exposure_while_solvent": 1.0020814700370935, "realized_annual_volatility_pct": 83.3505958180954, "trading_costs_quote_units": 76.48324848479713, "borrowing_costs_quote_units": 349.50018305335976, "price_pnl_quote_units": 3792.2854357017177, "turnover_quote_units": 127472.08080799523, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12465.573461687069, "return_pct": 24.655734616870696, "cagr_pct": 24.68711400252529, "max_drawdown_pct": 46.91696283295719, "mean_exposure_while_solvent": 0.7824238538837296, "realized_annual_volatility_pct": 63.97742062290246, "trading_costs_quote_units": 95.96027751633764, "borrowing_costs_quote_units": 65.96142297956098, "price_pnl_quote_units": 2627.4951621829578, "turnover_quote_units": 159933.79586056294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12465.573461687069, "return_pct": 24.655734616870696, "cagr_pct": 24.68711400252529, "max_drawdown_pct": 46.91696283295719, "mean_exposure_while_solvent": 0.7824238538837296, "realized_annual_volatility_pct": 63.97742062290246, "trading_costs_quote_units": 95.96027751633764, "borrowing_costs_quote_units": 65.96142297956098, "price_pnl_quote_units": 2627.4951621829578, "turnover_quote_units": 159933.79586056294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13756.149620329446, "return_pct": 37.56149620329445, "cagr_pct": 37.611606380638094, "max_drawdown_pct": 41.4919501997874, "mean_exposure_while_solvent": 0.7474007586920303, "realized_annual_volatility_pct": 61.841547667143445, "trading_costs_quote_units": 45.842513411475025, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3801.9921337409196, "turnover_quote_units": 76404.18901912516, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13756.149620329446, "return_pct": 37.56149620329445, "cagr_pct": 37.611606380638094, "max_drawdown_pct": 41.4919501997874, "mean_exposure_while_solvent": 0.7474007586920303, "realized_annual_volatility_pct": 61.841547667143445, "trading_costs_quote_units": 45.842513411475025, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3801.9921337409196, "turnover_quote_units": 76404.18901912516, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13734.304367646859, "return_pct": 37.34304367646859, "cagr_pct": 37.39282489574336, "max_drawdown_pct": 40.37877741276529, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.60748183681297, "trading_costs_quote_units": 34.32564289504322, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3768.630010541875, "turnover_quote_units": 57209.40482507207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14963.977206144738, "return_pct": 49.63977206144739, "cagr_pct": 49.70867086849049, "max_drawdown_pct": 43.15602922925217, "mean_exposure_while_solvent": 0.7498154884698544, "realized_annual_volatility_pct": 65.58894279119407, "trading_costs_quote_units": 22.74041652699527, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4986.717622671729, "turnover_quote_units": 37900.69421165881, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14963.977206144738, "return_pct": 49.63977206144739, "cagr_pct": 49.70867086849049, "max_drawdown_pct": 43.15602922925217, "mean_exposure_while_solvent": 0.7498154884698544, "realized_annual_volatility_pct": 65.58894279119407, "trading_costs_quote_units": 22.74041652699527, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4986.717622671729, "turnover_quote_units": 37900.69421165881, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15834.492445957783, "return_pct": 58.34492445957784, "cagr_pct": 58.428062087625165, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 87.61319516977642, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5840.488848116501, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15834.492445957783, "return_pct": 58.34492445957784, "cagr_pct": 58.428062087625165, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 87.61319516977642, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5840.488848116501, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15266.239629717393, "return_pct": 52.66239629717393, "cagr_pct": 52.736175152513724, "max_drawdown_pct": 64.06050678506897, "mean_exposure_while_solvent": 1.2493579636077161, "realized_annual_volatility_pct": 109.77445856866315, "trading_costs_quote_units": 41.79429555390388, "borrowing_costs_quote_units": 842.7693570188154, "price_pnl_quote_units": 6150.803282290088, "turnover_quote_units": 69657.15925650648, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15266.239629717393, "return_pct": 52.66239629717393, "cagr_pct": 52.736175152513724, "max_drawdown_pct": 64.06050678506897, "mean_exposure_while_solvent": 1.2493579636077161, "realized_annual_volatility_pct": 109.77445856866315, "trading_costs_quote_units": 41.79429555390388, "borrowing_costs_quote_units": 842.7693570188154, "price_pnl_quote_units": 6150.803282290088, "turnover_quote_units": 69657.15925650648, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14128.394078250516, "return_pct": 41.28394078250517, "cagr_pct": 41.33971690339847, "max_drawdown_pct": 72.23793711487379, "mean_exposure_while_solvent": 1.4992902894935043, "realized_annual_volatility_pct": 132.09593928861543, "trading_costs_quote_units": 92.87248967164845, "borrowing_costs_quote_units": 1717.2237917158989, "price_pnl_quote_units": 5938.490359638022, "turnover_quote_units": 154787.48278608095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14128.394078250516, "return_pct": 41.28394078250517, "cagr_pct": 41.33971690339847, "max_drawdown_pct": 72.23793711487379, "mean_exposure_while_solvent": 1.4992902894935043, "realized_annual_volatility_pct": 132.09593928861543, "trading_costs_quote_units": 92.87248967164845, "borrowing_costs_quote_units": 1717.2237917158989, "price_pnl_quote_units": 5938.490359638022, "turnover_quote_units": 154787.48278608095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12853.123986805898, "return_pct": 28.53123986805899, "cagr_pct": 28.56809025314074, "max_drawdown_pct": 28.838751967438903, "mean_exposure_while_solvent": 0.500493839813302, "realized_annual_volatility_pct": 41.565209898642564, "trading_costs_quote_units": 40.82748437557807, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2893.9514711814923, "turnover_quote_units": 68045.8072926301, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12853.123986805898, "return_pct": 28.53123986805899, "cagr_pct": 28.56809025314074, "max_drawdown_pct": 28.838751967438903, "mean_exposure_while_solvent": 0.500493839813302, "realized_annual_volatility_pct": 41.565209898642564, "trading_costs_quote_units": 40.82748437557807, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2893.9514711814923, "turnover_quote_units": 68045.8072926301, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13611.522114502892, "return_pct": 36.11522114502892, "cagr_pct": 36.16316085274162, "max_drawdown_pct": 40.976349306505064, "mean_exposure_while_solvent": 0.7505502491763866, "realized_annual_volatility_pct": 62.51145925960111, "trading_costs_quote_units": 56.255751270915574, "borrowing_costs_quote_units": 3.511117816084925, "price_pnl_quote_units": 3671.2889835899337, "turnover_quote_units": 93759.58545152606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13611.522114502892, "return_pct": 36.11522114502892, "cagr_pct": 36.16316085274162, "max_drawdown_pct": 40.976349306505064, "mean_exposure_while_solvent": 0.7505502491763866, "realized_annual_volatility_pct": 62.51145925960111, "trading_costs_quote_units": 56.255751270915574, "borrowing_costs_quote_units": 3.511117816084925, "price_pnl_quote_units": 3671.2889835899337, "turnover_quote_units": 93759.58545152606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13682.263875300876, "return_pct": 36.822638753008754, "cagr_pct": 36.87163791961174, "max_drawdown_pct": 51.64456931103755, "mean_exposure_while_solvent": 1.0005978967977718, "realized_annual_volatility_pct": 83.6192136062149, "trading_costs_quote_units": 77.72060172658051, "borrowing_costs_quote_units": 88.84265511953573, "price_pnl_quote_units": 3848.827132147003, "turnover_quote_units": 129534.33621096755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13682.263875300876, "return_pct": 36.822638753008754, "cagr_pct": 36.87163791961174, "max_drawdown_pct": 51.64456931103755, "mean_exposure_while_solvent": 1.0005978967977718, "realized_annual_volatility_pct": 83.6192136062149, "trading_costs_quote_units": 77.72060172658051, "borrowing_costs_quote_units": 88.84265511953573, "price_pnl_quote_units": 3848.827132147003, "turnover_quote_units": 129534.33621096755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13070.439349368291, "return_pct": 30.7043934936829, "cagr_pct": 30.744370438025292, "max_drawdown_pct": 46.75143885853299, "mean_exposure_while_solvent": 0.7809723492260012, "realized_annual_volatility_pct": 64.09064894315998, "trading_costs_quote_units": 100.61275550657486, "borrowing_costs_quote_units": 16.90122588594113, "price_pnl_quote_units": 3187.95333076082, "turnover_quote_units": 167687.92584429146, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13070.439349368291, "return_pct": 30.7043934936829, "cagr_pct": 30.744370438025292, "max_drawdown_pct": 46.75143885853299, "mean_exposure_while_solvent": 0.7809723492260012, "realized_annual_volatility_pct": 64.09064894315998, "trading_costs_quote_units": 100.61275550657486, "borrowing_costs_quote_units": 16.90122588594113, "price_pnl_quote_units": 3187.95333076082, "turnover_quote_units": 167687.92584429146, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13957.480562153058, "return_pct": 39.57480562153057, "cagr_pct": 39.627966152695755, "max_drawdown_pct": 40.863515080291535, "mean_exposure_while_solvent": 0.7463979154170155, "realized_annual_volatility_pct": 61.988543040523815, "trading_costs_quote_units": 47.57462577060682, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4005.0551879236577, "turnover_quote_units": 79291.04295101145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13957.480562153058, "return_pct": 39.57480562153057, "cagr_pct": 39.627966152695755, "max_drawdown_pct": 40.863515080291535, "mean_exposure_while_solvent": 0.7463979154170155, "realized_annual_volatility_pct": 61.988543040523815, "trading_costs_quote_units": 47.57462577060682, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4005.0551879236577, "turnover_quote_units": 79291.04295101145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15083.47973711669, "return_pct": 50.83479737116689, "cagr_pct": 50.90561728475351, "max_drawdown_pct": 43.1165277283171, "mean_exposure_while_solvent": 0.7490522074796044, "realized_annual_volatility_pct": 65.59471321058713, "trading_costs_quote_units": 23.842091813195765, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5107.321828929896, "turnover_quote_units": 39736.819688659685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15083.47973711669, "return_pct": 50.83479737116689, "cagr_pct": 50.90561728475351, "max_drawdown_pct": 43.1165277283171, "mean_exposure_while_solvent": 0.7490522074796044, "realized_annual_volatility_pct": 65.59471321058713, "trading_costs_quote_units": 23.842091813195765, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5107.321828929896, "turnover_quote_units": 39736.819688659685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15782.73903642115, "return_pct": 57.827390364211496, "cagr_pct": 57.909665861483276, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 87.60880202139325, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5788.735438579867, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15782.73903642115, "return_pct": 57.827390364211496, "cagr_pct": 57.909665861483276, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 87.60880202139325, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5788.735438579867, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15496.18213954747, "return_pct": 54.9618213954747, "cagr_pct": 55.03935861338049, "max_drawdown_pct": 63.746119692216126, "mean_exposure_while_solvent": 1.248307638975782, "realized_annual_volatility_pct": 109.75191452537234, "trading_costs_quote_units": 43.981512946508, "borrowing_costs_quote_units": 211.3022032530654, "price_pnl_quote_units": 5751.465855747045, "turnover_quote_units": 73302.5215775133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15496.18213954747, "return_pct": 54.9618213954747, "cagr_pct": 55.03935861338049, "max_drawdown_pct": 63.746119692216126, "mean_exposure_while_solvent": 1.248307638975782, "realized_annual_volatility_pct": 109.75191452537234, "trading_costs_quote_units": 43.981512946508, "borrowing_costs_quote_units": 211.3022032530654, "price_pnl_quote_units": 5751.465855747045, "turnover_quote_units": 73302.5215775133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14481.868494755032, "return_pct": 44.818684947550324, "cagr_pct": 44.87994521010174, "max_drawdown_pct": 71.77145528718437, "mean_exposure_while_solvent": 1.4981572361906201, "realized_annual_volatility_pct": 132.05631476523857, "trading_costs_quote_units": 98.57691913459551, "borrowing_costs_quote_units": 430.8960704346582, "price_pnl_quote_units": 5011.341484324298, "turnover_quote_units": 164294.86522432585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14481.868494755032, "return_pct": 44.818684947550324, "cagr_pct": 44.87994521010174, "max_drawdown_pct": 71.77145528718437, "mean_exposure_while_solvent": 1.4981572361906201, "realized_annual_volatility_pct": 132.05631476523857, "trading_costs_quote_units": 98.57691913459551, "borrowing_costs_quote_units": 430.8960704346582, "price_pnl_quote_units": 5011.341484324298, "turnover_quote_units": 164294.86522432585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12853.123986805898, "return_pct": 28.53123986805899, "cagr_pct": 28.56809025314074, "max_drawdown_pct": 28.838751967438903, "mean_exposure_while_solvent": 0.500493839813302, "realized_annual_volatility_pct": 41.565209898642564, "trading_costs_quote_units": 40.82748437557807, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2893.9514711814923, "turnover_quote_units": 68045.8072926301, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12853.123986805898, "return_pct": 28.53123986805899, "cagr_pct": 28.56809025314074, "max_drawdown_pct": 28.838751967438903, "mean_exposure_while_solvent": 0.500493839813302, "realized_annual_volatility_pct": 41.565209898642564, "trading_costs_quote_units": 40.82748437557807, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2893.9514711814923, "turnover_quote_units": 68045.8072926301, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13608.662952183802, "return_pct": 36.086629521838034, "cagr_pct": 36.134526497781025, "max_drawdown_pct": 40.977273915668945, "mean_exposure_while_solvent": 0.750550500607963, "realized_annual_volatility_pct": 62.511594489120945, "trading_costs_quote_units": 56.25382869325824, "borrowing_costs_quote_units": 7.0219182494645205, "price_pnl_quote_units": 3671.938699126522, "turnover_quote_units": 93756.38115543043, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13608.662952183802, "return_pct": 36.086629521838034, "cagr_pct": 36.134526497781025, "max_drawdown_pct": 40.977273915668945, "mean_exposure_while_solvent": 0.750550500607963, "realized_annual_volatility_pct": 62.511594489120945, "trading_costs_quote_units": 56.25382869325824, "borrowing_costs_quote_units": 7.0219182494645205, "price_pnl_quote_units": 3671.938699126522, "turnover_quote_units": 93756.38115543043, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13611.906008140682, "return_pct": 36.119060081406815, "cagr_pct": 36.167005527146365, "max_drawdown_pct": 51.668503606859396, "mean_exposure_while_solvent": 1.0006053146917946, "realized_annual_volatility_pct": 83.6206684978371, "trading_costs_quote_units": 77.59529144122975, "borrowing_costs_quote_units": 177.23060835739204, "price_pnl_quote_units": 3866.7319079393023, "turnover_quote_units": 129325.48573538293, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13611.906008140682, "return_pct": 36.119060081406815, "cagr_pct": 36.167005527146365, "max_drawdown_pct": 51.668503606859396, "mean_exposure_while_solvent": 1.0006053146917946, "realized_annual_volatility_pct": 83.6206684978371, "trading_costs_quote_units": 77.59529144122975, "borrowing_costs_quote_units": 177.23060835739204, "price_pnl_quote_units": 3866.7319079393023, "turnover_quote_units": 129325.48573538293, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13056.522290962108, "return_pct": 30.56522290962107, "cagr_pct": 30.604998380620934, "max_drawdown_pct": 46.763796922870426, "mean_exposure_while_solvent": 0.7809737951900603, "realized_annual_volatility_pct": 64.09105689363217, "trading_costs_quote_units": 100.57339578575873, "borrowing_costs_quote_units": 33.78692633353077, "price_pnl_quote_units": 3190.8826130813736, "turnover_quote_units": 167622.32630959776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13056.522290962108, "return_pct": 30.56522290962107, "cagr_pct": 30.604998380620934, "max_drawdown_pct": 46.763796922870426, "mean_exposure_while_solvent": 0.7809737951900603, "realized_annual_volatility_pct": 64.09105689363217, "trading_costs_quote_units": 100.57339578575873, "borrowing_costs_quote_units": 33.78692633353077, "price_pnl_quote_units": 3190.8826130813736, "turnover_quote_units": 167622.32630959776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13957.480562153058, "return_pct": 39.57480562153057, "cagr_pct": 39.627966152695755, "max_drawdown_pct": 40.863515080291535, "mean_exposure_while_solvent": 0.7463979154170155, "realized_annual_volatility_pct": 61.988543040523815, "trading_costs_quote_units": 47.57462577060682, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4005.0551879236577, "turnover_quote_units": 79291.04295101145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13957.480562153058, "return_pct": 39.57480562153057, "cagr_pct": 39.627966152695755, "max_drawdown_pct": 40.863515080291535, "mean_exposure_while_solvent": 0.7463979154170155, "realized_annual_volatility_pct": 61.988543040523815, "trading_costs_quote_units": 47.57462577060682, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4005.0551879236577, "turnover_quote_units": 79291.04295101145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15083.47973711669, "return_pct": 50.83479737116689, "cagr_pct": 50.90561728475351, "max_drawdown_pct": 43.1165277283171, "mean_exposure_while_solvent": 0.7490522074796044, "realized_annual_volatility_pct": 65.59471321058713, "trading_costs_quote_units": 23.842091813195765, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5107.321828929896, "turnover_quote_units": 39736.819688659685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15083.47973711669, "return_pct": 50.83479737116689, "cagr_pct": 50.90561728475351, "max_drawdown_pct": 43.1165277283171, "mean_exposure_while_solvent": 0.7490522074796044, "realized_annual_volatility_pct": 65.59471321058713, "trading_costs_quote_units": 23.842091813195765, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5107.321828929896, "turnover_quote_units": 39736.819688659685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15782.73903642115, "return_pct": 57.827390364211496, "cagr_pct": 57.909665861483276, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 87.60880202139325, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5788.735438579867, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15782.73903642115, "return_pct": 57.827390364211496, "cagr_pct": 57.909665861483276, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 87.60880202139325, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5788.735438579867, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15304.063036561221, "return_pct": 53.040630365612216, "cagr_pct": 53.11502472995262, "max_drawdown_pct": 63.867342975987775, "mean_exposure_while_solvent": 1.248325428448795, "realized_annual_volatility_pct": 109.7540655790684, "trading_costs_quote_units": 43.77125623639081, "borrowing_costs_quote_units": 419.9481798715398, "price_pnl_quote_units": 5767.782472669139, "turnover_quote_units": 72952.09372731799, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15304.063036561221, "return_pct": 53.040630365612216, "cagr_pct": 53.11502472995262, "max_drawdown_pct": 63.867342975987775, "mean_exposure_while_solvent": 1.248325428448795, "realized_annual_volatility_pct": 109.7540655790684, "trading_costs_quote_units": 43.77125623639081, "borrowing_costs_quote_units": 419.9481798715398, "price_pnl_quote_units": 5767.782472669139, "turnover_quote_units": 72952.09372731799, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 14124.677332357549, "return_pct": 41.24677332357549, "cagr_pct": 41.302492312333136, "max_drawdown_pct": 71.96055944328918, "mean_exposure_while_solvent": 1.4981999854950063, "realized_annual_volatility_pct": 132.06153442252503, "trading_costs_quote_units": 97.58680417574563, "borrowing_costs_quote_units": 851.1570179320195, "price_pnl_quote_units": 5073.421154465314, "turnover_quote_units": 162644.67362624258, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 14124.677332357549, "return_pct": 41.24677332357549, "cagr_pct": 41.302492312333136, "max_drawdown_pct": 71.96055944328918, "mean_exposure_while_solvent": 1.4981999854950063, "realized_annual_volatility_pct": 132.06153442252503, "trading_costs_quote_units": 97.58680417574563, "borrowing_costs_quote_units": 851.1570179320195, "price_pnl_quote_units": 5073.421154465314, "turnover_quote_units": 162644.67362624258, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12853.123986805898, "return_pct": 28.53123986805899, "cagr_pct": 28.56809025314074, "max_drawdown_pct": 28.838751967438903, "mean_exposure_while_solvent": 0.500493839813302, "realized_annual_volatility_pct": 41.565209898642564, "trading_costs_quote_units": 40.82748437557807, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2893.9514711814923, "turnover_quote_units": 68045.8072926301, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12853.123986805898, "return_pct": 28.53123986805899, "cagr_pct": 28.56809025314074, "max_drawdown_pct": 28.838751967438903, "mean_exposure_while_solvent": 0.500493839813302, "realized_annual_volatility_pct": 41.565209898642564, "trading_costs_quote_units": 40.82748437557807, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2893.9514711814923, "turnover_quote_units": 68045.8072926301, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13602.945381727443, "return_pct": 36.02945381727443, "cagr_pct": 36.07726536155889, "max_drawdown_pct": 40.979123428939324, "mean_exposure_while_solvent": 0.7505510035245925, "realized_annual_volatility_pct": 62.51186513076578, "trading_costs_quote_units": 56.24998341480773, "borrowing_costs_quote_units": 14.042566683202635, "price_pnl_quote_units": 3673.237931825442, "turnover_quote_units": 93749.97235801294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13602.945381727443, "return_pct": 36.02945381727443, "cagr_pct": 36.07726536155889, "max_drawdown_pct": 40.979123428939324, "mean_exposure_while_solvent": 0.7505510035245925, "realized_annual_volatility_pct": 62.51186513076578, "trading_costs_quote_units": 56.24998341480773, "borrowing_costs_quote_units": 14.042566683202635, "price_pnl_quote_units": 3673.237931825442, "turnover_quote_units": 93749.97235801294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13472.242363563957, "return_pct": 34.72242363563958, "cagr_pct": 34.7682897411225, "max_drawdown_pct": 51.716347290172216, "mean_exposure_while_solvent": 1.00062015287938, "realized_annual_volatility_pct": 83.62358633389582, "trading_costs_quote_units": 77.34574531391272, "borrowing_costs_quote_units": 352.6512240559789, "price_pnl_quote_units": 3902.2393329338347, "turnover_quote_units": 128909.5755231879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13472.242363563957, "return_pct": 34.72242363563958, "cagr_pct": 34.7682897411225, "max_drawdown_pct": 51.716347290172216, "mean_exposure_while_solvent": 1.00062015287938, "realized_annual_volatility_pct": 83.62358633389582, "trading_costs_quote_units": 77.34574531391272, "borrowing_costs_quote_units": 352.6512240559789, "price_pnl_quote_units": 3902.2393329338347, "turnover_quote_units": 128909.5755231879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13028.72679470199, "return_pct": 30.287267947019902, "cagr_pct": 30.3266415384291, "max_drawdown_pct": 46.78850999300944, "mean_exposure_while_solvent": 0.7809766875276867, "realized_annual_volatility_pct": 64.09187498801894, "trading_costs_quote_units": 100.49473878442228, "borrowing_costs_quote_units": 67.51179848070245, "price_pnl_quote_units": 3196.733331967103, "turnover_quote_units": 167491.23130737047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13028.72679470199, "return_pct": 30.287267947019902, "cagr_pct": 30.3266415384291, "max_drawdown_pct": 46.78850999300944, "mean_exposure_while_solvent": 0.7809766875276867, "realized_annual_volatility_pct": 64.09187498801894, "trading_costs_quote_units": 100.49473878442228, "borrowing_costs_quote_units": 67.51179848070245, "price_pnl_quote_units": 3196.733331967103, "turnover_quote_units": 167491.23130737047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13957.480562153058, "return_pct": 39.57480562153057, "cagr_pct": 39.627966152695755, "max_drawdown_pct": 40.863515080291535, "mean_exposure_while_solvent": 0.7463979154170155, "realized_annual_volatility_pct": 61.988543040523815, "trading_costs_quote_units": 47.57462577060682, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4005.0551879236577, "turnover_quote_units": 79291.04295101145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13957.480562153058, "return_pct": 39.57480562153057, "cagr_pct": 39.627966152695755, "max_drawdown_pct": 40.863515080291535, "mean_exposure_while_solvent": 0.7463979154170155, "realized_annual_volatility_pct": 61.988543040523815, "trading_costs_quote_units": 47.57462577060682, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4005.0551879236577, "turnover_quote_units": 79291.04295101145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13879.19507513913, "return_pct": 38.791950751391305, "cagr_pct": 38.84392121000662, "max_drawdown_pct": 40.057762642521155, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72881660173304, "trading_costs_quote_units": 36.366534955794116, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3915.56161009489, "turnover_quote_units": 60610.89159299024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15083.47973711669, "return_pct": 50.83479737116689, "cagr_pct": 50.90561728475351, "max_drawdown_pct": 43.1165277283171, "mean_exposure_while_solvent": 0.7490522074796044, "realized_annual_volatility_pct": 65.59471321058713, "trading_costs_quote_units": 23.842091813195765, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5107.321828929896, "turnover_quote_units": 39736.819688659685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15083.47973711669, "return_pct": 50.83479737116689, "cagr_pct": 50.90561728475351, "max_drawdown_pct": 43.1165277283171, "mean_exposure_while_solvent": 0.7490522074796044, "realized_annual_volatility_pct": 65.59471321058713, "trading_costs_quote_units": 23.842091813195765, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5107.321828929896, "turnover_quote_units": 39736.819688659685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15782.73903642115, "return_pct": 57.827390364211496, "cagr_pct": 57.909665861483276, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 87.60880202139325, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5788.735438579867, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15782.73903642115, "return_pct": 57.827390364211496, "cagr_pct": 57.909665861483276, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 87.60880202139325, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5788.735438579867, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14926.855979186943, "return_pct": 49.268559791869436, "cagr_pct": 49.33686406127742, "max_drawdown_pct": 64.10863149260808, "mean_exposure_while_solvent": 1.2483610128770688, "realized_annual_volatility_pct": 109.7583688051731, "trading_costs_quote_units": 43.35837726063517, "borrowing_costs_quote_units": 829.402271347363, "price_pnl_quote_units": 5799.616627794885, "turnover_quote_units": 72263.96210105858, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14926.855979186943, "return_pct": 49.268559791869436, "cagr_pct": 49.33686406127742, "max_drawdown_pct": 64.10863149260808, "mean_exposure_while_solvent": 1.2483610128770688, "realized_annual_volatility_pct": 109.7583688051731, "trading_costs_quote_units": 43.35837726063517, "borrowing_costs_quote_units": 829.402271347363, "price_pnl_quote_units": 5799.616627794885, "turnover_quote_units": 72263.96210105858, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13436.319289062423, "return_pct": 34.36319289062424, "cagr_pct": 34.40852683688952, "max_drawdown_pct": 72.33508384680924, "mean_exposure_while_solvent": 1.4982855026844357, "realized_annual_volatility_pct": 132.0719774543091, "trading_costs_quote_units": 95.65905474563745, "borrowing_costs_quote_units": 1660.8148657874901, "price_pnl_quote_units": 5192.793209595554, "turnover_quote_units": 159431.7579093957, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13436.319289062423, "return_pct": 34.36319289062424, "cagr_pct": 34.40852683688952, "max_drawdown_pct": 72.33508384680924, "mean_exposure_while_solvent": 1.4982855026844357, "realized_annual_volatility_pct": 132.0719774543091, "trading_costs_quote_units": 95.65905474563745, "borrowing_costs_quote_units": 1660.8148657874901, "price_pnl_quote_units": 5192.793209595554, "turnover_quote_units": 159431.7579093957, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12443.167606309828, "return_pct": 24.431676063098283, "cagr_pct": 24.46274332142225, "max_drawdown_pct": 29.7267423921569, "mean_exposure_while_solvent": 0.5011128837811546, "realized_annual_volatility_pct": 41.47232723046094, "trading_costs_quote_units": 189.79085654600274, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2632.9584628558296, "turnover_quote_units": 63263.61884866766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12443.167606309828, "return_pct": 24.431676063098283, "cagr_pct": 24.46274332142225, "max_drawdown_pct": 29.7267423921569, "mean_exposure_while_solvent": 0.5011128837811546, "realized_annual_volatility_pct": 41.47232723046094, "trading_costs_quote_units": 189.79085654600274, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2632.9584628558296, "turnover_quote_units": 63263.61884866766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13149.316033026527, "return_pct": 31.49316033026528, "cagr_pct": 31.534282347260813, "max_drawdown_pct": 41.931039898013054, "mean_exposure_while_solvent": 0.7515700766605002, "realized_annual_volatility_pct": 62.347530371822316, "trading_costs_quote_units": 270.37741429398244, "borrowing_costs_quote_units": 3.4342926431978076, "price_pnl_quote_units": 3423.127739963731, "turnover_quote_units": 90125.80476466089, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13149.316033026527, "return_pct": 31.49316033026528, "cagr_pct": 31.534282347260813, "max_drawdown_pct": 41.931039898013054, "mean_exposure_while_solvent": 0.7515700766605002, "realized_annual_volatility_pct": 62.347530371822316, "trading_costs_quote_units": 270.37741429398244, "borrowing_costs_quote_units": 3.4342926431978076, "price_pnl_quote_units": 3423.127739963731, "turnover_quote_units": 90125.80476466089, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13292.235630738734, "return_pct": 32.92235630738733, "cagr_pct": 32.965566887984195, "max_drawdown_pct": 52.54181533206752, "mean_exposure_while_solvent": 1.0020591069118603, "realized_annual_volatility_pct": 83.35083211329565, "trading_costs_quote_units": 380.0068371634728, "borrowing_costs_quote_units": 86.71468353612951, "price_pnl_quote_units": 3758.957151438376, "turnover_quote_units": 126668.94572115748, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13292.235630738734, "return_pct": 32.92235630738733, "cagr_pct": 32.965566887984195, "max_drawdown_pct": 52.54181533206752, "mean_exposure_while_solvent": 1.0020591069118603, "realized_annual_volatility_pct": 83.35083211329565, "trading_costs_quote_units": 380.0068371634728, "borrowing_costs_quote_units": 86.71468353612951, "price_pnl_quote_units": 3758.957151438376, "turnover_quote_units": 126668.94572115748, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12153.738674085567, "return_pct": 21.53738674085568, "cagr_pct": 21.564463852881577, "max_drawdown_pct": 47.23629666316542, "mean_exposure_while_solvent": 0.7824194150274872, "realized_annual_volatility_pct": 63.97561440284725, "trading_costs_quote_units": 473.3086129171432, "borrowing_costs_quote_units": 16.223694193556955, "price_pnl_quote_units": 2643.270981196263, "turnover_quote_units": 157769.5376390479, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12153.738674085567, "return_pct": 21.53738674085568, "cagr_pct": 21.564463852881577, "max_drawdown_pct": 47.23629666316542, "mean_exposure_while_solvent": 0.7824194150274872, "realized_annual_volatility_pct": 63.97561440284725, "trading_costs_quote_units": 473.3086129171432, "borrowing_costs_quote_units": 16.223694193556955, "price_pnl_quote_units": 2643.270981196263, "turnover_quote_units": 157769.5376390479, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13567.160439090958, "return_pct": 35.67160439090957, "cagr_pct": 35.71888186317666, "max_drawdown_pct": 41.68174076485971, "mean_exposure_while_solvent": 0.7474007586920303, "realized_annual_volatility_pct": 61.84430713416384, "trading_costs_quote_units": 227.50929059123195, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3794.6697296822135, "turnover_quote_units": 75836.43019707735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13567.160439090958, "return_pct": 35.67160439090957, "cagr_pct": 35.71888186317666, "max_drawdown_pct": 41.68174076485971, "mean_exposure_while_solvent": 0.7474007586920303, "realized_annual_volatility_pct": 61.84430713416384, "trading_costs_quote_units": 227.50929059123195, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3794.6697296822135, "turnover_quote_units": 75836.43019707735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14861.686471153167, "return_pct": 48.61686471153166, "cagr_pct": 48.68412777486313, "max_drawdown_pct": 43.24704975701928, "mean_exposure_while_solvent": 0.7498154884698544, "realized_annual_volatility_pct": 65.59107000363127, "trading_costs_quote_units": 113.26785340739552, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4974.95432456054, "turnover_quote_units": 37755.95113579847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14861.686471153167, "return_pct": 48.61686471153166, "cagr_pct": 48.68412777486313, "max_drawdown_pct": 43.24704975701928, "mean_exposure_while_solvent": 0.7498154884698544, "realized_annual_volatility_pct": 65.59107000363127, "trading_costs_quote_units": 113.26785340739552, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4974.95432456054, "turnover_quote_units": 37755.95113579847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15796.603331431063, "return_pct": 57.96603331431063, "cagr_pct": 58.04853957891609, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 87.61374486011809, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5826.513600623485, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15796.603331431063, "return_pct": 57.96603331431063, "cagr_pct": 58.04853957891609, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 87.61374486011809, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5826.513600623485, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15668.64938610738, "return_pct": 56.68649386107381, "cagr_pct": 56.76687566966798, "max_drawdown_pct": 63.79567065181349, "mean_exposure_while_solvent": 1.249304556656587, "realized_annual_volatility_pct": 109.77200107774088, "trading_costs_quote_units": 210.5212415858342, "borrowing_costs_quote_units": 213.07369265355706, "price_pnl_quote_units": 6092.244320346758, "turnover_quote_units": 70173.747195278, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15668.64938610738, "return_pct": 56.68649386107381, "cagr_pct": 56.76687566966798, "max_drawdown_pct": 63.79567065181349, "mean_exposure_while_solvent": 1.249304556656587, "realized_annual_volatility_pct": 109.77200107774088, "trading_costs_quote_units": 210.5212415858342, "borrowing_costs_quote_units": 213.07369265355706, "price_pnl_quote_units": 6092.244320346758, "turnover_quote_units": 70173.747195278, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14868.823240513038, "return_pct": 48.688232405130385, "cagr_pct": 48.75560933270941, "max_drawdown_pct": 71.85714763704556, "mean_exposure_while_solvent": 1.4991620022343461, "realized_annual_volatility_pct": 132.08979491039398, "trading_costs_quote_units": 472.6045593204446, "borrowing_costs_quote_units": 439.11445133752426, "price_pnl_quote_units": 5780.542251171086, "turnover_quote_units": 157534.8531068147, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14868.823240513038, "return_pct": 48.688232405130385, "cagr_pct": 48.75560933270941, "max_drawdown_pct": 71.85714763704556, "mean_exposure_while_solvent": 1.4991620022343461, "realized_annual_volatility_pct": 132.08979491039398, "trading_costs_quote_units": 472.6045593204446, "borrowing_costs_quote_units": 439.11445133752426, "price_pnl_quote_units": 5780.542251171086, "turnover_quote_units": 157534.8531068147, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12443.167606309828, "return_pct": 24.431676063098283, "cagr_pct": 24.46274332142225, "max_drawdown_pct": 29.7267423921569, "mean_exposure_while_solvent": 0.5011128837811546, "realized_annual_volatility_pct": 41.47232723046094, "trading_costs_quote_units": 189.79085654600274, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2632.9584628558296, "turnover_quote_units": 63263.61884866766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12443.167606309828, "return_pct": 24.431676063098283, "cagr_pct": 24.46274332142225, "max_drawdown_pct": 29.7267423921569, "mean_exposure_while_solvent": 0.5011128837811546, "realized_annual_volatility_pct": 41.47232723046094, "trading_costs_quote_units": 189.79085654600274, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2632.9584628558296, "turnover_quote_units": 63263.61884866766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13146.544450880067, "return_pct": 31.465444508800665, "cagr_pct": 31.50652619811613, "max_drawdown_pct": 41.9319675688655, "mean_exposure_while_solvent": 0.7515703294001044, "realized_annual_volatility_pct": 62.34768725443417, "trading_costs_quote_units": 270.3680503114845, "borrowing_costs_quote_units": 6.868274070780739, "price_pnl_quote_units": 3423.780775262336, "turnover_quote_units": 90122.6834371615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13146.544450880067, "return_pct": 31.465444508800665, "cagr_pct": 31.50652619811613, "max_drawdown_pct": 41.9319675688655, "mean_exposure_while_solvent": 0.7515703294001044, "realized_annual_volatility_pct": 62.34768725443417, "trading_costs_quote_units": 270.3680503114845, "borrowing_costs_quote_units": 6.868274070780739, "price_pnl_quote_units": 3423.780775262336, "turnover_quote_units": 90122.6834371615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13223.804450044132, "return_pct": 32.23804450044132, "cagr_pct": 32.28025285340067, "max_drawdown_pct": 52.56484304368385, "mean_exposure_while_solvent": 1.002066560483255, "realized_annual_volatility_pct": 83.3522574782259, "trading_costs_quote_units": 379.3696089330036, "borrowing_costs_quote_units": 172.9870867230644, "price_pnl_quote_units": 3776.161145700197, "turnover_quote_units": 126456.53631100111, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13223.804450044132, "return_pct": 32.23804450044132, "cagr_pct": 32.28025285340067, "max_drawdown_pct": 52.56484304368385, "mean_exposure_while_solvent": 1.002066560483255, "realized_annual_volatility_pct": 83.3522574782259, "trading_costs_quote_units": 379.3696089330036, "borrowing_costs_quote_units": 172.9870867230644, "price_pnl_quote_units": 3776.161145700197, "turnover_quote_units": 126456.53631100111, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12140.65345865602, "return_pct": 21.406534586560188, "cagr_pct": 21.43343315070116, "max_drawdown_pct": 47.24785777042021, "mean_exposure_while_solvent": 0.7824208945051307, "realized_annual_volatility_pct": 63.97599614201521, "trading_costs_quote_units": 473.1194937693973, "borrowing_costs_quote_units": 32.43251094706956, "price_pnl_quote_units": 2646.2054633724883, "turnover_quote_units": 157706.4979231323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12140.65345865602, "return_pct": 21.406534586560188, "cagr_pct": 21.43343315070116, "max_drawdown_pct": 47.24785777042021, "mean_exposure_while_solvent": 0.7824208945051307, "realized_annual_volatility_pct": 63.97599614201521, "trading_costs_quote_units": 473.1194937693973, "borrowing_costs_quote_units": 32.43251094706956, "price_pnl_quote_units": 2646.2054633724883, "turnover_quote_units": 157706.4979231323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13567.160439090958, "return_pct": 35.67160439090957, "cagr_pct": 35.71888186317666, "max_drawdown_pct": 41.68174076485971, "mean_exposure_while_solvent": 0.7474007586920303, "realized_annual_volatility_pct": 61.84430713416384, "trading_costs_quote_units": 227.50929059123195, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3794.6697296822135, "turnover_quote_units": 75836.43019707735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13567.160439090958, "return_pct": 35.67160439090957, "cagr_pct": 35.71888186317666, "max_drawdown_pct": 41.68174076485971, "mean_exposure_while_solvent": 0.7474007586920303, "realized_annual_volatility_pct": 61.84430713416384, "trading_costs_quote_units": 227.50929059123195, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3794.6697296822135, "turnover_quote_units": 75836.43019707735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14861.686471153167, "return_pct": 48.61686471153166, "cagr_pct": 48.68412777486313, "max_drawdown_pct": 43.24704975701928, "mean_exposure_while_solvent": 0.7498154884698544, "realized_annual_volatility_pct": 65.59107000363127, "trading_costs_quote_units": 113.26785340739552, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4974.95432456054, "turnover_quote_units": 37755.95113579847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14861.686471153167, "return_pct": 48.61686471153166, "cagr_pct": 48.68412777486313, "max_drawdown_pct": 43.24704975701928, "mean_exposure_while_solvent": 0.7498154884698544, "realized_annual_volatility_pct": 65.59107000363127, "trading_costs_quote_units": 113.26785340739552, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4974.95432456054, "turnover_quote_units": 37755.95113579847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15796.603331431063, "return_pct": 57.96603331431063, "cagr_pct": 58.04853957891609, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 87.61374486011809, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5826.513600623485, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15796.603331431063, "return_pct": 57.96603331431063, "cagr_pct": 58.04853957891609, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 87.61374486011809, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5826.513600623485, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15474.226201386527, "return_pct": 54.74226201386527, "cagr_pct": 54.81943867178754, "max_drawdown_pct": 63.91681627506014, "mean_exposure_while_solvent": 1.2493223571455963, "realized_annual_volatility_pct": 109.77421287823847, "trading_costs_quote_units": 209.54072126451572, "borrowing_costs_quote_units": 423.46366983858223, "price_pnl_quote_units": 6107.230592489589, "turnover_quote_units": 69846.90708817182, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15474.226201386527, "return_pct": 54.74226201386527, "cagr_pct": 54.81943867178754, "max_drawdown_pct": 63.91681627506014, "mean_exposure_while_solvent": 1.2493223571455963, "realized_annual_volatility_pct": 109.77421287823847, "trading_costs_quote_units": 209.54072126451572, "borrowing_costs_quote_units": 423.46366983858223, "price_pnl_quote_units": 6107.230592489589, "turnover_quote_units": 69846.90708817182, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14501.812138982397, "return_pct": 45.018121389823975, "cagr_pct": 45.07969404122561, "max_drawdown_pct": 72.04584558678478, "mean_exposure_while_solvent": 1.4992047584650572, "realized_annual_volatility_pct": 132.09515389346615, "trading_costs_quote_units": 467.82885149715645, "borrowing_costs_quote_units": 867.3716457501072, "price_pnl_quote_units": 5837.012636229661, "turnover_quote_units": 155942.95049905218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14501.812138982397, "return_pct": 45.018121389823975, "cagr_pct": 45.07969404122561, "max_drawdown_pct": 72.04584558678478, "mean_exposure_while_solvent": 1.4992047584650572, "realized_annual_volatility_pct": 132.09515389346615, "trading_costs_quote_units": 467.82885149715645, "borrowing_costs_quote_units": 867.3716457501072, "price_pnl_quote_units": 5837.012636229661, "turnover_quote_units": 155942.95049905218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12443.167606309828, "return_pct": 24.431676063098283, "cagr_pct": 24.46274332142225, "max_drawdown_pct": 29.7267423921569, "mean_exposure_while_solvent": 0.5011128837811546, "realized_annual_volatility_pct": 41.47232723046094, "trading_costs_quote_units": 189.79085654600274, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2632.9584628558296, "turnover_quote_units": 63263.61884866766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12443.167606309828, "return_pct": 24.431676063098283, "cagr_pct": 24.46274332142225, "max_drawdown_pct": 29.7267423921569, "mean_exposure_while_solvent": 0.5011128837811546, "realized_annual_volatility_pct": 41.47232723046094, "trading_costs_quote_units": 189.79085654600274, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2632.9584628558296, "turnover_quote_units": 63263.61884866766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13141.002022964201, "return_pct": 31.41002022964201, "cagr_pct": 31.451021294357822, "max_drawdown_pct": 41.93382320632977, "mean_exposure_while_solvent": 0.7515708349330613, "realized_annual_volatility_pct": 62.348001198304445, "trading_costs_quote_units": 270.3493217342631, "borrowing_costs_quote_units": 13.735303002905047, "price_pnl_quote_units": 3425.086647701376, "turnover_quote_units": 90116.44057808774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13141.002022964201, "return_pct": 31.41002022964201, "cagr_pct": 31.451021294357822, "max_drawdown_pct": 41.93382320632977, "mean_exposure_while_solvent": 0.7515708349330613, "realized_annual_volatility_pct": 62.348001198304445, "trading_costs_quote_units": 270.3493217342631, "borrowing_costs_quote_units": 13.735303002905047, "price_pnl_quote_units": 3425.086647701376, "turnover_quote_units": 90116.44057808774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13087.966574161019, "return_pct": 30.879665741610186, "cagr_pct": 30.91989666377041, "max_drawdown_pct": 52.61087536467311, "mean_exposure_while_solvent": 1.0020814700370935, "realized_annual_volatility_pct": 83.35511600298368, "trading_costs_quote_units": 378.10061082843157, "borrowing_costs_quote_units": 344.2136337673972, "price_pnl_quote_units": 3810.2808187568517, "turnover_quote_units": 126033.53694281064, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13087.966574161019, "return_pct": 30.879665741610186, "cagr_pct": 30.91989666377041, "max_drawdown_pct": 52.61087536467311, "mean_exposure_while_solvent": 1.0020814700370935, "realized_annual_volatility_pct": 83.35511600298368, "trading_costs_quote_units": 378.10061082843157, "borrowing_costs_quote_units": 344.2136337673972, "price_pnl_quote_units": 3810.2808187568517, "turnover_quote_units": 126033.53694281064, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12114.519776924513, "return_pct": 21.14519776924513, "cagr_pct": 21.171740221967895, "max_drawdown_pct": 47.27097785125927, "mean_exposure_while_solvent": 0.7824238538837296, "realized_annual_volatility_pct": 63.97676181980355, "trading_costs_quote_units": 472.7415473620849, "borrowing_costs_quote_units": 64.80555783377572, "price_pnl_quote_units": 2652.0668821203467, "turnover_quote_units": 157580.5157873616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12114.519776924513, "return_pct": 21.14519776924513, "cagr_pct": 21.171740221967895, "max_drawdown_pct": 47.27097785125927, "mean_exposure_while_solvent": 0.7824238538837296, "realized_annual_volatility_pct": 63.97676181980355, "trading_costs_quote_units": 472.7415473620849, "borrowing_costs_quote_units": 64.80555783377572, "price_pnl_quote_units": 2652.0668821203467, "turnover_quote_units": 157580.5157873616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13567.160439090958, "return_pct": 35.67160439090957, "cagr_pct": 35.71888186317666, "max_drawdown_pct": 41.68174076485971, "mean_exposure_while_solvent": 0.7474007586920303, "realized_annual_volatility_pct": 61.84430713416384, "trading_costs_quote_units": 227.50929059123195, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3794.6697296822135, "turnover_quote_units": 75836.43019707735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13567.160439090958, "return_pct": 35.67160439090957, "cagr_pct": 35.71888186317666, "max_drawdown_pct": 41.68174076485971, "mean_exposure_while_solvent": 0.7474007586920303, "realized_annual_volatility_pct": 61.84430713416384, "trading_costs_quote_units": 227.50929059123195, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3794.6697296822135, "turnover_quote_units": 75836.43019707735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13590.072929001248, "return_pct": 35.900729290012464, "cagr_pct": 35.94834859535989, "max_drawdown_pct": 40.52272653211744, "mean_exposure_while_solvent": 0.7314836858862858, "realized_annual_volatility_pct": 62.61000167697033, "trading_costs_quote_units": 170.63443738891124, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3760.7073663901774, "turnover_quote_units": 56878.14579630366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14861.686471153167, "return_pct": 48.61686471153166, "cagr_pct": 48.68412777486313, "max_drawdown_pct": 43.24704975701928, "mean_exposure_while_solvent": 0.7498154884698544, "realized_annual_volatility_pct": 65.59107000363127, "trading_costs_quote_units": 113.26785340739552, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4974.95432456054, "turnover_quote_units": 37755.95113579847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14861.686471153167, "return_pct": 48.61686471153166, "cagr_pct": 48.68412777486313, "max_drawdown_pct": 43.24704975701928, "mean_exposure_while_solvent": 0.7498154884698544, "realized_annual_volatility_pct": 65.59107000363127, "trading_costs_quote_units": 113.26785340739552, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4974.95432456054, "turnover_quote_units": 37755.95113579847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15796.603331431063, "return_pct": 57.96603331431063, "cagr_pct": 58.04853957891609, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 87.61374486011809, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5826.513600623485, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15796.603331431063, "return_pct": 57.96603331431063, "cagr_pct": 58.04853957891609, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 87.61374486011809, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5826.513600623485, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15092.495502454785, "return_pct": 50.924955024547856, "cagr_pct": 50.99592031480535, "max_drawdown_pct": 64.15794655999501, "mean_exposure_while_solvent": 1.2493579636077161, "realized_annual_volatility_pct": 109.77863757980595, "trading_costs_quote_units": 207.61304751159852, "borrowing_costs_quote_units": 836.3248018720807, "price_pnl_quote_units": 6136.433351838496, "turnover_quote_units": 69204.34917053282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15092.495502454785, "return_pct": 50.924955024547856, "cagr_pct": 50.99592031480535, "max_drawdown_pct": 64.15794655999501, "mean_exposure_while_solvent": 1.2493579636077161, "realized_annual_volatility_pct": 109.77863757980595, "trading_costs_quote_units": 207.61304751159852, "borrowing_costs_quote_units": 836.3248018720807, "price_pnl_quote_units": 6136.433351838496, "turnover_quote_units": 69204.34917053282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13794.536803359919, "return_pct": 37.94536803359918, "cagr_pct": 37.99605722754752, "max_drawdown_pct": 72.41955703539847, "mean_exposure_while_solvent": 1.4992902894935043, "realized_annual_volatility_pct": 132.10587548125977, "trading_costs_quote_units": 458.5241078922627, "borrowing_costs_quote_units": 1692.3781753877129, "price_pnl_quote_units": 5945.439086639988, "turnover_quote_units": 152841.36929742098, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13794.536803359919, "return_pct": 37.94536803359918, "cagr_pct": 37.99605722754752, "max_drawdown_pct": 72.41955703539847, "mean_exposure_while_solvent": 1.4992902894935043, "realized_annual_volatility_pct": 132.10587548125977, "trading_costs_quote_units": 458.5241078922627, "borrowing_costs_quote_units": 1692.3781753877129, "price_pnl_quote_units": 5945.439086639988, "turnover_quote_units": 152841.36929742098, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12687.22844532934, "return_pct": 26.872284453293393, "cagr_pct": 26.90677631419916, "max_drawdown_pct": 29.05387177666561, "mean_exposure_while_solvent": 0.500493839813302, "realized_annual_volatility_pct": 41.566226012014596, "trading_costs_quote_units": 202.7445292212773, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2889.9729745506006, "turnover_quote_units": 67581.50974042584, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12687.22844532934, "return_pct": 26.872284453293393, "cagr_pct": 26.90677631419916, "max_drawdown_pct": 29.05387177666561, "mean_exposure_while_solvent": 0.500493839813302, "realized_annual_volatility_pct": 41.566226012014596, "trading_costs_quote_units": 202.7445292212773, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2889.9729745506006, "turnover_quote_units": 67581.50974042584, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13389.32439592265, "return_pct": 33.89324395922648, "cagr_pct": 33.93788338895395, "max_drawdown_pct": 41.19319022651027, "mean_exposure_while_solvent": 0.7505502491763866, "realized_annual_volatility_pct": 62.51057857560701, "trading_costs_quote_units": 278.7977567716989, "borrowing_costs_quote_units": 3.463520820727568, "price_pnl_quote_units": 3671.5856735151083, "turnover_quote_units": 92932.5855905664, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13389.32439592265, "return_pct": 33.89324395922648, "cagr_pct": 33.93788338895395, "max_drawdown_pct": 41.19319022651027, "mean_exposure_while_solvent": 0.7505502491763866, "realized_annual_volatility_pct": 62.51057857560701, "trading_costs_quote_units": 278.7977567716989, "borrowing_costs_quote_units": 3.463520820727568, "price_pnl_quote_units": 3671.5856735151083, "turnover_quote_units": 92932.5855905664, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13395.628074580112, "return_pct": 33.95628074580112, "cagr_pct": 34.001013225368034, "max_drawdown_pct": 51.85846137092871, "mean_exposure_while_solvent": 1.0005978967977718, "realized_annual_volatility_pct": 83.61916520616016, "trading_costs_quote_units": 384.16836414995237, "borrowing_costs_quote_units": 87.48018121622837, "price_pnl_quote_units": 3867.276619946283, "turnover_quote_units": 128056.12138331754, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13395.628074580112, "return_pct": 33.95628074580112, "cagr_pct": 34.001013225368034, "max_drawdown_pct": 51.85846137092871, "mean_exposure_while_solvent": 1.0005978967977718, "realized_annual_volatility_pct": 83.61916520616016, "trading_costs_quote_units": 384.16836414995237, "borrowing_costs_quote_units": 87.48018121622837, "price_pnl_quote_units": 3867.276619946283, "turnover_quote_units": 128056.12138331754, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12695.985125236148, "return_pct": 26.959851252361467, "cagr_pct": 26.99446698893364, "max_drawdown_pct": 47.108410974543894, "mean_exposure_while_solvent": 0.7809723492260012, "realized_annual_volatility_pct": 64.09218501735569, "trading_costs_quote_units": 495.48483408414154, "borrowing_costs_quote_units": 16.59880107727231, "price_pnl_quote_units": 3208.068760397563, "turnover_quote_units": 165161.61136138067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12695.985125236148, "return_pct": 26.959851252361467, "cagr_pct": 26.99446698893364, "max_drawdown_pct": 47.108410974543894, "mean_exposure_while_solvent": 0.7809723492260012, "realized_annual_volatility_pct": 64.09218501735569, "trading_costs_quote_units": 495.48483408414154, "borrowing_costs_quote_units": 16.59880107727231, "price_pnl_quote_units": 3208.068760397563, "turnover_quote_units": 165161.61136138067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13759.782952787478, "return_pct": 37.59782952787478, "cagr_pct": 37.647994456479566, "max_drawdown_pct": 41.063187663226486, "mean_exposure_while_solvent": 0.7463979154170155, "realized_annual_volatility_pct": 61.98720586347187, "trading_costs_quote_units": 236.05107335114937, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3995.834026138627, "turnover_quote_units": 78683.6911170497, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13759.782952787478, "return_pct": 37.59782952787478, "cagr_pct": 37.647994456479566, "max_drawdown_pct": 41.063187663226486, "mean_exposure_while_solvent": 0.7463979154170155, "realized_annual_volatility_pct": 61.98720586347187, "trading_costs_quote_units": 236.05107335114937, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3995.834026138627, "turnover_quote_units": 78683.6911170497, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14976.08279128635, "return_pct": 49.76082791286349, "cagr_pct": 49.82992083218256, "max_drawdown_pct": 43.204896092240475, "mean_exposure_while_solvent": 0.7490522074796044, "realized_annual_volatility_pct": 65.59553029286663, "trading_costs_quote_units": 118.73804373535128, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5094.820835021736, "turnover_quote_units": 39579.34791178381, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14976.08279128635, "return_pct": 49.76082791286349, "cagr_pct": 49.82992083218256, "max_drawdown_pct": 43.204896092240475, "mean_exposure_while_solvent": 0.7490522074796044, "realized_annual_volatility_pct": 65.59553029286663, "trading_costs_quote_units": 118.73804373535128, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5094.820835021736, "turnover_quote_units": 39579.34791178381, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15744.973758567301, "return_pct": 57.449737585673, "cagr_pct": 57.53138519739225, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 87.60935132968588, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5774.884027759721, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15744.973758567301, "return_pct": 57.449737585673, "cagr_pct": 57.53138519739225, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 87.60935132968588, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5774.884027759721, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15312.195797486916, "return_pct": 53.12195797486916, "cagr_pct": 53.196484825273174, "max_drawdown_pct": 63.84147874113526, "mean_exposure_while_solvent": 1.248307638975782, "realized_annual_volatility_pct": 109.7542273300395, "trading_costs_quote_units": 218.41410709215575, "borrowing_costs_quote_units": 209.59395722478152, "price_pnl_quote_units": 5740.203861803845, "turnover_quote_units": 72804.70236405195, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15312.195797486916, "return_pct": 53.12195797486916, "cagr_pct": 53.196484825273174, "max_drawdown_pct": 63.84147874113526, "mean_exposure_while_solvent": 1.248307638975782, "realized_annual_volatility_pct": 109.7542273300395, "trading_costs_quote_units": 218.41410709215575, "borrowing_costs_quote_units": 209.59395722478152, "price_pnl_quote_units": 5740.203861803845, "turnover_quote_units": 72804.70236405195, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14122.210609698324, "return_pct": 41.22210609698325, "cagr_pct": 41.277787174572424, "max_drawdown_pct": 71.95084788240935, "mean_exposure_while_solvent": 1.4981572361906201, "realized_annual_volatility_pct": 132.06226437861662, "trading_costs_quote_units": 486.3358045803099, "borrowing_costs_quote_units": 424.1869567638205, "price_pnl_quote_units": 5032.733371042466, "turnover_quote_units": 162111.93486010344, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14122.210609698324, "return_pct": 41.22210609698325, "cagr_pct": 41.277787174572424, "max_drawdown_pct": 71.95084788240935, "mean_exposure_while_solvent": 1.4981572361906201, "realized_annual_volatility_pct": 132.06226437861662, "trading_costs_quote_units": 486.3358045803099, "borrowing_costs_quote_units": 424.1869567638205, "price_pnl_quote_units": 5032.733371042466, "turnover_quote_units": 162111.93486010344, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12687.22844532934, "return_pct": 26.872284453293393, "cagr_pct": 26.90677631419916, "max_drawdown_pct": 29.05387177666561, "mean_exposure_while_solvent": 0.500493839813302, "realized_annual_volatility_pct": 41.566226012014596, "trading_costs_quote_units": 202.7445292212773, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2889.9729745506006, "turnover_quote_units": 67581.50974042584, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12687.22844532934, "return_pct": 26.872284453293393, "cagr_pct": 26.90677631419916, "max_drawdown_pct": 29.05387177666561, "mean_exposure_while_solvent": 0.500493839813302, "realized_annual_volatility_pct": 41.566226012014596, "trading_costs_quote_units": 202.7445292212773, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2889.9729745506006, "turnover_quote_units": 67581.50974042584, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13386.510480900593, "return_pct": 33.86510480900593, "cagr_pct": 33.90970271293797, "max_drawdown_pct": 41.19411170051948, "mean_exposure_while_solvent": 0.750550500607963, "realized_annual_volatility_pct": 62.51071333278384, "trading_costs_quote_units": 278.7882977256341, "borrowing_costs_quote_units": 6.926729049307824, "price_pnl_quote_units": 3672.2255076755428, "turnover_quote_units": 92929.43257521126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13386.510480900593, "return_pct": 33.86510480900593, "cagr_pct": 33.90970271293797, "max_drawdown_pct": 41.19411170051948, "mean_exposure_while_solvent": 0.750550500607963, "realized_annual_volatility_pct": 62.51071333278384, "trading_costs_quote_units": 278.7882977256341, "borrowing_costs_quote_units": 6.926729049307824, "price_pnl_quote_units": 3672.2255076755428, "turnover_quote_units": 92929.43257521126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13326.74034616504, "return_pct": 33.2674034616504, "cagr_pct": 33.311120919918466, "max_drawdown_pct": 51.88231227476344, "mean_exposure_while_solvent": 1.0006053146917946, "realized_annual_volatility_pct": 83.62062417222309, "trading_costs_quote_units": 383.55312781884663, "borrowing_costs_quote_units": 174.51370439662935, "price_pnl_quote_units": 3884.80717838049, "turnover_quote_units": 127851.04260628214, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13326.74034616504, "return_pct": 33.2674034616504, "cagr_pct": 33.311120919918466, "max_drawdown_pct": 51.88231227476344, "mean_exposure_while_solvent": 1.0006053146917946, "realized_annual_volatility_pct": 83.62062417222309, "trading_costs_quote_units": 383.55312781884663, "borrowing_costs_quote_units": 174.51370439662935, "price_pnl_quote_units": 3884.80717838049, "turnover_quote_units": 127851.04260628214, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12682.458154683722, "return_pct": 26.824581546837223, "cagr_pct": 26.859005954292037, "max_drawdown_pct": 47.120720876891866, "mean_exposure_while_solvent": 0.7809737951900603, "realized_annual_volatility_pct": 64.0925968919498, "trading_costs_quote_units": 495.29229413109755, "borrowing_costs_quote_units": 33.182414632159, "price_pnl_quote_units": 3210.9328634469894, "turnover_quote_units": 165097.4313770325, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12682.458154683722, "return_pct": 26.824581546837223, "cagr_pct": 26.859005954292037, "max_drawdown_pct": 47.120720876891866, "mean_exposure_while_solvent": 0.7809737951900603, "realized_annual_volatility_pct": 64.0925968919498, "trading_costs_quote_units": 495.29229413109755, "borrowing_costs_quote_units": 33.182414632159, "price_pnl_quote_units": 3210.9328634469894, "turnover_quote_units": 165097.4313770325, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13759.782952787478, "return_pct": 37.59782952787478, "cagr_pct": 37.647994456479566, "max_drawdown_pct": 41.063187663226486, "mean_exposure_while_solvent": 0.7463979154170155, "realized_annual_volatility_pct": 61.98720586347187, "trading_costs_quote_units": 236.05107335114937, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3995.834026138627, "turnover_quote_units": 78683.6911170497, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13759.782952787478, "return_pct": 37.59782952787478, "cagr_pct": 37.647994456479566, "max_drawdown_pct": 41.063187663226486, "mean_exposure_while_solvent": 0.7463979154170155, "realized_annual_volatility_pct": 61.98720586347187, "trading_costs_quote_units": 236.05107335114937, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3995.834026138627, "turnover_quote_units": 78683.6911170497, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 14976.08279128635, "return_pct": 49.76082791286349, "cagr_pct": 49.82992083218256, "max_drawdown_pct": 43.204896092240475, "mean_exposure_while_solvent": 0.7490522074796044, "realized_annual_volatility_pct": 65.59553029286663, "trading_costs_quote_units": 118.73804373535128, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5094.820835021736, "turnover_quote_units": 39579.34791178381, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 14976.08279128635, "return_pct": 49.76082791286349, "cagr_pct": 49.82992083218256, "max_drawdown_pct": 43.204896092240475, "mean_exposure_while_solvent": 0.7490522074796044, "realized_annual_volatility_pct": 65.59553029286663, "trading_costs_quote_units": 118.73804373535128, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5094.820835021736, "turnover_quote_units": 39579.34791178381, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15744.973758567301, "return_pct": 57.449737585673, "cagr_pct": 57.53138519739225, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 87.60935132968588, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5774.884027759721, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15744.973758567301, "return_pct": 57.449737585673, "cagr_pct": 57.53138519739225, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 87.60935132968588, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5774.884027759721, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15122.361224257036, "return_pct": 51.22361224257037, "cagr_pct": 51.2950595490256, "max_drawdown_pct": 63.96244139461793, "mean_exposure_while_solvent": 1.248325428448795, "realized_annual_volatility_pct": 109.75639984205934, "trading_costs_quote_units": 217.37475785008854, "borrowing_costs_quote_units": 416.5573205286868, "price_pnl_quote_units": 5756.293302635789, "turnover_quote_units": 72458.25261669628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15122.361224257036, "return_pct": 51.22361224257037, "cagr_pct": 51.2950595490256, "max_drawdown_pct": 63.96244139461793, "mean_exposure_while_solvent": 1.248325428448795, "realized_annual_volatility_pct": 109.75639984205934, "trading_costs_quote_units": 217.37475785008854, "borrowing_costs_quote_units": 416.5573205286868, "price_pnl_quote_units": 5756.293302635789, "turnover_quote_units": 72458.25261669628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13773.875970857993, "return_pct": 37.73875970857994, "cagr_pct": 37.78913711090718, "max_drawdown_pct": 72.13887179278983, "mean_exposure_while_solvent": 1.4981999854950063, "realized_annual_volatility_pct": 132.0675373174472, "trading_costs_quote_units": 481.48176634336, "borrowing_costs_quote_units": 837.9427429403712, "price_pnl_quote_units": 5093.3004801417665, "turnover_quote_units": 160493.9221144534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13773.875970857993, "return_pct": 37.73875970857994, "cagr_pct": 37.78913711090718, "max_drawdown_pct": 72.13887179278983, "mean_exposure_while_solvent": 1.4981999854950063, "realized_annual_volatility_pct": 132.0675373174472, "trading_costs_quote_units": 481.48176634336, "borrowing_costs_quote_units": 837.9427429403712, "price_pnl_quote_units": 5093.3004801417665, "turnover_quote_units": 160493.9221144534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12687.22844532934, "return_pct": 26.872284453293393, "cagr_pct": 26.90677631419916, "max_drawdown_pct": 29.05387177666561, "mean_exposure_while_solvent": 0.500493839813302, "realized_annual_volatility_pct": 41.566226012014596, "trading_costs_quote_units": 202.7445292212773, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2889.9729745506006, "turnover_quote_units": 67581.50974042584, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12687.22844532934, "return_pct": 26.872284453293393, "cagr_pct": 26.90677631419916, "max_drawdown_pct": 29.05387177666561, "mean_exposure_while_solvent": 0.500493839813302, "realized_annual_volatility_pct": 41.566226012014596, "trading_costs_quote_units": 202.7445292212773, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2889.9729745506006, "turnover_quote_units": 67581.50974042584, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13380.883393915188, "return_pct": 33.80883393915188, "cagr_pct": 33.853348822751585, "max_drawdown_pct": 41.1959549424856, "mean_exposure_while_solvent": 0.7505510035245925, "realized_annual_volatility_pct": 62.5109830299325, "trading_costs_quote_units": 278.7693790178695, "borrowing_costs_quote_units": 13.852207449380064, "price_pnl_quote_units": 3673.504980382441, "turnover_quote_units": 92923.12633928981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13380.883393915188, "return_pct": 33.80883393915188, "cagr_pct": 33.853348822751585, "max_drawdown_pct": 41.1959549424856, "mean_exposure_while_solvent": 0.7505510035245925, "realized_annual_volatility_pct": 62.5109830299325, "trading_costs_quote_units": 278.7693790178695, "borrowing_costs_quote_units": 13.852207449380064, "price_pnl_quote_units": 3673.504980382441, "turnover_quote_units": 92923.12633928981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13189.995049310468, "return_pct": 31.89995049310468, "cagr_pct": 31.9416651747769, "max_drawdown_pct": 51.92998923092301, "mean_exposure_while_solvent": 1.00062015287938, "realized_annual_volatility_pct": 83.62355017228342, "trading_costs_quote_units": 382.327915366639, "borrowing_costs_quote_units": 347.2494276881179, "price_pnl_quote_units": 3919.5723923652376, "turnover_quote_units": 127442.63845554656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13189.995049310468, "return_pct": 31.89995049310468, "cagr_pct": 31.9416651747769, "max_drawdown_pct": 51.92998923092301, "mean_exposure_while_solvent": 1.00062015287938, "realized_annual_volatility_pct": 83.62355017228342, "trading_costs_quote_units": 382.327915366639, "borrowing_costs_quote_units": 347.2494276881179, "price_pnl_quote_units": 3919.5723923652376, "turnover_quote_units": 127442.63845554656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12655.44177744746, "return_pct": 26.554417774474604, "cagr_pct": 26.58846054906298, "max_drawdown_pct": 47.14533761545162, "mean_exposure_while_solvent": 0.7809766875276867, "realized_annual_volatility_pct": 64.09342284320022, "trading_costs_quote_units": 494.90751908729754, "borrowing_costs_quote_units": 66.30412564409112, "price_pnl_quote_units": 3216.6534221788547, "turnover_quote_units": 164969.17302909913, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12655.44177744746, "return_pct": 26.554417774474604, "cagr_pct": 26.58846054906298, "max_drawdown_pct": 47.14533761545162, "mean_exposure_while_solvent": 0.7809766875276867, "realized_annual_volatility_pct": 64.09342284320022, "trading_costs_quote_units": 494.90751908729754, "borrowing_costs_quote_units": 66.30412564409112, "price_pnl_quote_units": 3216.6534221788547, "turnover_quote_units": 164969.17302909913, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13759.782952787478, "return_pct": 37.59782952787478, "cagr_pct": 37.647994456479566, "max_drawdown_pct": 41.063187663226486, "mean_exposure_while_solvent": 0.7463979154170155, "realized_annual_volatility_pct": 61.98720586347187, "trading_costs_quote_units": 236.05107335114937, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3995.834026138627, "turnover_quote_units": 78683.6911170497, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13759.782952787478, "return_pct": 37.59782952787478, "cagr_pct": 37.647994456479566, "max_drawdown_pct": 41.063187663226486, "mean_exposure_while_solvent": 0.7463979154170155, "realized_annual_volatility_pct": 61.98720586347187, "trading_costs_quote_units": 236.05107335114937, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3995.834026138627, "turnover_quote_units": 78683.6911170497, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13726.07870385648, "return_pct": 37.26078703856479, "cagr_pct": 37.31044449414398, "max_drawdown_pct": 40.21215617221, "mean_exposure_while_solvent": 0.7304899808986962, "realized_annual_volatility_pct": 62.72898185246807, "trading_costs_quote_units": 180.7313125005163, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3906.810016356998, "turnover_quote_units": 60243.77083350542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14976.08279128635, "return_pct": 49.76082791286349, "cagr_pct": 49.82992083218256, "max_drawdown_pct": 43.204896092240475, "mean_exposure_while_solvent": 0.7490522074796044, "realized_annual_volatility_pct": 65.59553029286663, "trading_costs_quote_units": 118.73804373535128, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5094.820835021736, "turnover_quote_units": 39579.34791178381, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14976.08279128635, "return_pct": 49.76082791286349, "cagr_pct": 49.82992083218256, "max_drawdown_pct": 43.204896092240475, "mean_exposure_while_solvent": 0.7490522074796044, "realized_annual_volatility_pct": 65.59553029286663, "trading_costs_quote_units": 118.73804373535128, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5094.820835021736, "turnover_quote_units": 39579.34791178381, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15744.973758567301, "return_pct": 57.449737585673, "cagr_pct": 57.53138519739225, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 87.60935132968588, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5774.884027759721, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15744.973758567301, "return_pct": 57.449737585673, "cagr_pct": 57.53138519739225, "max_drawdown_pct": 54.15264145687626, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 87.60935132968588, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5774.884027759721, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14749.631277486682, "return_pct": 47.49631277486681, "cagr_pct": 47.56179319541311, "max_drawdown_pct": 64.20322282208186, "mean_exposure_while_solvent": 1.2483610128770688, "realized_annual_volatility_pct": 109.76074672023981, "trading_costs_quote_units": 215.33375305012154, "borrowing_costs_quote_units": 822.7214667109355, "price_pnl_quote_units": 5787.686497247771, "turnover_quote_units": 71777.91768337385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14749.631277486682, "return_pct": 47.49631277486681, "cagr_pct": 47.56179319541311, "max_drawdown_pct": 64.20322282208186, "mean_exposure_while_solvent": 1.2483610128770688, "realized_annual_volatility_pct": 109.76074672023981, "trading_costs_quote_units": 215.33375305012154, "borrowing_costs_quote_units": 822.7214667109355, "price_pnl_quote_units": 5787.686497247771, "turnover_quote_units": 71777.91768337385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13102.569223283554, "return_pct": 31.02569223283553, "cagr_pct": 31.066134959341213, "max_drawdown_pct": 72.51127694292259, "mean_exposure_while_solvent": 1.4982855026844357, "realized_annual_volatility_pct": 132.0780886978289, "trading_costs_quote_units": 472.0302759340859, "borrowing_costs_quote_units": 1635.179183533438, "price_pnl_quote_units": 5209.778682751024, "turnover_quote_units": 157343.42531136182, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13102.569223283554, "return_pct": 31.02569223283553, "cagr_pct": 31.066134959341213, "max_drawdown_pct": 72.51127694292259, "mean_exposure_while_solvent": 1.4982855026844357, "realized_annual_volatility_pct": 132.0780886978289, "trading_costs_quote_units": 472.0302759340859, "borrowing_costs_quote_units": 1635.179183533438, "price_pnl_quote_units": 5209.778682751024, "turnover_quote_units": 157343.42531136182, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12694.714740376688, "return_pct": 26.94714740376689, "cagr_pct": 26.981745164657276, "max_drawdown_pct": 29.253820071688185, "mean_exposure_while_solvent": 0.5009701105284167, "realized_annual_volatility_pct": 41.536854416811146, "trading_costs_quote_units": 38.612337465650086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2733.327077842308, "turnover_quote_units": 64353.89577608353, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14595.058299076296, "return_pct": 45.95058299076295, "cagr_pct": 46.01362036635153, "max_drawdown_pct": 45.91268690786268, "mean_exposure_while_solvent": 0.7042782572380236, "realized_annual_volatility_pct": 67.70903324242707, "trading_costs_quote_units": 66.6414065664695, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4661.6997056427535, "turnover_quote_units": 111069.01094411589, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -19.003435586996062 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13511.35632808739, "return_pct": 35.11356328087389, "cagr_pct": 35.16001006073776, "max_drawdown_pct": 41.42924299891351, "mean_exposure_while_solvent": 0.7513724451696334, "realized_annual_volatility_pct": 62.45991442749895, "trading_costs_quote_units": 55.054723176719214, "borrowing_costs_quote_units": 3.5733241478440636, "price_pnl_quote_units": 3569.9843754119656, "turnover_quote_units": 91757.87196119873, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14195.370503077904, "return_pct": 41.95370503077904, "cagr_pct": 42.010512596739005, "max_drawdown_pct": 48.74826078436807, "mean_exposure_while_solvent": 0.8578660429202127, "realized_annual_volatility_pct": 76.09485299430683, "trading_costs_quote_units": 56.36836244892036, "borrowing_costs_quote_units": 3.268443623092098, "price_pnl_quote_units": 4255.007309149898, "turnover_quote_units": 93947.27074820072, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -6.8401417499051504 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13766.623106168317, "return_pct": 37.66623106168316, "cagr_pct": 37.71649909541398, "max_drawdown_pct": 52.06260383030642, "mean_exposure_while_solvent": 1.0018169516275712, "realized_annual_volatility_pct": 83.52368440756163, "trading_costs_quote_units": 77.42801725338403, "borrowing_costs_quote_units": 88.03383339262844, "price_pnl_quote_units": 3932.084956814333, "turnover_quote_units": 129046.6954223067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13449.038122028342, "return_pct": 34.4903812202834, "cagr_pct": 34.5359034560327, "max_drawdown_pct": 54.16933863631528, "mean_exposure_while_solvent": 1.0115563975281388, "realized_annual_volatility_pct": 86.56117105566065, "trading_costs_quote_units": 64.82532613455297, "borrowing_costs_quote_units": 63.87600659799543, "price_pnl_quote_units": 3577.7394547608837, "turnover_quote_units": 108042.21022425503, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 3.17584984139976 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12562.663924657712, "return_pct": 25.62663924657713, "cagr_pct": 25.65937647361877, "max_drawdown_pct": 46.95739967830227, "mean_exposure_while_solvent": 0.7831013575643005, "realized_annual_volatility_pct": 64.1871270398069, "trading_costs_quote_units": 95.30780243734607, "borrowing_costs_quote_units": 16.82309746070262, "price_pnl_quote_units": 2674.794824555764, "turnover_quote_units": 158846.3373955767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13973.968394880976, "return_pct": 39.739683948809756, "cagr_pct": 39.793095764298556, "max_drawdown_pct": 45.27404686849973, "mean_exposure_while_solvent": 0.8299000094812227, "realized_annual_volatility_pct": 68.5016813894187, "trading_costs_quote_units": 102.71750490369993, "borrowing_costs_quote_units": 17.720760204091306, "price_pnl_quote_units": 4094.40665998877, "turnover_quote_units": 171195.8415061665, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 302, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -14.113044702232624 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13759.341771978061, "return_pct": 37.59341771978062, "cagr_pct": 37.64357599957665, "max_drawdown_pct": 40.33411534594015, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.56141578552575, "trading_costs_quote_units": 33.87660214499948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3793.2183741230447, "turnover_quote_units": 56461.003574999064, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15451.03040955739, "return_pct": 54.51030409557389, "cagr_pct": 54.58710021979554, "max_drawdown_pct": 49.57465235389288, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.9536164881377, "trading_costs_quote_units": 26.19783865116277, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5477.228248208534, "turnover_quote_units": 43663.064418604656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -16.916886375793275 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13910.42037810977, "return_pct": 39.10420378109769, "cagr_pct": 39.15664831350546, "max_drawdown_pct": 41.157330937832484, "mean_exposure_while_solvent": 0.7471280426968068, "realized_annual_volatility_pct": 61.898543752065926, "trading_costs_quote_units": 46.187586558584115, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3956.607964668358, "turnover_quote_units": 76979.31093097347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14484.678716839744, "return_pct": 44.84678716839745, "cagr_pct": 44.90809143007958, "max_drawdown_pct": 48.51032692867536, "mean_exposure_while_solvent": 0.8542093983150086, "realized_annual_volatility_pct": 75.75766411026964, "trading_costs_quote_units": 48.741901813602, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4533.420618653339, "turnover_quote_units": 81236.50302266992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 195, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -5.74258338729976 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13759.341771978061, "return_pct": 37.59341771978062, "cagr_pct": 37.64357599957665, "max_drawdown_pct": 40.33411534594015, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.56141578552575, "trading_costs_quote_units": 33.87660214499948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3793.2183741230447, "turnover_quote_units": 56461.003574999064, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15451.03040955739, "return_pct": 54.51030409557389, "cagr_pct": 54.58710021979554, "max_drawdown_pct": 49.57465235389288, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.9536164881377, "trading_costs_quote_units": 26.19783865116277, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5477.228248208534, "turnover_quote_units": 43663.064418604656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -16.916886375793275 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13759.341771978061, "return_pct": 37.59341771978062, "cagr_pct": 37.64357599957665, "max_drawdown_pct": 40.33411534594015, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.56141578552575, "trading_costs_quote_units": 33.87660214499948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3793.2183741230447, "turnover_quote_units": 56461.003574999064, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15451.03040955739, "return_pct": 54.51030409557389, "cagr_pct": 54.58710021979554, "max_drawdown_pct": 49.57465235389288, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.9536164881377, "trading_costs_quote_units": 26.19783865116277, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5477.228248208534, "turnover_quote_units": 43663.064418604656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -16.916886375793275 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14992.365324689014, "return_pct": 49.92365324689014, "cagr_pct": 49.99300743209528, "max_drawdown_pct": 43.09527347095031, "mean_exposure_while_solvent": 0.7497912302472649, "realized_annual_volatility_pct": 65.44330370750583, "trading_costs_quote_units": 22.65800058919805, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5015.023325278222, "turnover_quote_units": 37763.334315330045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14992.365324689014, "return_pct": 49.92365324689014, "cagr_pct": 49.99300743209528, "max_drawdown_pct": 43.09527347095031, "mean_exposure_while_solvent": 0.7497912302472649, "realized_annual_volatility_pct": 65.44330370750583, "trading_costs_quote_units": 22.65800058919805, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5015.023325278222, "turnover_quote_units": 37763.334315330045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15876.494816804665, "return_pct": 58.76494816804665, "cagr_pct": 58.8487869126364, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9995423340961098, "realized_annual_volatility_pct": 87.42152142386928, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5882.491218963351, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15876.494816804665, "return_pct": 58.76494816804665, "cagr_pct": 58.8487869126364, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9995423340961098, "realized_annual_volatility_pct": 87.42152142386928, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5882.491218963351, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15903.722170557798, "return_pct": 59.03722170557797, "cagr_pct": 59.12151561687238, "max_drawdown_pct": 63.691146842009275, "mean_exposure_while_solvent": 1.2493416353557818, "realized_annual_volatility_pct": 109.53144041174998, "trading_costs_quote_units": 42.27945215257656, "borrowing_costs_quote_units": 215.34171764621945, "price_pnl_quote_units": 6161.343340356585, "turnover_quote_units": 70465.75358762764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15903.722170557798, "return_pct": 59.03722170557797, "cagr_pct": 59.12151561687238, "max_drawdown_pct": 63.691146842009275, "mean_exposure_while_solvent": 1.2493416353557818, "realized_annual_volatility_pct": 109.53144041174998, "trading_costs_quote_units": 42.27945215257656, "borrowing_costs_quote_units": 215.34171764621945, "price_pnl_quote_units": 6161.343340356585, "turnover_quote_units": 70465.75358762764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15293.38428724348, "return_pct": 52.93384287243479, "cagr_pct": 53.00806335058144, "max_drawdown_pct": 71.6962467535288, "mean_exposure_while_solvent": 1.4992512853642017, "realized_annual_volatility_pct": 131.79986946132755, "trading_costs_quote_units": 95.56219092990312, "borrowing_costs_quote_units": 447.2598738504444, "price_pnl_quote_units": 5836.2063520238735, "turnover_quote_units": 159270.3182165052, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15293.38428724348, "return_pct": 52.93384287243479, "cagr_pct": 53.00806335058144, "max_drawdown_pct": 71.6962467535288, "mean_exposure_while_solvent": 1.4992512853642017, "realized_annual_volatility_pct": 131.79986946132755, "trading_costs_quote_units": 95.56219092990312, "borrowing_costs_quote_units": 447.2598738504444, "price_pnl_quote_units": 5836.2063520238735, "turnover_quote_units": 159270.3182165052, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12694.714740376688, "return_pct": 26.94714740376689, "cagr_pct": 26.981745164657276, "max_drawdown_pct": 29.253820071688185, "mean_exposure_while_solvent": 0.5009701105284167, "realized_annual_volatility_pct": 41.536854416811146, "trading_costs_quote_units": 38.612337465650086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2733.327077842308, "turnover_quote_units": 64353.89577608353, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14595.058299076296, "return_pct": 45.95058299076295, "cagr_pct": 46.01362036635153, "max_drawdown_pct": 45.91268690786268, "mean_exposure_while_solvent": 0.7042782572380236, "realized_annual_volatility_pct": 67.70903324242707, "trading_costs_quote_units": 66.6414065664695, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4661.6997056427535, "turnover_quote_units": 111069.01094411589, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -19.003435586996062 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13508.46311191435, "return_pct": 35.08463111914351, "cagr_pct": 35.1310349027718, "max_drawdown_pct": 41.43033009375887, "mean_exposure_while_solvent": 0.7513727025851002, "realized_annual_volatility_pct": 62.46007832732712, "trading_costs_quote_units": 55.052661758574004, "borrowing_costs_quote_units": 7.146309882753985, "price_pnl_quote_units": 3570.6620835556955, "turnover_quote_units": 91754.43626429011, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14192.754216729887, "return_pct": 41.92754216729888, "cagr_pct": 41.984309374180214, "max_drawdown_pct": 48.749212035544765, "mean_exposure_while_solvent": 0.8578662636330532, "realized_annual_volatility_pct": 76.09495003858883, "trading_costs_quote_units": 56.36698943113917, "borrowing_costs_quote_units": 6.536681100253869, "price_pnl_quote_units": 4255.657887261279, "turnover_quote_units": 93944.98238523194, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -6.842911048155372 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13696.676843987318, "return_pct": 36.966768439873164, "cagr_pct": 37.015983974972485, "max_drawdown_pct": 52.08177391066175, "mean_exposure_while_solvent": 1.0018244152029265, "realized_annual_volatility_pct": 83.52512316697799, "trading_costs_quote_units": 77.29953417526133, "borrowing_costs_quote_units": 175.62319041363497, "price_pnl_quote_units": 3949.5995685762414, "turnover_quote_units": 128832.55695876888, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13399.237849985484, "return_pct": 33.99237849985484, "cagr_pct": 34.03716427930422, "max_drawdown_pct": 54.18259813872896, "mean_exposure_while_solvent": 1.011561952853741, "realized_annual_volatility_pct": 86.56234084619719, "trading_costs_quote_units": 64.75312394564862, "borrowing_costs_quote_units": 127.52534140285668, "price_pnl_quote_units": 3591.516315333997, "turnover_quote_units": 107921.87324274775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 2.9743899400183267 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12548.902339364135, "return_pct": 25.48902339364134, "cagr_pct": 25.521567636960096, "max_drawdown_pct": 46.969121271166095, "mean_exposure_while_solvent": 0.7831028670089552, "realized_annual_volatility_pct": 64.18756540493428, "trading_costs_quote_units": 95.26860396555072, "borrowing_costs_quote_units": 33.63038293448737, "price_pnl_quote_units": 2677.8013262641907, "turnover_quote_units": 158781.00660925137, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13958.66213672113, "return_pct": 39.58662136721129, "cagr_pct": 39.63979989886441, "max_drawdown_pct": 45.28614045625371, "mean_exposure_while_solvent": 0.829901518818458, "realized_annual_volatility_pct": 68.50209997448883, "trading_costs_quote_units": 102.67612822487315, "borrowing_costs_quote_units": 35.42437402833979, "price_pnl_quote_units": 4096.762638974342, "turnover_quote_units": 171126.88037478866, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 302, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -14.097597973569954 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13759.341771978061, "return_pct": 37.59341771978062, "cagr_pct": 37.64357599957665, "max_drawdown_pct": 40.33411534594015, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.56141578552575, "trading_costs_quote_units": 33.87660214499948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3793.2183741230447, "turnover_quote_units": 56461.003574999064, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15451.03040955739, "return_pct": 54.51030409557389, "cagr_pct": 54.58710021979554, "max_drawdown_pct": 49.57465235389288, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.9536164881377, "trading_costs_quote_units": 26.19783865116277, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5477.228248208534, "turnover_quote_units": 43663.064418604656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -16.916886375793275 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13910.42037810977, "return_pct": 39.10420378109769, "cagr_pct": 39.15664831350546, "max_drawdown_pct": 41.157330937832484, "mean_exposure_while_solvent": 0.7471280426968068, "realized_annual_volatility_pct": 61.898543752065926, "trading_costs_quote_units": 46.187586558584115, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3956.607964668358, "turnover_quote_units": 76979.31093097347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14484.678716839744, "return_pct": 44.84678716839745, "cagr_pct": 44.90809143007958, "max_drawdown_pct": 48.51032692867536, "mean_exposure_while_solvent": 0.8542093983150086, "realized_annual_volatility_pct": 75.75766411026964, "trading_costs_quote_units": 48.741901813602, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4533.420618653339, "turnover_quote_units": 81236.50302266992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 195, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -5.74258338729976 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13759.341771978061, "return_pct": 37.59341771978062, "cagr_pct": 37.64357599957665, "max_drawdown_pct": 40.33411534594015, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.56141578552575, "trading_costs_quote_units": 33.87660214499948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3793.2183741230447, "turnover_quote_units": 56461.003574999064, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15451.03040955739, "return_pct": 54.51030409557389, "cagr_pct": 54.58710021979554, "max_drawdown_pct": 49.57465235389288, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.9536164881377, "trading_costs_quote_units": 26.19783865116277, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5477.228248208534, "turnover_quote_units": 43663.064418604656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -16.916886375793275 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13759.341771978061, "return_pct": 37.59341771978062, "cagr_pct": 37.64357599957665, "max_drawdown_pct": 40.33411534594015, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.56141578552575, "trading_costs_quote_units": 33.87660214499948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3793.2183741230447, "turnover_quote_units": 56461.003574999064, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15451.03040955739, "return_pct": 54.51030409557389, "cagr_pct": 54.58710021979554, "max_drawdown_pct": 49.57465235389288, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.9536164881377, "trading_costs_quote_units": 26.19783865116277, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5477.228248208534, "turnover_quote_units": 43663.064418604656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -16.916886375793275 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14992.365324689014, "return_pct": 49.92365324689014, "cagr_pct": 49.99300743209528, "max_drawdown_pct": 43.09527347095031, "mean_exposure_while_solvent": 0.7497912302472649, "realized_annual_volatility_pct": 65.44330370750583, "trading_costs_quote_units": 22.65800058919805, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5015.023325278222, "turnover_quote_units": 37763.334315330045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14992.365324689014, "return_pct": 49.92365324689014, "cagr_pct": 49.99300743209528, "max_drawdown_pct": 43.09527347095031, "mean_exposure_while_solvent": 0.7497912302472649, "realized_annual_volatility_pct": 65.44330370750583, "trading_costs_quote_units": 22.65800058919805, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5015.023325278222, "turnover_quote_units": 37763.334315330045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15876.494816804665, "return_pct": 58.76494816804665, "cagr_pct": 58.8487869126364, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9995423340961098, "realized_annual_volatility_pct": 87.42152142386928, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5882.491218963351, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15876.494816804665, "return_pct": 58.76494816804665, "cagr_pct": 58.8487869126364, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9995423340961098, "realized_annual_volatility_pct": 87.42152142386928, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5882.491218963351, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15706.437281361075, "return_pct": 57.064372813610746, "cagr_pct": 57.1453807860276, "max_drawdown_pct": 63.812624467579504, "mean_exposure_while_solvent": 1.2493597673571497, "realized_annual_volatility_pct": 109.533664348748, "trading_costs_quote_units": 42.079742848199935, "borrowing_costs_quote_units": 427.96892807022493, "price_pnl_quote_units": 6176.485952279534, "turnover_quote_units": 70132.90474699979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15706.437281361075, "return_pct": 57.064372813610746, "cagr_pct": 57.1453807860276, "max_drawdown_pct": 63.812624467579504, "mean_exposure_while_solvent": 1.2493597673571497, "realized_annual_volatility_pct": 109.533664348748, "trading_costs_quote_units": 42.079742848199935, "borrowing_costs_quote_units": 427.96892807022493, "price_pnl_quote_units": 6176.485952279534, "turnover_quote_units": 70132.90474699979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14916.040332316235, "return_pct": 49.16040332316236, "cagr_pct": 49.22853456653046, "max_drawdown_pct": 71.88598220193487, "mean_exposure_while_solvent": 1.4992948401213269, "realized_annual_volatility_pct": 131.80525710441805, "trading_costs_quote_units": 94.58523725196133, "borrowing_costs_quote_units": 883.4307302225935, "price_pnl_quote_units": 5894.0562997907455, "turnover_quote_units": 157642.062086602, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14916.040332316235, "return_pct": 49.16040332316236, "cagr_pct": 49.22853456653046, "max_drawdown_pct": 71.88598220193487, "mean_exposure_while_solvent": 1.4992948401213269, "realized_annual_volatility_pct": 131.80525710441805, "trading_costs_quote_units": 94.58523725196133, "borrowing_costs_quote_units": 883.4307302225935, "price_pnl_quote_units": 5894.0562997907455, "turnover_quote_units": 157642.062086602, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12694.714740376688, "return_pct": 26.94714740376689, "cagr_pct": 26.981745164657276, "max_drawdown_pct": 29.253820071688185, "mean_exposure_while_solvent": 0.5009701105284167, "realized_annual_volatility_pct": 41.536854416811146, "trading_costs_quote_units": 38.612337465650086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2733.327077842308, "turnover_quote_units": 64353.89577608353, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14595.058299076296, "return_pct": 45.95058299076295, "cagr_pct": 46.01362036635153, "max_drawdown_pct": 45.91268690786268, "mean_exposure_while_solvent": 0.7042782572380236, "realized_annual_volatility_pct": 67.70903324242707, "trading_costs_quote_units": 66.6414065664695, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4661.6997056427535, "turnover_quote_units": 111069.01094411589, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -19.003435586996062 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13502.677476492088, "return_pct": 35.02677476492089, "cagr_pct": 35.07309258918041, "max_drawdown_pct": 41.43250462548315, "mean_exposure_while_solvent": 0.7513732174708702, "realized_annual_volatility_pct": 62.46040631652363, "trading_costs_quote_units": 55.04853878626564, "borrowing_costs_quote_units": 14.291265827415852, "price_pnl_quote_units": 3572.0172811057714, "turnover_quote_units": 91747.56464377603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14187.522134163626, "return_pct": 41.87522134163626, "cagr_pct": 41.93190785446916, "max_drawdown_pct": 48.7511148371911, "mean_exposure_while_solvent": 0.8578667051053357, "realized_annual_volatility_pct": 76.09514425570806, "trading_costs_quote_units": 56.364243267864424, "borrowing_costs_quote_units": 13.072537346366298, "price_pnl_quote_units": 4256.9589147778515, "turnover_quote_units": 93940.40544644071, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -6.848446576715375 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13557.816945859031, "return_pct": 35.57816945859032, "cagr_pct": 35.62530766160987, "max_drawdown_pct": 52.120101154387434, "mean_exposure_while_solvent": 1.0018393448312388, "realized_annual_volatility_pct": 83.52800856959635, "trading_costs_quote_units": 77.0436440106771, "borrowing_costs_quote_units": 349.476974724747, "price_pnl_quote_units": 3984.3375645944393, "turnover_quote_units": 128406.07335112855, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13300.166579303286, "return_pct": 33.001665793032856, "cagr_pct": 33.04499278946854, "max_drawdown_pct": 54.209113385315646, "mean_exposure_while_solvent": 1.0115730654212023, "realized_annual_volatility_pct": 86.56468756173066, "trading_costs_quote_units": 64.60910591778101, "borrowing_costs_quote_units": 254.14702645283364, "price_pnl_quote_units": 3618.922711673889, "turnover_quote_units": 107681.84319630159, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 2.5765036655574605 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12521.417793150471, "return_pct": 25.21417793150471, "cagr_pct": 25.24633726579097, "max_drawdown_pct": 46.992562238004155, "mean_exposure_while_solvent": 0.7831058863313959, "realized_annual_volatility_pct": 64.18844440846132, "trading_costs_quote_units": 95.19136260650875, "borrowing_costs_quote_units": 67.19756432969605, "price_pnl_quote_units": 2683.8067200867104, "turnover_quote_units": 158652.271010848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13928.092575661893, "return_pct": 39.28092575661892, "cagr_pct": 39.333638950080044, "max_drawdown_pct": 45.31032534245378, "mean_exposure_while_solvent": 0.82990453792604, "realized_annual_volatility_pct": 68.50293927927432, "trading_costs_quote_units": 102.59453732221837, "borrowing_costs_quote_units": 70.78021378494148, "price_pnl_quote_units": 4101.467326769031, "turnover_quote_units": 170990.8955370308, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 302, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -14.06674782511421 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13759.341771978061, "return_pct": 37.59341771978062, "cagr_pct": 37.64357599957665, "max_drawdown_pct": 40.33411534594015, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.56141578552575, "trading_costs_quote_units": 33.87660214499948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3793.2183741230447, "turnover_quote_units": 56461.003574999064, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15451.03040955739, "return_pct": 54.51030409557389, "cagr_pct": 54.58710021979554, "max_drawdown_pct": 49.57465235389288, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.9536164881377, "trading_costs_quote_units": 26.19783865116277, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5477.228248208534, "turnover_quote_units": 43663.064418604656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -16.916886375793275 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13910.42037810977, "return_pct": 39.10420378109769, "cagr_pct": 39.15664831350546, "max_drawdown_pct": 41.157330937832484, "mean_exposure_while_solvent": 0.7471280426968068, "realized_annual_volatility_pct": 61.898543752065926, "trading_costs_quote_units": 46.187586558584115, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3956.607964668358, "turnover_quote_units": 76979.31093097347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14484.678716839744, "return_pct": 44.84678716839745, "cagr_pct": 44.90809143007958, "max_drawdown_pct": 48.51032692867536, "mean_exposure_while_solvent": 0.8542093983150086, "realized_annual_volatility_pct": 75.75766411026964, "trading_costs_quote_units": 48.741901813602, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4533.420618653339, "turnover_quote_units": 81236.50302266992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 195, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -5.74258338729976 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13759.341771978061, "return_pct": 37.59341771978062, "cagr_pct": 37.64357599957665, "max_drawdown_pct": 40.33411534594015, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.56141578552575, "trading_costs_quote_units": 33.87660214499948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3793.2183741230447, "turnover_quote_units": 56461.003574999064, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15451.03040955739, "return_pct": 54.51030409557389, "cagr_pct": 54.58710021979554, "max_drawdown_pct": 49.57465235389288, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.9536164881377, "trading_costs_quote_units": 26.19783865116277, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5477.228248208534, "turnover_quote_units": 43663.064418604656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -16.916886375793275 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13759.341771978061, "return_pct": 37.59341771978062, "cagr_pct": 37.64357599957665, "max_drawdown_pct": 40.33411534594015, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.56141578552575, "trading_costs_quote_units": 33.87660214499948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3793.2183741230447, "turnover_quote_units": 56461.003574999064, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15451.03040955739, "return_pct": 54.51030409557389, "cagr_pct": 54.58710021979554, "max_drawdown_pct": 49.57465235389288, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.9536164881377, "trading_costs_quote_units": 26.19783865116277, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5477.228248208534, "turnover_quote_units": 43663.064418604656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -16.916886375793275 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14992.365324689014, "return_pct": 49.92365324689014, "cagr_pct": 49.99300743209528, "max_drawdown_pct": 43.09527347095031, "mean_exposure_while_solvent": 0.7497912302472649, "realized_annual_volatility_pct": 65.44330370750583, "trading_costs_quote_units": 22.65800058919805, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5015.023325278222, "turnover_quote_units": 37763.334315330045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14992.365324689014, "return_pct": 49.92365324689014, "cagr_pct": 49.99300743209528, "max_drawdown_pct": 43.09527347095031, "mean_exposure_while_solvent": 0.7497912302472649, "realized_annual_volatility_pct": 65.44330370750583, "trading_costs_quote_units": 22.65800058919805, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5015.023325278222, "turnover_quote_units": 37763.334315330045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15876.494816804665, "return_pct": 58.76494816804665, "cagr_pct": 58.8487869126364, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9995423340961098, "realized_annual_volatility_pct": 87.42152142386928, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5882.491218963351, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15876.494816804665, "return_pct": 58.76494816804665, "cagr_pct": 58.8487869126364, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9995423340961098, "realized_annual_volatility_pct": 87.42152142386928, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5882.491218963351, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15319.089999946556, "return_pct": 53.19089999946556, "cagr_pct": 53.265539197998855, "max_drawdown_pct": 64.0544170231285, "mean_exposure_while_solvent": 1.2493960371864048, "realized_annual_volatility_pct": 109.5381132284412, "trading_costs_quote_units": 41.68836818266265, "borrowing_costs_quote_units": 845.2137143675203, "price_pnl_quote_units": 6205.992082496741, "turnover_quote_units": 69480.61363777104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15319.089999946556, "return_pct": 53.19089999946556, "cagr_pct": 53.265539197998855, "max_drawdown_pct": 64.0544170231285, "mean_exposure_while_solvent": 1.2493960371864048, "realized_annual_volatility_pct": 109.5381132284412, "trading_costs_quote_units": 41.68836818266265, "borrowing_costs_quote_units": 845.2137143675203, "price_pnl_quote_units": 6205.992082496741, "turnover_quote_units": 69480.61363777104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14188.850835264893, "return_pct": 41.88850835264893, "cagr_pct": 41.94521535585683, "max_drawdown_pct": 72.26175161979411, "mean_exposure_while_solvent": 1.4993819693238688, "realized_annual_volatility_pct": 131.81603579710742, "trading_costs_quote_units": 92.6849217628322, "borrowing_costs_quote_units": 1723.5933748058585, "price_pnl_quote_units": 6005.129131833576, "turnover_quote_units": 154474.86960472012, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14188.850835264893, "return_pct": 41.88850835264893, "cagr_pct": 41.94521535585683, "max_drawdown_pct": 72.26175161979411, "mean_exposure_while_solvent": 1.4993819693238688, "realized_annual_volatility_pct": 131.81603579710742, "trading_costs_quote_units": 92.6849217628322, "borrowing_costs_quote_units": 1723.5933748058585, "price_pnl_quote_units": 6005.129131833576, "turnover_quote_units": 154474.86960472012, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12940.827532763375, "return_pct": 29.40827532763375, "cagr_pct": 29.446382503110673, "max_drawdown_pct": 28.625991626452485, "mean_exposure_while_solvent": 0.5003888860397071, "realized_annual_volatility_pct": 41.62031528556193, "trading_costs_quote_units": 41.2102192309063, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2982.0377519942613, "turnover_quote_units": 68683.69871817718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14282.723571693474, "return_pct": 42.827235716934744, "cagr_pct": 42.88539395960844, "max_drawdown_pct": 45.461354780248364, "mean_exposure_while_solvent": 0.703916072297015, "realized_annual_volatility_pct": 68.05590886876595, "trading_costs_quote_units": 65.73673206462585, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4348.460303758087, "turnover_quote_units": 109561.22010770979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.418960389300995 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13753.802446782513, "return_pct": 37.538024467825124, "cagr_pct": 37.588099281075245, "max_drawdown_pct": 40.69026748493136, "mean_exposure_while_solvent": 0.7503876105648473, "realized_annual_volatility_pct": 62.60722357419661, "trading_costs_quote_units": 56.952703138437435, "borrowing_costs_quote_units": 3.60741572701094, "price_pnl_quote_units": 3814.362565647973, "turnover_quote_units": 94921.17189739569, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13878.844786837517, "return_pct": 38.788447868375165, "cagr_pct": 38.84041301334158, "max_drawdown_pct": 48.473025780058634, "mean_exposure_while_solvent": 0.8570785421230599, "realized_annual_volatility_pct": 76.36374411427342, "trading_costs_quote_units": 55.79183915430929, "borrowing_costs_quote_units": 3.16933135215343, "price_pnl_quote_units": 3937.80595734399, "turnover_quote_units": 92986.39859051554, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -1.2504234005500408 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13878.56321883828, "return_pct": 38.7856321883828, "cagr_pct": 38.837593062216555, "max_drawdown_pct": 51.30411665538593, "mean_exposure_while_solvent": 1.0003736196021389, "realized_annual_volatility_pct": 83.7661309760231, "trading_costs_quote_units": 78.29579436110215, "borrowing_costs_quote_units": 88.85727712873008, "price_pnl_quote_units": 4045.7162903281173, "turnover_quote_units": 130492.99060183685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13062.950448966278, "return_pct": 30.62950448966277, "cagr_pct": 30.66937299822527, "max_drawdown_pct": 53.78011831429694, "mean_exposure_while_solvent": 1.0101933858360201, "realized_annual_volatility_pct": 86.79101437827185, "trading_costs_quote_units": 63.5266497241015, "borrowing_costs_quote_units": 62.08984356425665, "price_pnl_quote_units": 3188.566942254636, "turnover_quote_units": 105877.74954016916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 8.156127698720027 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13037.696528073064, "return_pct": 30.376965280730637, "cagr_pct": 30.416468486467995, "max_drawdown_pct": 46.756141414915874, "mean_exposure_while_solvent": 0.7815590678038576, "realized_annual_volatility_pct": 64.342340722077, "trading_costs_quote_units": 99.46513276965571, "borrowing_costs_quote_units": 17.094518777016678, "price_pnl_quote_units": 3154.256179619741, "turnover_quote_units": 165775.22128275956, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14204.178548490687, "return_pct": 42.04178548490687, "cagr_pct": 42.098728965137084, "max_drawdown_pct": 45.11456551801839, "mean_exposure_while_solvent": 0.8283674058425612, "realized_annual_volatility_pct": 68.8398562673513, "trading_costs_quote_units": 105.57602575964661, "borrowing_costs_quote_units": 17.636350267090744, "price_pnl_quote_units": 4327.390924517422, "turnover_quote_units": 175960.04293274446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -11.66482020417623 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13954.65558180508, "return_pct": 39.5465558180508, "cagr_pct": 39.599673317192405, "max_drawdown_pct": 39.98893696451458, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.6821050274445, "trading_costs_quote_units": 36.186818140275015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3990.8423999453303, "turnover_quote_units": 60311.36356712496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15330.996170247481, "return_pct": 53.309961702474816, "cagr_pct": 53.38479500788116, "max_drawdown_pct": 49.48052961940014, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0071198681436, "trading_costs_quote_units": 26.552052084194763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5357.548222331669, "turnover_quote_units": 44253.42014032465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.763405884424017 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14106.96785952201, "return_pct": 41.069678595220104, "cagr_pct": 41.125125515667335, "max_drawdown_pct": 40.52984851166689, "mean_exposure_while_solvent": 0.7461560292714443, "realized_annual_volatility_pct": 62.0275119218966, "trading_costs_quote_units": 48.08342123836459, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4155.0512807603745, "turnover_quote_units": 80139.03539727438, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14113.469802533535, "return_pct": 41.13469802533534, "cagr_pct": 41.190244804755174, "max_drawdown_pct": 48.333657350135425, "mean_exposure_while_solvent": 0.8534358789380704, "realized_annual_volatility_pct": 76.0291742957031, "trading_costs_quote_units": 48.460311961673014, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4161.93011449519, "turnover_quote_units": 80767.1866027883, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 198, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -0.06501943011523537 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13954.65558180508, "return_pct": 39.5465558180508, "cagr_pct": 39.599673317192405, "max_drawdown_pct": 39.98893696451458, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.6821050274445, "trading_costs_quote_units": 36.186818140275015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3990.8423999453303, "turnover_quote_units": 60311.36356712496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15330.996170247481, "return_pct": 53.309961702474816, "cagr_pct": 53.38479500788116, "max_drawdown_pct": 49.48052961940014, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0071198681436, "trading_costs_quote_units": 26.552052084194763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5357.548222331669, "turnover_quote_units": 44253.42014032465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.763405884424017 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13954.65558180508, "return_pct": 39.5465558180508, "cagr_pct": 39.599673317192405, "max_drawdown_pct": 39.98893696451458, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.6821050274445, "trading_costs_quote_units": 36.186818140275015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3990.8423999453303, "turnover_quote_units": 60311.36356712496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15330.996170247481, "return_pct": 53.309961702474816, "cagr_pct": 53.38479500788116, "max_drawdown_pct": 49.48052961940014, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0071198681436, "trading_costs_quote_units": 26.552052084194763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5357.548222331669, "turnover_quote_units": 44253.42014032465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.763405884424017 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15105.567452406687, "return_pct": 51.05567452406687, "cagr_pct": 51.126850705236635, "max_drawdown_pct": 43.09115922523426, "mean_exposure_while_solvent": 0.7490447926355691, "realized_annual_volatility_pct": 65.44595079407311, "trading_costs_quote_units": 23.781632227787068, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5129.349084634446, "turnover_quote_units": 39636.05371297848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15105.567452406687, "return_pct": 51.05567452406687, "cagr_pct": 51.126850705236635, "max_drawdown_pct": 43.09115922523426, "mean_exposure_while_solvent": 0.7490447926355691, "realized_annual_volatility_pct": 65.44595079407311, "trading_costs_quote_units": 23.781632227787068, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5129.349084634446, "turnover_quote_units": 39636.05371297848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15824.364888882545, "return_pct": 58.24364888882545, "cagr_pct": 58.326617655146485, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9986270022883296, "realized_annual_volatility_pct": 87.41726488183312, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5830.361291041219, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15824.364888882545, "return_pct": 58.24364888882545, "cagr_pct": 58.326617655146485, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9986270022883296, "realized_annual_volatility_pct": 87.41726488183312, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5830.361291041219, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15560.976285411612, "return_pct": 55.60976285411612, "cagr_pct": 55.68836619301643, "max_drawdown_pct": 63.69976755929606, "mean_exposure_while_solvent": 1.2483112489886083, "realized_annual_volatility_pct": 109.52059740799444, "trading_costs_quote_units": 43.934822172404665, "borrowing_costs_quote_units": 211.97652308763043, "price_pnl_quote_units": 5816.887630671622, "turnover_quote_units": 73224.70362067438, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15560.976285411612, "return_pct": 55.60976285411612, "cagr_pct": 55.68836619301643, "max_drawdown_pct": 63.69976755929606, "mean_exposure_while_solvent": 1.2483112489886083, "realized_annual_volatility_pct": 109.52059740799444, "trading_costs_quote_units": 43.934822172404665, "borrowing_costs_quote_units": 211.97652308763043, "price_pnl_quote_units": 5816.887630671622, "turnover_quote_units": 73224.70362067438, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14570.134587655124, "return_pct": 45.70134587655124, "cagr_pct": 45.76399107777142, "max_drawdown_pct": 71.71867193587966, "mean_exposure_while_solvent": 1.498169553671783, "realized_annual_volatility_pct": 131.78802725360265, "trading_costs_quote_units": 98.57615260202623, "borrowing_costs_quote_units": 432.8934415140211, "price_pnl_quote_units": 5101.604181771161, "turnover_quote_units": 164293.5876700436, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14570.134587655124, "return_pct": 45.70134587655124, "cagr_pct": 45.76399107777142, "max_drawdown_pct": 71.71867193587966, "mean_exposure_while_solvent": 1.498169553671783, "realized_annual_volatility_pct": 131.78802725360265, "trading_costs_quote_units": 98.57615260202623, "borrowing_costs_quote_units": 432.8934415140211, "price_pnl_quote_units": 5101.604181771161, "turnover_quote_units": 164293.5876700436, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12940.827532763375, "return_pct": 29.40827532763375, "cagr_pct": 29.446382503110673, "max_drawdown_pct": 28.625991626452485, "mean_exposure_while_solvent": 0.5003888860397071, "realized_annual_volatility_pct": 41.62031528556193, "trading_costs_quote_units": 41.2102192309063, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2982.0377519942613, "turnover_quote_units": 68683.69871817718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 14282.723571693474, "return_pct": 42.827235716934744, "cagr_pct": 42.88539395960844, "max_drawdown_pct": 45.461354780248364, "mean_exposure_while_solvent": 0.703916072297015, "realized_annual_volatility_pct": 68.05590886876595, "trading_costs_quote_units": 65.73673206462585, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4348.460303758087, "turnover_quote_units": 109561.22010770979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.418960389300995 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13750.865280406379, "return_pct": 37.50865280406379, "cagr_pct": 37.55868337044592, "max_drawdown_pct": 40.69135144003931, "mean_exposure_while_solvent": 0.7503878669981525, "realized_annual_volatility_pct": 62.6073647652852, "trading_costs_quote_units": 56.95061598058791, "borrowing_costs_quote_units": 7.214491488888191, "price_pnl_quote_units": 3815.0303878758737, "turnover_quote_units": 94917.6933009799, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13876.29399481371, "return_pct": 38.76293994813711, "cagr_pct": 38.814866402273815, "max_drawdown_pct": 48.4739674961064, "mean_exposure_while_solvent": 0.8570787620591013, "realized_annual_volatility_pct": 76.36382545245793, "trading_costs_quote_units": 55.790497754113176, "borrowing_costs_quote_units": 6.338464561052156, "price_pnl_quote_units": 3938.422957128881, "turnover_quote_units": 92984.16292352193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -1.2542871440733165 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13808.214268452066, "return_pct": 38.08214268452066, "cagr_pct": 38.13303847917796, "max_drawdown_pct": 51.32380841157757, "mean_exposure_while_solvent": 1.0003809319863834, "realized_annual_volatility_pct": 83.76759503811914, "trading_costs_quote_units": 78.17098436570204, "borrowing_costs_quote_units": 177.2662651024917, "price_pnl_quote_units": 4063.651517920246, "turnover_quote_units": 130284.97394283672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13014.718395852895, "return_pct": 30.147183958528956, "cagr_pct": 30.18635526725163, "max_drawdown_pct": 53.79371210161328, "mean_exposure_while_solvent": 1.0101987871965794, "realized_annual_volatility_pct": 86.7922433046568, "trading_costs_quote_units": 63.46102370146405, "borrowing_costs_quote_units": 123.959929880728, "price_pnl_quote_units": 3202.1393494350905, "turnover_quote_units": 105768.37283577344, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 7.934958725991706 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13023.576464367057, "return_pct": 30.23576464367057, "cagr_pct": 30.275063843757994, "max_drawdown_pct": 46.76858446434126, "mean_exposure_while_solvent": 0.7815605441607556, "realized_annual_volatility_pct": 64.34278134187292, "trading_costs_quote_units": 99.42481241769467, "borrowing_costs_quote_units": 34.17302764123792, "price_pnl_quote_units": 3157.17430442598, "turnover_quote_units": 165708.02069615776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 14188.796519202098, "return_pct": 41.887965192020985, "cagr_pct": 41.944671357573554, "max_drawdown_pct": 45.127392202487584, "mean_exposure_while_solvent": 0.8283688820911757, "realized_annual_volatility_pct": 68.8402742687589, "trading_costs_quote_units": 105.53411586245883, "borrowing_costs_quote_units": 35.255694468331285, "price_pnl_quote_units": 4329.5863295328745, "turnover_quote_units": 175890.19310409794, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -11.652200548350415 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13954.65558180508, "return_pct": 39.5465558180508, "cagr_pct": 39.599673317192405, "max_drawdown_pct": 39.98893696451458, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.6821050274445, "trading_costs_quote_units": 36.186818140275015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3990.8423999453303, "turnover_quote_units": 60311.36356712496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15330.996170247481, "return_pct": 53.309961702474816, "cagr_pct": 53.38479500788116, "max_drawdown_pct": 49.48052961940014, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0071198681436, "trading_costs_quote_units": 26.552052084194763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5357.548222331669, "turnover_quote_units": 44253.42014032465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.763405884424017 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 14106.96785952201, "return_pct": 41.069678595220104, "cagr_pct": 41.125125515667335, "max_drawdown_pct": 40.52984851166689, "mean_exposure_while_solvent": 0.7461560292714443, "realized_annual_volatility_pct": 62.0275119218966, "trading_costs_quote_units": 48.08342123836459, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4155.0512807603745, "turnover_quote_units": 80139.03539727438, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 14113.469802533535, "return_pct": 41.13469802533534, "cagr_pct": 41.190244804755174, "max_drawdown_pct": 48.333657350135425, "mean_exposure_while_solvent": 0.8534358789380704, "realized_annual_volatility_pct": 76.0291742957031, "trading_costs_quote_units": 48.460311961673014, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4161.93011449519, "turnover_quote_units": 80767.1866027883, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 198, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -0.06501943011523537 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13954.65558180508, "return_pct": 39.5465558180508, "cagr_pct": 39.599673317192405, "max_drawdown_pct": 39.98893696451458, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.6821050274445, "trading_costs_quote_units": 36.186818140275015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3990.8423999453303, "turnover_quote_units": 60311.36356712496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15330.996170247481, "return_pct": 53.309961702474816, "cagr_pct": 53.38479500788116, "max_drawdown_pct": 49.48052961940014, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0071198681436, "trading_costs_quote_units": 26.552052084194763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5357.548222331669, "turnover_quote_units": 44253.42014032465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.763405884424017 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13954.65558180508, "return_pct": 39.5465558180508, "cagr_pct": 39.599673317192405, "max_drawdown_pct": 39.98893696451458, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.6821050274445, "trading_costs_quote_units": 36.186818140275015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3990.8423999453303, "turnover_quote_units": 60311.36356712496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15330.996170247481, "return_pct": 53.309961702474816, "cagr_pct": 53.38479500788116, "max_drawdown_pct": 49.48052961940014, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0071198681436, "trading_costs_quote_units": 26.552052084194763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5357.548222331669, "turnover_quote_units": 44253.42014032465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.763405884424017 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15105.567452406687, "return_pct": 51.05567452406687, "cagr_pct": 51.126850705236635, "max_drawdown_pct": 43.09115922523426, "mean_exposure_while_solvent": 0.7490447926355691, "realized_annual_volatility_pct": 65.44595079407311, "trading_costs_quote_units": 23.781632227787068, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5129.349084634446, "turnover_quote_units": 39636.05371297848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15105.567452406687, "return_pct": 51.05567452406687, "cagr_pct": 51.126850705236635, "max_drawdown_pct": 43.09115922523426, "mean_exposure_while_solvent": 0.7490447926355691, "realized_annual_volatility_pct": 65.44595079407311, "trading_costs_quote_units": 23.781632227787068, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5129.349084634446, "turnover_quote_units": 39636.05371297848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15824.364888882545, "return_pct": 58.24364888882545, "cagr_pct": 58.326617655146485, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9986270022883296, "realized_annual_volatility_pct": 87.41726488183312, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5830.361291041219, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15824.364888882545, "return_pct": 58.24364888882545, "cagr_pct": 58.326617655146485, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9986270022883296, "realized_annual_volatility_pct": 87.41726488183312, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5830.361291041219, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15368.058381380735, "return_pct": 53.68058381380736, "cagr_pct": 53.75602202296703, "max_drawdown_pct": 63.82114238330975, "mean_exposure_while_solvent": 1.2483290078419849, "realized_annual_volatility_pct": 109.52274636973651, "trading_costs_quote_units": 43.7246424205026, "borrowing_costs_quote_units": 421.2880756430766, "price_pnl_quote_units": 5833.071099444317, "turnover_quote_units": 72874.40403417111, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15368.058381380735, "return_pct": 53.68058381380736, "cagr_pct": 53.75602202296703, "max_drawdown_pct": 63.82114238330975, "mean_exposure_while_solvent": 1.2483290078419849, "realized_annual_volatility_pct": 109.52274636973651, "trading_costs_quote_units": 43.7246424205026, "borrowing_costs_quote_units": 421.2880756430766, "price_pnl_quote_units": 5833.071099444317, "turnover_quote_units": 72874.40403417111, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 14210.778515536389, "return_pct": 42.107785155363885, "cagr_pct": 42.164830518626154, "max_drawdown_pct": 71.90812189405135, "mean_exposure_while_solvent": 1.498212229621701, "realized_annual_volatility_pct": 131.79324258598274, "trading_costs_quote_units": 97.58497539074665, "borrowing_costs_quote_units": 855.099638233169, "price_pnl_quote_units": 5163.4631291602755, "turnover_quote_units": 162641.6256512443, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 14210.778515536389, "return_pct": 42.107785155363885, "cagr_pct": 42.164830518626154, "max_drawdown_pct": 71.90812189405135, "mean_exposure_while_solvent": 1.498212229621701, "realized_annual_volatility_pct": 131.79324258598274, "trading_costs_quote_units": 97.58497539074665, "borrowing_costs_quote_units": 855.099638233169, "price_pnl_quote_units": 5163.4631291602755, "turnover_quote_units": 162641.6256512443, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12940.827532763375, "return_pct": 29.40827532763375, "cagr_pct": 29.446382503110673, "max_drawdown_pct": 28.625991626452485, "mean_exposure_while_solvent": 0.5003888860397071, "realized_annual_volatility_pct": 41.62031528556193, "trading_costs_quote_units": 41.2102192309063, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2982.0377519942613, "turnover_quote_units": 68683.69871817718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14282.723571693474, "return_pct": 42.827235716934744, "cagr_pct": 42.88539395960844, "max_drawdown_pct": 45.461354780248364, "mean_exposure_while_solvent": 0.703916072297015, "realized_annual_volatility_pct": 68.05590886876595, "trading_costs_quote_units": 65.73673206462585, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4348.460303758087, "turnover_quote_units": 109561.22010770979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.418960389300995 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13744.991752184487, "return_pct": 37.44991752184488, "cagr_pct": 37.49985962813513, "max_drawdown_pct": 40.69351969165612, "mean_exposure_while_solvent": 0.7503883799194084, "realized_annual_volatility_pct": 62.60764733614075, "trading_costs_quote_units": 56.946441526139274, "borrowing_costs_quote_units": 14.427622826215977, "price_pnl_quote_units": 3816.3658165368292, "turnover_quote_units": 94910.73587689873, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13871.19288510473, "return_pct": 38.711928851047304, "cagr_pct": 38.76377794680773, "max_drawdown_pct": 48.475851224803655, "mean_exposure_while_solvent": 0.857079201977677, "realized_annual_volatility_pct": 76.36398825869749, "trading_costs_quote_units": 55.78781482817578, "borrowing_costs_quote_units": 12.676136285897684, "price_pnl_quote_units": 3939.6568362188004, "turnover_quote_units": 92979.69138029296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -1.2620113292024229 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13668.552857061388, "return_pct": 36.68552857061387, "cagr_pct": 36.7343220676245, "max_drawdown_pct": 51.363176907521904, "mean_exposure_while_solvent": 1.0003955591264073, "realized_annual_volatility_pct": 83.77053127558848, "trading_costs_quote_units": 77.92241413871908, "borrowing_costs_quote_units": 352.7479232034332, "price_pnl_quote_units": 4099.223194403538, "turnover_quote_units": 129870.69023119833, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12918.76576973267, "return_pct": 29.187657697326696, "cagr_pct": 29.225448086331944, "max_drawdown_pct": 53.82089420305958, "mean_exposure_while_solvent": 1.0102095917268337, "realized_annual_volatility_pct": 86.79470858741077, "trading_costs_quote_units": 63.33012365736977, "borrowing_costs_quote_units": 247.04376091812748, "price_pnl_quote_units": 3229.1396543081682, "turnover_quote_units": 105550.20609561626, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 7.497870873287173 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12995.376285547449, "return_pct": 29.953762855474487, "cagr_pct": 29.99265514566088, "max_drawdown_pct": 46.79346743973301, "mean_exposure_while_solvent": 0.7815634972938775, "realized_annual_volatility_pct": 64.34366483231112, "trading_costs_quote_units": 99.34423737849556, "borrowing_costs_quote_units": 68.2820658829354, "price_pnl_quote_units": 3163.002588808871, "turnover_quote_units": 165573.7289641592, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14158.075975072514, "return_pct": 41.58075975072513, "cagr_pct": 41.63699252934749, "max_drawdown_pct": 45.15304235166673, "mean_exposure_while_solvent": 0.8283718350077107, "realized_annual_volatility_pct": 68.84111237886877, "trading_costs_quote_units": 105.45036585769064, "borrowing_costs_quote_units": 70.44341888687137, "price_pnl_quote_units": 4333.969759817128, "turnover_quote_units": 175750.60976281785, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -11.626996895250642 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13954.65558180508, "return_pct": 39.5465558180508, "cagr_pct": 39.599673317192405, "max_drawdown_pct": 39.98893696451458, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.6821050274445, "trading_costs_quote_units": 36.186818140275015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3990.8423999453303, "turnover_quote_units": 60311.36356712496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15330.996170247481, "return_pct": 53.309961702474816, "cagr_pct": 53.38479500788116, "max_drawdown_pct": 49.48052961940014, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0071198681436, "trading_costs_quote_units": 26.552052084194763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5357.548222331669, "turnover_quote_units": 44253.42014032465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.763405884424017 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14106.96785952201, "return_pct": 41.069678595220104, "cagr_pct": 41.125125515667335, "max_drawdown_pct": 40.52984851166689, "mean_exposure_while_solvent": 0.7461560292714443, "realized_annual_volatility_pct": 62.0275119218966, "trading_costs_quote_units": 48.08342123836459, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4155.0512807603745, "turnover_quote_units": 80139.03539727438, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14113.469802533535, "return_pct": 41.13469802533534, "cagr_pct": 41.190244804755174, "max_drawdown_pct": 48.333657350135425, "mean_exposure_while_solvent": 0.8534358789380704, "realized_annual_volatility_pct": 76.0291742957031, "trading_costs_quote_units": 48.460311961673014, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4161.93011449519, "turnover_quote_units": 80767.1866027883, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 198, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -0.06501943011523537 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13954.65558180508, "return_pct": 39.5465558180508, "cagr_pct": 39.599673317192405, "max_drawdown_pct": 39.98893696451458, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.6821050274445, "trading_costs_quote_units": 36.186818140275015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3990.8423999453303, "turnover_quote_units": 60311.36356712496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15330.996170247481, "return_pct": 53.309961702474816, "cagr_pct": 53.38479500788116, "max_drawdown_pct": 49.48052961940014, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0071198681436, "trading_costs_quote_units": 26.552052084194763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5357.548222331669, "turnover_quote_units": 44253.42014032465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.763405884424017 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13954.65558180508, "return_pct": 39.5465558180508, "cagr_pct": 39.599673317192405, "max_drawdown_pct": 39.98893696451458, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.6821050274445, "trading_costs_quote_units": 36.186818140275015, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3990.8423999453303, "turnover_quote_units": 60311.36356712496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15330.996170247481, "return_pct": 53.309961702474816, "cagr_pct": 53.38479500788116, "max_drawdown_pct": 49.48052961940014, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0071198681436, "trading_costs_quote_units": 26.552052084194763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5357.548222331669, "turnover_quote_units": 44253.42014032465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.763405884424017 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15105.567452406687, "return_pct": 51.05567452406687, "cagr_pct": 51.126850705236635, "max_drawdown_pct": 43.09115922523426, "mean_exposure_while_solvent": 0.7490447926355691, "realized_annual_volatility_pct": 65.44595079407311, "trading_costs_quote_units": 23.781632227787068, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5129.349084634446, "turnover_quote_units": 39636.05371297848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15105.567452406687, "return_pct": 51.05567452406687, "cagr_pct": 51.126850705236635, "max_drawdown_pct": 43.09115922523426, "mean_exposure_while_solvent": 0.7490447926355691, "realized_annual_volatility_pct": 65.44595079407311, "trading_costs_quote_units": 23.781632227787068, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5129.349084634446, "turnover_quote_units": 39636.05371297848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15824.364888882545, "return_pct": 58.24364888882545, "cagr_pct": 58.326617655146485, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9986270022883296, "realized_annual_volatility_pct": 87.41726488183312, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5830.361291041219, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15824.364888882545, "return_pct": 58.24364888882545, "cagr_pct": 58.326617655146485, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9986270022883296, "realized_annual_volatility_pct": 87.41726488183312, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5830.361291041219, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14989.284912843657, "return_pct": 49.892849128436566, "cagr_pct": 49.96215387052143, "max_drawdown_pct": 64.06272948483307, "mean_exposure_while_solvent": 1.248364531014332, "realized_annual_volatility_pct": 109.52704522324792, "trading_costs_quote_units": 43.30911138619126, "borrowing_costs_quote_units": 832.0475861299815, "price_pnl_quote_units": 5864.641610359808, "turnover_quote_units": 72181.85231031883, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14989.284912843657, "return_pct": 49.892849128436566, "cagr_pct": 49.96215387052143, "max_drawdown_pct": 64.06272948483307, "mean_exposure_while_solvent": 1.248364531014332, "realized_annual_volatility_pct": 109.52704522324792, "trading_costs_quote_units": 43.30911138619126, "borrowing_costs_quote_units": 832.0475861299815, "price_pnl_quote_units": 5864.641610359808, "turnover_quote_units": 72181.85231031883, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13518.252076259181, "return_pct": 35.18252076259181, "cagr_pct": 35.2290700490952, "max_drawdown_pct": 72.28332563068523, "mean_exposure_while_solvent": 1.4982976000482602, "realized_annual_volatility_pct": 131.8036765176597, "trading_costs_quote_units": 95.64805326582287, "borrowing_costs_quote_units": 1668.4971117800997, "price_pnl_quote_units": 5282.397241305088, "turnover_quote_units": 159413.42210970467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13518.252076259181, "return_pct": 35.18252076259181, "cagr_pct": 35.2290700490952, "max_drawdown_pct": 72.28332563068523, "mean_exposure_while_solvent": 1.4982976000482602, "realized_annual_volatility_pct": 131.8036765176597, "trading_costs_quote_units": 95.64805326582287, "borrowing_costs_quote_units": 1668.4971117800997, "price_pnl_quote_units": 5282.397241305088, "turnover_quote_units": 159413.42210970467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12539.00037386494, "return_pct": 25.39000373864939, "cagr_pct": 25.42240922986313, "max_drawdown_pct": 29.467619979469706, "mean_exposure_while_solvent": 0.5009701105284167, "realized_annual_volatility_pct": 41.54004695559473, "trading_costs_quote_units": 191.80898821739206, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2730.8093620823224, "turnover_quote_units": 63936.32940579732, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14309.314554073222, "return_pct": 43.09314554073222, "cagr_pct": 43.15171615532803, "max_drawdown_pct": 45.99976509935419, "mean_exposure_while_solvent": 0.7042782572380236, "realized_annual_volatility_pct": 67.71482863735358, "trading_costs_quote_units": 329.7810120226281, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4639.095566095838, "turnover_quote_units": 109927.00400754278, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -17.703141802082833 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13295.118726754237, "return_pct": 32.95118726754238, "cagr_pct": 32.994440161917126, "max_drawdown_pct": 41.646537317781984, "mean_exposure_while_solvent": 0.7513724451696334, "realized_annual_volatility_pct": 62.463056956694686, "trading_costs_quote_units": 272.8944759692508, "borrowing_costs_quote_units": 3.5264910312403552, "price_pnl_quote_units": 3571.539693754702, "turnover_quote_units": 90964.82532308354, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13965.493229716136, "return_pct": 39.65493229716135, "cagr_pct": 39.70821491831053, "max_drawdown_pct": 48.80130621908331, "mean_exposure_while_solvent": 0.8578660429202127, "realized_annual_volatility_pct": 76.0960557595099, "trading_costs_quote_units": 279.393402887411, "borrowing_costs_quote_units": 3.2236866362941066, "price_pnl_quote_units": 4248.110319239833, "turnover_quote_units": 93131.13429580374, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -6.703745029618972 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13480.13549410754, "return_pct": 34.80135494107542, "cagr_pct": 34.84733812116048, "max_drawdown_pct": 52.27771027559829, "mean_exposure_while_solvent": 1.0018169516275712, "realized_annual_volatility_pct": 83.52895759420966, "trading_costs_quote_units": 382.75436902049825, "borrowing_costs_quote_units": 86.69136373160217, "price_pnl_quote_units": 3949.581226859629, "turnover_quote_units": 127584.78967349943, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13209.718977725432, "return_pct": 32.09718977725431, "cagr_pct": 32.139192339515034, "max_drawdown_pct": 54.35424634711337, "mean_exposure_while_solvent": 1.0115563975281388, "realized_annual_volatility_pct": 86.56580737779377, "trading_costs_quote_units": 321.0062723757973, "borrowing_costs_quote_units": 63.03729132156724, "price_pnl_quote_units": 3593.762541422793, "turnover_quote_units": 107002.09079193234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 2.7041651638211093 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12212.472259180086, "return_pct": 22.12472259180085, "cagr_pct": 22.152603106253395, "max_drawdown_pct": 47.3167494652579, "mean_exposure_while_solvent": 0.7831013575643005, "realized_annual_volatility_pct": 64.18696935911257, "trading_costs_quote_units": 469.5857472832684, "borrowing_costs_quote_units": 16.534286898821804, "price_pnl_quote_units": 2698.592293362155, "turnover_quote_units": 156528.5824277562, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13567.510122505239, "return_pct": 35.67510122505237, "cagr_pct": 35.72238391094754, "max_drawdown_pct": 45.62996145588809, "mean_exposure_while_solvent": 0.8299000094812227, "realized_annual_volatility_pct": 68.50349762713535, "trading_costs_quote_units": 505.5715909152217, "borrowing_costs_quote_units": 17.385703977744274, "price_pnl_quote_units": 4090.467417398195, "turnover_quote_units": 168523.86363840738, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 302, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.550378633251523 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13617.013054186544, "return_pct": 36.17013054186544, "cagr_pct": 36.2181523339857, "max_drawdown_pct": 40.4790329743562, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.5641827265615, "trading_costs_quote_units": 168.41477314824033, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3785.4278273347772, "turnover_quote_units": 56138.25771608013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15335.455796471173, "return_pct": 53.35455796471174, "cagr_pct": 53.429464002854886, "max_drawdown_pct": 49.61843389642665, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.95443004395283, "trading_costs_quote_units": 130.43937406421483, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5465.895170535371, "turnover_quote_units": 43479.79135473825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -17.184427422846298 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13718.945148031868, "return_pct": 37.18945148031867, "cagr_pct": 37.239001649755586, "max_drawdown_pct": 41.35548683929363, "mean_exposure_while_solvent": 0.7471280426968068, "realized_annual_volatility_pct": 61.90091142315058, "trading_costs_quote_units": 229.2165313889993, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3948.1616794208626, "turnover_quote_units": 76405.51046299981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14275.90513190223, "return_pct": 42.75905131902229, "cagr_pct": 42.817103912772325, "max_drawdown_pct": 48.54594169334702, "mean_exposure_while_solvent": 0.8542093983150086, "realized_annual_volatility_pct": 75.75866553298282, "trading_costs_quote_units": 241.83299025120044, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4517.738122153428, "turnover_quote_units": 80610.99675040011, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 195, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -5.569599838703624 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13617.013054186544, "return_pct": 36.17013054186544, "cagr_pct": 36.2181523339857, "max_drawdown_pct": 40.4790329743562, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.5641827265615, "trading_costs_quote_units": 168.41477314824033, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3785.4278273347772, "turnover_quote_units": 56138.25771608013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15335.455796471173, "return_pct": 53.35455796471174, "cagr_pct": 53.429464002854886, "max_drawdown_pct": 49.61843389642665, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.95443004395283, "trading_costs_quote_units": 130.43937406421483, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5465.895170535371, "turnover_quote_units": 43479.79135473825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -17.184427422846298 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13617.013054186544, "return_pct": 36.17013054186544, "cagr_pct": 36.2181523339857, "max_drawdown_pct": 40.4790329743562, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.5641827265615, "trading_costs_quote_units": 168.41477314824033, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3785.4278273347772, "turnover_quote_units": 56138.25771608013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15335.455796471173, "return_pct": 53.35455796471174, "cagr_pct": 53.429464002854886, "max_drawdown_pct": 49.61843389642665, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.95443004395283, "trading_costs_quote_units": 130.43937406421483, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5465.895170535371, "turnover_quote_units": 43479.79135473825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -17.184427422846298 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14890.344908305675, "return_pct": 48.90344908305675, "cagr_pct": 48.97116961725226, "max_drawdown_pct": 43.186934294435716, "mean_exposure_while_solvent": 0.7497912302472649, "realized_annual_volatility_pct": 65.44557715596537, "trading_costs_quote_units": 112.85913058554902, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5003.204038891239, "turnover_quote_units": 37619.710195183034, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14890.344908305675, "return_pct": 48.90344908305675, "cagr_pct": 48.97116961725226, "max_drawdown_pct": 43.186934294435716, "mean_exposure_while_solvent": 0.7497912302472649, "realized_annual_volatility_pct": 65.44557715596537, "trading_costs_quote_units": 112.85913058554902, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5003.204038891239, "turnover_quote_units": 37619.710195183034, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15838.505198100447, "return_pct": 58.38505198100448, "cagr_pct": 58.46825653613577, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9995423340961098, "realized_annual_volatility_pct": 87.42207336499658, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5868.415467292891, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15838.505198100447, "return_pct": 58.38505198100448, "cagr_pct": 58.46825653613577, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9995423340961098, "realized_annual_volatility_pct": 87.42207336499658, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5868.415467292891, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15723.621107340985, "return_pct": 57.23621107340986, "cagr_pct": 57.317504134345775, "max_drawdown_pct": 63.789995314648685, "mean_exposure_while_solvent": 1.2493416353557818, "realized_annual_volatility_pct": 109.53585874026643, "trading_costs_quote_units": 210.01491386705354, "borrowing_costs_quote_units": 213.6978258314822, "price_pnl_quote_units": 6147.3338470394965, "turnover_quote_units": 70004.97128901779, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15723.621107340985, "return_pct": 57.23621107340986, "cagr_pct": 57.317504134345775, "max_drawdown_pct": 63.789995314648685, "mean_exposure_while_solvent": 1.2493416353557818, "realized_annual_volatility_pct": 109.53585874026643, "trading_costs_quote_units": 210.01491386705354, "borrowing_costs_quote_units": 213.6978258314822, "price_pnl_quote_units": 6147.3338470394965, "turnover_quote_units": 70004.97128901779, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14934.077781694175, "return_pct": 49.34077781694175, "cagr_pct": 49.409197668874285, "max_drawdown_pct": 71.88219096851522, "mean_exposure_while_solvent": 1.4992512853642017, "realized_annual_volatility_pct": 131.81044730841202, "trading_costs_quote_units": 471.74794402799284, "borrowing_costs_quote_units": 440.77420570891127, "price_pnl_quote_units": 5846.5999314310875, "turnover_quote_units": 157249.31467599774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14934.077781694175, "return_pct": 49.34077781694175, "cagr_pct": 49.409197668874285, "max_drawdown_pct": 71.88219096851522, "mean_exposure_while_solvent": 1.4992512853642017, "realized_annual_volatility_pct": 131.81044730841202, "trading_costs_quote_units": 471.74794402799284, "borrowing_costs_quote_units": 440.77420570891127, "price_pnl_quote_units": 5846.5999314310875, "turnover_quote_units": 157249.31467599774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12539.00037386494, "return_pct": 25.39000373864939, "cagr_pct": 25.42240922986313, "max_drawdown_pct": 29.467619979469706, "mean_exposure_while_solvent": 0.5009701105284167, "realized_annual_volatility_pct": 41.54004695559473, "trading_costs_quote_units": 191.80898821739206, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2730.8093620823224, "turnover_quote_units": 63936.32940579732, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14309.314554073222, "return_pct": 43.09314554073222, "cagr_pct": 43.15171615532803, "max_drawdown_pct": 45.99976509935419, "mean_exposure_while_solvent": 0.7042782572380236, "realized_annual_volatility_pct": 67.71482863735358, "trading_costs_quote_units": 329.7810120226281, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4639.095566095838, "turnover_quote_units": 109927.00400754278, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -17.703141802082833 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13292.270345530493, "return_pct": 32.92270345530493, "cagr_pct": 32.96591454535112, "max_drawdown_pct": 41.647620658900266, "mean_exposure_while_solvent": 0.7513727025851002, "realized_annual_volatility_pct": 62.46322099723174, "trading_costs_quote_units": 272.8843281223801, "borrowing_costs_quote_units": 7.05264866637173, "price_pnl_quote_units": 3572.2073223192515, "turnover_quote_units": 90961.44270745994, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13962.917720061123, "return_pct": 39.62917720061123, "cagr_pct": 39.68242057267247, "max_drawdown_pct": 48.80225673080317, "mean_exposure_while_solvent": 0.8578662636330532, "realized_annual_volatility_pct": 76.09615276924272, "trading_costs_quote_units": 279.3866525078753, "borrowing_costs_quote_units": 6.447170175509151, "price_pnl_quote_units": 4248.751542744501, "turnover_quote_units": 93128.8841692917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -6.706473745306305 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13411.657880920513, "return_pct": 34.11657880920514, "cagr_pct": 34.16154806069297, "max_drawdown_pct": 52.29681053892718, "mean_exposure_while_solvent": 1.0018244152029265, "realized_annual_volatility_pct": 83.5304061478438, "trading_costs_quote_units": 382.1235319483254, "borrowing_costs_quote_units": 172.9462405387325, "price_pnl_quote_units": 3966.7276534075736, "turnover_quote_units": 127374.51064944192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13160.807357545666, "return_pct": 31.60807357545665, "cagr_pct": 31.649362867297505, "max_drawdown_pct": 54.3674613658905, "mean_exposure_while_solvent": 1.011561952853741, "realized_annual_volatility_pct": 86.56698619465598, "trading_costs_quote_units": 320.65102840770567, "borrowing_costs_quote_units": 125.85144068818045, "price_pnl_quote_units": 3607.309826641566, "turnover_quote_units": 106883.67613590191, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 2.5085052337484868 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12199.08792892133, "return_pct": 21.990879289213304, "cagr_pct": 22.01857643790824, "max_drawdown_pct": 47.32842530216802, "mean_exposure_while_solvent": 0.7831028670089552, "realized_annual_volatility_pct": 64.1874125967358, "trading_costs_quote_units": 469.39386589750137, "borrowing_costs_quote_units": 33.05309851123453, "price_pnl_quote_units": 2701.534893330074, "turnover_quote_units": 156464.62196583406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13552.642015130212, "return_pct": 35.52642015130212, "cagr_pct": 35.57348125118583, "max_drawdown_pct": 45.64201112435753, "mean_exposure_while_solvent": 0.829901518818458, "realized_annual_volatility_pct": 68.50392067749146, "trading_costs_quote_units": 505.3693763065786, "borrowing_costs_quote_units": 34.75465147565423, "price_pnl_quote_units": 4092.766042912442, "turnover_quote_units": 168456.45876885942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 302, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.535540862088816 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13617.013054186544, "return_pct": 36.17013054186544, "cagr_pct": 36.2181523339857, "max_drawdown_pct": 40.4790329743562, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.5641827265615, "trading_costs_quote_units": 168.41477314824033, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3785.4278273347772, "turnover_quote_units": 56138.25771608013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15335.455796471173, "return_pct": 53.35455796471174, "cagr_pct": 53.429464002854886, "max_drawdown_pct": 49.61843389642665, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.95443004395283, "trading_costs_quote_units": 130.43937406421483, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5465.895170535371, "turnover_quote_units": 43479.79135473825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -17.184427422846298 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13718.945148031868, "return_pct": 37.18945148031867, "cagr_pct": 37.239001649755586, "max_drawdown_pct": 41.35548683929363, "mean_exposure_while_solvent": 0.7471280426968068, "realized_annual_volatility_pct": 61.90091142315058, "trading_costs_quote_units": 229.2165313889993, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3948.1616794208626, "turnover_quote_units": 76405.51046299981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14275.90513190223, "return_pct": 42.75905131902229, "cagr_pct": 42.817103912772325, "max_drawdown_pct": 48.54594169334702, "mean_exposure_while_solvent": 0.8542093983150086, "realized_annual_volatility_pct": 75.75866553298282, "trading_costs_quote_units": 241.83299025120044, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4517.738122153428, "turnover_quote_units": 80610.99675040011, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 195, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -5.569599838703624 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13617.013054186544, "return_pct": 36.17013054186544, "cagr_pct": 36.2181523339857, "max_drawdown_pct": 40.4790329743562, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.5641827265615, "trading_costs_quote_units": 168.41477314824033, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3785.4278273347772, "turnover_quote_units": 56138.25771608013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15335.455796471173, "return_pct": 53.35455796471174, "cagr_pct": 53.429464002854886, "max_drawdown_pct": 49.61843389642665, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.95443004395283, "trading_costs_quote_units": 130.43937406421483, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5465.895170535371, "turnover_quote_units": 43479.79135473825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -17.184427422846298 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13617.013054186544, "return_pct": 36.17013054186544, "cagr_pct": 36.2181523339857, "max_drawdown_pct": 40.4790329743562, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.5641827265615, "trading_costs_quote_units": 168.41477314824033, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3785.4278273347772, "turnover_quote_units": 56138.25771608013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15335.455796471173, "return_pct": 53.35455796471174, "cagr_pct": 53.429464002854886, "max_drawdown_pct": 49.61843389642665, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.95443004395283, "trading_costs_quote_units": 130.43937406421483, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5465.895170535371, "turnover_quote_units": 43479.79135473825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -17.184427422846298 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14890.344908305675, "return_pct": 48.90344908305675, "cagr_pct": 48.97116961725226, "max_drawdown_pct": 43.186934294435716, "mean_exposure_while_solvent": 0.7497912302472649, "realized_annual_volatility_pct": 65.44557715596537, "trading_costs_quote_units": 112.85913058554902, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5003.204038891239, "turnover_quote_units": 37619.710195183034, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14890.344908305675, "return_pct": 48.90344908305675, "cagr_pct": 48.97116961725226, "max_drawdown_pct": 43.186934294435716, "mean_exposure_while_solvent": 0.7497912302472649, "realized_annual_volatility_pct": 65.44557715596537, "trading_costs_quote_units": 112.85913058554902, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5003.204038891239, "turnover_quote_units": 37619.710195183034, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15838.505198100447, "return_pct": 58.38505198100448, "cagr_pct": 58.46825653613577, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9995423340961098, "realized_annual_volatility_pct": 87.42207336499658, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5868.415467292891, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15838.505198100447, "return_pct": 58.38505198100448, "cagr_pct": 58.46825653613577, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9995423340961098, "realized_annual_volatility_pct": 87.42207336499658, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5868.415467292891, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15528.543647491902, "return_pct": 55.28543647491902, "cagr_pct": 55.363505781540056, "max_drawdown_pct": 63.91122734918389, "mean_exposure_while_solvent": 1.2493597673571497, "realized_annual_volatility_pct": 109.53810572410221, "trading_costs_quote_units": 209.02733886175625, "borrowing_costs_quote_units": 424.70541020682276, "price_pnl_quote_units": 6162.276396560469, "turnover_quote_units": 69675.77962058535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15528.543647491902, "return_pct": 55.28543647491902, "cagr_pct": 55.363505781540056, "max_drawdown_pct": 63.91122734918389, "mean_exposure_while_solvent": 1.2493597673571497, "realized_annual_volatility_pct": 109.53810572410221, "trading_costs_quote_units": 209.02733886175625, "borrowing_costs_quote_units": 424.70541020682276, "price_pnl_quote_units": 6162.276396560469, "turnover_quote_units": 69675.77962058535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14565.517348643301, "return_pct": 45.65517348643302, "cagr_pct": 45.717746088956716, "max_drawdown_pct": 72.07085201905295, "mean_exposure_while_solvent": 1.4992948401213269, "realized_annual_volatility_pct": 131.8158922160807, "trading_costs_quote_units": 466.95325014830394, "borrowing_costs_quote_units": 870.6561683455765, "price_pnl_quote_units": 5903.126767137229, "turnover_quote_units": 155651.08338276803, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14565.517348643301, "return_pct": 45.65517348643302, "cagr_pct": 45.717746088956716, "max_drawdown_pct": 72.07085201905295, "mean_exposure_while_solvent": 1.4992948401213269, "realized_annual_volatility_pct": 131.8158922160807, "trading_costs_quote_units": 466.95325014830394, "borrowing_costs_quote_units": 870.6561683455765, "price_pnl_quote_units": 5903.126767137229, "turnover_quote_units": 155651.08338276803, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12539.00037386494, "return_pct": 25.39000373864939, "cagr_pct": 25.42240922986313, "max_drawdown_pct": 29.467619979469706, "mean_exposure_while_solvent": 0.5009701105284167, "realized_annual_volatility_pct": 41.54004695559473, "trading_costs_quote_units": 191.80898821739206, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2730.8093620823224, "turnover_quote_units": 63936.32940579732, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14309.314554073222, "return_pct": 43.09314554073222, "cagr_pct": 43.15171615532803, "max_drawdown_pct": 45.99976509935419, "mean_exposure_while_solvent": 0.7042782572380236, "realized_annual_volatility_pct": 67.71482863735358, "trading_costs_quote_units": 329.7810120226281, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4639.095566095838, "turnover_quote_units": 109927.00400754278, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -17.703141802082833 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13286.574368509439, "return_pct": 32.86574368509439, "cagr_pct": 32.908871198951005, "max_drawdown_pct": 41.64978768199585, "mean_exposure_while_solvent": 0.7513732174708702, "realized_annual_volatility_pct": 62.46354926834441, "trading_costs_quote_units": 272.8640317484325, "borrowing_costs_quote_units": 14.103963466136129, "price_pnl_quote_units": 3573.54236372399, "turnover_quote_units": 90954.67724947752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13957.767184038494, "return_pct": 39.577671840384944, "cagr_pct": 39.630836737935226, "max_drawdown_pct": 48.80415805330895, "mean_exposure_while_solvent": 0.8578667051053357, "realized_annual_volatility_pct": 76.0963469175442, "trading_costs_quote_units": 279.37315111390745, "borrowing_costs_quote_units": 12.893527696290196, "price_pnl_quote_units": 4250.033862848674, "turnover_quote_units": 93124.38370463578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -6.711928155290558 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13275.713396909434, "return_pct": 32.75713396909434, "cagr_pct": 32.80010219900433, "max_drawdown_pct": 52.334998182183575, "mean_exposure_while_solvent": 1.0018393448312388, "realized_annual_volatility_pct": 83.53331115405196, "trading_costs_quote_units": 380.86712346886134, "borrowing_costs_quote_units": 344.1548697736618, "price_pnl_quote_units": 4000.735390151937, "turnover_quote_units": 126955.70782295395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13063.503913859604, "return_pct": 30.635039138596042, "cagr_pct": 30.674915659391623, "max_drawdown_pct": 54.39388765579001, "mean_exposure_while_solvent": 1.0115730654212023, "realized_annual_volatility_pct": 86.56935097843456, "trading_costs_quote_units": 319.9424340213713, "borrowing_costs_quote_units": 250.81329443742442, "price_pnl_quote_units": 3634.2596423183845, "turnover_quote_units": 106647.47800712388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 222, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 2.1220948304982983 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12172.353782013295, "return_pct": 21.723537820132943, "cagr_pct": 21.750869213072, "max_drawdown_pct": 47.35177474726774, "mean_exposure_while_solvent": 0.7831058863313958, "realized_annual_volatility_pct": 64.18830121465453, "trading_costs_quote_units": 469.015743919727, "borrowing_costs_quote_units": 66.04432749402837, "price_pnl_quote_units": 2707.413853427058, "turnover_quote_units": 156338.5813065756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13522.94413544984, "return_pct": 35.22944135449839, "cagr_pct": 35.27606041237805, "max_drawdown_pct": 45.66610816121788, "mean_exposure_while_solvent": 0.82990453792604, "realized_annual_volatility_pct": 68.50476879219606, "trading_costs_quote_units": 504.9706089569525, "borrowing_costs_quote_units": 69.44231245468774, "price_pnl_quote_units": 4097.35705686149, "turnover_quote_units": 168323.5363189842, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 302, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -13.505903534365448 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13617.013054186544, "return_pct": 36.17013054186544, "cagr_pct": 36.2181523339857, "max_drawdown_pct": 40.4790329743562, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.5641827265615, "trading_costs_quote_units": 168.41477314824033, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3785.4278273347772, "turnover_quote_units": 56138.25771608013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15335.455796471173, "return_pct": 53.35455796471174, "cagr_pct": 53.429464002854886, "max_drawdown_pct": 49.61843389642665, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.95443004395283, "trading_costs_quote_units": 130.43937406421483, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5465.895170535371, "turnover_quote_units": 43479.79135473825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -17.184427422846298 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13718.945148031868, "return_pct": 37.18945148031867, "cagr_pct": 37.239001649755586, "max_drawdown_pct": 41.35548683929363, "mean_exposure_while_solvent": 0.7471280426968068, "realized_annual_volatility_pct": 61.90091142315058, "trading_costs_quote_units": 229.2165313889993, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3948.1616794208626, "turnover_quote_units": 76405.51046299981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 333, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14275.90513190223, "return_pct": 42.75905131902229, "cagr_pct": 42.817103912772325, "max_drawdown_pct": 48.54594169334702, "mean_exposure_while_solvent": 0.8542093983150086, "realized_annual_volatility_pct": 75.75866553298282, "trading_costs_quote_units": 241.83299025120044, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4517.738122153428, "turnover_quote_units": 80610.99675040011, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 195, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -5.569599838703624 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13617.013054186544, "return_pct": 36.17013054186544, "cagr_pct": 36.2181523339857, "max_drawdown_pct": 40.4790329743562, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.5641827265615, "trading_costs_quote_units": 168.41477314824033, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3785.4278273347772, "turnover_quote_units": 56138.25771608013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15335.455796471173, "return_pct": 53.35455796471174, "cagr_pct": 53.429464002854886, "max_drawdown_pct": 49.61843389642665, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.95443004395283, "trading_costs_quote_units": 130.43937406421483, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5465.895170535371, "turnover_quote_units": 43479.79135473825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -17.184427422846298 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13617.013054186544, "return_pct": 36.17013054186544, "cagr_pct": 36.2181523339857, "max_drawdown_pct": 40.4790329743562, "mean_exposure_while_solvent": 0.7322627902812343, "realized_annual_volatility_pct": 62.5641827265615, "trading_costs_quote_units": 168.41477314824033, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3785.4278273347772, "turnover_quote_units": 56138.25771608013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15335.455796471173, "return_pct": 53.35455796471174, "cagr_pct": 53.429464002854886, "max_drawdown_pct": 49.61843389642665, "mean_exposure_while_solvent": 0.936268132654398, "realized_annual_volatility_pct": 83.95443004395283, "trading_costs_quote_units": 130.43937406421483, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5465.895170535371, "turnover_quote_units": 43479.79135473825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 92, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -17.184427422846298 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14890.344908305675, "return_pct": 48.90344908305675, "cagr_pct": 48.97116961725226, "max_drawdown_pct": 43.186934294435716, "mean_exposure_while_solvent": 0.7497912302472649, "realized_annual_volatility_pct": 65.44557715596537, "trading_costs_quote_units": 112.85913058554902, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5003.204038891239, "turnover_quote_units": 37619.710195183034, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14890.344908305675, "return_pct": 48.90344908305675, "cagr_pct": 48.97116961725226, "max_drawdown_pct": 43.186934294435716, "mean_exposure_while_solvent": 0.7497912302472649, "realized_annual_volatility_pct": 65.44557715596537, "trading_costs_quote_units": 112.85913058554902, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5003.204038891239, "turnover_quote_units": 37619.710195183034, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15838.505198100447, "return_pct": 58.38505198100448, "cagr_pct": 58.46825653613577, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9995423340961098, "realized_annual_volatility_pct": 87.42207336499658, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5868.415467292891, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15838.505198100447, "return_pct": 58.38505198100448, "cagr_pct": 58.46825653613577, "max_drawdown_pct": 54.115788558298625, "mean_exposure_while_solvent": 0.9995423340961098, "realized_annual_volatility_pct": 87.42207336499658, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5868.415467292891, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15145.521627228456, "return_pct": 51.45521627228455, "cagr_pct": 51.52703783937211, "max_drawdown_pct": 64.15253023605985, "mean_exposure_while_solvent": 1.2493960371864048, "realized_annual_volatility_pct": 109.54260084522092, "trading_costs_quote_units": 207.09191489301932, "borrowing_costs_quote_units": 838.7823801122461, "price_pnl_quote_units": 6191.395922233717, "turnover_quote_units": 69030.63829767321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15145.521627228456, "return_pct": 51.45521627228455, "cagr_pct": 51.52703783937211, "max_drawdown_pct": 64.15253023605985, "mean_exposure_while_solvent": 1.2493960371864048, "realized_annual_volatility_pct": 109.54260084522092, "trading_costs_quote_units": 207.09191489301932, "borrowing_costs_quote_units": 838.7823801122461, "price_pnl_quote_units": 6191.395922233717, "turnover_quote_units": 69030.63829767321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13855.239296246727, "return_pct": 38.55239296246729, "cagr_pct": 38.60400026042925, "max_drawdown_pct": 72.4444902123561, "mean_exposure_while_solvent": 1.4993819693238688, "realized_annual_volatility_pct": 131.82678582149063, "trading_costs_quote_units": 457.62612249968294, "borrowing_costs_quote_units": 1698.8100035661162, "price_pnl_quote_units": 6011.675422312463, "turnover_quote_units": 152542.04083322774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13855.239296246727, "return_pct": 38.55239296246729, "cagr_pct": 38.60400026042925, "max_drawdown_pct": 72.4444902123561, "mean_exposure_while_solvent": 1.4993819693238688, "realized_annual_volatility_pct": 131.82678582149063, "trading_costs_quote_units": 457.62612249968294, "borrowing_costs_quote_units": 1698.8100035661162, "price_pnl_quote_units": 6011.675422312463, "turnover_quote_units": 152542.04083322774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 362, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12773.068676835719, "return_pct": 27.730686768357195, "cagr_pct": 27.76639593618561, "max_drawdown_pct": 28.849568115999368, "mean_exposure_while_solvent": 0.5003888860397071, "realized_annual_volatility_pct": 41.62159229022688, "trading_costs_quote_units": 204.63825591729352, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2977.706932752995, "turnover_quote_units": 68212.75197243124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13995.313052422229, "return_pct": 39.95313052422229, "cagr_pct": 40.006867975371115, "max_drawdown_pct": 45.55538313465571, "mean_exposure_while_solvent": 0.703916072297015, "realized_annual_volatility_pct": 68.083033036075, "trading_costs_quote_units": 325.2069581443221, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4320.520010566529, "turnover_quote_units": 108402.31938144076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -12.222443755865093 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13528.124384783961, "return_pct": 35.28124384783962, "cagr_pct": 35.32793995815774, "max_drawdown_pct": 40.916218180466515, "mean_exposure_while_solvent": 0.7503876105648473, "realized_annual_volatility_pct": 62.60690654814448, "trading_costs_quote_units": 282.2360803363139, "borrowing_costs_quote_units": 3.558576478933691, "price_pnl_quote_units": 3813.919041599187, "turnover_quote_units": 94078.69344543801, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13649.214864397964, "return_pct": 36.492148643979625, "cagr_pct": 36.54065233244641, "max_drawdown_pct": 48.53256497756854, "mean_exposure_while_solvent": 0.8570785421230599, "realized_annual_volatility_pct": 76.38090047416425, "trading_costs_quote_units": 276.48669012418185, "borrowing_costs_quote_units": 3.124787002929161, "price_pnl_quote_units": 3928.8263415250717, "turnover_quote_units": 92162.23004139398, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -1.2109047961400066 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13588.085892075203, "return_pct": 35.88085892075203, "cagr_pct": 35.92844856384505, "max_drawdown_pct": 51.527190711832326, "mean_exposure_while_solvent": 1.0003736196021389, "realized_annual_volatility_pct": 83.76753330740291, "trading_costs_quote_units": 387.0095370163226, "borrowing_costs_quote_units": 87.48493045042414, "price_pnl_quote_units": 4062.5803595419416, "turnover_quote_units": 129003.1790054409, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12829.694160812267, "return_pct": 28.296941608122662, "cagr_pct": 28.33345740073726, "max_drawdown_pct": 53.96712221160547, "mean_exposure_while_solvent": 1.0101933858360201, "realized_annual_volatility_pct": 86.80268530853704, "trading_costs_quote_units": 314.5697145540454, "borrowing_costs_quote_units": 61.2706845262468, "price_pnl_quote_units": 3205.5345598925483, "turnover_quote_units": 104856.57151801507, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 7.583917312629371 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12667.375095539333, "return_pct": 26.673750955393327, "cagr_pct": 26.70796221857512, "max_drawdown_pct": 47.11862062185641, "mean_exposure_while_solvent": 0.7815590678038576, "realized_annual_volatility_pct": 64.34225033094405, "trading_costs_quote_units": 489.8987975675537, "borrowing_costs_quote_units": 16.794176822151595, "price_pnl_quote_units": 3174.068069929035, "turnover_quote_units": 163299.59918918434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13781.85354488412, "return_pct": 37.818535448841196, "cagr_pct": 37.86903319836903, "max_drawdown_pct": 45.48018762380986, "mean_exposure_while_solvent": 0.8283674058425612, "realized_annual_volatility_pct": 68.83321799044305, "trading_costs_quote_units": 519.4496296811656, "borrowing_costs_quote_units": 17.294763231865943, "price_pnl_quote_units": 4318.597937797145, "turnover_quote_units": 173149.87656038848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -11.144784493447869 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13802.013419751464, "return_pct": 38.02013419751464, "cagr_pct": 38.07093630796329, "max_drawdown_pct": 40.14458117456863, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.682024963428795, "trading_costs_quote_units": 179.84544954985193, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3981.85886930133, "turnover_quote_units": 59948.48318328388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15214.4967720957, "return_pct": 52.144967720957005, "cagr_pct": 52.21790628973268, "max_drawdown_pct": 49.610971157655804, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0122004218132, "trading_costs_quote_units": 132.19833331133464, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5346.6951054070605, "turnover_quote_units": 44066.11110377822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -14.124833523442362 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13906.392650007974, "return_pct": 39.063926500079745, "cagr_pct": 39.11630983699379, "max_drawdown_pct": 40.73648454962139, "mean_exposure_while_solvent": 0.7461560292714443, "realized_annual_volatility_pct": 62.02676222698913, "trading_costs_quote_units": 238.56594390598033, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4144.958593913971, "turnover_quote_units": 79521.98130199345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13904.616948916268, "return_pct": 39.046169489162686, "cagr_pct": 39.09852585110882, "max_drawdown_pct": 48.376000372494254, "mean_exposure_while_solvent": 0.8534358789380704, "realized_annual_volatility_pct": 76.04513057326582, "trading_costs_quote_units": 240.39201862971672, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4145.008967545971, "turnover_quote_units": 80130.67287657216, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 198, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.017757010917058835 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13802.013419751464, "return_pct": 38.02013419751464, "cagr_pct": 38.07093630796329, "max_drawdown_pct": 40.14458117456863, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.682024963428795, "trading_costs_quote_units": 179.84544954985193, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3981.85886930133, "turnover_quote_units": 59948.48318328388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15214.4967720957, "return_pct": 52.144967720957005, "cagr_pct": 52.21790628973268, "max_drawdown_pct": 49.610971157655804, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0122004218132, "trading_costs_quote_units": 132.19833331133464, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5346.6951054070605, "turnover_quote_units": 44066.11110377822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -14.124833523442362 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13802.013419751464, "return_pct": 38.02013419751464, "cagr_pct": 38.07093630796329, "max_drawdown_pct": 40.14458117456863, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.682024963428795, "trading_costs_quote_units": 179.84544954985193, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3981.85886930133, "turnover_quote_units": 59948.48318328388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15214.4967720957, "return_pct": 52.144967720957005, "cagr_pct": 52.21790628973268, "max_drawdown_pct": 49.610971157655804, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0122004218132, "trading_costs_quote_units": 132.19833331133464, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5346.6951054070605, "turnover_quote_units": 44066.11110377822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -14.124833523442362 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14998.341416305375, "return_pct": 49.98341416305374, "cagr_pct": 50.05286429004532, "max_drawdown_pct": 43.17903656243538, "mean_exposure_while_solvent": 0.7490447926355691, "realized_annual_volatility_pct": 65.44673369496178, "trading_costs_quote_units": 118.43821984011869, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5116.779636145486, "turnover_quote_units": 39479.40661337291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14998.341416305375, "return_pct": 49.98341416305374, "cagr_pct": 50.05286429004532, "max_drawdown_pct": 43.17903656243538, "mean_exposure_while_solvent": 0.7490447926355691, "realized_annual_volatility_pct": 65.44673369496178, "trading_costs_quote_units": 118.43821984011869, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5116.779636145486, "turnover_quote_units": 39479.40661337291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15786.500007792496, "return_pct": 57.86500007792497, "cagr_pct": 57.94733816175302, "max_drawdown_pct": 54.11578855829864, "mean_exposure_while_solvent": 0.9986270022883296, "realized_annual_volatility_pct": 87.41781643363431, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5816.4102769849205, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15786.500007792496, "return_pct": 57.86500007792497, "cagr_pct": 57.94733816175302, "max_drawdown_pct": 54.11578855829864, "mean_exposure_while_solvent": 0.9986270022883296, "realized_annual_volatility_pct": 87.41781643363431, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5816.4102769849205, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15376.783821362433, "return_pct": 53.767838213624316, "cagr_pct": 53.84341898215923, "max_drawdown_pct": 63.79468316271596, "mean_exposure_while_solvent": 1.2483112489886083, "realized_annual_volatility_pct": 109.52284667485408, "trading_costs_quote_units": 218.1853812063014, "borrowing_costs_quote_units": 210.2674495685119, "price_pnl_quote_units": 5805.23665213721, "turnover_quote_units": 72728.46040210057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15376.783821362433, "return_pct": 53.767838213624316, "cagr_pct": 53.84341898215923, "max_drawdown_pct": 63.79468316271596, "mean_exposure_while_solvent": 1.2483112489886083, "realized_annual_volatility_pct": 109.52284667485408, "trading_costs_quote_units": 218.1853812063014, "borrowing_costs_quote_units": 210.2674495685119, "price_pnl_quote_units": 5805.23665213721, "turnover_quote_units": 72728.46040210057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14209.542195709471, "return_pct": 42.0954219570947, "cagr_pct": 42.15244823274206, "max_drawdown_pct": 71.8973422277142, "mean_exposure_while_solvent": 1.498169553671783, "realized_annual_volatility_pct": 131.79381178628324, "trading_costs_quote_units": 486.34855923852126, "borrowing_costs_quote_units": 426.17472184392335, "price_pnl_quote_units": 5122.065476791884, "turnover_quote_units": 162116.18641284044, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14209.542195709471, "return_pct": 42.0954219570947, "cagr_pct": 42.15244823274206, "max_drawdown_pct": 71.8973422277142, "mean_exposure_while_solvent": 1.498169553671783, "realized_annual_volatility_pct": 131.79381178628324, "trading_costs_quote_units": 486.34855923852126, "borrowing_costs_quote_units": 426.17472184392335, "price_pnl_quote_units": 5122.065476791884, "turnover_quote_units": 162116.18641284044, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12773.068676835719, "return_pct": 27.730686768357195, "cagr_pct": 27.76639593618561, "max_drawdown_pct": 28.849568115999368, "mean_exposure_while_solvent": 0.5003888860397071, "realized_annual_volatility_pct": 41.62159229022688, "trading_costs_quote_units": 204.63825591729352, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2977.706932752995, "turnover_quote_units": 68212.75197243124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13995.313052422229, "return_pct": 39.95313052422229, "cagr_pct": 40.006867975371115, "max_drawdown_pct": 45.55538313465571, "mean_exposure_while_solvent": 0.703916072297015, "realized_annual_volatility_pct": 68.083033036075, "trading_costs_quote_units": 325.2069581443221, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4320.520010566529, "turnover_quote_units": 108402.31938144076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -12.222443755865093 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13525.234022290639, "return_pct": 35.2523402229064, "cagr_pct": 35.29899333838765, "max_drawdown_pct": 40.91729822120863, "mean_exposure_while_solvent": 0.7503878669981525, "realized_annual_volatility_pct": 62.607047268144015, "trading_costs_quote_units": 282.2258102666506, "borrowing_costs_quote_units": 7.116818196228383, "price_pnl_quote_units": 3814.576650753481, "turnover_quote_units": 94075.2700888835, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13646.704791473641, "return_pct": 36.467047914736405, "cagr_pct": 36.515514009000306, "max_drawdown_pct": 48.533505792882046, "mean_exposure_while_solvent": 0.8570787620591013, "realized_annual_volatility_pct": 76.38098159313836, "trading_costs_quote_units": 276.48009715635663, "borrowing_costs_quote_units": 6.249378876275094, "price_pnl_quote_units": 3929.434267506287, "turnover_quote_units": 92160.03238545211, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -1.2147076918300073 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13519.212332839496, "return_pct": 35.19212332839496, "cagr_pct": 35.238686892491266, "max_drawdown_pct": 51.54680668511196, "mean_exposure_while_solvent": 1.0003809319863834, "realized_annual_volatility_pct": 83.76900252774634, "trading_costs_quote_units": 386.39682214922277, "borrowing_costs_quote_units": 174.5295926211552, "price_pnl_quote_units": 4080.1387476099, "turnover_quote_units": 128798.94071640755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12782.312660071935, "return_pct": 27.82312660071935, "cagr_pct": 27.858967252481232, "max_drawdown_pct": 53.98066884907191, "mean_exposure_while_solvent": 1.0101987871965794, "realized_annual_volatility_pct": 86.80392222764172, "trading_costs_quote_units": 314.2468288706427, "borrowing_costs_quote_units": 122.32495006998424, "price_pnl_quote_units": 3218.8844390125573, "turnover_quote_units": 104748.94295688084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 7.368996727675615 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12653.647663775853, "return_pct": 26.536476637758533, "cagr_pct": 26.57049409206956, "max_drawdown_pct": 47.131014130227264, "mean_exposure_while_solvent": 0.7815605441607556, "realized_annual_volatility_pct": 64.34269522647604, "trading_costs_quote_units": 489.7015016887418, "borrowing_costs_quote_units": 33.57268756058295, "price_pnl_quote_units": 3176.9218530251783, "turnover_quote_units": 163233.83389624703, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13766.919689281965, "return_pct": 37.66919689281964, "cagr_pct": 37.71946939797867, "max_drawdown_pct": 45.49296512241169, "mean_exposure_while_solvent": 0.8283688820911757, "realized_annual_volatility_pct": 68.8336399314597, "trading_costs_quote_units": 519.2449007339845, "borrowing_costs_quote_units": 34.57291200630607, "price_pnl_quote_units": 4320.737502022257, "turnover_quote_units": 173081.63357799454, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -11.132720255061109 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13802.013419751464, "return_pct": 38.02013419751464, "cagr_pct": 38.07093630796329, "max_drawdown_pct": 40.14458117456863, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.682024963428795, "trading_costs_quote_units": 179.84544954985193, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3981.85886930133, "turnover_quote_units": 59948.48318328388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15214.4967720957, "return_pct": 52.144967720957005, "cagr_pct": 52.21790628973268, "max_drawdown_pct": 49.610971157655804, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0122004218132, "trading_costs_quote_units": 132.19833331133464, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5346.6951054070605, "turnover_quote_units": 44066.11110377822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -14.124833523442362 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13906.392650007974, "return_pct": 39.063926500079745, "cagr_pct": 39.11630983699379, "max_drawdown_pct": 40.73648454962139, "mean_exposure_while_solvent": 0.7461560292714443, "realized_annual_volatility_pct": 62.02676222698913, "trading_costs_quote_units": 238.56594390598033, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4144.958593913971, "turnover_quote_units": 79521.98130199345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13904.616948916268, "return_pct": 39.046169489162686, "cagr_pct": 39.09852585110882, "max_drawdown_pct": 48.376000372494254, "mean_exposure_while_solvent": 0.8534358789380704, "realized_annual_volatility_pct": 76.04513057326582, "trading_costs_quote_units": 240.39201862971672, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4145.008967545971, "turnover_quote_units": 80130.67287657216, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 198, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.017757010917058835 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13802.013419751464, "return_pct": 38.02013419751464, "cagr_pct": 38.07093630796329, "max_drawdown_pct": 40.14458117456863, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.682024963428795, "trading_costs_quote_units": 179.84544954985193, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3981.85886930133, "turnover_quote_units": 59948.48318328388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15214.4967720957, "return_pct": 52.144967720957005, "cagr_pct": 52.21790628973268, "max_drawdown_pct": 49.610971157655804, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0122004218132, "trading_costs_quote_units": 132.19833331133464, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5346.6951054070605, "turnover_quote_units": 44066.11110377822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -14.124833523442362 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13802.013419751464, "return_pct": 38.02013419751464, "cagr_pct": 38.07093630796329, "max_drawdown_pct": 40.14458117456863, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.682024963428795, "trading_costs_quote_units": 179.84544954985193, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3981.85886930133, "turnover_quote_units": 59948.48318328388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15214.4967720957, "return_pct": 52.144967720957005, "cagr_pct": 52.21790628973268, "max_drawdown_pct": 49.610971157655804, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0122004218132, "trading_costs_quote_units": 132.19833331133464, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5346.6951054070605, "turnover_quote_units": 44066.11110377822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -14.124833523442362 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 14998.341416305375, "return_pct": 49.98341416305374, "cagr_pct": 50.05286429004532, "max_drawdown_pct": 43.17903656243538, "mean_exposure_while_solvent": 0.7490447926355691, "realized_annual_volatility_pct": 65.44673369496178, "trading_costs_quote_units": 118.43821984011869, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5116.779636145486, "turnover_quote_units": 39479.40661337291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 14998.341416305375, "return_pct": 49.98341416305374, "cagr_pct": 50.05286429004532, "max_drawdown_pct": 43.17903656243538, "mean_exposure_while_solvent": 0.7490447926355691, "realized_annual_volatility_pct": 65.44673369496178, "trading_costs_quote_units": 118.43821984011869, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5116.779636145486, "turnover_quote_units": 39479.40661337291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15786.500007792496, "return_pct": 57.86500007792497, "cagr_pct": 57.94733816175302, "max_drawdown_pct": 54.11578855829864, "mean_exposure_while_solvent": 0.9986270022883296, "realized_annual_volatility_pct": 87.41781643363431, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5816.4102769849205, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15786.500007792496, "return_pct": 57.86500007792497, "cagr_pct": 57.94733816175302, "max_drawdown_pct": 54.11578855829864, "mean_exposure_while_solvent": 0.9986270022883296, "realized_annual_volatility_pct": 87.41781643363431, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5816.4102769849205, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15186.153078735004, "return_pct": 51.86153078735003, "cagr_pct": 51.934009917013825, "max_drawdown_pct": 63.9157988075407, "mean_exposure_while_solvent": 1.2483290078419849, "realized_annual_volatility_pct": 109.52501711740688, "trading_costs_quote_units": 217.14639595420252, "borrowing_costs_quote_units": 417.8955720369243, "price_pnl_quote_units": 5821.195046726123, "turnover_quote_units": 72382.13198473417, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15186.153078735004, "return_pct": 51.86153078735003, "cagr_pct": 51.934009917013825, "max_drawdown_pct": 63.9157988075407, "mean_exposure_while_solvent": 1.2483290078419849, "realized_annual_volatility_pct": 109.52501711740688, "trading_costs_quote_units": 217.14639595420252, "borrowing_costs_quote_units": 417.8955720369243, "price_pnl_quote_units": 5821.195046726123, "turnover_quote_units": 72382.13198473417, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13859.065646994675, "return_pct": 38.59065646994675, "cagr_pct": 38.64232174218454, "max_drawdown_pct": 72.08571676998422, "mean_exposure_while_solvent": 1.498212229621701, "realized_annual_volatility_pct": 131.7990804310518, "trading_costs_quote_units": 481.4890652337826, "borrowing_costs_quote_units": 841.8664532922908, "price_pnl_quote_units": 5182.421165520675, "turnover_quote_units": 160496.35507792755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13859.065646994675, "return_pct": 38.59065646994675, "cagr_pct": 38.64232174218454, "max_drawdown_pct": 72.08571676998422, "mean_exposure_while_solvent": 1.498212229621701, "realized_annual_volatility_pct": 131.7990804310518, "trading_costs_quote_units": 481.4890652337826, "borrowing_costs_quote_units": 841.8664532922908, "price_pnl_quote_units": 5182.421165520675, "turnover_quote_units": 160496.35507792755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12773.068676835719, "return_pct": 27.730686768357195, "cagr_pct": 27.76639593618561, "max_drawdown_pct": 28.849568115999368, "mean_exposure_while_solvent": 0.5003888860397071, "realized_annual_volatility_pct": 41.62159229022688, "trading_costs_quote_units": 204.63825591729352, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2977.706932752995, "turnover_quote_units": 68212.75197243124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13995.313052422229, "return_pct": 39.95313052422229, "cagr_pct": 40.006867975371115, "max_drawdown_pct": 45.55538313465571, "mean_exposure_while_solvent": 0.703916072297015, "realized_annual_volatility_pct": 68.083033036075, "trading_costs_quote_units": 325.2069581443221, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4320.520010566529, "turnover_quote_units": 108402.31938144076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -12.222443755865093 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13519.454089821422, "return_pct": 35.194540898214214, "cagr_pct": 35.24110805700166, "max_drawdown_pct": 40.91945864286603, "mean_exposure_while_solvent": 0.7503883799194084, "realized_annual_volatility_pct": 62.607328897013424, "trading_costs_quote_units": 282.205269433741, "borrowing_costs_quote_units": 14.232297059249985, "price_pnl_quote_units": 3815.89165631441, "turnover_quote_units": 94068.4231445803, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13641.68511313477, "return_pct": 36.41685113134769, "cagr_pct": 36.46524206004841, "max_drawdown_pct": 48.53538771983133, "mean_exposure_while_solvent": 0.857079201977677, "realized_annual_volatility_pct": 76.3811439611144, "trading_costs_quote_units": 276.4669105967313, "borrowing_costs_quote_units": 12.497976975027816, "price_pnl_quote_units": 3930.6500007065447, "turnover_quote_units": 92155.63686557702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -1.2223102331334772 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13382.479916173093, "return_pct": 33.82479916173094, "cagr_pct": 33.86933759718546, "max_drawdown_pct": 51.58602365831848, "mean_exposure_while_solvent": 1.0003955591264073, "realized_annual_volatility_pct": 83.77194909632475, "trading_costs_quote_units": 385.1765302323894, "borrowing_costs_quote_units": 347.306500294158, "price_pnl_quote_units": 4114.962946699583, "turnover_quote_units": 128392.17674412995, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12688.052231760928, "return_pct": 26.88052231760929, "cagr_pct": 26.915025829198658, "max_drawdown_pct": 54.007756665362486, "mean_exposure_while_solvent": 1.0102095917268337, "realized_annual_volatility_pct": 86.80640351376752, "trading_costs_quote_units": 313.6027833568166, "borrowing_costs_quote_units": 243.7871083424458, "price_pnl_quote_units": 3245.4421234602037, "turnover_quote_units": 104534.2611189388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 225, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 6.944276844121646 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12626.231663706987, "return_pct": 26.26231663706986, "cagr_pct": 26.295947532271462, "max_drawdown_pct": 47.15579801598662, "mean_exposure_while_solvent": 0.7815634972938775, "realized_annual_volatility_pct": 64.3435872773299, "trading_costs_quote_units": 489.3072306194365, "borrowing_costs_quote_units": 67.08275989132511, "price_pnl_quote_units": 3182.6216542177335, "turnover_quote_units": 163102.41020647882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13737.094252631361, "return_pct": 37.37094252631361, "cagr_pct": 37.42076573511788, "max_drawdown_pct": 45.51851689162496, "mean_exposure_while_solvent": 0.8283718350077107, "realized_annual_volatility_pct": 68.83448592932922, "trading_costs_quote_units": 518.8357831417778, "borrowing_costs_quote_units": 69.0794190836113, "price_pnl_quote_units": 4325.009454856756, "turnover_quote_units": 172945.26104725932, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 305, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -11.108625889243754 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13802.013419751464, "return_pct": 38.02013419751464, "cagr_pct": 38.07093630796329, "max_drawdown_pct": 40.14458117456863, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.682024963428795, "trading_costs_quote_units": 179.84544954985193, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3981.85886930133, "turnover_quote_units": 59948.48318328388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15214.4967720957, "return_pct": 52.144967720957005, "cagr_pct": 52.21790628973268, "max_drawdown_pct": 49.610971157655804, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0122004218132, "trading_costs_quote_units": 132.19833331133464, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5346.6951054070605, "turnover_quote_units": 44066.11110377822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -14.124833523442362 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13906.392650007974, "return_pct": 39.063926500079745, "cagr_pct": 39.11630983699379, "max_drawdown_pct": 40.73648454962139, "mean_exposure_while_solvent": 0.7461560292714443, "realized_annual_volatility_pct": 62.02676222698913, "trading_costs_quote_units": 238.56594390598033, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4144.958593913971, "turnover_quote_units": 79521.98130199345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13904.616948916268, "return_pct": 39.046169489162686, "cagr_pct": 39.09852585110882, "max_drawdown_pct": 48.376000372494254, "mean_exposure_while_solvent": 0.8534358789380704, "realized_annual_volatility_pct": 76.04513057326582, "trading_costs_quote_units": 240.39201862971672, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 4145.008967545971, "turnover_quote_units": 80130.67287657216, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 198, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.017757010917058835 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13802.013419751464, "return_pct": 38.02013419751464, "cagr_pct": 38.07093630796329, "max_drawdown_pct": 40.14458117456863, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.682024963428795, "trading_costs_quote_units": 179.84544954985193, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3981.85886930133, "turnover_quote_units": 59948.48318328388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15214.4967720957, "return_pct": 52.144967720957005, "cagr_pct": 52.21790628973268, "max_drawdown_pct": 49.610971157655804, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0122004218132, "trading_costs_quote_units": 132.19833331133464, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5346.6951054070605, "turnover_quote_units": 44066.11110377822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -14.124833523442362 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13802.013419751464, "return_pct": 38.02013419751464, "cagr_pct": 38.07093630796329, "max_drawdown_pct": 40.14458117456863, "mean_exposure_while_solvent": 0.7313015102276196, "realized_annual_volatility_pct": 62.682024963428795, "trading_costs_quote_units": 179.84544954985193, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 3981.85886930133, "turnover_quote_units": 59948.48318328388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15214.4967720957, "return_pct": 52.144967720957005, "cagr_pct": 52.21790628973268, "max_drawdown_pct": 49.610971157655804, "mean_exposure_while_solvent": 0.9355240920430969, "realized_annual_volatility_pct": 84.0122004218132, "trading_costs_quote_units": 132.19833331133464, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5346.6951054070605, "turnover_quote_units": 44066.11110377822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 94, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": -14.124833523442362 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14998.341416305375, "return_pct": 49.98341416305374, "cagr_pct": 50.05286429004532, "max_drawdown_pct": 43.17903656243538, "mean_exposure_while_solvent": 0.7490447926355691, "realized_annual_volatility_pct": 65.44673369496178, "trading_costs_quote_units": 118.43821984011869, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5116.779636145486, "turnover_quote_units": 39479.40661337291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14998.341416305375, "return_pct": 49.98341416305374, "cagr_pct": 50.05286429004532, "max_drawdown_pct": 43.17903656243538, "mean_exposure_while_solvent": 0.7490447926355691, "realized_annual_volatility_pct": 65.44673369496178, "trading_costs_quote_units": 118.43821984011869, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5116.779636145486, "turnover_quote_units": 39479.40661337291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15786.500007792496, "return_pct": 57.86500007792497, "cagr_pct": 57.94733816175302, "max_drawdown_pct": 54.11578855829864, "mean_exposure_while_solvent": 0.9986270022883296, "realized_annual_volatility_pct": 87.41781643363431, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5816.4102769849205, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15786.500007792496, "return_pct": 57.86500007792497, "cagr_pct": 57.94733816175302, "max_drawdown_pct": 54.11578855829864, "mean_exposure_while_solvent": 0.9986270022883296, "realized_annual_volatility_pct": 87.41781643363431, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 5816.4102769849205, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14811.869982289358, "return_pct": 48.11869982289358, "cagr_pct": 48.18516917737957, "max_drawdown_pct": 64.1568696623648, "mean_exposure_while_solvent": 1.248364531014332, "realized_annual_volatility_pct": 109.52935896757823, "trading_costs_quote_units": 215.09223867636956, "borrowing_costs_quote_units": 825.3637866455458, "price_pnl_quote_units": 5852.326007611275, "turnover_quote_units": 71697.41289212316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14811.869982289358, "return_pct": 48.11869982289358, "cagr_pct": 48.18516917737957, "max_drawdown_pct": 64.1568696623648, "mean_exposure_while_solvent": 1.248364531014332, "realized_annual_volatility_pct": 109.52935896757823, "trading_costs_quote_units": 215.09223867636956, "borrowing_costs_quote_units": 825.3637866455458, "price_pnl_quote_units": 5852.326007611275, "turnover_quote_units": 71697.41289212316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13183.652035280415, "return_pct": 31.836520352804154, "cagr_pct": 31.878142526680374, "max_drawdown_pct": 72.45878863801069, "mean_exposure_while_solvent": 1.4982976000482602, "realized_annual_volatility_pct": 131.8096211086113, "trading_costs_quote_units": 471.99217042106363, "borrowing_costs_quote_units": 1642.825937768445, "price_pnl_quote_units": 5298.470143469925, "turnover_quote_units": 157330.72347368803, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "native": { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13183.652035280415, "return_pct": 31.836520352804154, "cagr_pct": 31.878142526680374, "max_drawdown_pct": 72.45878863801069, "mean_exposure_while_solvent": 1.4982976000482602, "realized_annual_volatility_pct": 131.8096211086113, "trading_costs_quote_units": 471.99217042106363, "borrowing_costs_quote_units": 1642.825937768445, "price_pnl_quote_units": 5298.470143469925, "turnover_quote_units": 157330.72347368803, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4305.251562211529, "return_pct": -56.947484377884706, "cagr_pct": -56.98890172819618, "max_drawdown_pct": 57.679046315147595, "mean_exposure_while_solvent": 0.7009362962669989, "realized_annual_volatility_pct": 41.50334425658851, "trading_costs_quote_units": 28.3121175838497, "borrowing_costs_quote_units": 6.132694562991914, "price_pnl_quote_units": -5660.303625641627, "turnover_quote_units": 47186.86263974949, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4305.251562211529, "return_pct": -56.947484377884706, "cagr_pct": -56.98890172819618, "max_drawdown_pct": 57.679046315147595, "mean_exposure_while_solvent": 0.7009362962669989, "realized_annual_volatility_pct": 41.50334425658851, "trading_costs_quote_units": 28.3121175838497, "borrowing_costs_quote_units": 6.132694562991914, "price_pnl_quote_units": -5660.303625641627, "turnover_quote_units": 47186.86263974949, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2811.5853226326717, "return_pct": -71.88414677367328, "cagr_pct": -71.92486009940623, "max_drawdown_pct": 73.25671084428895, "mean_exposure_while_solvent": 1.013455312342129, "realized_annual_volatility_pct": 61.13563512984371, "trading_costs_quote_units": 29.42647152193529, "borrowing_costs_quote_units": 21.883298184130343, "price_pnl_quote_units": -7137.1049076612635, "turnover_quote_units": 49044.1192032255, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2811.5853226326717, "return_pct": -71.88414677367328, "cagr_pct": -71.92486009940623, "max_drawdown_pct": 73.25671084428895, "mean_exposure_while_solvent": 1.013455312342129, "realized_annual_volatility_pct": 61.13563512984371, "trading_costs_quote_units": 29.42647152193529, "borrowing_costs_quote_units": 21.883298184130343, "price_pnl_quote_units": -7137.1049076612635, "turnover_quote_units": 49044.1192032255, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1911.9461960614997, "return_pct": -80.880538039385, "cagr_pct": -80.91663052927558, "max_drawdown_pct": 82.05092375093407, "mean_exposure_while_solvent": 1.2774269115828478, "realized_annual_volatility_pct": 78.0702981038028, "trading_costs_quote_units": 30.13932341971121, "borrowing_costs_quote_units": 63.651835955363666, "price_pnl_quote_units": -7994.26264456343, "turnover_quote_units": 50232.20569951865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1911.9461960614997, "return_pct": -80.880538039385, "cagr_pct": -80.91663052927558, "max_drawdown_pct": 82.05092375093407, "mean_exposure_while_solvent": 1.2774269115828478, "realized_annual_volatility_pct": 78.0702981038028, "trading_costs_quote_units": 30.13932341971121, "borrowing_costs_quote_units": 63.651835955363666, "price_pnl_quote_units": -7994.26264456343, "turnover_quote_units": 50232.20569951865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2838.668202243275, "return_pct": -71.61331797756725, "cagr_pct": -71.65411313538614, "max_drawdown_pct": 73.35156038342282, "mean_exposure_while_solvent": 1.0571769933539967, "realized_annual_volatility_pct": 61.29415682752677, "trading_costs_quote_units": 49.05252911518966, "borrowing_costs_quote_units": 32.89542452873192, "price_pnl_quote_units": -7079.383844112802, "turnover_quote_units": 81754.21519198277, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2838.668202243275, "return_pct": -71.61331797756725, "cagr_pct": -71.65411313538614, "max_drawdown_pct": 73.35156038342282, "mean_exposure_while_solvent": 1.0571769933539967, "realized_annual_volatility_pct": 61.29415682752677, "trading_costs_quote_units": 49.05252911518966, "borrowing_costs_quote_units": 32.89542452873192, "price_pnl_quote_units": -7079.383844112802, "turnover_quote_units": 81754.21519198277, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3276.497014480088, "return_pct": -67.23502985519912, "cagr_pct": -67.27675690410378, "max_drawdown_pct": 69.30036206813496, "mean_exposure_while_solvent": 0.9707687012360955, "realized_annual_volatility_pct": 58.567872191240355, "trading_costs_quote_units": 17.907283068764563, "borrowing_costs_quote_units": 9.954413087185108, "price_pnl_quote_units": -6695.641289363951, "turnover_quote_units": 29845.47178127426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3276.497014480088, "return_pct": -67.23502985519912, "cagr_pct": -67.27675690410378, "max_drawdown_pct": 69.30036206813496, "mean_exposure_while_solvent": 0.9707687012360955, "realized_annual_volatility_pct": 58.567872191240355, "trading_costs_quote_units": 17.907283068764563, "borrowing_costs_quote_units": 9.954413087185108, "price_pnl_quote_units": -6695.641289363951, "turnover_quote_units": 29845.47178127426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3433.683214846144, "return_pct": -65.66316785153856, "cagr_pct": -65.70506142790838, "max_drawdown_pct": 67.5291768309783, "mean_exposure_while_solvent": 0.9161777320488793, "realized_annual_volatility_pct": 56.01334518786301, "trading_costs_quote_units": 17.389049142936898, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6548.927736010918, "turnover_quote_units": 28981.748571561475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3433.683214846144, "return_pct": -65.66316785153856, "cagr_pct": -65.70506142790838, "max_drawdown_pct": 67.5291768309783, "mean_exposure_while_solvent": 0.9161777320488793, "realized_annual_volatility_pct": 56.01334518786301, "trading_costs_quote_units": 17.389049142936898, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6548.927736010918, "turnover_quote_units": 28981.748571561475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3276.497014480088, "return_pct": -67.23502985519912, "cagr_pct": -67.27675690410378, "max_drawdown_pct": 69.30036206813496, "mean_exposure_while_solvent": 0.9707687012360955, "realized_annual_volatility_pct": 58.567872191240355, "trading_costs_quote_units": 17.907283068764563, "borrowing_costs_quote_units": 9.954413087185108, "price_pnl_quote_units": -6695.641289363951, "turnover_quote_units": 29845.47178127426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3276.497014480088, "return_pct": -67.23502985519912, "cagr_pct": -67.27675690410378, "max_drawdown_pct": 69.30036206813496, "mean_exposure_while_solvent": 0.9707687012360955, "realized_annual_volatility_pct": 58.567872191240355, "trading_costs_quote_units": 17.907283068764563, "borrowing_costs_quote_units": 9.954413087185108, "price_pnl_quote_units": -6695.641289363951, "turnover_quote_units": 29845.47178127426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3276.497014480088, "return_pct": -67.23502985519912, "cagr_pct": -67.27675690410378, "max_drawdown_pct": 69.30036206813496, "mean_exposure_while_solvent": 0.9707687012360955, "realized_annual_volatility_pct": 58.567872191240355, "trading_costs_quote_units": 17.907283068764563, "borrowing_costs_quote_units": 9.954413087185108, "price_pnl_quote_units": -6695.641289363951, "turnover_quote_units": 29845.47178127426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3276.497014480088, "return_pct": -67.23502985519912, "cagr_pct": -67.27675690410378, "max_drawdown_pct": 69.30036206813496, "mean_exposure_while_solvent": 0.9707687012360955, "realized_annual_volatility_pct": 58.567872191240355, "trading_costs_quote_units": 17.907283068764563, "borrowing_costs_quote_units": 9.954413087185108, "price_pnl_quote_units": -6695.641289363951, "turnover_quote_units": 29845.47178127426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4728.225003711786, "return_pct": -52.717749962882145, "cagr_pct": -52.75818044104788, "max_drawdown_pct": 55.555716190113436, "mean_exposure_while_solvent": 0.7495699611703841, "realized_annual_volatility_pct": 46.36063733132667, "trading_costs_quote_units": 11.259545009525024, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5260.515451278687, "turnover_quote_units": 18765.908349208366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4728.225003711786, "return_pct": -52.717749962882145, "cagr_pct": -52.75818044104788, "max_drawdown_pct": 55.555716190113436, "mean_exposure_while_solvent": 0.7495699611703841, "realized_annual_volatility_pct": 46.36063733132667, "trading_costs_quote_units": 11.259545009525024, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5260.515451278687, "turnover_quote_units": 18765.908349208366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3500.091999420675, "return_pct": -64.99908000579325, "cagr_pct": -65.0410190214174, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.86936216099288, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6493.911598420623, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3500.091999420675, "return_pct": -64.99908000579325, "cagr_pct": -65.0410190214174, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.86936216099288, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6493.911598420623, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2484.936917712859, "return_pct": -75.1506308228714, "cagr_pct": -75.19011371738391, "max_drawdown_pct": 76.92459021628015, "mean_exposure_while_solvent": 1.2496576921193299, "realized_annual_volatility_pct": 77.42808090290252, "trading_costs_quote_units": 16.143893009914482, "borrowing_costs_quote_units": 64.66397066802809, "price_pnl_quote_units": -7434.255218609201, "turnover_quote_units": 26906.488349857424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2484.936917712859, "return_pct": -75.1506308228714, "cagr_pct": -75.19011371738391, "max_drawdown_pct": 76.92459021628015, "mean_exposure_while_solvent": 1.2496576921193299, "realized_annual_volatility_pct": 77.42808090290252, "trading_costs_quote_units": 16.143893009914482, "borrowing_costs_quote_units": 64.66397066802809, "price_pnl_quote_units": -7434.255218609201, "turnover_quote_units": 26906.488349857424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1716.00875346266, "return_pct": -82.8399124653734, "cagr_pct": -82.87442100040224, "max_drawdown_pct": 84.2517192297221, "mean_exposure_while_solvent": 1.4999421879536061, "realized_annual_volatility_pct": 93.04783251252631, "trading_costs_quote_units": 27.103747830139913, "borrowing_costs_quote_units": 112.25631635177594, "price_pnl_quote_units": -8144.63118235542, "turnover_quote_units": 45172.91305023323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1716.00875346266, "return_pct": -82.8399124653734, "cagr_pct": -82.87442100040224, "max_drawdown_pct": 84.2517192297221, "mean_exposure_while_solvent": 1.4999421879536061, "realized_annual_volatility_pct": 93.04783251252631, "trading_costs_quote_units": 27.103747830139913, "borrowing_costs_quote_units": 112.25631635177594, "price_pnl_quote_units": -8144.63118235542, "turnover_quote_units": 45172.91305023323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4299.793316813072, "return_pct": -57.00206683186928, "cagr_pct": -57.04349391050003, "max_drawdown_pct": 57.697844446250144, "mean_exposure_while_solvent": 0.7009382319644387, "realized_annual_volatility_pct": 41.50366394210121, "trading_costs_quote_units": 28.307499852541827, "borrowing_costs_quote_units": 12.259058172218602, "price_pnl_quote_units": -5659.6401251621755, "turnover_quote_units": 47179.16642090306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4299.793316813072, "return_pct": -57.00206683186928, "cagr_pct": -57.04349391050003, "max_drawdown_pct": 57.697844446250144, "mean_exposure_while_solvent": 0.7009382319644387, "realized_annual_volatility_pct": 41.50366394210121, "trading_costs_quote_units": 28.307499852541827, "borrowing_costs_quote_units": 12.259058172218602, "price_pnl_quote_units": -5659.6401251621755, "turnover_quote_units": 47179.16642090306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2797.914483310483, "return_pct": -72.02085516689517, "cagr_pct": -72.06152605617635, "max_drawdown_pct": 73.34653936633129, "mean_exposure_while_solvent": 1.0134629371202368, "realized_annual_volatility_pct": 61.136746479223724, "trading_costs_quote_units": 29.402567352350086, "borrowing_costs_quote_units": 43.686063529410205, "price_pnl_quote_units": -7128.996885807737, "turnover_quote_units": 49004.27892058348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2797.914483310483, "return_pct": -72.02085516689517, "cagr_pct": -72.06152605617635, "max_drawdown_pct": 73.34653936633129, "mean_exposure_while_solvent": 1.0134629371202368, "realized_annual_volatility_pct": 61.136746479223724, "trading_costs_quote_units": 29.402567352350086, "borrowing_costs_quote_units": 43.686063529410205, "price_pnl_quote_units": -7128.996885807737, "turnover_quote_units": 49004.27892058348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1884.7272548654994, "return_pct": -81.15272745134502, "cagr_pct": -81.18861417156545, "max_drawdown_pct": 82.26757613904464, "mean_exposure_while_solvent": 1.277449640449267, "realized_annual_volatility_pct": 78.07328139752559, "trading_costs_quote_units": 30.048205470711224, "borrowing_costs_quote_units": 126.67952206753523, "price_pnl_quote_units": -7958.545017596274, "turnover_quote_units": 50080.34245118535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1884.7272548654994, "return_pct": -81.15272745134502, "cagr_pct": -81.18861417156545, "max_drawdown_pct": 82.26757613904464, "mean_exposure_while_solvent": 1.277449640449267, "realized_annual_volatility_pct": 78.07328139752559, "trading_costs_quote_units": 30.048205470711224, "borrowing_costs_quote_units": 126.67952206753523, "price_pnl_quote_units": -7958.545017596274, "turnover_quote_units": 50080.34245118535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2818.070111143418, "return_pct": -71.81929888856583, "cagr_pct": -71.86003207850133, "max_drawdown_pct": 73.48089847503533, "mean_exposure_while_solvent": 1.0571884882864635, "realized_annual_volatility_pct": 61.29531598105324, "trading_costs_quote_units": 48.99204877852275, "borrowing_costs_quote_units": 65.60994480471739, "price_pnl_quote_units": -7067.327895273358, "turnover_quote_units": 81653.41463087131, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2818.070111143418, "return_pct": -71.81929888856583, "cagr_pct": -71.86003207850133, "max_drawdown_pct": 73.48089847503533, "mean_exposure_while_solvent": 1.0571884882864635, "realized_annual_volatility_pct": 61.29531598105324, "trading_costs_quote_units": 48.99204877852275, "borrowing_costs_quote_units": 65.60994480471739, "price_pnl_quote_units": -7067.327895273358, "turnover_quote_units": 81653.41463087131, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3268.311333133066, "return_pct": -67.31688666866934, "cagr_pct": -67.35860272139573, "max_drawdown_pct": 69.34335792755107, "mean_exposure_while_solvent": 0.9707720728078371, "realized_annual_volatility_pct": 58.56829549437704, "trading_costs_quote_units": 17.9022082444227, "borrowing_costs_quote_units": 19.887916524958644, "price_pnl_quote_units": -6693.898542097548, "turnover_quote_units": 29837.01374070451, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3268.311333133066, "return_pct": -67.31688666866934, "cagr_pct": -67.35860272139573, "max_drawdown_pct": 69.34335792755107, "mean_exposure_while_solvent": 0.9707720728078371, "realized_annual_volatility_pct": 58.56829549437704, "trading_costs_quote_units": 17.9022082444227, "borrowing_costs_quote_units": 19.887916524958644, "price_pnl_quote_units": -6693.898542097548, "turnover_quote_units": 29837.01374070451, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3433.683214846144, "return_pct": -65.66316785153856, "cagr_pct": -65.70506142790838, "max_drawdown_pct": 67.5291768309783, "mean_exposure_while_solvent": 0.9161777320488793, "realized_annual_volatility_pct": 56.01334518786301, "trading_costs_quote_units": 17.389049142936898, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6548.927736010918, "turnover_quote_units": 28981.748571561475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3433.683214846144, "return_pct": -65.66316785153856, "cagr_pct": -65.70506142790838, "max_drawdown_pct": 67.5291768309783, "mean_exposure_while_solvent": 0.9161777320488793, "realized_annual_volatility_pct": 56.01334518786301, "trading_costs_quote_units": 17.389049142936898, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6548.927736010918, "turnover_quote_units": 28981.748571561475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3268.311333133066, "return_pct": -67.31688666866934, "cagr_pct": -67.35860272139573, "max_drawdown_pct": 69.34335792755107, "mean_exposure_while_solvent": 0.9707720728078371, "realized_annual_volatility_pct": 58.56829549437704, "trading_costs_quote_units": 17.9022082444227, "borrowing_costs_quote_units": 19.887916524958644, "price_pnl_quote_units": -6693.898542097548, "turnover_quote_units": 29837.01374070451, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3268.311333133066, "return_pct": -67.31688666866934, "cagr_pct": -67.35860272139573, "max_drawdown_pct": 69.34335792755107, "mean_exposure_while_solvent": 0.9707720728078371, "realized_annual_volatility_pct": 58.56829549437704, "trading_costs_quote_units": 17.9022082444227, "borrowing_costs_quote_units": 19.887916524958644, "price_pnl_quote_units": -6693.898542097548, "turnover_quote_units": 29837.01374070451, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3268.311333133066, "return_pct": -67.31688666866934, "cagr_pct": -67.35860272139573, "max_drawdown_pct": 69.34335792755107, "mean_exposure_while_solvent": 0.9707720728078371, "realized_annual_volatility_pct": 58.56829549437704, "trading_costs_quote_units": 17.9022082444227, "borrowing_costs_quote_units": 19.887916524958644, "price_pnl_quote_units": -6693.898542097548, "turnover_quote_units": 29837.01374070451, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3268.311333133066, "return_pct": -67.31688666866934, "cagr_pct": -67.35860272139573, "max_drawdown_pct": 69.34335792755107, "mean_exposure_while_solvent": 0.9707720728078371, "realized_annual_volatility_pct": 58.56829549437704, "trading_costs_quote_units": 17.9022082444227, "borrowing_costs_quote_units": 19.887916524958644, "price_pnl_quote_units": -6693.898542097548, "turnover_quote_units": 29837.01374070451, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4728.225003711786, "return_pct": -52.717749962882145, "cagr_pct": -52.75818044104788, "max_drawdown_pct": 55.555716190113436, "mean_exposure_while_solvent": 0.7495699611703841, "realized_annual_volatility_pct": 46.36063733132667, "trading_costs_quote_units": 11.259545009525024, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5260.515451278687, "turnover_quote_units": 18765.908349208366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4728.225003711786, "return_pct": -52.717749962882145, "cagr_pct": -52.75818044104788, "max_drawdown_pct": 55.555716190113436, "mean_exposure_while_solvent": 0.7495699611703841, "realized_annual_volatility_pct": 46.36063733132667, "trading_costs_quote_units": 11.259545009525024, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5260.515451278687, "turnover_quote_units": 18765.908349208366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3500.091999420675, "return_pct": -64.99908000579325, "cagr_pct": -65.0410190214174, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.86936216099288, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6493.911598420623, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3500.091999420675, "return_pct": -64.99908000579325, "cagr_pct": -65.0410190214174, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.86936216099288, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6493.911598420623, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2453.965775728948, "return_pct": -75.46034224271052, "cagr_pct": -75.49968397896707, "max_drawdown_pct": 77.18036061364504, "mean_exposure_while_solvent": 1.2496755422796508, "realized_annual_volatility_pct": 77.4297781434031, "trading_costs_quote_units": 16.107309831167033, "borrowing_costs_quote_units": 128.72945617232332, "price_pnl_quote_units": -7401.19745826756, "turnover_quote_units": 26845.516385278384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2453.965775728948, "return_pct": -75.46034224271052, "cagr_pct": -75.49968397896707, "max_drawdown_pct": 77.18036061364504, "mean_exposure_while_solvent": 1.2496755422796508, "realized_annual_volatility_pct": 77.4297781434031, "trading_costs_quote_units": 16.107309831167033, "borrowing_costs_quote_units": 128.72945617232332, "price_pnl_quote_units": -7401.19745826756, "turnover_quote_units": 26845.516385278384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1673.4393034937798, "return_pct": -83.2656069650622, "cagr_pct": -83.29973855987282, "max_drawdown_pct": 84.59946145040438, "mean_exposure_while_solvent": 1.499985085903046, "realized_annual_volatility_pct": 93.05193124619682, "trading_costs_quote_units": 26.958534798333694, "borrowing_costs_quote_units": 222.58928233461856, "price_pnl_quote_units": -8077.012879373241, "turnover_quote_units": 44930.89133055624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1673.4393034937798, "return_pct": -83.2656069650622, "cagr_pct": -83.29973855987282, "max_drawdown_pct": 84.59946145040438, "mean_exposure_while_solvent": 1.499985085903046, "realized_annual_volatility_pct": 93.05193124619682, "trading_costs_quote_units": 26.958534798333694, "borrowing_costs_quote_units": 222.58928233461856, "price_pnl_quote_units": -8077.012879373241, "turnover_quote_units": 44930.89133055624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4288.895011246838, "return_pct": -57.11104988753162, "cagr_pct": -57.15249615350946, "max_drawdown_pct": 57.73542408360283, "mean_exposure_while_solvent": 0.7009421040404069, "realized_annual_volatility_pct": 41.50430974616198, "trading_costs_quote_units": 28.298275190786676, "borrowing_costs_quote_units": 24.492815581921896, "price_pnl_quote_units": -5658.313897980455, "turnover_quote_units": 47163.79198464446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4288.895011246838, "return_pct": -57.11104988753162, "cagr_pct": -57.15249615350946, "max_drawdown_pct": 57.73542408360283, "mean_exposure_while_solvent": 0.7009421040404069, "realized_annual_volatility_pct": 41.50430974616198, "trading_costs_quote_units": 28.298275190786676, "borrowing_costs_quote_units": 24.492815581921896, "price_pnl_quote_units": -5658.313897980455, "turnover_quote_units": 47163.79198464446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2770.765224186967, "return_pct": -72.29234775813033, "cagr_pct": -72.33293210702384, "max_drawdown_pct": 73.52533432607065, "mean_exposure_while_solvent": 1.0134781895677607, "realized_annual_volatility_pct": 61.13898481768463, "trading_costs_quote_units": 29.354888098283155, "borrowing_costs_quote_units": 87.05133096214452, "price_pnl_quote_units": -7112.828556752606, "turnover_quote_units": 48924.81349713858, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2770.765224186967, "return_pct": -72.29234775813033, "cagr_pct": -72.33293210702384, "max_drawdown_pct": 73.52533432607065, "mean_exposure_while_solvent": 1.0134781895677607, "realized_annual_volatility_pct": 61.13898481768463, "trading_costs_quote_units": 29.354888098283155, "borrowing_costs_quote_units": 87.05133096214452, "price_pnl_quote_units": -7112.828556752606, "turnover_quote_units": 48924.81349713858, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1831.4329831804712, "return_pct": -81.68567016819529, "cagr_pct": -81.72114094271873, "max_drawdown_pct": 82.69317277915738, "mean_exposure_while_solvent": 1.2774951069936695, "realized_annual_volatility_pct": 78.07926345762624, "trading_costs_quote_units": 29.86780043061446, "borrowing_costs_quote_units": 250.8911691151601, "price_pnl_quote_units": -7887.808047273772, "turnover_quote_units": 49779.6673843575, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1831.4329831804712, "return_pct": -81.68567016819529, "cagr_pct": -81.72114094271873, "max_drawdown_pct": 82.69317277915738, "mean_exposure_while_solvent": 1.2774951069936695, "realized_annual_volatility_pct": 78.07926345762624, "trading_costs_quote_units": 29.86780043061446, "borrowing_costs_quote_units": 250.8911691151601, "price_pnl_quote_units": -7887.808047273772, "turnover_quote_units": 49779.6673843575, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2777.310969476487, "return_pct": -72.22689030523513, "cagr_pct": -72.2674957959433, "max_drawdown_pct": 73.7377557333801, "mean_exposure_while_solvent": 1.057211482565597, "realized_annual_volatility_pct": 61.297654271655844, "trading_costs_quote_units": 48.87175122627747, "borrowing_costs_quote_units": 130.50085215561444, "price_pnl_quote_units": -7043.316427141642, "turnover_quote_units": 81452.91871046249, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2777.310969476487, "return_pct": -72.22689030523513, "cagr_pct": -72.2674957959433, "max_drawdown_pct": 73.7377557333801, "mean_exposure_while_solvent": 1.057211482565597, "realized_annual_volatility_pct": 61.297654271655844, "trading_costs_quote_units": 48.87175122627747, "borrowing_costs_quote_units": 130.50085215561444, "price_pnl_quote_units": -7043.316427141642, "turnover_quote_units": 81452.91871046249, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3251.99788852052, "return_pct": -67.4800211147948, "cagr_pct": -67.52171455419096, "max_drawdown_pct": 69.42918655015214, "mean_exposure_while_solvent": 0.9707788168795367, "realized_annual_volatility_pct": 58.569146130478735, "trading_costs_quote_units": 17.892079210226274, "borrowing_costs_quote_units": 39.6923738410223, "price_pnl_quote_units": -6690.417658428226, "turnover_quote_units": 29820.132017043772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3251.99788852052, "return_pct": -67.4800211147948, "cagr_pct": -67.52171455419096, "max_drawdown_pct": 69.42918655015214, "mean_exposure_while_solvent": 0.9707788168795367, "realized_annual_volatility_pct": 58.569146130478735, "trading_costs_quote_units": 17.892079210226274, "borrowing_costs_quote_units": 39.6923738410223, "price_pnl_quote_units": -6690.417658428226, "turnover_quote_units": 29820.132017043772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3433.683214846144, "return_pct": -65.66316785153856, "cagr_pct": -65.70506142790838, "max_drawdown_pct": 67.5291768309783, "mean_exposure_while_solvent": 0.9161777320488793, "realized_annual_volatility_pct": 56.01334518786301, "trading_costs_quote_units": 17.389049142936898, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6548.927736010918, "turnover_quote_units": 28981.748571561475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3433.683214846144, "return_pct": -65.66316785153856, "cagr_pct": -65.70506142790838, "max_drawdown_pct": 67.5291768309783, "mean_exposure_while_solvent": 0.9161777320488793, "realized_annual_volatility_pct": 56.01334518786301, "trading_costs_quote_units": 17.389049142936898, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6548.927736010918, "turnover_quote_units": 28981.748571561475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3251.99788852052, "return_pct": -67.4800211147948, "cagr_pct": -67.52171455419096, "max_drawdown_pct": 69.42918655015214, "mean_exposure_while_solvent": 0.9707788168795367, "realized_annual_volatility_pct": 58.569146130478735, "trading_costs_quote_units": 17.892079210226274, "borrowing_costs_quote_units": 39.6923738410223, "price_pnl_quote_units": -6690.417658428226, "turnover_quote_units": 29820.132017043772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3251.99788852052, "return_pct": -67.4800211147948, "cagr_pct": -67.52171455419096, "max_drawdown_pct": 69.42918655015214, "mean_exposure_while_solvent": 0.9707788168795367, "realized_annual_volatility_pct": 58.569146130478735, "trading_costs_quote_units": 17.892079210226274, "borrowing_costs_quote_units": 39.6923738410223, "price_pnl_quote_units": -6690.417658428226, "turnover_quote_units": 29820.132017043772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3251.99788852052, "return_pct": -67.4800211147948, "cagr_pct": -67.52171455419096, "max_drawdown_pct": 69.42918655015214, "mean_exposure_while_solvent": 0.9707788168795367, "realized_annual_volatility_pct": 58.569146130478735, "trading_costs_quote_units": 17.892079210226274, "borrowing_costs_quote_units": 39.6923738410223, "price_pnl_quote_units": -6690.417658428226, "turnover_quote_units": 29820.132017043772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3251.99788852052, "return_pct": -67.4800211147948, "cagr_pct": -67.52171455419096, "max_drawdown_pct": 69.42918655015214, "mean_exposure_while_solvent": 0.9707788168795367, "realized_annual_volatility_pct": 58.569146130478735, "trading_costs_quote_units": 17.892079210226274, "borrowing_costs_quote_units": 39.6923738410223, "price_pnl_quote_units": -6690.417658428226, "turnover_quote_units": 29820.132017043772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4728.225003711786, "return_pct": -52.717749962882145, "cagr_pct": -52.75818044104788, "max_drawdown_pct": 55.555716190113436, "mean_exposure_while_solvent": 0.7495699611703841, "realized_annual_volatility_pct": 46.36063733132667, "trading_costs_quote_units": 11.259545009525024, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5260.515451278687, "turnover_quote_units": 18765.908349208366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4728.225003711786, "return_pct": -52.717749962882145, "cagr_pct": -52.75818044104788, "max_drawdown_pct": 55.555716190113436, "mean_exposure_while_solvent": 0.7495699611703841, "realized_annual_volatility_pct": 46.36063733132667, "trading_costs_quote_units": 11.259545009525024, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5260.515451278687, "turnover_quote_units": 18765.908349208366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3500.091999420675, "return_pct": -64.99908000579325, "cagr_pct": -65.0410190214174, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.86936216099288, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6493.911598420623, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3500.091999420675, "return_pct": -64.99908000579325, "cagr_pct": -65.0410190214174, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.86936216099288, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6493.911598420623, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2393.16270555763, "return_pct": -76.0683729444237, "cagr_pct": -76.10742452387481, "max_drawdown_pct": 77.68354410196736, "mean_exposure_while_solvent": 1.249711248108754, "realized_annual_volatility_pct": 77.43317361630278, "trading_costs_quote_units": 16.036042385639373, "borrowing_costs_quote_units": 255.0898667435279, "price_pnl_quote_units": -7335.711385313218, "turnover_quote_units": 26726.737309398948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2393.16270555763, "return_pct": -76.0683729444237, "cagr_pct": -76.10742452387481, "max_drawdown_pct": 77.68354410196736, "mean_exposure_while_solvent": 1.249711248108754, "realized_annual_volatility_pct": 77.43317361630278, "trading_costs_quote_units": 16.036042385639373, "borrowing_costs_quote_units": 255.0898667435279, "price_pnl_quote_units": -7335.711385313218, "turnover_quote_units": 26726.737309398948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1591.4193234945233, "return_pct": -84.08580676505477, "cagr_pct": -84.11917697352314, "max_drawdown_pct": 85.2722689492087, "mean_exposure_while_solvent": 1.5000709004695727, "realized_annual_volatility_pct": 93.06013186727756, "trading_costs_quote_units": 26.67573561830593, "borrowing_costs_quote_units": 437.6377886058046, "price_pnl_quote_units": -7944.267152281366, "turnover_quote_units": 44459.55936384321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1591.4193234945233, "return_pct": -84.08580676505477, "cagr_pct": -84.11917697352314, "max_drawdown_pct": 85.2722689492087, "mean_exposure_while_solvent": 1.5000709004695727, "realized_annual_volatility_pct": 93.06013186727756, "trading_costs_quote_units": 26.67573561830593, "borrowing_costs_quote_units": 437.6377886058046, "price_pnl_quote_units": -7944.267152281366, "turnover_quote_units": 44459.55936384321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4296.884278104129, "return_pct": -57.031157218958704, "cagr_pct": -57.07258945009104, "max_drawdown_pct": 57.765683033114236, "mean_exposure_while_solvent": 0.6993016140091652, "realized_annual_volatility_pct": 41.58519435864479, "trading_costs_quote_units": 28.33716009242035, "borrowing_costs_quote_units": 6.032771239461166, "price_pnl_quote_units": -5668.745790563986, "turnover_quote_units": 47228.60015403388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4296.884278104129, "return_pct": -57.031157218958704, "cagr_pct": -57.07258945009104, "max_drawdown_pct": 57.765683033114236, "mean_exposure_while_solvent": 0.6993016140091652, "realized_annual_volatility_pct": 41.58519435864479, "trading_costs_quote_units": 28.33716009242035, "borrowing_costs_quote_units": 6.032771239461166, "price_pnl_quote_units": -5668.745790563986, "turnover_quote_units": 47228.60015403388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2831.070640742695, "return_pct": -71.68929359257305, "cagr_pct": -71.7300660929664, "max_drawdown_pct": 73.0515354946875, "mean_exposure_while_solvent": 1.0122008375780436, "realized_annual_volatility_pct": 61.24515897888578, "trading_costs_quote_units": 29.360322330298683, "borrowing_costs_quote_units": 21.87471030382083, "price_pnl_quote_units": -7117.694326623173, "turnover_quote_units": 48933.87055049782, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2831.070640742695, "return_pct": -71.68929359257305, "cagr_pct": -71.7300660929664, "max_drawdown_pct": 73.0515354946875, "mean_exposure_while_solvent": 1.0122008375780436, "realized_annual_volatility_pct": 61.24515897888578, "trading_costs_quote_units": 29.360322330298683, "borrowing_costs_quote_units": 21.87471030382083, "price_pnl_quote_units": -7117.694326623173, "turnover_quote_units": 48933.87055049782, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1923.340238980893, "return_pct": -80.76659761019107, "cagr_pct": -80.8027749200502, "max_drawdown_pct": 81.92247174693397, "mean_exposure_while_solvent": 1.276864090919111, "realized_annual_volatility_pct": 78.21710676629604, "trading_costs_quote_units": 30.163570686645727, "borrowing_costs_quote_units": 63.48116539787077, "price_pnl_quote_units": -7983.015024934608, "turnover_quote_units": 50272.61781107617, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1923.340238980893, "return_pct": -80.76659761019107, "cagr_pct": -80.8027749200502, "max_drawdown_pct": 81.92247174693397, "mean_exposure_while_solvent": 1.276864090919111, "realized_annual_volatility_pct": 78.21710676629604, "trading_costs_quote_units": 30.163570686645727, "borrowing_costs_quote_units": 63.48116539787077, "price_pnl_quote_units": -7983.015024934608, "turnover_quote_units": 50272.61781107617, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2771.896260881465, "return_pct": -72.28103739118535, "cagr_pct": -72.32162540577043, "max_drawdown_pct": 73.96771951802334, "mean_exposure_while_solvent": 1.055922102495985, "realized_annual_volatility_pct": 61.43784664188065, "trading_costs_quote_units": 48.346678956052074, "borrowing_costs_quote_units": 32.402091768905805, "price_pnl_quote_units": -7147.354968393572, "turnover_quote_units": 80577.7982600868, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2771.896260881465, "return_pct": -72.28103739118535, "cagr_pct": -72.32162540577043, "max_drawdown_pct": 73.96771951802334, "mean_exposure_while_solvent": 1.055922102495985, "realized_annual_volatility_pct": 61.43784664188065, "trading_costs_quote_units": 48.346678956052074, "borrowing_costs_quote_units": 32.402091768905805, "price_pnl_quote_units": -7147.354968393572, "turnover_quote_units": 80577.7982600868, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3288.681718087759, "return_pct": -67.11318281912241, "cagr_pct": -67.1549258039144, "max_drawdown_pct": 69.16215932355618, "mean_exposure_while_solvent": 0.9696363871417247, "realized_annual_volatility_pct": 58.63090994075417, "trading_costs_quote_units": 18.081385963595103, "borrowing_costs_quote_units": 9.940204010104194, "price_pnl_quote_units": -6683.296691938556, "turnover_quote_units": 30135.643272658523, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3288.681718087759, "return_pct": -67.11318281912241, "cagr_pct": -67.1549258039144, "max_drawdown_pct": 69.16215932355618, "mean_exposure_while_solvent": 0.9696363871417247, "realized_annual_volatility_pct": 58.63090994075417, "trading_costs_quote_units": 18.081385963595103, "borrowing_costs_quote_units": 9.940204010104194, "price_pnl_quote_units": -6683.296691938556, "turnover_quote_units": 30135.643272658523, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3444.65834445053, "return_pct": -65.55341655549469, "cagr_pct": -65.59531864562388, "max_drawdown_pct": 67.39727158252882, "mean_exposure_while_solvent": 0.9152317082352414, "realized_annual_volatility_pct": 56.064193219689386, "trading_costs_quote_units": 17.38433523363639, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6537.957320315837, "turnover_quote_units": 28973.892056060675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3444.65834445053, "return_pct": -65.55341655549469, "cagr_pct": -65.59531864562388, "max_drawdown_pct": 67.39727158252882, "mean_exposure_while_solvent": 0.9152317082352414, "realized_annual_volatility_pct": 56.064193219689386, "trading_costs_quote_units": 17.38433523363639, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6537.957320315837, "turnover_quote_units": 28973.892056060675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3288.681718087759, "return_pct": -67.11318281912241, "cagr_pct": -67.1549258039144, "max_drawdown_pct": 69.16215932355618, "mean_exposure_while_solvent": 0.9696363871417247, "realized_annual_volatility_pct": 58.63090994075417, "trading_costs_quote_units": 18.081385963595103, "borrowing_costs_quote_units": 9.940204010104194, "price_pnl_quote_units": -6683.296691938556, "turnover_quote_units": 30135.643272658523, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3288.681718087759, "return_pct": -67.11318281912241, "cagr_pct": -67.1549258039144, "max_drawdown_pct": 69.16215932355618, "mean_exposure_while_solvent": 0.9696363871417247, "realized_annual_volatility_pct": 58.63090994075417, "trading_costs_quote_units": 18.081385963595103, "borrowing_costs_quote_units": 9.940204010104194, "price_pnl_quote_units": -6683.296691938556, "turnover_quote_units": 30135.643272658523, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3288.681718087759, "return_pct": -67.11318281912241, "cagr_pct": -67.1549258039144, "max_drawdown_pct": 69.16215932355618, "mean_exposure_while_solvent": 0.9696363871417247, "realized_annual_volatility_pct": 58.63090994075417, "trading_costs_quote_units": 18.081385963595103, "borrowing_costs_quote_units": 9.940204010104194, "price_pnl_quote_units": -6683.296691938556, "turnover_quote_units": 30135.643272658523, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3288.681718087759, "return_pct": -67.11318281912241, "cagr_pct": -67.1549258039144, "max_drawdown_pct": 69.16215932355618, "mean_exposure_while_solvent": 0.9696363871417247, "realized_annual_volatility_pct": 58.63090994075417, "trading_costs_quote_units": 18.081385963595103, "borrowing_costs_quote_units": 9.940204010104194, "price_pnl_quote_units": -6683.296691938556, "turnover_quote_units": 30135.643272658523, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4726.950251333473, "return_pct": -52.73049748666527, "cagr_pct": -52.770931608781524, "max_drawdown_pct": 55.5964286144467, "mean_exposure_while_solvent": 0.7486263650749798, "realized_annual_volatility_pct": 46.31417470208785, "trading_costs_quote_units": 11.277411487558084, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5261.772337178977, "turnover_quote_units": 18795.685812596806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4726.950251333473, "return_pct": -52.73049748666527, "cagr_pct": -52.770931608781524, "max_drawdown_pct": 55.5964286144467, "mean_exposure_while_solvent": 0.7486263650749798, "realized_annual_volatility_pct": 46.31417470208785, "trading_costs_quote_units": 11.277411487558084, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5261.772337178977, "turnover_quote_units": 18795.685812596806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3497.795460049033, "return_pct": -65.02204539950966, "cagr_pct": -65.06398308554573, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.853950907823844, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6496.208137792267, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3497.795460049033, "return_pct": -65.02204539950966, "cagr_pct": -65.06398308554573, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.853950907823844, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6496.208137792267, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2481.9555939077136, "return_pct": -75.18044406092285, "cagr_pct": -75.21991355990319, "max_drawdown_pct": 76.93542725152959, "mean_exposure_while_solvent": 1.2489705933890987, "realized_annual_volatility_pct": 77.46533845791795, "trading_costs_quote_units": 16.21259213628845, "borrowing_costs_quote_units": 64.56980665827476, "price_pnl_quote_units": -7437.262007297718, "turnover_quote_units": 27020.986893814068, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2481.9555939077136, "return_pct": -75.18044406092285, "cagr_pct": -75.21991355990319, "max_drawdown_pct": 76.93542725152959, "mean_exposure_while_solvent": 1.2489705933890987, "realized_annual_volatility_pct": 77.46533845791795, "trading_costs_quote_units": 16.21259213628845, "borrowing_costs_quote_units": 64.56980665827476, "price_pnl_quote_units": -7437.262007297718, "turnover_quote_units": 27020.986893814068, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1712.665459569088, "return_pct": -82.87334540430912, "cagr_pct": -82.90782477539713, "max_drawdown_pct": 84.2702593212215, "mean_exposure_while_solvent": 1.4996914473882577, "realized_annual_volatility_pct": 93.1595022082759, "trading_costs_quote_units": 27.275552380557748, "borrowing_costs_quote_units": 111.92909671179957, "price_pnl_quote_units": -8148.12989133855, "turnover_quote_units": 45459.25396759632, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1712.665459569088, "return_pct": -82.87334540430912, "cagr_pct": -82.90782477539713, "max_drawdown_pct": 84.2702593212215, "mean_exposure_while_solvent": 1.4996914473882577, "realized_annual_volatility_pct": 93.1595022082759, "trading_costs_quote_units": 27.275552380557748, "borrowing_costs_quote_units": 111.92909671179957, "price_pnl_quote_units": -8148.12989133855, "turnover_quote_units": 45459.25396759632, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4291.528658533917, "return_pct": -57.084713414660825, "cagr_pct": -57.126155072844774, "max_drawdown_pct": 57.78450160519372, "mean_exposure_while_solvent": 0.6993034796441403, "realized_annual_volatility_pct": 41.58554925253114, "trading_costs_quote_units": 28.33327714889231, "borrowing_costs_quote_units": 12.059441491761927, "price_pnl_quote_units": -5668.078622825429, "turnover_quote_units": 47222.12858148718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4291.528658533917, "return_pct": -57.084713414660825, "cagr_pct": -57.126155072844774, "max_drawdown_pct": 57.78450160519372, "mean_exposure_while_solvent": 0.6993034796441403, "realized_annual_volatility_pct": 41.58554925253114, "trading_costs_quote_units": 28.33327714889231, "borrowing_costs_quote_units": 12.059441491761927, "price_pnl_quote_units": -5668.078622825429, "turnover_quote_units": 47222.12858148718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2817.369928171764, "return_pct": -71.82630071828235, "cagr_pct": -71.8670317716293, "max_drawdown_pct": 73.14136844220211, "mean_exposure_while_solvent": 1.0122084019213162, "realized_annual_volatility_pct": 61.2460964362599, "trading_costs_quote_units": 29.337851134677802, "borrowing_costs_quote_units": 43.66913711526923, "price_pnl_quote_units": -7109.623083578286, "turnover_quote_units": 48896.41855779626, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2817.369928171764, "return_pct": -71.82630071828235, "cagr_pct": -71.8670317716293, "max_drawdown_pct": 73.14136844220211, "mean_exposure_while_solvent": 1.0122084019213162, "realized_annual_volatility_pct": 61.2460964362599, "trading_costs_quote_units": 29.337851134677802, "borrowing_costs_quote_units": 43.66913711526923, "price_pnl_quote_units": -7109.623083578286, "turnover_quote_units": 48896.41855779626, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1896.0030984239584, "return_pct": -81.03996901576042, "cagr_pct": -81.07594151965654, "max_drawdown_pct": 82.1405393275424, "mean_exposure_while_solvent": 1.2768868386175365, "realized_annual_volatility_pct": 78.2195926257333, "trading_costs_quote_units": 30.07249754292002, "borrowing_costs_quote_units": 126.33883209607104, "price_pnl_quote_units": -7947.585571937049, "turnover_quote_units": 50120.829238200015, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1896.0030984239584, "return_pct": -81.03996901576042, "cagr_pct": -81.07594151965654, "max_drawdown_pct": 82.1405393275424, "mean_exposure_while_solvent": 1.2768868386175365, "realized_annual_volatility_pct": 78.2195926257333, "trading_costs_quote_units": 30.07249754292002, "borrowing_costs_quote_units": 126.33883209607104, "price_pnl_quote_units": -7947.585571937049, "turnover_quote_units": 50120.829238200015, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2751.8393114239, "return_pct": -72.481606885761, "cagr_pct": -72.5221291119959, "max_drawdown_pct": 74.09393984683022, "mean_exposure_while_solvent": 1.0559335371967746, "realized_annual_volatility_pct": 61.438856063540605, "trading_costs_quote_units": 48.288851925099706, "borrowing_costs_quote_units": 64.62754213379934, "price_pnl_quote_units": -7135.244294517217, "turnover_quote_units": 80481.41987516625, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2751.8393114239, "return_pct": -72.481606885761, "cagr_pct": -72.5221291119959, "max_drawdown_pct": 74.09393984683022, "mean_exposure_while_solvent": 1.0559335371967746, "realized_annual_volatility_pct": 61.438856063540605, "trading_costs_quote_units": 48.288851925099706, "borrowing_costs_quote_units": 64.62754213379934, "price_pnl_quote_units": -7135.244294517217, "turnover_quote_units": 80481.41987516625, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3280.502431297324, "return_pct": -67.19497568702675, "cagr_pct": -67.23670803145238, "max_drawdown_pct": 69.20516042473773, "mean_exposure_while_solvent": 0.9696397338266911, "realized_annual_volatility_pct": 58.63127249006699, "trading_costs_quote_units": 18.076535540506487, "borrowing_costs_quote_units": 19.859621138848805, "price_pnl_quote_units": -6681.5614120233295, "turnover_quote_units": 30127.55923417752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3280.502431297324, "return_pct": -67.19497568702675, "cagr_pct": -67.23670803145238, "max_drawdown_pct": 69.20516042473773, "mean_exposure_while_solvent": 0.9696397338266911, "realized_annual_volatility_pct": 58.63127249006699, "trading_costs_quote_units": 18.076535540506487, "borrowing_costs_quote_units": 19.859621138848805, "price_pnl_quote_units": -6681.5614120233295, "turnover_quote_units": 30127.55923417752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3444.65834445053, "return_pct": -65.55341655549469, "cagr_pct": -65.59531864562388, "max_drawdown_pct": 67.39727158252882, "mean_exposure_while_solvent": 0.9152317082352414, "realized_annual_volatility_pct": 56.064193219689386, "trading_costs_quote_units": 17.38433523363639, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6537.957320315837, "turnover_quote_units": 28973.892056060675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3444.65834445053, "return_pct": -65.55341655549469, "cagr_pct": -65.59531864562388, "max_drawdown_pct": 67.39727158252882, "mean_exposure_while_solvent": 0.9152317082352414, "realized_annual_volatility_pct": 56.064193219689386, "trading_costs_quote_units": 17.38433523363639, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6537.957320315837, "turnover_quote_units": 28973.892056060675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3280.502431297324, "return_pct": -67.19497568702675, "cagr_pct": -67.23670803145238, "max_drawdown_pct": 69.20516042473773, "mean_exposure_while_solvent": 0.9696397338266911, "realized_annual_volatility_pct": 58.63127249006699, "trading_costs_quote_units": 18.076535540506487, "borrowing_costs_quote_units": 19.859621138848805, "price_pnl_quote_units": -6681.5614120233295, "turnover_quote_units": 30127.55923417752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3280.502431297324, "return_pct": -67.19497568702675, "cagr_pct": -67.23670803145238, "max_drawdown_pct": 69.20516042473773, "mean_exposure_while_solvent": 0.9696397338266911, "realized_annual_volatility_pct": 58.63127249006699, "trading_costs_quote_units": 18.076535540506487, "borrowing_costs_quote_units": 19.859621138848805, "price_pnl_quote_units": -6681.5614120233295, "turnover_quote_units": 30127.55923417752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3280.502431297324, "return_pct": -67.19497568702675, "cagr_pct": -67.23670803145238, "max_drawdown_pct": 69.20516042473773, "mean_exposure_while_solvent": 0.9696397338266911, "realized_annual_volatility_pct": 58.63127249006699, "trading_costs_quote_units": 18.076535540506487, "borrowing_costs_quote_units": 19.859621138848805, "price_pnl_quote_units": -6681.5614120233295, "turnover_quote_units": 30127.55923417752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3280.502431297324, "return_pct": -67.19497568702675, "cagr_pct": -67.23670803145238, "max_drawdown_pct": 69.20516042473773, "mean_exposure_while_solvent": 0.9696397338266911, "realized_annual_volatility_pct": 58.63127249006699, "trading_costs_quote_units": 18.076535540506487, "borrowing_costs_quote_units": 19.859621138848805, "price_pnl_quote_units": -6681.5614120233295, "turnover_quote_units": 30127.55923417752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4726.950251333473, "return_pct": -52.73049748666527, "cagr_pct": -52.770931608781524, "max_drawdown_pct": 55.5964286144467, "mean_exposure_while_solvent": 0.7486263650749798, "realized_annual_volatility_pct": 46.31417470208785, "trading_costs_quote_units": 11.277411487558084, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5261.772337178977, "turnover_quote_units": 18795.685812596806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4726.950251333473, "return_pct": -52.73049748666527, "cagr_pct": -52.770931608781524, "max_drawdown_pct": 55.5964286144467, "mean_exposure_while_solvent": 0.7486263650749798, "realized_annual_volatility_pct": 46.31417470208785, "trading_costs_quote_units": 11.277411487558084, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5261.772337178977, "turnover_quote_units": 18795.685812596806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3497.795460049033, "return_pct": -65.02204539950966, "cagr_pct": -65.06398308554573, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.853950907823844, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6496.208137792267, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3497.795460049033, "return_pct": -65.02204539950966, "cagr_pct": -65.06398308554573, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.853950907823844, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6496.208137792267, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2451.046818884751, "return_pct": -75.48953181115249, "cagr_pct": -75.52886001435901, "max_drawdown_pct": 77.19108929252117, "mean_exposure_while_solvent": 1.2489884614831783, "realized_annual_volatility_pct": 77.46675381308425, "trading_costs_quote_units": 16.182199039163205, "borrowing_costs_quote_units": 128.54256334575953, "price_pnl_quote_units": -7404.228418730325, "turnover_quote_units": 26970.331731938637, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2451.046818884751, "return_pct": -75.48953181115249, "cagr_pct": -75.52886001435901, "max_drawdown_pct": 77.19108929252117, "mean_exposure_while_solvent": 1.2489884614831783, "realized_annual_volatility_pct": 77.46675381308425, "trading_costs_quote_units": 16.182199039163205, "borrowing_costs_quote_units": 128.54256334575953, "price_pnl_quote_units": -7404.228418730325, "turnover_quote_units": 26970.331731938637, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1670.212404319709, "return_pct": -83.29787595680291, "cagr_pct": -83.33197847842007, "max_drawdown_pct": 84.61761272000064, "mean_exposure_while_solvent": 1.499734432047014, "realized_annual_volatility_pct": 93.16292767085751, "trading_costs_quote_units": 27.14420984961564, "borrowing_costs_quote_units": 221.94182092757924, "price_pnl_quote_units": -8080.701564903089, "turnover_quote_units": 45240.3497493594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1670.212404319709, "return_pct": -83.29787595680291, "cagr_pct": -83.33197847842007, "max_drawdown_pct": 84.61761272000064, "mean_exposure_while_solvent": 1.499734432047014, "realized_annual_volatility_pct": 93.16292767085751, "trading_costs_quote_units": 27.14420984961564, "borrowing_costs_quote_units": 221.94182092757924, "price_pnl_quote_units": -8080.701564903089, "turnover_quote_units": 45240.3497493594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4280.83494560029, "return_pct": -57.191650543997106, "cagr_pct": -57.233110796930205, "max_drawdown_pct": 57.82212203809281, "mean_exposure_while_solvent": 0.6993072115559815, "realized_annual_volatility_pct": 41.58626532105988, "trading_costs_quote_units": 28.325519681341916, "borrowing_costs_quote_units": 24.09450081436845, "price_pnl_quote_units": -5666.7450339040015, "turnover_quote_units": 47209.19946890316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4280.83494560029, "return_pct": -57.191650543997106, "cagr_pct": -57.233110796930205, "max_drawdown_pct": 57.82212203809281, "mean_exposure_while_solvent": 0.6993072115559815, "realized_annual_volatility_pct": 41.58626532105988, "trading_costs_quote_units": 28.325519681341916, "borrowing_costs_quote_units": 24.09450081436845, "price_pnl_quote_units": -5666.7450339040015, "turnover_quote_units": 47209.19946890316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2790.159721618065, "return_pct": -72.09840278381935, "cagr_pct": -72.1390492623324, "max_drawdown_pct": 73.32018071775278, "mean_exposure_while_solvent": 1.0122235334599943, "realized_annual_volatility_pct": 61.24798658304606, "trading_costs_quote_units": 29.293993854596998, "borrowing_costs_quote_units": 87.01845946873179, "price_pnl_quote_units": -7093.527825058617, "turnover_quote_units": 48823.323090994985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2790.159721618065, "return_pct": -72.09840278381935, "cagr_pct": -72.1390492623324, "max_drawdown_pct": 73.32018071775278, "mean_exposure_while_solvent": 1.0122235334599943, "realized_annual_volatility_pct": 61.24798658304606, "trading_costs_quote_units": 29.293993854596998, "borrowing_costs_quote_units": 87.01845946873179, "price_pnl_quote_units": -7093.527825058617, "turnover_quote_units": 48823.323090994985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1842.4753051320856, "return_pct": -81.57524694867915, "cagr_pct": -81.61080534200514, "max_drawdown_pct": 82.5689210612393, "mean_exposure_while_solvent": 1.2769323428262669, "realized_annual_volatility_pct": 78.22457858776977, "trading_costs_quote_units": 29.8923887513025, "borrowing_costs_quote_units": 250.21237414171833, "price_pnl_quote_units": -7877.419931974895, "turnover_quote_units": 49820.6479188375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1842.4753051320856, "return_pct": -81.57524694867915, "cagr_pct": -81.61080534200514, "max_drawdown_pct": 82.5689210612393, "mean_exposure_while_solvent": 1.2769323428262669, "realized_annual_volatility_pct": 78.22457858776977, "trading_costs_quote_units": 29.8923887513025, "borrowing_costs_quote_units": 250.21237414171833, "price_pnl_quote_units": -7877.419931974895, "turnover_quote_units": 49820.6479188375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2712.149217958281, "return_pct": -72.87850782041718, "cagr_pct": -72.9188949290415, "max_drawdown_pct": 74.34460752147316, "mean_exposure_while_solvent": 1.0559564109740471, "realized_annual_volatility_pct": 61.44089467177879, "trading_costs_quote_units": 48.174357161686395, "borrowing_costs_quote_units": 128.55296236398854, "price_pnl_quote_units": -7111.123462516043, "turnover_quote_units": 80290.59526947717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2712.149217958281, "return_pct": -72.87850782041718, "cagr_pct": -72.9188949290415, "max_drawdown_pct": 74.34460752147316, "mean_exposure_while_solvent": 1.0559564109740471, "realized_annual_volatility_pct": 61.44089467177879, "trading_costs_quote_units": 48.174357161686395, "borrowing_costs_quote_units": 128.55296236398854, "price_pnl_quote_units": -7111.123462516043, "turnover_quote_units": 80290.59526947717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3264.2014630612994, "return_pct": -67.35798536938701, "cagr_pct": -67.3996958129054, "max_drawdown_pct": 69.29100030264024, "mean_exposure_while_solvent": 0.9696464281138578, "realized_annual_volatility_pct": 58.632001488730126, "trading_costs_quote_units": 18.066855113423784, "borrowing_costs_quote_units": 39.63627229361232, "price_pnl_quote_units": -6678.0954095316765, "turnover_quote_units": 30111.425189039557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3264.2014630612994, "return_pct": -67.35798536938701, "cagr_pct": -67.3996958129054, "max_drawdown_pct": 69.29100030264024, "mean_exposure_while_solvent": 0.9696464281138578, "realized_annual_volatility_pct": 58.632001488730126, "trading_costs_quote_units": 18.066855113423784, "borrowing_costs_quote_units": 39.63627229361232, "price_pnl_quote_units": -6678.0954095316765, "turnover_quote_units": 30111.425189039557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3444.65834445053, "return_pct": -65.55341655549469, "cagr_pct": -65.59531864562388, "max_drawdown_pct": 67.39727158252882, "mean_exposure_while_solvent": 0.9152317082352414, "realized_annual_volatility_pct": 56.064193219689386, "trading_costs_quote_units": 17.38433523363639, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6537.957320315837, "turnover_quote_units": 28973.892056060675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3444.65834445053, "return_pct": -65.55341655549469, "cagr_pct": -65.59531864562388, "max_drawdown_pct": 67.39727158252882, "mean_exposure_while_solvent": 0.9152317082352414, "realized_annual_volatility_pct": 56.064193219689386, "trading_costs_quote_units": 17.38433523363639, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6537.957320315837, "turnover_quote_units": 28973.892056060675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3264.2014630612994, "return_pct": -67.35798536938701, "cagr_pct": -67.3996958129054, "max_drawdown_pct": 69.29100030264024, "mean_exposure_while_solvent": 0.9696464281138578, "realized_annual_volatility_pct": 58.632001488730126, "trading_costs_quote_units": 18.066855113423784, "borrowing_costs_quote_units": 39.63627229361232, "price_pnl_quote_units": -6678.0954095316765, "turnover_quote_units": 30111.425189039557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3264.2014630612994, "return_pct": -67.35798536938701, "cagr_pct": -67.3996958129054, "max_drawdown_pct": 69.29100030264024, "mean_exposure_while_solvent": 0.9696464281138578, "realized_annual_volatility_pct": 58.632001488730126, "trading_costs_quote_units": 18.066855113423784, "borrowing_costs_quote_units": 39.63627229361232, "price_pnl_quote_units": -6678.0954095316765, "turnover_quote_units": 30111.425189039557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3264.2014630612994, "return_pct": -67.35798536938701, "cagr_pct": -67.3996958129054, "max_drawdown_pct": 69.29100030264024, "mean_exposure_while_solvent": 0.9696464281138578, "realized_annual_volatility_pct": 58.632001488730126, "trading_costs_quote_units": 18.066855113423784, "borrowing_costs_quote_units": 39.63627229361232, "price_pnl_quote_units": -6678.0954095316765, "turnover_quote_units": 30111.425189039557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3264.2014630612994, "return_pct": -67.35798536938701, "cagr_pct": -67.3996958129054, "max_drawdown_pct": 69.29100030264024, "mean_exposure_while_solvent": 0.9696464281138578, "realized_annual_volatility_pct": 58.632001488730126, "trading_costs_quote_units": 18.066855113423784, "borrowing_costs_quote_units": 39.63627229361232, "price_pnl_quote_units": -6678.0954095316765, "turnover_quote_units": 30111.425189039557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4726.950251333473, "return_pct": -52.73049748666527, "cagr_pct": -52.770931608781524, "max_drawdown_pct": 55.5964286144467, "mean_exposure_while_solvent": 0.7486263650749798, "realized_annual_volatility_pct": 46.31417470208785, "trading_costs_quote_units": 11.277411487558084, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5261.772337178977, "turnover_quote_units": 18795.685812596806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4726.950251333473, "return_pct": -52.73049748666527, "cagr_pct": -52.770931608781524, "max_drawdown_pct": 55.5964286144467, "mean_exposure_while_solvent": 0.7486263650749798, "realized_annual_volatility_pct": 46.31417470208785, "trading_costs_quote_units": 11.277411487558084, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5261.772337178977, "turnover_quote_units": 18795.685812596806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3497.795460049033, "return_pct": -65.02204539950966, "cagr_pct": -65.06398308554573, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.853950907823844, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6496.208137792267, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3497.795460049033, "return_pct": -65.02204539950966, "cagr_pct": -65.06398308554573, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.853950907823844, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6496.208137792267, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2390.3655142460784, "return_pct": -76.09634485753922, "cagr_pct": -76.13538266767819, "max_drawdown_pct": 77.69405507775525, "mean_exposure_while_solvent": 1.2490242031867698, "realized_annual_volatility_pct": 77.46958493472658, "trading_costs_quote_units": 16.122689063267202, "borrowing_costs_quote_units": 254.72175039104616, "price_pnl_quote_units": -7338.790046299607, "turnover_quote_units": 26871.148438778728, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2390.3655142460784, "return_pct": -76.09634485753922, "cagr_pct": -76.13538266767819, "max_drawdown_pct": 77.69405507775525, "mean_exposure_while_solvent": 1.2490242031867698, "realized_annual_volatility_pct": 77.46958493472658, "trading_costs_quote_units": 16.122689063267202, "borrowing_costs_quote_units": 254.72175039104616, "price_pnl_quote_units": -7338.790046299607, "turnover_quote_units": 26871.148438778728, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1588.4146520633522, "return_pct": -84.11585347936648, "cagr_pct": -84.14919489460839, "max_drawdown_pct": 85.28966003379035, "mean_exposure_while_solvent": 1.499820420087727, "realized_annual_volatility_pct": 93.16978023157479, "trading_costs_quote_units": 26.887620207287195, "borrowing_costs_quote_units": 436.37015884671916, "price_pnl_quote_units": -7948.327568882613, "turnover_quote_units": 44812.70034547861, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1588.4146520633522, "return_pct": -84.11585347936648, "cagr_pct": -84.14919489460839, "max_drawdown_pct": 85.28966003379035, "mean_exposure_while_solvent": 1.499820420087727, "realized_annual_volatility_pct": 93.16978023157479, "trading_costs_quote_units": 26.887620207287195, "borrowing_costs_quote_units": 436.37015884671916, "price_pnl_quote_units": -7948.327568882613, "turnover_quote_units": 44812.70034547861, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4233.679859487361, "return_pct": -57.663201405126394, "cagr_pct": -57.7047400038077, "max_drawdown_pct": 58.17948306564045, "mean_exposure_while_solvent": 0.7009362962669989, "realized_annual_volatility_pct": 41.50918245039073, "trading_costs_quote_units": 140.51804087593112, "borrowing_costs_quote_units": 6.043294191863021, "price_pnl_quote_units": -5619.75880544484, "turnover_quote_units": 46839.34695864369, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4233.679859487361, "return_pct": -57.663201405126394, "cagr_pct": -57.7047400038077, "max_drawdown_pct": 58.17948306564045, "mean_exposure_while_solvent": 0.7009362962669989, "realized_annual_volatility_pct": 41.50918245039073, "trading_costs_quote_units": 140.51804087593112, "borrowing_costs_quote_units": 6.043294191863021, "price_pnl_quote_units": -5619.75880544484, "turnover_quote_units": 46839.34695864369, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2756.7163666138413, "return_pct": -72.43283633386159, "cagr_pct": -72.47337471033029, "max_drawdown_pct": 73.63782054588927, "mean_exposure_while_solvent": 1.013455312342129, "realized_annual_volatility_pct": 61.13832620106545, "trading_costs_quote_units": 145.9870542578581, "borrowing_costs_quote_units": 21.60890707303035, "price_pnl_quote_units": -7075.687672055271, "turnover_quote_units": 48662.35141928598, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2756.7163666138413, "return_pct": -72.43283633386159, "cagr_pct": -72.47337471033029, "max_drawdown_pct": 73.63782054588927, "mean_exposure_while_solvent": 1.013455312342129, "realized_annual_volatility_pct": 61.13832620106545, "trading_costs_quote_units": 145.9870542578581, "borrowing_costs_quote_units": 21.60890707303035, "price_pnl_quote_units": -7075.687672055271, "turnover_quote_units": 48662.35141928598, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1871.2716414614038, "return_pct": -81.28728358538596, "cagr_pct": -81.32306693093398, "max_drawdown_pct": 82.36545568235186, "mean_exposure_while_solvent": 1.2774269115828478, "realized_annual_volatility_pct": 78.08174573102295, "trading_costs_quote_units": 149.5079735085419, "borrowing_costs_quote_units": 62.95808356221254, "price_pnl_quote_units": -7916.262301467856, "turnover_quote_units": 49835.99116951408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1871.2716414614038, "return_pct": -81.28728358538596, "cagr_pct": -81.32306693093398, "max_drawdown_pct": 82.36545568235186, "mean_exposure_while_solvent": 1.2774269115828478, "realized_annual_volatility_pct": 78.08174573102295, "trading_costs_quote_units": 149.5079735085419, "borrowing_costs_quote_units": 62.95808356221254, "price_pnl_quote_units": -7916.262301467856, "turnover_quote_units": 49835.99116951408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2745.007435481208, "return_pct": -72.54992564518791, "cagr_pct": -72.59042508187342, "max_drawdown_pct": 74.06019675365015, "mean_exposure_while_solvent": 1.0571769933539967, "realized_annual_volatility_pct": 61.30703979817566, "trading_costs_quote_units": 242.05628518758328, "borrowing_costs_quote_units": 32.20588218814584, "price_pnl_quote_units": -6980.730397143072, "turnover_quote_units": 80685.42839586112, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2745.007435481208, "return_pct": -72.54992564518791, "cagr_pct": -72.59042508187342, "max_drawdown_pct": 74.06019675365015, "mean_exposure_while_solvent": 1.0571769933539967, "realized_annual_volatility_pct": 61.30703979817566, "trading_costs_quote_units": 242.05628518758328, "borrowing_costs_quote_units": 32.20588218814584, "price_pnl_quote_units": -6980.730397143072, "turnover_quote_units": 80685.42839586112, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3240.744009565893, "return_pct": -67.59255990434107, "cagr_pct": -67.63423719945358, "max_drawdown_pct": 69.54993858399516, "mean_exposure_while_solvent": 0.9707687012360955, "realized_annual_volatility_pct": 58.570927802286896, "trading_costs_quote_units": 89.1109395491249, "borrowing_costs_quote_units": 9.864324052514188, "price_pnl_quote_units": -6660.280726832457, "turnover_quote_units": 29703.646516374993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3240.744009565893, "return_pct": -67.59255990434107, "cagr_pct": -67.63423719945358, "max_drawdown_pct": 69.54993858399516, "mean_exposure_while_solvent": 0.9707687012360955, "realized_annual_volatility_pct": 58.570927802286896, "trading_costs_quote_units": 89.1109395491249, "borrowing_costs_quote_units": 9.864324052514188, "price_pnl_quote_units": -6660.280726832457, "turnover_quote_units": 29703.646516374993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3401.255349976106, "return_pct": -65.98744650023893, "cagr_pct": -66.02931257588583, "max_drawdown_pct": 67.76024754778369, "mean_exposure_while_solvent": 0.9161777320488793, "realized_annual_volatility_pct": 56.018530130012536, "trading_costs_quote_units": 86.565901323956, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6512.178748699944, "turnover_quote_units": 28855.300441318646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3401.255349976106, "return_pct": -65.98744650023893, "cagr_pct": -66.02931257588583, "max_drawdown_pct": 67.76024754778369, "mean_exposure_while_solvent": 0.9161777320488793, "realized_annual_volatility_pct": 56.018530130012536, "trading_costs_quote_units": 86.565901323956, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6512.178748699944, "turnover_quote_units": 28855.300441318646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3240.744009565893, "return_pct": -67.59255990434107, "cagr_pct": -67.63423719945358, "max_drawdown_pct": 69.54993858399516, "mean_exposure_while_solvent": 0.9707687012360955, "realized_annual_volatility_pct": 58.570927802286896, "trading_costs_quote_units": 89.1109395491249, "borrowing_costs_quote_units": 9.864324052514188, "price_pnl_quote_units": -6660.280726832457, "turnover_quote_units": 29703.646516374993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3240.744009565893, "return_pct": -67.59255990434107, "cagr_pct": -67.63423719945358, "max_drawdown_pct": 69.54993858399516, "mean_exposure_while_solvent": 0.9707687012360955, "realized_annual_volatility_pct": 58.570927802286896, "trading_costs_quote_units": 89.1109395491249, "borrowing_costs_quote_units": 9.864324052514188, "price_pnl_quote_units": -6660.280726832457, "turnover_quote_units": 29703.646516374993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3240.744009565893, "return_pct": -67.59255990434107, "cagr_pct": -67.63423719945358, "max_drawdown_pct": 69.54993858399516, "mean_exposure_while_solvent": 0.9707687012360955, "realized_annual_volatility_pct": 58.570927802286896, "trading_costs_quote_units": 89.1109395491249, "borrowing_costs_quote_units": 9.864324052514188, "price_pnl_quote_units": -6660.280726832457, "turnover_quote_units": 29703.646516374993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3240.744009565893, "return_pct": -67.59255990434107, "cagr_pct": -67.63423719945358, "max_drawdown_pct": 69.54993858399516, "mean_exposure_while_solvent": 0.9707687012360955, "realized_annual_volatility_pct": 58.570927802286896, "trading_costs_quote_units": 89.1109395491249, "borrowing_costs_quote_units": 9.864324052514188, "price_pnl_quote_units": -6660.280726832457, "turnover_quote_units": 29703.646516374993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4701.4005764616695, "return_pct": -52.9859942353833, "cagr_pct": -53.02650056306817, "max_drawdown_pct": 55.674408538918584, "mean_exposure_while_solvent": 0.7495699611703841, "realized_annual_volatility_pct": 46.362280067243894, "trading_costs_quote_units": 56.132863496748534, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5242.466560041583, "turnover_quote_units": 18710.954498916177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4701.4005764616695, "return_pct": -52.9859942353833, "cagr_pct": -53.02650056306817, "max_drawdown_pct": 55.674408538918584, "mean_exposure_while_solvent": 0.7495699611703841, "realized_annual_volatility_pct": 46.362280067243894, "trading_costs_quote_units": 56.132863496748534, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5242.466560041583, "turnover_quote_units": 18710.954498916177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3491.7169039086016, "return_pct": -65.08283096091398, "cagr_pct": -65.12476504461604, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.869873149098645, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6478.372826898979, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3491.7169039086016, "return_pct": -65.08283096091398, "cagr_pct": -65.12476504461604, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.869873149098645, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6478.372826898979, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2461.3728951673756, "return_pct": -75.38627104832625, "cagr_pct": -75.42564694813927, "max_drawdown_pct": 77.0673113236225, "mean_exposure_while_solvent": 1.2496576921193299, "realized_annual_volatility_pct": 77.43123490820926, "trading_costs_quote_units": 80.38862064493492, "borrowing_costs_quote_units": 64.29928539348576, "price_pnl_quote_units": -7393.939198794194, "turnover_quote_units": 26796.206881645005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2461.3728951673756, "return_pct": -75.38627104832625, "cagr_pct": -75.42564694813927, "max_drawdown_pct": 77.0673113236225, "mean_exposure_while_solvent": 1.2496576921193299, "realized_annual_volatility_pct": 77.43123490820926, "trading_costs_quote_units": 80.38862064493492, "borrowing_costs_quote_units": 64.29928539348576, "price_pnl_quote_units": -7393.939198794194, "turnover_quote_units": 26796.206881645005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1683.1460536627017, "return_pct": -83.16853946337298, "cagr_pct": -83.20275808502458, "max_drawdown_pct": 84.48545772768855, "mean_exposure_while_solvent": 1.4999421879536061, "realized_annual_volatility_pct": 93.05516190089509, "trading_costs_quote_units": 134.57711270939475, "borrowing_costs_quote_units": 111.19636234307217, "price_pnl_quote_units": -8071.080471284817, "turnover_quote_units": 44859.03756979829, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1683.1460536627017, "return_pct": -83.16853946337298, "cagr_pct": -83.20275808502458, "max_drawdown_pct": 84.48545772768855, "mean_exposure_while_solvent": 1.4999421879536061, "realized_annual_volatility_pct": 93.05516190089509, "trading_costs_quote_units": 134.57711270939475, "borrowing_costs_quote_units": 111.19636234307217, "price_pnl_quote_units": -8071.080471284817, "turnover_quote_units": 44859.03756979829, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4228.319316496754, "return_pct": -57.716806835032465, "cagr_pct": -57.75835396145794, "max_drawdown_pct": 58.19804598452819, "mean_exposure_while_solvent": 0.7009382319644387, "realized_annual_volatility_pct": 41.509504318711265, "trading_costs_quote_units": 140.49538557862562, "borrowing_costs_quote_units": 12.080364788759455, "price_pnl_quote_units": -5619.10493313586, "turnover_quote_units": 46831.79519287525, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4228.319316496754, "return_pct": -57.716806835032465, "cagr_pct": -57.75835396145794, "max_drawdown_pct": 58.19804598452819, "mean_exposure_while_solvent": 0.7009382319644387, "realized_annual_volatility_pct": 41.509504318711265, "trading_costs_quote_units": 140.49538557862562, "borrowing_costs_quote_units": 12.080364788759455, "price_pnl_quote_units": -5619.10493313586, "turnover_quote_units": 46831.79519287525, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2743.312032032384, "return_pct": -72.56687967967616, "cagr_pct": -72.60737343084391, "max_drawdown_pct": 73.72636024830972, "mean_exposure_while_solvent": 1.0134629371202368, "realized_annual_volatility_pct": 61.139441375556515, "trading_costs_quote_units": 145.86943901857276, "borrowing_costs_quote_units": 43.138609585896376, "price_pnl_quote_units": -7067.679919363151, "turnover_quote_units": 48623.146339524195, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2743.312032032384, "return_pct": -72.56687967967616, "cagr_pct": -72.60737343084391, "max_drawdown_pct": 73.72636024830972, "mean_exposure_while_solvent": 1.0134629371202368, "realized_annual_volatility_pct": 61.139441375556515, "trading_costs_quote_units": 145.86943901857276, "borrowing_costs_quote_units": 43.138609585896376, "price_pnl_quote_units": -7067.679919363151, "turnover_quote_units": 48623.146339524195, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1844.6289497417288, "return_pct": -81.5537105025827, "cagr_pct": -81.58928589653196, "max_drawdown_pct": 82.57833820263227, "mean_exposure_while_solvent": 1.277449640449267, "realized_annual_volatility_pct": 78.08474925032371, "trading_costs_quote_units": 149.05916813966158, "borrowing_costs_quote_units": 125.30139050993353, "price_pnl_quote_units": -7881.0104916086775, "turnover_quote_units": 49686.3893798872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1844.6289497417288, "return_pct": -81.5537105025827, "cagr_pct": -81.58928589653196, "max_drawdown_pct": 82.57833820263227, "mean_exposure_while_solvent": 1.277449640449267, "realized_annual_volatility_pct": 78.08474925032371, "trading_costs_quote_units": 149.05916813966158, "borrowing_costs_quote_units": 125.30139050993353, "price_pnl_quote_units": -7881.0104916086775, "turnover_quote_units": 49686.3893798872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2725.0877835565934, "return_pct": -72.74912216443407, "cagr_pct": -72.78955404385847, "max_drawdown_pct": 74.18611056311042, "mean_exposure_while_solvent": 1.0571884882864635, "realized_annual_volatility_pct": 61.30820608417872, "trading_costs_quote_units": 241.76098391951948, "borrowing_costs_quote_units": 64.23589082033558, "price_pnl_quote_units": -6968.915341703563, "turnover_quote_units": 80586.99463983976, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2725.0877835565934, "return_pct": -72.74912216443407, "cagr_pct": -72.78955404385847, "max_drawdown_pct": 74.18611056311042, "mean_exposure_while_solvent": 1.0571884882864635, "realized_annual_volatility_pct": 61.30820608417872, "trading_costs_quote_units": 241.76098391951948, "borrowing_costs_quote_units": 64.23589082033558, "price_pnl_quote_units": -6968.915341703563, "turnover_quote_units": 80586.99463983976, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3232.6530967825906, "return_pct": -67.6734690321741, "cagr_pct": -67.71513444478259, "max_drawdown_pct": 69.59255660534347, "mean_exposure_while_solvent": 0.9707720728078371, "realized_annual_volatility_pct": 58.57135280671637, "trading_costs_quote_units": 89.08590907956815, "borrowing_costs_quote_units": 19.707966946014555, "price_pnl_quote_units": -6658.553027191805, "turnover_quote_units": 29695.303026522713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3232.6530967825906, "return_pct": -67.6734690321741, "cagr_pct": -67.71513444478259, "max_drawdown_pct": 69.59255660534347, "mean_exposure_while_solvent": 0.9707720728078371, "realized_annual_volatility_pct": 58.57135280671637, "trading_costs_quote_units": 89.08590907956815, "borrowing_costs_quote_units": 19.707966946014555, "price_pnl_quote_units": -6658.553027191805, "turnover_quote_units": 29695.303026522713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3401.255349976106, "return_pct": -65.98744650023893, "cagr_pct": -66.02931257588583, "max_drawdown_pct": 67.76024754778369, "mean_exposure_while_solvent": 0.9161777320488793, "realized_annual_volatility_pct": 56.018530130012536, "trading_costs_quote_units": 86.565901323956, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6512.178748699944, "turnover_quote_units": 28855.300441318646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3401.255349976106, "return_pct": -65.98744650023893, "cagr_pct": -66.02931257588583, "max_drawdown_pct": 67.76024754778369, "mean_exposure_while_solvent": 0.9161777320488793, "realized_annual_volatility_pct": 56.018530130012536, "trading_costs_quote_units": 86.565901323956, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6512.178748699944, "turnover_quote_units": 28855.300441318646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3232.6530967825906, "return_pct": -67.6734690321741, "cagr_pct": -67.71513444478259, "max_drawdown_pct": 69.59255660534347, "mean_exposure_while_solvent": 0.9707720728078371, "realized_annual_volatility_pct": 58.57135280671637, "trading_costs_quote_units": 89.08590907956815, "borrowing_costs_quote_units": 19.707966946014555, "price_pnl_quote_units": -6658.553027191805, "turnover_quote_units": 29695.303026522713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3232.6530967825906, "return_pct": -67.6734690321741, "cagr_pct": -67.71513444478259, "max_drawdown_pct": 69.59255660534347, "mean_exposure_while_solvent": 0.9707720728078371, "realized_annual_volatility_pct": 58.57135280671637, "trading_costs_quote_units": 89.08590907956815, "borrowing_costs_quote_units": 19.707966946014555, "price_pnl_quote_units": -6658.553027191805, "turnover_quote_units": 29695.303026522713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3232.6530967825906, "return_pct": -67.6734690321741, "cagr_pct": -67.71513444478259, "max_drawdown_pct": 69.59255660534347, "mean_exposure_while_solvent": 0.9707720728078371, "realized_annual_volatility_pct": 58.57135280671637, "trading_costs_quote_units": 89.08590907956815, "borrowing_costs_quote_units": 19.707966946014555, "price_pnl_quote_units": -6658.553027191805, "turnover_quote_units": 29695.303026522713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3232.6530967825906, "return_pct": -67.6734690321741, "cagr_pct": -67.71513444478259, "max_drawdown_pct": 69.59255660534347, "mean_exposure_while_solvent": 0.9707720728078371, "realized_annual_volatility_pct": 58.57135280671637, "trading_costs_quote_units": 89.08590907956815, "borrowing_costs_quote_units": 19.707966946014555, "price_pnl_quote_units": -6658.553027191805, "turnover_quote_units": 29695.303026522713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4701.4005764616695, "return_pct": -52.9859942353833, "cagr_pct": -53.02650056306817, "max_drawdown_pct": 55.674408538918584, "mean_exposure_while_solvent": 0.7495699611703841, "realized_annual_volatility_pct": 46.362280067243894, "trading_costs_quote_units": 56.132863496748534, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5242.466560041583, "turnover_quote_units": 18710.954498916177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4701.4005764616695, "return_pct": -52.9859942353833, "cagr_pct": -53.02650056306817, "max_drawdown_pct": 55.674408538918584, "mean_exposure_while_solvent": 0.7495699611703841, "realized_annual_volatility_pct": 46.362280067243894, "trading_costs_quote_units": 56.132863496748534, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5242.466560041583, "turnover_quote_units": 18710.954498916177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3491.7169039086016, "return_pct": -65.08283096091398, "cagr_pct": -65.12476504461604, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.869873149098645, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6478.372826898979, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3491.7169039086016, "return_pct": -65.08283096091398, "cagr_pct": -65.12476504461604, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.869873149098645, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6478.372826898979, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2430.6895745273914, "return_pct": -75.69310425472608, "cagr_pct": -75.7323369703569, "max_drawdown_pct": 77.32155259514649, "mean_exposure_while_solvent": 1.2496755422796508, "realized_annual_volatility_pct": 77.43295334612576, "trading_costs_quote_units": 80.20753673529559, "borrowing_costs_quote_units": 128.00421585271107, "price_pnl_quote_units": -7361.098672884606, "turnover_quote_units": 26735.84557843184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2430.6895745273914, "return_pct": -75.69310425472608, "cagr_pct": -75.7323369703569, "max_drawdown_pct": 77.32155259514649, "mean_exposure_while_solvent": 1.2496755422796508, "realized_annual_volatility_pct": 77.43295334612576, "trading_costs_quote_units": 80.20753673529559, "borrowing_costs_quote_units": 128.00421585271107, "price_pnl_quote_units": -7361.098672884606, "turnover_quote_units": 26735.84557843184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1641.3803715367044, "return_pct": -83.58619628463295, "cagr_pct": -83.62003586644701, "max_drawdown_pct": 84.82814058229997, "mean_exposure_while_solvent": 1.499985085903046, "realized_annual_volatility_pct": 93.05931357767273, "trading_costs_quote_units": 133.86099601970926, "borrowing_costs_quote_units": 220.49363079367458, "price_pnl_quote_units": -8004.265001649912, "turnover_quote_units": 44620.332006569755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1641.3803715367044, "return_pct": -83.58619628463295, "cagr_pct": -83.62003586644701, "max_drawdown_pct": 84.82814058229997, "mean_exposure_while_solvent": 1.499985085903046, "realized_annual_volatility_pct": 93.05931357767273, "trading_costs_quote_units": 133.86099601970926, "borrowing_costs_quote_units": 220.49363079367458, "price_pnl_quote_units": -8004.265001649912, "turnover_quote_units": 44620.332006569755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4217.616065014743, "return_pct": -57.82383934985257, "cagr_pct": -57.86540327106098, "max_drawdown_pct": 58.23783476793698, "mean_exposure_while_solvent": 0.7009421040404069, "realized_annual_volatility_pct": 41.51015447200701, "trading_costs_quote_units": 140.45012780805564, "borrowing_costs_quote_units": 24.135857817751145, "price_pnl_quote_units": -5617.797949359455, "turnover_quote_units": 46816.70926935185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4217.616065014743, "return_pct": -57.82383934985257, "cagr_pct": -57.86540327106098, "max_drawdown_pct": 58.23783476793698, "mean_exposure_while_solvent": 0.7009421040404069, "realized_annual_volatility_pct": 41.51015447200701, "trading_costs_quote_units": 140.45012780805564, "borrowing_costs_quote_units": 24.135857817751145, "price_pnl_quote_units": -5617.797949359455, "turnover_quote_units": 46816.70926935185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2716.692034786637, "return_pct": -72.83307965213363, "cagr_pct": -72.8734825601888, "max_drawdown_pct": 73.90259002721231, "mean_exposure_while_solvent": 1.0134781895677607, "realized_annual_volatility_pct": 61.14168737895174, "trading_costs_quote_units": 145.6348402051572, "borrowing_costs_quote_units": 85.96171207058819, "price_pnl_quote_units": -7051.711412937627, "turnover_quote_units": 48544.94673505234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2716.692034786637, "return_pct": -72.83307965213363, "cagr_pct": -72.8734825601888, "max_drawdown_pct": 73.90259002721231, "mean_exposure_while_solvent": 1.0134781895677607, "realized_annual_volatility_pct": 61.14168737895174, "trading_costs_quote_units": 145.6348402051572, "borrowing_costs_quote_units": 85.96171207058819, "price_pnl_quote_units": -7051.711412937627, "turnover_quote_units": 48544.94673505234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1792.4626418760809, "return_pct": -82.07537358123919, "cagr_pct": -82.11052902991023, "max_drawdown_pct": 82.99652829186151, "mean_exposure_while_solvent": 1.2774951069936695, "realized_annual_volatility_pct": 78.09077170971749, "trading_costs_quote_units": 148.1705407128116, "borrowing_costs_quote_units": 248.17189935218224, "price_pnl_quote_units": -7811.194918058894, "turnover_quote_units": 49390.18023760395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1792.4626418760809, "return_pct": -82.07537358123919, "cagr_pct": -82.11052902991023, "max_drawdown_pct": 82.99652829186151, "mean_exposure_while_solvent": 1.2774951069936695, "realized_annual_volatility_pct": 78.09077170971749, "trading_costs_quote_units": 148.1705407128116, "borrowing_costs_quote_units": 248.17189935218224, "price_pnl_quote_units": -7811.194918058894, "turnover_quote_units": 49390.18023760395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2685.670490306228, "return_pct": -73.1432950969377, "cagr_pct": -73.18358838184147, "max_drawdown_pct": 74.43616720032308, "mean_exposure_while_solvent": 1.057211482565597, "realized_annual_volatility_pct": 61.31055854338576, "trading_costs_quote_units": 241.17359667045372, "borrowing_costs_quote_units": 127.77272375586216, "price_pnl_quote_units": -6945.383189267464, "turnover_quote_units": 80391.19889015121, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2685.670490306228, "return_pct": -73.1432950969377, "cagr_pct": -73.18358838184147, "max_drawdown_pct": 74.43616720032308, "mean_exposure_while_solvent": 1.057211482565597, "realized_annual_volatility_pct": 61.31055854338576, "trading_costs_quote_units": 241.17359667045372, "borrowing_costs_quote_units": 127.77272375586216, "price_pnl_quote_units": -6945.383189267464, "turnover_quote_units": 80391.19889015121, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3216.5284783169736, "return_pct": -67.83471521683026, "cagr_pct": -67.87635625823086, "max_drawdown_pct": 69.67763110287308, "mean_exposure_while_solvent": 0.9707788168795367, "realized_annual_volatility_pct": 58.572206843261846, "trading_costs_quote_units": 89.0359494180898, "borrowing_costs_quote_units": 39.333386503313235, "price_pnl_quote_units": -6655.1021857616315, "turnover_quote_units": 29678.649806029916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3216.5284783169736, "return_pct": -67.83471521683026, "cagr_pct": -67.87635625823086, "max_drawdown_pct": 69.67763110287308, "mean_exposure_while_solvent": 0.9707788168795367, "realized_annual_volatility_pct": 58.572206843261846, "trading_costs_quote_units": 89.0359494180898, "borrowing_costs_quote_units": 39.333386503313235, "price_pnl_quote_units": -6655.1021857616315, "turnover_quote_units": 29678.649806029916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3401.255349976106, "return_pct": -65.98744650023893, "cagr_pct": -66.02931257588583, "max_drawdown_pct": 67.76024754778369, "mean_exposure_while_solvent": 0.9161777320488793, "realized_annual_volatility_pct": 56.018530130012536, "trading_costs_quote_units": 86.565901323956, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6512.178748699944, "turnover_quote_units": 28855.300441318646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3401.255349976106, "return_pct": -65.98744650023893, "cagr_pct": -66.02931257588583, "max_drawdown_pct": 67.76024754778369, "mean_exposure_while_solvent": 0.9161777320488793, "realized_annual_volatility_pct": 56.018530130012536, "trading_costs_quote_units": 86.565901323956, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6512.178748699944, "turnover_quote_units": 28855.300441318646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3216.5284783169736, "return_pct": -67.83471521683026, "cagr_pct": -67.87635625823086, "max_drawdown_pct": 69.67763110287308, "mean_exposure_while_solvent": 0.9707788168795367, "realized_annual_volatility_pct": 58.572206843261846, "trading_costs_quote_units": 89.0359494180898, "borrowing_costs_quote_units": 39.333386503313235, "price_pnl_quote_units": -6655.1021857616315, "turnover_quote_units": 29678.649806029916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3216.5284783169736, "return_pct": -67.83471521683026, "cagr_pct": -67.87635625823086, "max_drawdown_pct": 69.67763110287308, "mean_exposure_while_solvent": 0.9707788168795367, "realized_annual_volatility_pct": 58.572206843261846, "trading_costs_quote_units": 89.0359494180898, "borrowing_costs_quote_units": 39.333386503313235, "price_pnl_quote_units": -6655.1021857616315, "turnover_quote_units": 29678.649806029916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3216.5284783169736, "return_pct": -67.83471521683026, "cagr_pct": -67.87635625823086, "max_drawdown_pct": 69.67763110287308, "mean_exposure_while_solvent": 0.9707788168795367, "realized_annual_volatility_pct": 58.572206843261846, "trading_costs_quote_units": 89.0359494180898, "borrowing_costs_quote_units": 39.333386503313235, "price_pnl_quote_units": -6655.1021857616315, "turnover_quote_units": 29678.649806029916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3216.5284783169736, "return_pct": -67.83471521683026, "cagr_pct": -67.87635625823086, "max_drawdown_pct": 69.67763110287308, "mean_exposure_while_solvent": 0.9707788168795367, "realized_annual_volatility_pct": 58.572206843261846, "trading_costs_quote_units": 89.0359494180898, "borrowing_costs_quote_units": 39.333386503313235, "price_pnl_quote_units": -6655.1021857616315, "turnover_quote_units": 29678.649806029916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4701.4005764616695, "return_pct": -52.9859942353833, "cagr_pct": -53.02650056306817, "max_drawdown_pct": 55.674408538918584, "mean_exposure_while_solvent": 0.7495699611703841, "realized_annual_volatility_pct": 46.362280067243894, "trading_costs_quote_units": 56.132863496748534, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5242.466560041583, "turnover_quote_units": 18710.954498916177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4701.4005764616695, "return_pct": -52.9859942353833, "cagr_pct": -53.02650056306817, "max_drawdown_pct": 55.674408538918584, "mean_exposure_while_solvent": 0.7495699611703841, "realized_annual_volatility_pct": 46.362280067243894, "trading_costs_quote_units": 56.132863496748534, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5242.466560041583, "turnover_quote_units": 18710.954498916177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3491.7169039086016, "return_pct": -65.08283096091398, "cagr_pct": -65.12476504461604, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.869873149098645, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6478.372826898979, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3491.7169039086016, "return_pct": -65.08283096091398, "cagr_pct": -65.12476504461604, "max_drawdown_pct": 67.2621983967848, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.869873149098645, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6478.372826898979, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2370.4492329822615, "return_pct": -76.29550767017739, "cagr_pct": -76.3344463587193, "max_drawdown_pct": 77.82174759042519, "mean_exposure_while_solvent": 1.249711248108754, "realized_annual_volatility_pct": 77.4363911555129, "trading_costs_quote_units": 79.85477137347559, "borrowing_costs_quote_units": 253.65561945327408, "price_pnl_quote_units": -7296.040376190979, "turnover_quote_units": 26618.25712449187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2370.4492329822615, "return_pct": -76.29550767017739, "cagr_pct": -76.3344463587193, "max_drawdown_pct": 77.82174759042519, "mean_exposure_while_solvent": 1.249711248108754, "realized_annual_volatility_pct": 77.4363911555129, "trading_costs_quote_units": 79.85477137347559, "borrowing_costs_quote_units": 253.65561945327408, "price_pnl_quote_units": -7296.040376190979, "turnover_quote_units": 26618.25712449187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1560.905852918391, "return_pct": -84.39094147081609, "cagr_pct": -84.424016243838, "max_drawdown_pct": 85.49118646743506, "mean_exposure_while_solvent": 1.5000709004695727, "realized_annual_volatility_pct": 93.06761997159178, "trading_costs_quote_units": 132.46628813431144, "borrowing_costs_quote_units": 433.5409238773549, "price_pnl_quote_units": -7873.086935069937, "turnover_quote_units": 44155.42937810377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1560.905852918391, "return_pct": -84.39094147081609, "cagr_pct": -84.424016243838, "max_drawdown_pct": 85.49118646743506, "mean_exposure_while_solvent": 1.5000709004695727, "realized_annual_volatility_pct": 93.06761997159178, "trading_costs_quote_units": 132.46628813431144, "borrowing_costs_quote_units": 433.5409238773549, "price_pnl_quote_units": -7873.086935069937, "turnover_quote_units": 44155.42937810377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4225.313520993057, "return_pct": -57.74686479006943, "cagr_pct": -57.78841666426134, "max_drawdown_pct": 58.27068858238136, "mean_exposure_while_solvent": 0.6993016140091652, "realized_annual_volatility_pct": 41.59250137023466, "trading_costs_quote_units": 140.6403079512354, "borrowing_costs_quote_units": 5.9446812723396105, "price_pnl_quote_units": -5628.101489783365, "turnover_quote_units": 46880.10265041176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4225.313520993057, "return_pct": -57.74686479006943, "cagr_pct": -57.78841666426134, "max_drawdown_pct": 58.27068858238136, "mean_exposure_while_solvent": 0.6993016140091652, "realized_annual_volatility_pct": 41.59250137023466, "trading_costs_quote_units": 140.6403079512354, "borrowing_costs_quote_units": 5.9446812723396105, "price_pnl_quote_units": -5628.101489783365, "turnover_quote_units": 46880.10265041176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2775.6844649944605, "return_pct": -72.24315535005539, "cagr_pct": -72.28375560385018, "max_drawdown_pct": 73.43870532982801, "mean_exposure_while_solvent": 1.0122008375780436, "realized_annual_volatility_pct": 61.25254744571045, "trading_costs_quote_units": 145.65450685249502, "borrowing_costs_quote_units": 21.600636747386325, "price_pnl_quote_units": -7057.060391405649, "turnover_quote_units": 48551.50228416502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2775.6844649944605, "return_pct": -72.24315535005539, "cagr_pct": -72.28375560385018, "max_drawdown_pct": 73.43870532982801, "mean_exposure_while_solvent": 1.0122008375780436, "realized_annual_volatility_pct": 61.25254744571045, "trading_costs_quote_units": 145.65450685249502, "borrowing_costs_quote_units": 21.600636747386325, "price_pnl_quote_units": -7057.060391405649, "turnover_quote_units": 48551.50228416502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1882.4169708136549, "return_pct": -81.17583029186345, "cagr_pct": -81.21169934116914, "max_drawdown_pct": 82.239025092817, "mean_exposure_while_solvent": 1.276864090919111, "realized_annual_volatility_pct": 78.22084370234462, "trading_costs_quote_units": 149.62312773034324, "borrowing_costs_quote_units": 62.785442203548826, "price_pnl_quote_units": -7905.174459252435, "turnover_quote_units": 49874.375910114366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1882.4169708136549, "return_pct": -81.17583029186345, "cagr_pct": -81.21169934116914, "max_drawdown_pct": 82.239025092817, "mean_exposure_while_solvent": 1.276864090919111, "realized_annual_volatility_pct": 78.22084370234462, "trading_costs_quote_units": 149.62312773034324, "borrowing_costs_quote_units": 62.785442203548826, "price_pnl_quote_units": -7905.174459252435, "turnover_quote_units": 49874.375910114366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2680.916770340493, "return_pct": -73.19083229659506, "cagr_pct": -73.23110842262385, "max_drawdown_pct": 74.65751053433071, "mean_exposure_while_solvent": 1.055922102495985, "realized_annual_volatility_pct": 61.44842506936914, "trading_costs_quote_units": 238.6046521529067, "borrowing_costs_quote_units": 31.731224593085006, "price_pnl_quote_units": -7048.747352913512, "turnover_quote_units": 79534.88405096887, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2680.916770340493, "return_pct": -73.19083229659506, "cagr_pct": -73.23110842262385, "max_drawdown_pct": 74.65751053433071, "mean_exposure_while_solvent": 1.055922102495985, "realized_annual_volatility_pct": 61.44842506936914, "trading_costs_quote_units": 238.6046521529067, "borrowing_costs_quote_units": 31.731224593085006, "price_pnl_quote_units": -7048.747352913512, "turnover_quote_units": 79534.88405096887, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3252.2428897513696, "return_pct": -67.47757110248631, "cagr_pct": -67.51926488839783, "max_drawdown_pct": 69.41814864099614, "mean_exposure_while_solvent": 0.9696363871417247, "realized_annual_volatility_pct": 58.63299262623588, "trading_costs_quote_units": 89.971855800878, "borrowing_costs_quote_units": 9.848967323241816, "price_pnl_quote_units": -6647.936287124505, "turnover_quote_units": 29990.618600292688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3252.2428897513696, "return_pct": -67.47757110248631, "cagr_pct": -67.51926488839783, "max_drawdown_pct": 69.41814864099614, "mean_exposure_while_solvent": 0.9696363871417247, "realized_annual_volatility_pct": 58.63299262623588, "trading_costs_quote_units": 89.971855800878, "borrowing_costs_quote_units": 9.848967323241816, "price_pnl_quote_units": -6647.936287124505, "turnover_quote_units": 29990.618600292688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3412.0004828414717, "return_pct": -65.87999517158528, "cagr_pct": -65.92187074920919, "max_drawdown_pct": 67.63073476852811, "mean_exposure_while_solvent": 0.9152317082352414, "realized_annual_volatility_pct": 56.063305372635654, "trading_costs_quote_units": 86.54151279140707, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6501.45800436713, "turnover_quote_units": 28847.170930469016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3412.0004828414717, "return_pct": -65.87999517158528, "cagr_pct": -65.92187074920919, "max_drawdown_pct": 67.63073476852811, "mean_exposure_while_solvent": 0.9152317082352414, "realized_annual_volatility_pct": 56.063305372635654, "trading_costs_quote_units": 86.54151279140707, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6501.45800436713, "turnover_quote_units": 28847.170930469016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3252.2428897513696, "return_pct": -67.47757110248631, "cagr_pct": -67.51926488839783, "max_drawdown_pct": 69.41814864099614, "mean_exposure_while_solvent": 0.9696363871417247, "realized_annual_volatility_pct": 58.63299262623588, "trading_costs_quote_units": 89.971855800878, "borrowing_costs_quote_units": 9.848967323241816, "price_pnl_quote_units": -6647.936287124505, "turnover_quote_units": 29990.618600292688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3252.2428897513696, "return_pct": -67.47757110248631, "cagr_pct": -67.51926488839783, "max_drawdown_pct": 69.41814864099614, "mean_exposure_while_solvent": 0.9696363871417247, "realized_annual_volatility_pct": 58.63299262623588, "trading_costs_quote_units": 89.971855800878, "borrowing_costs_quote_units": 9.848967323241816, "price_pnl_quote_units": -6647.936287124505, "turnover_quote_units": 29990.618600292688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3252.2428897513696, "return_pct": -67.47757110248631, "cagr_pct": -67.51926488839783, "max_drawdown_pct": 69.41814864099614, "mean_exposure_while_solvent": 0.9696363871417247, "realized_annual_volatility_pct": 58.63299262623588, "trading_costs_quote_units": 89.971855800878, "borrowing_costs_quote_units": 9.848967323241816, "price_pnl_quote_units": -6647.936287124505, "turnover_quote_units": 29990.618600292688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3252.2428897513696, "return_pct": -67.47757110248631, "cagr_pct": -67.51926488839783, "max_drawdown_pct": 69.41814864099614, "mean_exposure_while_solvent": 0.9696363871417247, "realized_annual_volatility_pct": 58.63299262623588, "trading_costs_quote_units": 89.971855800878, "borrowing_costs_quote_units": 9.848967323241816, "price_pnl_quote_units": -6647.936287124505, "turnover_quote_units": 29990.618600292688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4700.256512442743, "return_pct": -52.997434875572566, "cagr_pct": -53.037944399440484, "max_drawdown_pct": 55.71187928294865, "mean_exposure_while_solvent": 0.7486263650749798, "realized_annual_volatility_pct": 46.31498986988268, "trading_costs_quote_units": 56.222131924925556, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5243.521355632334, "turnover_quote_units": 18740.71064164187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4700.256512442743, "return_pct": -52.997434875572566, "cagr_pct": -53.037944399440484, "max_drawdown_pct": 55.71187928294865, "mean_exposure_while_solvent": 0.7486263650749798, "realized_annual_volatility_pct": 46.31498986988268, "trading_costs_quote_units": 56.222131924925556, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5243.521355632334, "turnover_quote_units": 18740.71064164187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3489.4258597458247, "return_pct": -65.10574140254175, "cagr_pct": -65.14767409715667, "max_drawdown_pct": 67.26219839678481, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.85446190692665, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6480.663871061737, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3489.4258597458247, "return_pct": -65.10574140254175, "cagr_pct": -65.14767409715667, "max_drawdown_pct": 67.26219839678481, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.85446190692665, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6480.663871061737, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2458.5168739590663, "return_pct": -75.41483126040933, "cagr_pct": -75.45419401769503, "max_drawdown_pct": 77.07767396651103, "mean_exposure_while_solvent": 1.2489705933890987, "realized_annual_volatility_pct": 77.46709922965731, "trading_costs_quote_units": 80.73028724292116, "borrowing_costs_quote_units": 64.20256888513543, "price_pnl_quote_units": -7396.550269912874, "turnover_quote_units": 26910.095747640364, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2458.5168739590663, "return_pct": -75.41483126040933, "cagr_pct": -75.45419401769503, "max_drawdown_pct": 77.07767396651103, "mean_exposure_while_solvent": 1.2489705933890987, "realized_annual_volatility_pct": 77.46709922965731, "trading_costs_quote_units": 80.73028724292116, "borrowing_costs_quote_units": 64.20256888513543, "price_pnl_quote_units": -7396.550269912874, "turnover_quote_units": 26910.095747640364, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1680.0256246164772, "return_pct": -83.19974375383524, "cagr_pct": -83.23393446880945, "max_drawdown_pct": 84.50306636297601, "mean_exposure_while_solvent": 1.4996914473882577, "realized_annual_volatility_pct": 93.1634960914905, "trading_costs_quote_units": 135.42747108589515, "borrowing_costs_quote_units": 110.85807029570682, "price_pnl_quote_units": -8073.688834001917, "turnover_quote_units": 45142.49036196504, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1680.0256246164772, "return_pct": -83.19974375383524, "cagr_pct": -83.23393446880945, "max_drawdown_pct": 84.50306636297601, "mean_exposure_while_solvent": 1.4996914473882577, "realized_annual_volatility_pct": 93.1634960914905, "trading_costs_quote_units": 135.42747108589515, "borrowing_costs_quote_units": 110.85807029570682, "price_pnl_quote_units": -8073.688834001917, "turnover_quote_units": 45142.49036196504, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4220.051630148757, "return_pct": -57.79948369851243, "cagr_pct": -57.84104382524428, "max_drawdown_pct": 58.289279128949744, "mean_exposure_while_solvent": 0.6993034796441403, "realized_annual_volatility_pct": 41.592861306159854, "trading_costs_quote_units": 140.62126807156545, "borrowing_costs_quote_units": 11.88336229484491, "price_pnl_quote_units": -5627.4437394848355, "turnover_quote_units": 46873.7560238551, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4220.051630148757, "return_pct": -57.79948369851243, "cagr_pct": -57.84104382524428, "max_drawdown_pct": 58.289279128949744, "mean_exposure_while_solvent": 0.6993034796441403, "realized_annual_volatility_pct": 41.592861306159854, "trading_costs_quote_units": 140.62126807156545, "borrowing_costs_quote_units": 11.88336229484491, "price_pnl_quote_units": -5627.4437394848355, "turnover_quote_units": 46873.7560238551, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2762.247182104594, "return_pct": -72.37752817895407, "cagr_pct": -72.41808475137415, "max_drawdown_pct": 73.52727620576306, "mean_exposure_while_solvent": 1.0122084019213162, "realized_annual_volatility_pct": 61.253493988351806, "trading_costs_quote_units": 145.54393162082198, "borrowing_costs_quote_units": 43.12229087856892, "price_pnl_quote_units": -7049.086595396016, "turnover_quote_units": 48514.64387360729, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2762.247182104594, "return_pct": -72.37752817895407, "cagr_pct": -72.41808475137415, "max_drawdown_pct": 73.52727620576306, "mean_exposure_while_solvent": 1.0122084019213162, "realized_annual_volatility_pct": 61.253493988351806, "trading_costs_quote_units": 145.54393162082198, "borrowing_costs_quote_units": 43.12229087856892, "price_pnl_quote_units": -7049.086595396016, "turnover_quote_units": 48514.64387360729, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1855.6566201613293, "return_pct": -81.4434337983867, "cagr_pct": -81.47909579458816, "max_drawdown_pct": 82.4533083326208, "mean_exposure_while_solvent": 1.2768868386175365, "realized_annual_volatility_pct": 78.22334417414896, "trading_costs_quote_units": 149.17453109455022, "borrowing_costs_quote_units": 124.95678600038171, "price_pnl_quote_units": -7870.212062743737, "turnover_quote_units": 49724.84369818337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1855.6566201613293, "return_pct": -81.4434337983867, "cagr_pct": -81.47909579458816, "max_drawdown_pct": 82.4533083326208, "mean_exposure_while_solvent": 1.2768868386175365, "realized_annual_volatility_pct": 78.22334417414896, "trading_costs_quote_units": 149.17453109455022, "borrowing_costs_quote_units": 124.95678600038171, "price_pnl_quote_units": -7870.212062743737, "turnover_quote_units": 49724.84369818337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2661.510518264874, "return_pct": -73.38489481735127, "cagr_pct": -73.4250998950701, "max_drawdown_pct": 74.78043689766696, "mean_exposure_while_solvent": 1.0559335371967744, "realized_annual_volatility_pct": 61.44943892881276, "trading_costs_quote_units": 238.32216120660323, "borrowing_costs_quote_units": 63.29064339760458, "price_pnl_quote_units": -7036.87667713092, "turnover_quote_units": 79440.72040220106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2661.510518264874, "return_pct": -73.38489481735127, "cagr_pct": -73.4250998950701, "max_drawdown_pct": 74.78043689766696, "mean_exposure_while_solvent": 1.0559335371967744, "realized_annual_volatility_pct": 61.44943892881276, "trading_costs_quote_units": 238.32216120660323, "borrowing_costs_quote_units": 63.29064339760458, "price_pnl_quote_units": -7036.87667713092, "turnover_quote_units": 79440.72040220106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3244.158948150162, "return_pct": -67.55841051849838, "cagr_pct": -67.60009275961217, "max_drawdown_pct": 69.46077823086216, "mean_exposure_while_solvent": 0.9696397338266911, "realized_annual_volatility_pct": 58.63335775251467, "trading_costs_quote_units": 89.94793890985812, "borrowing_costs_quote_units": 19.677374123589352, "price_pnl_quote_units": -6646.2157388163805, "turnover_quote_units": 29982.646303286027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3244.158948150162, "return_pct": -67.55841051849838, "cagr_pct": -67.60009275961217, "max_drawdown_pct": 69.46077823086216, "mean_exposure_while_solvent": 0.9696397338266911, "realized_annual_volatility_pct": 58.63335775251467, "trading_costs_quote_units": 89.94793890985812, "borrowing_costs_quote_units": 19.677374123589352, "price_pnl_quote_units": -6646.2157388163805, "turnover_quote_units": 29982.646303286027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3412.0004828414717, "return_pct": -65.87999517158528, "cagr_pct": -65.92187074920919, "max_drawdown_pct": 67.63073476852811, "mean_exposure_while_solvent": 0.9152317082352414, "realized_annual_volatility_pct": 56.063305372635654, "trading_costs_quote_units": 86.54151279140707, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6501.45800436713, "turnover_quote_units": 28847.170930469016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3412.0004828414717, "return_pct": -65.87999517158528, "cagr_pct": -65.92187074920919, "max_drawdown_pct": 67.63073476852811, "mean_exposure_while_solvent": 0.9152317082352414, "realized_annual_volatility_pct": 56.063305372635654, "trading_costs_quote_units": 86.54151279140707, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6501.45800436713, "turnover_quote_units": 28847.170930469016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3244.158948150162, "return_pct": -67.55841051849838, "cagr_pct": -67.60009275961217, "max_drawdown_pct": 69.46077823086216, "mean_exposure_while_solvent": 0.9696397338266911, "realized_annual_volatility_pct": 58.63335775251467, "trading_costs_quote_units": 89.94793890985812, "borrowing_costs_quote_units": 19.677374123589352, "price_pnl_quote_units": -6646.2157388163805, "turnover_quote_units": 29982.646303286027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3244.158948150162, "return_pct": -67.55841051849838, "cagr_pct": -67.60009275961217, "max_drawdown_pct": 69.46077823086216, "mean_exposure_while_solvent": 0.9696397338266911, "realized_annual_volatility_pct": 58.63335775251467, "trading_costs_quote_units": 89.94793890985812, "borrowing_costs_quote_units": 19.677374123589352, "price_pnl_quote_units": -6646.2157388163805, "turnover_quote_units": 29982.646303286027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3244.158948150162, "return_pct": -67.55841051849838, "cagr_pct": -67.60009275961217, "max_drawdown_pct": 69.46077823086216, "mean_exposure_while_solvent": 0.9696397338266911, "realized_annual_volatility_pct": 58.63335775251467, "trading_costs_quote_units": 89.94793890985812, "borrowing_costs_quote_units": 19.677374123589352, "price_pnl_quote_units": -6646.2157388163805, "turnover_quote_units": 29982.646303286027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3244.158948150162, "return_pct": -67.55841051849838, "cagr_pct": -67.60009275961217, "max_drawdown_pct": 69.46077823086216, "mean_exposure_while_solvent": 0.9696397338266911, "realized_annual_volatility_pct": 58.63335775251467, "trading_costs_quote_units": 89.94793890985812, "borrowing_costs_quote_units": 19.677374123589352, "price_pnl_quote_units": -6646.2157388163805, "turnover_quote_units": 29982.646303286027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4700.256512442743, "return_pct": -52.997434875572566, "cagr_pct": -53.037944399440484, "max_drawdown_pct": 55.71187928294865, "mean_exposure_while_solvent": 0.7486263650749798, "realized_annual_volatility_pct": 46.31498986988268, "trading_costs_quote_units": 56.222131924925556, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5243.521355632334, "turnover_quote_units": 18740.71064164187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4700.256512442743, "return_pct": -52.997434875572566, "cagr_pct": -53.037944399440484, "max_drawdown_pct": 55.71187928294865, "mean_exposure_while_solvent": 0.7486263650749798, "realized_annual_volatility_pct": 46.31498986988268, "trading_costs_quote_units": 56.222131924925556, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5243.521355632334, "turnover_quote_units": 18740.71064164187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3489.4258597458247, "return_pct": -65.10574140254175, "cagr_pct": -65.14767409715667, "max_drawdown_pct": 67.26219839678481, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.85446190692665, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6480.663871061737, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3489.4258597458247, "return_pct": -65.10574140254175, "cagr_pct": -65.14767409715667, "max_drawdown_pct": 67.26219839678481, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.85446190692665, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6480.663871061737, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2427.8837961271756, "return_pct": -75.72116203872824, "cagr_pct": -75.76038144134796, "max_drawdown_pct": 77.33189434249897, "mean_exposure_while_solvent": 1.2489884614831783, "realized_annual_volatility_pct": 77.46853257518664, "trading_costs_quote_units": 80.57991788529401, "borrowing_costs_quote_units": 127.81202969216687, "price_pnl_quote_units": -7363.7242562953625, "turnover_quote_units": 26859.972628431347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2427.8837961271756, "return_pct": -75.72116203872824, "cagr_pct": -75.76038144134796, "max_drawdown_pct": 77.33189434249897, "mean_exposure_while_solvent": 1.2489884614831783, "realized_annual_volatility_pct": 77.46853257518664, "trading_costs_quote_units": 80.57991788529401, "borrowing_costs_quote_units": 127.81202969216687, "price_pnl_quote_units": -7363.7242562953625, "turnover_quote_units": 26859.972628431347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1638.3534699277334, "return_pct": -83.61646530072267, "cagr_pct": -83.65027694462374, "max_drawdown_pct": 84.84551255652974, "mean_exposure_while_solvent": 1.499734432047014, "realized_annual_volatility_pct": 93.16696638172648, "trading_costs_quote_units": 134.7797831437091, "borrowing_costs_quote_units": 219.8233410908321, "price_pnl_quote_units": -8007.043405837707, "turnover_quote_units": 44926.594381236384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1638.3534699277334, "return_pct": -83.61646530072267, "cagr_pct": -83.65027694462374, "max_drawdown_pct": 84.84551255652974, "mean_exposure_while_solvent": 1.499734432047014, "realized_annual_volatility_pct": 93.16696638172648, "trading_costs_quote_units": 134.7797831437091, "borrowing_costs_quote_units": 219.8233410908321, "price_pnl_quote_units": -8007.043405837707, "turnover_quote_units": 44926.594381236384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4209.545051785869, "return_pct": -57.90454948214131, "cagr_pct": -57.94612586266381, "max_drawdown_pct": 58.32644371804283, "mean_exposure_while_solvent": 0.6993072115559815, "realized_annual_volatility_pct": 41.59358745152683, "trading_costs_quote_units": 140.58322946067895, "borrowing_costs_quote_units": 23.742744982688336, "price_pnl_quote_units": -5626.1289737707575, "turnover_quote_units": 46861.07648689295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4209.545051785869, "return_pct": -57.90454948214131, "cagr_pct": -57.94612586266381, "max_drawdown_pct": 58.32644371804283, "mean_exposure_while_solvent": 0.6993072115559815, "realized_annual_volatility_pct": 41.59358745152683, "trading_costs_quote_units": 140.58322946067895, "borrowing_costs_quote_units": 23.742744982688336, "price_pnl_quote_units": -5626.1289737707575, "turnover_quote_units": 46861.07648689295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2735.557484957488, "return_pct": -72.64442515042512, "cagr_pct": -72.68489274420217, "max_drawdown_pct": 73.70358344763979, "mean_exposure_while_solvent": 1.012223533459994, "realized_annual_volatility_pct": 61.25540227051592, "trading_costs_quote_units": 145.32811081133084, "borrowing_costs_quote_units": 85.92992505301656, "price_pnl_quote_units": -7033.184479178172, "turnover_quote_units": 48442.70360377684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2735.557484957488, "return_pct": -72.64442515042512, "cagr_pct": -72.68489274420217, "max_drawdown_pct": 73.70358344763979, "mean_exposure_while_solvent": 1.012223533459994, "realized_annual_volatility_pct": 61.25540227051592, "trading_costs_quote_units": 145.32811081133084, "borrowing_costs_quote_units": 85.92992505301656, "price_pnl_quote_units": -7033.184479178172, "turnover_quote_units": 48442.70360377684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1803.2570387729065, "return_pct": -81.96742961227093, "cagr_pct": -82.00267336234988, "max_drawdown_pct": 82.87425551495397, "mean_exposure_while_solvent": 1.2769323428262669, "realized_annual_volatility_pct": 78.22835959521728, "trading_costs_quote_units": 148.2873321099195, "borrowing_costs_quote_units": 247.48537996744307, "price_pnl_quote_units": -7800.97024914974, "turnover_quote_units": 49429.1107033065, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1803.2570387729065, "return_pct": -81.96742961227093, "cagr_pct": -82.00267336234988, "max_drawdown_pct": 82.87425551495397, "mean_exposure_while_solvent": 1.2769323428262669, "realized_annual_volatility_pct": 78.22835959521728, "trading_costs_quote_units": 148.2873321099195, "borrowing_costs_quote_units": 247.48537996744307, "price_pnl_quote_units": -7800.97024914974, "turnover_quote_units": 49429.1107033065, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2623.1054876036724, "return_pct": -73.76894512396328, "cagr_pct": -73.8090048235702, "max_drawdown_pct": 75.02456334316966, "mean_exposure_while_solvent": 1.0559564109740471, "realized_annual_volatility_pct": 61.45148687819376, "trading_costs_quote_units": 237.76279475699695, "borrowing_costs_quote_units": 125.89836070918078, "price_pnl_quote_units": -7013.233356930163, "turnover_quote_units": 79254.26491899893, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2623.1054876036724, "return_pct": -73.76894512396328, "cagr_pct": -73.8090048235702, "max_drawdown_pct": 75.02456334316966, "mean_exposure_while_solvent": 1.0559564109740471, "realized_annual_volatility_pct": 61.45148687819376, "trading_costs_quote_units": 237.76279475699695, "borrowing_costs_quote_units": 125.89836070918078, "price_pnl_quote_units": -7013.233356930163, "turnover_quote_units": 79254.26491899893, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3228.047963808748, "return_pct": -67.71952036191252, "cagr_pct": -67.76117890808729, "max_drawdown_pct": 69.54587655025396, "mean_exposure_while_solvent": 0.9696464281138578, "realized_annual_volatility_pct": 58.63409190534591, "trading_costs_quote_units": 89.90020544346059, "borrowing_costs_quote_units": 39.27268160679036, "price_pnl_quote_units": -6642.779149140991, "turnover_quote_units": 29966.7351478202, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3228.047963808748, "return_pct": -67.71952036191252, "cagr_pct": -67.76117890808729, "max_drawdown_pct": 69.54587655025396, "mean_exposure_while_solvent": 0.9696464281138578, "realized_annual_volatility_pct": 58.63409190534591, "trading_costs_quote_units": 89.90020544346059, "borrowing_costs_quote_units": 39.27268160679036, "price_pnl_quote_units": -6642.779149140991, "turnover_quote_units": 29966.7351478202, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3412.0004828414717, "return_pct": -65.87999517158528, "cagr_pct": -65.92187074920919, "max_drawdown_pct": 67.63073476852811, "mean_exposure_while_solvent": 0.9152317082352414, "realized_annual_volatility_pct": 56.063305372635654, "trading_costs_quote_units": 86.54151279140707, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6501.45800436713, "turnover_quote_units": 28847.170930469016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3412.0004828414717, "return_pct": -65.87999517158528, "cagr_pct": -65.92187074920919, "max_drawdown_pct": 67.63073476852811, "mean_exposure_while_solvent": 0.9152317082352414, "realized_annual_volatility_pct": 56.063305372635654, "trading_costs_quote_units": 86.54151279140707, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6501.45800436713, "turnover_quote_units": 28847.170930469016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 212, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3228.047963808748, "return_pct": -67.71952036191252, "cagr_pct": -67.76117890808729, "max_drawdown_pct": 69.54587655025396, "mean_exposure_while_solvent": 0.9696464281138578, "realized_annual_volatility_pct": 58.63409190534591, "trading_costs_quote_units": 89.90020544346059, "borrowing_costs_quote_units": 39.27268160679036, "price_pnl_quote_units": -6642.779149140991, "turnover_quote_units": 29966.7351478202, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3228.047963808748, "return_pct": -67.71952036191252, "cagr_pct": -67.76117890808729, "max_drawdown_pct": 69.54587655025396, "mean_exposure_while_solvent": 0.9696464281138578, "realized_annual_volatility_pct": 58.63409190534591, "trading_costs_quote_units": 89.90020544346059, "borrowing_costs_quote_units": 39.27268160679036, "price_pnl_quote_units": -6642.779149140991, "turnover_quote_units": 29966.7351478202, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3228.047963808748, "return_pct": -67.71952036191252, "cagr_pct": -67.76117890808729, "max_drawdown_pct": 69.54587655025396, "mean_exposure_while_solvent": 0.9696464281138578, "realized_annual_volatility_pct": 58.63409190534591, "trading_costs_quote_units": 89.90020544346059, "borrowing_costs_quote_units": 39.27268160679036, "price_pnl_quote_units": -6642.779149140991, "turnover_quote_units": 29966.7351478202, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3228.047963808748, "return_pct": -67.71952036191252, "cagr_pct": -67.76117890808729, "max_drawdown_pct": 69.54587655025396, "mean_exposure_while_solvent": 0.9696464281138578, "realized_annual_volatility_pct": 58.63409190534591, "trading_costs_quote_units": 89.90020544346059, "borrowing_costs_quote_units": 39.27268160679036, "price_pnl_quote_units": -6642.779149140991, "turnover_quote_units": 29966.7351478202, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4700.256512442743, "return_pct": -52.997434875572566, "cagr_pct": -53.037944399440484, "max_drawdown_pct": 55.71187928294865, "mean_exposure_while_solvent": 0.7486263650749798, "realized_annual_volatility_pct": 46.31498986988268, "trading_costs_quote_units": 56.222131924925556, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5243.521355632334, "turnover_quote_units": 18740.71064164187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4700.256512442743, "return_pct": -52.997434875572566, "cagr_pct": -53.037944399440484, "max_drawdown_pct": 55.71187928294865, "mean_exposure_while_solvent": 0.7486263650749798, "realized_annual_volatility_pct": 46.31498986988268, "trading_costs_quote_units": 56.222131924925556, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5243.521355632334, "turnover_quote_units": 18740.71064164187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3489.4258597458247, "return_pct": -65.10574140254175, "cagr_pct": -65.14767409715667, "max_drawdown_pct": 67.26219839678481, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.85446190692665, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6480.663871061737, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3489.4258597458247, "return_pct": -65.10574140254175, "cagr_pct": -65.14767409715667, "max_drawdown_pct": 67.26219839678481, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.85446190692665, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6480.663871061737, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2367.7428234383506, "return_pct": -76.3225717656165, "cagr_pct": -76.36149683752981, "max_drawdown_pct": 77.83202453185099, "mean_exposure_while_solvent": 1.2490242031867698, "realized_annual_volatility_pct": 77.47139974903534, "trading_costs_quote_units": 80.2854970544896, "borrowing_costs_quote_units": 253.27622433195103, "price_pnl_quote_units": -7298.695455175204, "turnover_quote_units": 26761.83235149655, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2367.7428234383506, "return_pct": -76.3225717656165, "cagr_pct": -76.36149683752981, "max_drawdown_pct": 77.83202453185099, "mean_exposure_while_solvent": 1.2490242031867698, "realized_annual_volatility_pct": 77.47139974903534, "trading_costs_quote_units": 80.2854970544896, "borrowing_costs_quote_units": 253.27622433195103, "price_pnl_quote_units": -7298.695455175204, "turnover_quote_units": 26761.83235149655, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1558.0599869938455, "return_pct": -84.41940013006155, "cagr_pct": -84.45244700409043, "max_drawdown_pct": 85.5080582865837, "mean_exposure_while_solvent": 1.499820420087727, "realized_annual_volatility_pct": 93.17390879920424, "trading_costs_quote_units": 133.51441718092144, "borrowing_costs_quote_units": 432.22518387310623, "price_pnl_quote_units": -7876.200411952132, "turnover_quote_units": 44504.805726973755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1558.0599869938455, "return_pct": -84.41940013006155, "cagr_pct": -84.45244700409043, "max_drawdown_pct": 85.5080582865837, "mean_exposure_while_solvent": 1.499820420087727, "realized_annual_volatility_pct": 93.17390879920424, "trading_costs_quote_units": 133.51441718092144, "borrowing_costs_quote_units": 432.22518387310623, "price_pnl_quote_units": -7876.200411952132, "turnover_quote_units": 44504.805726973755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4313.149458176198, "return_pct": -56.86850541823802, "cagr_pct": -56.90990855208974, "max_drawdown_pct": 57.59346028262162, "mean_exposure_while_solvent": 0.7052187705862535, "realized_annual_volatility_pct": 41.398273593271334, "trading_costs_quote_units": 28.267094162135393, "borrowing_costs_quote_units": 6.221599490477679, "price_pnl_quote_units": -5652.361848171186, "turnover_quote_units": 47111.823603559016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4313.149458176198, "return_pct": -56.86850541823802, "cagr_pct": -56.90990855208974, "max_drawdown_pct": 57.59346028262162, "mean_exposure_while_solvent": 0.7052187705862535, "realized_annual_volatility_pct": 41.398273593271334, "trading_costs_quote_units": 28.267094162135393, "borrowing_costs_quote_units": 6.221599490477679, "price_pnl_quote_units": -5652.361848171186, "turnover_quote_units": 47111.823603559016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2818.6890285938516, "return_pct": -71.81310971406148, "cagr_pct": -71.85384479095231, "max_drawdown_pct": 73.16243895612035, "mean_exposure_while_solvent": 1.0193397742476626, "realized_annual_volatility_pct": 60.93274743841334, "trading_costs_quote_units": 29.397743776325086, "borrowing_costs_quote_units": 22.241259595191433, "price_pnl_quote_units": -7129.671968034623, "turnover_quote_units": 48996.23962720855, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2818.6890285938516, "return_pct": -71.81310971406148, "cagr_pct": -71.85384479095231, "max_drawdown_pct": 73.16243895612035, "mean_exposure_while_solvent": 1.0193397742476626, "realized_annual_volatility_pct": 60.93274743841334, "trading_costs_quote_units": 29.397743776325086, "borrowing_costs_quote_units": 22.241259595191433, "price_pnl_quote_units": -7129.671968034623, "turnover_quote_units": 48996.23962720855, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1914.309520006436, "return_pct": -80.85690479993563, "cagr_pct": -80.89301494651583, "max_drawdown_pct": 82.08137303553522, "mean_exposure_while_solvent": 1.2845225941378111, "realized_annual_volatility_pct": 77.82530270840122, "trading_costs_quote_units": 30.155163485186414, "borrowing_costs_quote_units": 64.85813091719005, "price_pnl_quote_units": -7990.677185591177, "turnover_quote_units": 50258.605808644075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1914.309520006436, "return_pct": -80.85690479993563, "cagr_pct": -80.89301494651583, "max_drawdown_pct": 82.08137303553522, "mean_exposure_while_solvent": 1.2845225941378111, "realized_annual_volatility_pct": 77.82530270840122, "trading_costs_quote_units": 30.155163485186414, "borrowing_costs_quote_units": 64.85813091719005, "price_pnl_quote_units": -7990.677185591177, "turnover_quote_units": 50258.605808644075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2842.7533888389703, "return_pct": -71.5724661116103, "cagr_pct": -71.6132733562417, "max_drawdown_pct": 73.24923200304336, "mean_exposure_while_solvent": 1.0615994066161876, "realized_annual_volatility_pct": 61.15997103141525, "trading_costs_quote_units": 49.06014774527839, "borrowing_costs_quote_units": 33.2724792681722, "price_pnl_quote_units": -7074.913984147592, "turnover_quote_units": 81766.9129087974, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2842.7533888389703, "return_pct": -71.5724661116103, "cagr_pct": -71.6132733562417, "max_drawdown_pct": 73.24923200304336, "mean_exposure_while_solvent": 1.0615994066161876, "realized_annual_volatility_pct": 61.15997103141525, "trading_costs_quote_units": 49.06014774527839, "borrowing_costs_quote_units": 33.2724792681722, "price_pnl_quote_units": -7074.913984147592, "turnover_quote_units": 81766.9129087974, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3267.2770907069807, "return_pct": -67.32722909293018, "cagr_pct": -67.36894373966797, "max_drawdown_pct": 69.4033702140096, "mean_exposure_while_solvent": 0.9782631931474964, "realized_annual_volatility_pct": 58.4007190328136, "trading_costs_quote_units": 17.92416259954111, "borrowing_costs_quote_units": 10.713211413270692, "price_pnl_quote_units": -6704.085535280206, "turnover_quote_units": 29873.604332568513, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3267.2770907069807, "return_pct": -67.32722909293018, "cagr_pct": -67.36894373966797, "max_drawdown_pct": 69.4033702140096, "mean_exposure_while_solvent": 0.9782631931474964, "realized_annual_volatility_pct": 58.4007190328136, "trading_costs_quote_units": 17.92416259954111, "borrowing_costs_quote_units": 10.713211413270692, "price_pnl_quote_units": -6704.085535280206, "turnover_quote_units": 29873.604332568513, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3441.012932260462, "return_pct": -65.58987067739538, "cagr_pct": -65.6317699840157, "max_drawdown_pct": 67.5368756055513, "mean_exposure_while_solvent": 0.9206456557075414, "realized_annual_volatility_pct": 55.81155201993361, "trading_costs_quote_units": 17.138206795857606, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6541.848860943676, "turnover_quote_units": 28563.67799309602, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3441.012932260462, "return_pct": -65.58987067739538, "cagr_pct": -65.6317699840157, "max_drawdown_pct": 67.5368756055513, "mean_exposure_while_solvent": 0.9206456557075414, "realized_annual_volatility_pct": 55.81155201993361, "trading_costs_quote_units": 17.138206795857606, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6541.848860943676, "turnover_quote_units": 28563.67799309602, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3267.2770907069807, "return_pct": -67.32722909293018, "cagr_pct": -67.36894373966797, "max_drawdown_pct": 69.4033702140096, "mean_exposure_while_solvent": 0.9782631931474964, "realized_annual_volatility_pct": 58.4007190328136, "trading_costs_quote_units": 17.92416259954111, "borrowing_costs_quote_units": 10.713211413270692, "price_pnl_quote_units": -6704.085535280206, "turnover_quote_units": 29873.604332568513, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3267.2770907069807, "return_pct": -67.32722909293018, "cagr_pct": -67.36894373966797, "max_drawdown_pct": 69.4033702140096, "mean_exposure_while_solvent": 0.9782631931474964, "realized_annual_volatility_pct": 58.4007190328136, "trading_costs_quote_units": 17.92416259954111, "borrowing_costs_quote_units": 10.713211413270692, "price_pnl_quote_units": -6704.085535280206, "turnover_quote_units": 29873.604332568513, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3267.2770907069807, "return_pct": -67.32722909293018, "cagr_pct": -67.36894373966797, "max_drawdown_pct": 69.4033702140096, "mean_exposure_while_solvent": 0.9782631931474964, "realized_annual_volatility_pct": 58.4007190328136, "trading_costs_quote_units": 17.92416259954111, "borrowing_costs_quote_units": 10.713211413270692, "price_pnl_quote_units": -6704.085535280206, "turnover_quote_units": 29873.604332568513, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3267.2770907069807, "return_pct": -67.32722909293018, "cagr_pct": -67.36894373966797, "max_drawdown_pct": 69.4033702140096, "mean_exposure_while_solvent": 0.9782631931474964, "realized_annual_volatility_pct": 58.4007190328136, "trading_costs_quote_units": 17.92416259954111, "borrowing_costs_quote_units": 10.713211413270692, "price_pnl_quote_units": -6704.085535280206, "turnover_quote_units": 29873.604332568513, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4729.92428193647, "return_pct": -52.70075718063529, "cagr_pct": -52.74118279521478, "max_drawdown_pct": 55.51766030143317, "mean_exposure_while_solvent": 0.7495696497052514, "realized_annual_volatility_pct": 46.010759325431465, "trading_costs_quote_units": 11.24252599325965, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5258.833192070268, "turnover_quote_units": 18737.543322099424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4729.92428193647, "return_pct": -52.70075718063529, "cagr_pct": -52.74118279521478, "max_drawdown_pct": 55.51766030143317, "mean_exposure_while_solvent": 0.7495696497052514, "realized_annual_volatility_pct": 46.010759325431465, "trading_costs_quote_units": 11.24252599325965, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5258.833192070268, "turnover_quote_units": 18737.543322099424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3503.035299003297, "return_pct": -64.96964700996703, "cagr_pct": -65.01158770446442, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.40445276764386, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6490.968298838018, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3503.035299003297, "return_pct": -64.96964700996703, "cagr_pct": -65.01158770446442, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.40445276764386, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6490.968298838018, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2488.7287682315227, "return_pct": -75.11271231768477, "cagr_pct": -75.15221219056058, "max_drawdown_pct": 76.8804614818636, "mean_exposure_while_solvent": 1.2496577659640855, "realized_annual_volatility_pct": 76.84874273548714, "trading_costs_quote_units": 16.12531446812739, "borrowing_costs_quote_units": 64.68319397438933, "price_pnl_quote_units": -7430.462723325948, "turnover_quote_units": 26875.52411354571, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2488.7287682315227, "return_pct": -75.11271231768477, "cagr_pct": -75.15221219056058, "max_drawdown_pct": 76.8804614818636, "mean_exposure_while_solvent": 1.2496577659640855, "realized_annual_volatility_pct": 76.84874273548714, "trading_costs_quote_units": 16.12531446812739, "borrowing_costs_quote_units": 64.68319397438933, "price_pnl_quote_units": -7430.462723325948, "turnover_quote_units": 26875.52411354571, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1720.1610447974274, "return_pct": -82.79838955202572, "cagr_pct": -82.83293420450943, "max_drawdown_pct": 84.20646786952102, "mean_exposure_while_solvent": 1.4999418163706355, "realized_annual_volatility_pct": 92.35457688737378, "trading_costs_quote_units": 27.06849975758642, "borrowing_costs_quote_units": 112.30942083779371, "price_pnl_quote_units": -8140.4610346071995, "turnover_quote_units": 45114.16626264404, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1720.1610447974274, "return_pct": -82.79838955202572, "cagr_pct": -82.83293420450943, "max_drawdown_pct": 84.20646786952102, "mean_exposure_while_solvent": 1.4999418163706355, "realized_annual_volatility_pct": 92.35457688737378, "trading_costs_quote_units": 27.06849975758642, "borrowing_costs_quote_units": 112.30942083779371, "price_pnl_quote_units": -8140.4610346071995, "turnover_quote_units": 45114.16626264404, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4307.604232114513, "return_pct": -56.923957678854876, "cagr_pct": -56.96537081158031, "max_drawdown_pct": 57.61254247267769, "mean_exposure_while_solvent": 0.7052207374732866, "realized_annual_volatility_pct": 41.3985961384096, "trading_costs_quote_units": 28.26244798614604, "borrowing_costs_quote_units": 12.436670510905513, "price_pnl_quote_units": -5651.6966493884365, "turnover_quote_units": 47104.079976910005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4307.604232114513, "return_pct": -56.923957678854876, "cagr_pct": -56.96537081158031, "max_drawdown_pct": 57.61254247267769, "mean_exposure_while_solvent": 0.7052207374732866, "realized_annual_volatility_pct": 41.3985961384096, "trading_costs_quote_units": 28.26244798614604, "borrowing_costs_quote_units": 12.436670510905513, "price_pnl_quote_units": -5651.6966493884365, "turnover_quote_units": 47104.079976910005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2804.784825262608, "return_pct": -71.95215174737393, "cagr_pct": -71.99284405837926, "max_drawdown_pct": 73.25360016102081, "mean_exposure_while_solvent": 1.0193474963238813, "realized_annual_volatility_pct": 60.933846298315906, "trading_costs_quote_units": 29.373782062406733, "borrowing_costs_quote_units": 44.39951420841103, "price_pnl_quote_units": -7121.441878466566, "turnover_quote_units": 48956.303437344555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2804.784825262608, "return_pct": -71.95215174737393, "cagr_pct": -71.99284405837926, "max_drawdown_pct": 73.25360016102081, "mean_exposure_while_solvent": 1.0193474963238813, "realized_annual_volatility_pct": 60.933846298315906, "trading_costs_quote_units": 29.373782062406733, "borrowing_costs_quote_units": 44.39951420841103, "price_pnl_quote_units": -7121.441878466566, "turnover_quote_units": 48956.303437344555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1886.4409639646626, "return_pct": -81.13559036035338, "cagr_pct": -81.17149016752275, "max_drawdown_pct": 82.30167197310996, "mean_exposure_while_solvent": 1.2845458768152196, "realized_annual_volatility_pct": 77.82828812796889, "trading_costs_quote_units": 30.063014786607987, "borrowing_costs_quote_units": 129.06610823665616, "price_pnl_quote_units": -7954.429913012069, "turnover_quote_units": 50105.024644346566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1886.4409639646626, "return_pct": -81.13559036035338, "cagr_pct": -81.17149016752275, "max_drawdown_pct": 82.30167197310996, "mean_exposure_while_solvent": 1.2845458768152196, "realized_annual_volatility_pct": 77.82828812796889, "trading_costs_quote_units": 30.063014786607987, "borrowing_costs_quote_units": 129.06610823665616, "price_pnl_quote_units": -7954.429913012069, "turnover_quote_units": 50105.024644346566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2821.9545048403934, "return_pct": -71.78045495159606, "cagr_pct": -71.82119995858827, "max_drawdown_pct": 73.38048647590519, "mean_exposure_while_solvent": 1.0616109943717407, "realized_annual_volatility_pct": 61.16114366890838, "trading_costs_quote_units": 48.99865561188331, "borrowing_costs_quote_units": 66.36056927186925, "price_pnl_quote_units": -7062.686270275852, "turnover_quote_units": 81664.42601980553, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2821.9545048403934, "return_pct": -71.78045495159606, "cagr_pct": -71.82119995858827, "max_drawdown_pct": 73.38048647590519, "mean_exposure_while_solvent": 1.0616109943717407, "realized_annual_volatility_pct": 61.16114366890838, "trading_costs_quote_units": 48.99865561188331, "borrowing_costs_quote_units": 66.36056927186925, "price_pnl_quote_units": -7062.686270275852, "turnover_quote_units": 81664.42601980553, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3258.399098368005, "return_pct": -67.41600901631995, "cagr_pct": -67.45771144007122, "max_drawdown_pct": 69.44795109586957, "mean_exposure_while_solvent": 0.978266911373698, "realized_annual_volatility_pct": 58.401133637424266, "trading_costs_quote_units": 17.918612402764488, "borrowing_costs_quote_units": 21.401806787499318, "price_pnl_quote_units": -6702.2804824417335, "turnover_quote_units": 29864.354004607485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3258.399098368005, "return_pct": -67.41600901631995, "cagr_pct": -67.45771144007122, "max_drawdown_pct": 69.44795109586957, "mean_exposure_while_solvent": 0.978266911373698, "realized_annual_volatility_pct": 58.401133637424266, "trading_costs_quote_units": 17.918612402764488, "borrowing_costs_quote_units": 21.401806787499318, "price_pnl_quote_units": -6702.2804824417335, "turnover_quote_units": 29864.354004607485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3441.012932260462, "return_pct": -65.58987067739538, "cagr_pct": -65.6317699840157, "max_drawdown_pct": 67.5368756055513, "mean_exposure_while_solvent": 0.9206456557075414, "realized_annual_volatility_pct": 55.81155201993361, "trading_costs_quote_units": 17.138206795857606, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6541.848860943676, "turnover_quote_units": 28563.67799309602, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3441.012932260462, "return_pct": -65.58987067739538, "cagr_pct": -65.6317699840157, "max_drawdown_pct": 67.5368756055513, "mean_exposure_while_solvent": 0.9206456557075414, "realized_annual_volatility_pct": 55.81155201993361, "trading_costs_quote_units": 17.138206795857606, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6541.848860943676, "turnover_quote_units": 28563.67799309602, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3258.399098368005, "return_pct": -67.41600901631995, "cagr_pct": -67.45771144007122, "max_drawdown_pct": 69.44795109586957, "mean_exposure_while_solvent": 0.978266911373698, "realized_annual_volatility_pct": 58.401133637424266, "trading_costs_quote_units": 17.918612402764488, "borrowing_costs_quote_units": 21.401806787499318, "price_pnl_quote_units": -6702.2804824417335, "turnover_quote_units": 29864.354004607485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3258.399098368005, "return_pct": -67.41600901631995, "cagr_pct": -67.45771144007122, "max_drawdown_pct": 69.44795109586957, "mean_exposure_while_solvent": 0.978266911373698, "realized_annual_volatility_pct": 58.401133637424266, "trading_costs_quote_units": 17.918612402764488, "borrowing_costs_quote_units": 21.401806787499318, "price_pnl_quote_units": -6702.2804824417335, "turnover_quote_units": 29864.354004607485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3258.399098368005, "return_pct": -67.41600901631995, "cagr_pct": -67.45771144007122, "max_drawdown_pct": 69.44795109586957, "mean_exposure_while_solvent": 0.978266911373698, "realized_annual_volatility_pct": 58.401133637424266, "trading_costs_quote_units": 17.918612402764488, "borrowing_costs_quote_units": 21.401806787499318, "price_pnl_quote_units": -6702.2804824417335, "turnover_quote_units": 29864.354004607485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3258.399098368005, "return_pct": -67.41600901631995, "cagr_pct": -67.45771144007122, "max_drawdown_pct": 69.44795109586957, "mean_exposure_while_solvent": 0.978266911373698, "realized_annual_volatility_pct": 58.401133637424266, "trading_costs_quote_units": 17.918612402764488, "borrowing_costs_quote_units": 21.401806787499318, "price_pnl_quote_units": -6702.2804824417335, "turnover_quote_units": 29864.354004607485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4729.92428193647, "return_pct": -52.70075718063529, "cagr_pct": -52.74118279521478, "max_drawdown_pct": 55.51766030143317, "mean_exposure_while_solvent": 0.7495696497052514, "realized_annual_volatility_pct": 46.010759325431465, "trading_costs_quote_units": 11.24252599325965, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5258.833192070268, "turnover_quote_units": 18737.543322099424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4729.92428193647, "return_pct": -52.70075718063529, "cagr_pct": -52.74118279521478, "max_drawdown_pct": 55.51766030143317, "mean_exposure_while_solvent": 0.7495696497052514, "realized_annual_volatility_pct": 46.010759325431465, "trading_costs_quote_units": 11.24252599325965, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5258.833192070268, "turnover_quote_units": 18737.543322099424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3503.035299003297, "return_pct": -64.96964700996703, "cagr_pct": -65.01158770446442, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.40445276764386, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6490.968298838018, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3503.035299003297, "return_pct": -64.96964700996703, "cagr_pct": -65.01158770446442, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.40445276764386, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6490.968298838018, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2457.7105945351145, "return_pct": -75.42289405464886, "cagr_pct": -75.46225309483225, "max_drawdown_pct": 77.13671827717731, "mean_exposure_while_solvent": 1.2496756162672709, "realized_annual_volatility_pct": 76.85043218463746, "trading_costs_quote_units": 16.089019865644374, "borrowing_costs_quote_units": 128.76751471766318, "price_pnl_quote_units": -7397.432870881565, "turnover_quote_units": 26815.033109407283, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2457.7105945351145, "return_pct": -75.42289405464886, "cagr_pct": -75.46225309483225, "max_drawdown_pct": 77.13671827717731, "mean_exposure_while_solvent": 1.2496756162672709, "realized_annual_volatility_pct": 76.85043218463746, "trading_costs_quote_units": 16.089019865644374, "borrowing_costs_quote_units": 128.76751471766318, "price_pnl_quote_units": -7397.432870881565, "turnover_quote_units": 26815.033109407283, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1677.4891088467011, "return_pct": -83.22510891153298, "cagr_pct": -83.25927689317119, "max_drawdown_pct": 84.55520353366404, "mean_exposure_while_solvent": 1.499984714617589, "realized_annual_volatility_pct": 92.35865682873468, "trading_costs_quote_units": 26.92396431818154, "borrowing_costs_quote_units": 222.6934536606222, "price_pnl_quote_units": -8072.893473174463, "turnover_quote_units": 44873.27386363594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1677.4891088467011, "return_pct": -83.22510891153298, "cagr_pct": -83.25927689317119, "max_drawdown_pct": 84.55520353366404, "mean_exposure_while_solvent": 1.499984714617589, "realized_annual_volatility_pct": 92.35865682873468, "trading_costs_quote_units": 26.92396431818154, "borrowing_costs_quote_units": 222.6934536606222, "price_pnl_quote_units": -8072.893473174463, "turnover_quote_units": 44873.27386363594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4296.532544948337, "return_pct": -57.03467455051663, "cagr_pct": -57.07610740311604, "max_drawdown_pct": 57.65068966948353, "mean_exposure_while_solvent": 0.7052246719422284, "realized_annual_volatility_pct": 41.39924782091936, "trading_costs_quote_units": 28.253166727869893, "borrowing_costs_quote_units": 24.847251361186963, "price_pnl_quote_units": -5650.367036962601, "turnover_quote_units": 47088.611213116434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4296.532544948337, "return_pct": -57.03467455051663, "cagr_pct": -57.07610740311604, "max_drawdown_pct": 57.65068966948353, "mean_exposure_while_solvent": 0.7052246719422284, "realized_annual_volatility_pct": 41.39924782091936, "trading_costs_quote_units": 28.253166727869893, "borrowing_costs_quote_units": 24.847251361186963, "price_pnl_quote_units": -5650.367036962601, "turnover_quote_units": 47088.611213116434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2777.1750701876854, "return_pct": -72.22824929812315, "cagr_pct": -72.26885435168808, "max_drawdown_pct": 73.43503732085857, "mean_exposure_while_solvent": 1.0193629433955909, "realized_annual_volatility_pct": 60.93605970730115, "trading_costs_quote_units": 29.325984168675742, "borrowing_costs_quote_units": 88.46840590529828, "price_pnl_quote_units": -7105.030539738349, "turnover_quote_units": 48876.64028112616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2777.1750701876854, "return_pct": -72.22824929812315, "cagr_pct": -72.26885435168808, "max_drawdown_pct": 73.43503732085857, "mean_exposure_while_solvent": 1.0193629433955909, "realized_annual_volatility_pct": 60.93605970730115, "trading_costs_quote_units": 29.325984168675742, "borrowing_costs_quote_units": 88.46840590529828, "price_pnl_quote_units": -7105.030539738349, "turnover_quote_units": 48876.64028112616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1831.9013561606253, "return_pct": -81.68098643839375, "cagr_pct": -81.71646094476849, "max_drawdown_pct": 82.73428574359659, "mean_exposure_while_solvent": 1.2845924512134725, "realized_annual_volatility_pct": 77.83427422606684, "trading_costs_quote_units": 29.88063722242463, "borrowing_costs_quote_units": 255.56221510863406, "price_pnl_quote_units": -7882.655791508304, "turnover_quote_units": 49801.062037374424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1831.9013561606253, "return_pct": -81.68098643839375, "cagr_pct": -81.71646094476849, "max_drawdown_pct": 82.73428574359659, "mean_exposure_while_solvent": 1.2845924512134725, "realized_annual_volatility_pct": 77.83427422606684, "trading_costs_quote_units": 29.88063722242463, "borrowing_costs_quote_units": 255.56221510863406, "price_pnl_quote_units": -7882.655791508304, "turnover_quote_units": 49801.062037374424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2780.8017285383985, "return_pct": -72.19198271461602, "cagr_pct": -72.23259940793525, "max_drawdown_pct": 73.64112963828732, "mean_exposure_while_solvent": 1.0616341743302733, "realized_annual_volatility_pct": 61.16350901524959, "trading_costs_quote_units": 48.876417860984425, "borrowing_costs_quote_units": 131.98828378970728, "price_pnl_quote_units": -7038.333569810897, "turnover_quote_units": 81460.69643497407, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2780.8017285383985, "return_pct": -72.19198271461602, "cagr_pct": -72.23259940793525, "max_drawdown_pct": 73.64112963828732, "mean_exposure_while_solvent": 1.0616341743302733, "realized_annual_volatility_pct": 61.16350901524959, "trading_costs_quote_units": 48.876417860984425, "borrowing_costs_quote_units": 131.98828378970728, "price_pnl_quote_units": -7038.333569810897, "turnover_quote_units": 81460.69643497407, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3240.7116971395726, "return_pct": -67.59288302860426, "cagr_pct": -67.63456027672115, "max_drawdown_pct": 69.5369362172289, "mean_exposure_while_solvent": 0.9782743488802254, "realized_annual_volatility_pct": 58.401967578985726, "trading_costs_quote_units": 17.90753814678715, "borrowing_costs_quote_units": 42.7053816517179, "price_pnl_quote_units": -6698.675383061933, "turnover_quote_units": 29845.89691131186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3240.7116971395726, "return_pct": -67.59288302860426, "cagr_pct": -67.63456027672115, "max_drawdown_pct": 69.5369362172289, "mean_exposure_while_solvent": 0.9782743488802254, "realized_annual_volatility_pct": 58.401967578985726, "trading_costs_quote_units": 17.90753814678715, "borrowing_costs_quote_units": 42.7053816517179, "price_pnl_quote_units": -6698.675383061933, "turnover_quote_units": 29845.89691131186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3441.012932260462, "return_pct": -65.58987067739538, "cagr_pct": -65.6317699840157, "max_drawdown_pct": 67.5368756055513, "mean_exposure_while_solvent": 0.9206456557075414, "realized_annual_volatility_pct": 55.81155201993361, "trading_costs_quote_units": 17.138206795857606, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6541.848860943676, "turnover_quote_units": 28563.67799309602, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3441.012932260462, "return_pct": -65.58987067739538, "cagr_pct": -65.6317699840157, "max_drawdown_pct": 67.5368756055513, "mean_exposure_while_solvent": 0.9206456557075414, "realized_annual_volatility_pct": 55.81155201993361, "trading_costs_quote_units": 17.138206795857606, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6541.848860943676, "turnover_quote_units": 28563.67799309602, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3240.7116971395726, "return_pct": -67.59288302860426, "cagr_pct": -67.63456027672115, "max_drawdown_pct": 69.5369362172289, "mean_exposure_while_solvent": 0.9782743488802254, "realized_annual_volatility_pct": 58.401967578985726, "trading_costs_quote_units": 17.90753814678715, "borrowing_costs_quote_units": 42.7053816517179, "price_pnl_quote_units": -6698.675383061933, "turnover_quote_units": 29845.89691131186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3240.7116971395726, "return_pct": -67.59288302860426, "cagr_pct": -67.63456027672115, "max_drawdown_pct": 69.5369362172289, "mean_exposure_while_solvent": 0.9782743488802254, "realized_annual_volatility_pct": 58.401967578985726, "trading_costs_quote_units": 17.90753814678715, "borrowing_costs_quote_units": 42.7053816517179, "price_pnl_quote_units": -6698.675383061933, "turnover_quote_units": 29845.89691131186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3240.7116971395726, "return_pct": -67.59288302860426, "cagr_pct": -67.63456027672115, "max_drawdown_pct": 69.5369362172289, "mean_exposure_while_solvent": 0.9782743488802254, "realized_annual_volatility_pct": 58.401967578985726, "trading_costs_quote_units": 17.90753814678715, "borrowing_costs_quote_units": 42.7053816517179, "price_pnl_quote_units": -6698.675383061933, "turnover_quote_units": 29845.89691131186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3240.7116971395726, "return_pct": -67.59288302860426, "cagr_pct": -67.63456027672115, "max_drawdown_pct": 69.5369362172289, "mean_exposure_while_solvent": 0.9782743488802254, "realized_annual_volatility_pct": 58.401967578985726, "trading_costs_quote_units": 17.90753814678715, "borrowing_costs_quote_units": 42.7053816517179, "price_pnl_quote_units": -6698.675383061933, "turnover_quote_units": 29845.89691131186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4729.92428193647, "return_pct": -52.70075718063529, "cagr_pct": -52.74118279521478, "max_drawdown_pct": 55.51766030143317, "mean_exposure_while_solvent": 0.7495696497052514, "realized_annual_volatility_pct": 46.010759325431465, "trading_costs_quote_units": 11.24252599325965, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5258.833192070268, "turnover_quote_units": 18737.543322099424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4729.92428193647, "return_pct": -52.70075718063529, "cagr_pct": -52.74118279521478, "max_drawdown_pct": 55.51766030143317, "mean_exposure_while_solvent": 0.7495696497052514, "realized_annual_volatility_pct": 46.010759325431465, "trading_costs_quote_units": 11.24252599325965, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5258.833192070268, "turnover_quote_units": 18737.543322099424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3503.035299003297, "return_pct": -64.96964700996703, "cagr_pct": -65.01158770446442, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.40445276764386, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6490.968298838018, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3503.035299003297, "return_pct": -64.96964700996703, "cagr_pct": -65.01158770446442, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.40445276764386, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6490.968298838018, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2396.8152993761487, "return_pct": -76.03184700623851, "cagr_pct": -76.07091650958385, "max_drawdown_pct": 77.6408578194193, "mean_exposure_while_solvent": 1.2497113223821839, "realized_annual_volatility_pct": 76.85381203583862, "trading_costs_quote_units": 16.017945504375312, "borrowing_costs_quote_units": 255.16446097642213, "price_pnl_quote_units": -7332.002294143046, "turnover_quote_units": 26696.57584062551, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2396.8152993761487, "return_pct": -76.03184700623851, "cagr_pct": -76.07091650958385, "max_drawdown_pct": 77.6408578194193, "mean_exposure_while_solvent": 1.2497113223821839, "realized_annual_volatility_pct": 76.85381203583862, "trading_costs_quote_units": 16.017945504375312, "borrowing_costs_quote_units": 255.16446097642213, "price_pnl_quote_units": -7332.002294143046, "turnover_quote_units": 26696.57584062551, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1595.2718145113574, "return_pct": -84.04728185488642, "cagr_pct": -84.08068888640076, "max_drawdown_pct": 85.2299320208216, "mean_exposure_while_solvent": 1.500070529779361, "realized_annual_volatility_pct": 92.36681976955666, "trading_costs_quote_units": 26.64165373025542, "borrowing_costs_quote_units": 437.8382227541122, "price_pnl_quote_units": -7940.248309004299, "turnover_quote_units": 44402.75621709233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1595.2718145113574, "return_pct": -84.04728185488642, "cagr_pct": -84.08068888640076, "max_drawdown_pct": 85.2299320208216, "mean_exposure_while_solvent": 1.500070529779361, "realized_annual_volatility_pct": 92.36681976955666, "trading_costs_quote_units": 26.64165373025542, "borrowing_costs_quote_units": 437.8382227541122, "price_pnl_quote_units": -7940.248309004299, "turnover_quote_units": 44402.75621709233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4306.369786379013, "return_pct": -56.93630213620987, "cagr_pct": -56.977717483733144, "max_drawdown_pct": 57.69012952296497, "mean_exposure_while_solvent": 0.7035864359090365, "realized_annual_volatility_pct": 41.45608898134434, "trading_costs_quote_units": 28.298302637524387, "borrowing_costs_quote_units": 6.122534464764177, "price_pnl_quote_units": -5659.209376518715, "turnover_quote_units": 47163.837729207284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4306.369786379013, "return_pct": -56.93630213620987, "cagr_pct": -56.977717483733144, "max_drawdown_pct": 57.69012952296497, "mean_exposure_while_solvent": 0.7035864359090365, "realized_annual_volatility_pct": 41.45608898134434, "trading_costs_quote_units": 28.298302637524387, "borrowing_costs_quote_units": 6.122534464764177, "price_pnl_quote_units": -5659.209376518715, "turnover_quote_units": 47163.837729207284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2842.1423647089205, "return_pct": -71.5785763529108, "cagr_pct": -71.6193817939747, "max_drawdown_pct": 72.96860771305988, "mean_exposure_while_solvent": 1.018100571673027, "realized_annual_volatility_pct": 61.00950564460437, "trading_costs_quote_units": 29.32752887029876, "borrowing_costs_quote_units": 22.242964942618475, "price_pnl_quote_units": -7106.287141478182, "turnover_quote_units": 48879.21478383123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2842.1423647089205, "return_pct": -71.5785763529108, "cagr_pct": -71.6193817939747, "max_drawdown_pct": 72.96860771305988, "mean_exposure_while_solvent": 1.018100571673027, "realized_annual_volatility_pct": 61.00950564460437, "trading_costs_quote_units": 29.32752887029876, "borrowing_costs_quote_units": 22.242964942618475, "price_pnl_quote_units": -7106.287141478182, "turnover_quote_units": 48879.21478383123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1926.7183018157243, "return_pct": -80.73281698184276, "cagr_pct": -80.76901929055397, "max_drawdown_pct": 81.94624419298837, "mean_exposure_while_solvent": 1.283979562645062, "realized_annual_volatility_pct": 77.96015711989862, "trading_costs_quote_units": 30.199582473285293, "borrowing_costs_quote_units": 64.70163307171553, "price_pnl_quote_units": -7978.380482639256, "turnover_quote_units": 50332.63745547546, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1926.7183018157243, "return_pct": -80.73281698184276, "cagr_pct": -80.76901929055397, "max_drawdown_pct": 81.94624419298837, "mean_exposure_while_solvent": 1.283979562645062, "realized_annual_volatility_pct": 77.96015711989862, "trading_costs_quote_units": 30.199582473285293, "borrowing_costs_quote_units": 64.70163307171553, "price_pnl_quote_units": -7978.380482639256, "turnover_quote_units": 50332.63745547546, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2780.175323129983, "return_pct": -72.19824676870017, "cagr_pct": -72.23886145543226, "max_drawdown_pct": 73.87125209031649, "mean_exposure_while_solvent": 1.0603468326875238, "realized_annual_volatility_pct": 61.26717766298254, "trading_costs_quote_units": 48.363758108745806, "borrowing_costs_quote_units": 32.79233394334626, "price_pnl_quote_units": -7138.668584817921, "turnover_quote_units": 80606.26351457635, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2780.175323129983, "return_pct": -72.19824676870017, "cagr_pct": -72.23886145543226, "max_drawdown_pct": 73.87125209031649, "mean_exposure_while_solvent": 1.0603468326875238, "realized_annual_volatility_pct": 61.26717766298254, "trading_costs_quote_units": 48.363758108745806, "borrowing_costs_quote_units": 32.79233394334626, "price_pnl_quote_units": -7138.668584817921, "turnover_quote_units": 80606.26351457635, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3282.2618641303834, "return_pct": -67.17738135869617, "cagr_pct": -67.21911601159272, "max_drawdown_pct": 69.24342186159839, "mean_exposure_while_solvent": 0.9771084677335734, "realized_annual_volatility_pct": 58.44951712782428, "trading_costs_quote_units": 18.10107254117679, "borrowing_costs_quote_units": 10.703626118945365, "price_pnl_quote_units": -6688.933437209476, "turnover_quote_units": 30168.4542352947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3282.2618641303834, "return_pct": -67.17738135869617, "cagr_pct": -67.21911601159272, "max_drawdown_pct": 69.24342186159839, "mean_exposure_while_solvent": 0.9771084677335734, "realized_annual_volatility_pct": 58.44951712782428, "trading_costs_quote_units": 18.10107254117679, "borrowing_costs_quote_units": 10.703626118945365, "price_pnl_quote_units": -6688.933437209476, "turnover_quote_units": 30168.4542352947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3453.043891687508, "return_pct": -65.46956108312492, "cagr_pct": -65.51146940900927, "max_drawdown_pct": 67.40017163091385, "mean_exposure_while_solvent": 0.919699495521838, "realized_annual_volatility_pct": 55.856724618680786, "trading_costs_quote_units": 17.14913867522519, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6529.806969637273, "turnover_quote_units": 28581.89779204198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3453.043891687508, "return_pct": -65.46956108312492, "cagr_pct": -65.51146940900927, "max_drawdown_pct": 67.40017163091385, "mean_exposure_while_solvent": 0.919699495521838, "realized_annual_volatility_pct": 55.856724618680786, "trading_costs_quote_units": 17.14913867522519, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6529.806969637273, "turnover_quote_units": 28581.89779204198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3282.2618641303834, "return_pct": -67.17738135869617, "cagr_pct": -67.21911601159272, "max_drawdown_pct": 69.24342186159839, "mean_exposure_while_solvent": 0.9771084677335734, "realized_annual_volatility_pct": 58.44951712782428, "trading_costs_quote_units": 18.10107254117679, "borrowing_costs_quote_units": 10.703626118945365, "price_pnl_quote_units": -6688.933437209476, "turnover_quote_units": 30168.4542352947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3282.2618641303834, "return_pct": -67.17738135869617, "cagr_pct": -67.21911601159272, "max_drawdown_pct": 69.24342186159839, "mean_exposure_while_solvent": 0.9771084677335734, "realized_annual_volatility_pct": 58.44951712782428, "trading_costs_quote_units": 18.10107254117679, "borrowing_costs_quote_units": 10.703626118945365, "price_pnl_quote_units": -6688.933437209476, "turnover_quote_units": 30168.4542352947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3282.2618641303834, "return_pct": -67.17738135869617, "cagr_pct": -67.21911601159272, "max_drawdown_pct": 69.24342186159839, "mean_exposure_while_solvent": 0.9771084677335734, "realized_annual_volatility_pct": 58.44951712782428, "trading_costs_quote_units": 18.10107254117679, "borrowing_costs_quote_units": 10.703626118945365, "price_pnl_quote_units": -6688.933437209476, "turnover_quote_units": 30168.4542352947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3282.2618641303834, "return_pct": -67.17738135869617, "cagr_pct": -67.21911601159272, "max_drawdown_pct": 69.24342186159839, "mean_exposure_while_solvent": 0.9771084677335734, "realized_annual_volatility_pct": 58.44951712782428, "trading_costs_quote_units": 18.10107254117679, "borrowing_costs_quote_units": 10.703626118945365, "price_pnl_quote_units": -6688.933437209476, "turnover_quote_units": 30168.4542352947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4727.027844761238, "return_pct": -52.72972155238762, "cagr_pct": -52.77015545281098, "max_drawdown_pct": 55.5757419512672, "mean_exposure_while_solvent": 0.7486248936390334, "realized_annual_volatility_pct": 45.96526149040463, "trading_costs_quote_units": 11.237886913467198, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5261.7342683253, "turnover_quote_units": 18729.811522445303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4727.027844761238, "return_pct": -52.72972155238762, "cagr_pct": -52.77015545281098, "max_drawdown_pct": 55.5757419512672, "mean_exposure_while_solvent": 0.7486248936390334, "realized_annual_volatility_pct": 45.96526149040463, "trading_costs_quote_units": 11.237886913467198, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5261.7342683253, "turnover_quote_units": 18729.811522445303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3501.2318148977593, "return_pct": -64.9876818510224, "cagr_pct": -65.02962152015544, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.38956775025945, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6492.771782943529, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3501.2318148977593, "return_pct": -64.9876818510224, "cagr_pct": -65.02962152015544, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.38956775025945, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6492.771782943529, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2488.096974287736, "return_pct": -75.11903025712265, "cagr_pct": -75.15852730566394, "max_drawdown_pct": 76.8735451697746, "mean_exposure_while_solvent": 1.2489715419517313, "realized_annual_volatility_pct": 76.88495796042096, "trading_costs_quote_units": 16.171007750267766, "borrowing_costs_quote_units": 64.61390646134957, "price_pnl_quote_units": -7431.11811150066, "turnover_quote_units": 26951.67958377964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2488.096974287736, "return_pct": -75.11903025712265, "cagr_pct": -75.15852730566394, "max_drawdown_pct": 76.8735451697746, "mean_exposure_while_solvent": 1.2489715419517313, "realized_annual_volatility_pct": 76.88495796042096, "trading_costs_quote_units": 16.171007750267766, "borrowing_costs_quote_units": 64.61390646134957, "price_pnl_quote_units": -7431.11811150066, "turnover_quote_units": 26951.67958377964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1720.3725194414171, "return_pct": -82.79627480558582, "cagr_pct": -82.83082129445482, "max_drawdown_pct": 84.19571360817088, "mean_exposure_while_solvent": 1.4996918610827723, "realized_annual_volatility_pct": 92.46196114146179, "trading_costs_quote_units": 27.20022507391124, "borrowing_costs_quote_units": 112.05660396037837, "price_pnl_quote_units": -8140.37065152429, "turnover_quote_units": 45333.7084565187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1720.3725194414171, "return_pct": -82.79627480558582, "cagr_pct": -82.83082129445482, "max_drawdown_pct": 84.19571360817088, "mean_exposure_while_solvent": 1.4996918610827723, "realized_annual_volatility_pct": 92.46196114146179, "trading_costs_quote_units": 27.20022507391124, "borrowing_costs_quote_units": 112.05660396037837, "price_pnl_quote_units": -8140.37065152429, "turnover_quote_units": 45333.7084565187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4300.925604886969, "return_pct": -56.990743951130305, "cagr_pct": -57.03216901816863, "max_drawdown_pct": 57.70922616831604, "mean_exposure_while_solvent": 0.7035883327442803, "realized_annual_volatility_pct": 41.456443916868544, "trading_costs_quote_units": 28.294389922649046, "borrowing_costs_quote_units": 12.23877305674226, "price_pnl_quote_units": -5658.541232133645, "turnover_quote_units": 47157.31653774834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4300.925604886969, "return_pct": -56.990743951130305, "cagr_pct": -57.03216901816863, "max_drawdown_pct": 57.70922616831604, "mean_exposure_while_solvent": 0.7035883327442803, "realized_annual_volatility_pct": 41.456443916868544, "trading_costs_quote_units": 28.294389922649046, "borrowing_costs_quote_units": 12.23877305674226, "price_pnl_quote_units": -5658.541232133645, "turnover_quote_units": 47157.31653774834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2828.1885650982504, "return_pct": -71.7181143490175, "cagr_pct": -71.75887819362458, "max_drawdown_pct": 73.0597584420774, "mean_exposure_while_solvent": 1.0181082348647907, "realized_annual_volatility_pct": 61.010413755768056, "trading_costs_quote_units": 29.305102779206365, "borrowing_costs_quote_units": 44.4031061357289, "price_pnl_quote_units": -7098.103225986824, "turnover_quote_units": 48841.837965343955, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2828.1885650982504, "return_pct": -71.7181143490175, "cagr_pct": -71.75887819362458, "max_drawdown_pct": 73.0597584420774, "mean_exposure_while_solvent": 1.0181082348647907, "realized_annual_volatility_pct": 61.010413755768056, "trading_costs_quote_units": 29.305102779206365, "borrowing_costs_quote_units": 44.4031061357289, "price_pnl_quote_units": -7098.103225986824, "turnover_quote_units": 48841.837965343955, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1898.7132528899065, "return_pct": -81.01286747110093, "cagr_pct": -81.04886047889974, "max_drawdown_pct": 82.16803490505187, "mean_exposure_while_solvent": 1.2840028662201846, "realized_annual_volatility_pct": 77.96263121711657, "trading_costs_quote_units": 30.10725914411463, "borrowing_costs_quote_units": 128.75350432258023, "price_pnl_quote_units": -7942.425983643395, "turnover_quote_units": 50178.765240191016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1898.7132528899065, "return_pct": -81.01286747110093, "cagr_pct": -81.04886047889974, "max_drawdown_pct": 82.16803490505187, "mean_exposure_while_solvent": 1.2840028662201846, "realized_annual_volatility_pct": 77.96263121711657, "trading_costs_quote_units": 30.10725914411463, "borrowing_costs_quote_units": 128.75350432258023, "price_pnl_quote_units": -7942.425983643395, "turnover_quote_units": 50178.765240191016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2759.892137408326, "return_pct": -72.40107862591674, "cagr_pct": -72.44162746589463, "max_drawdown_pct": 73.99935645928257, "mean_exposure_while_solvent": 1.0603583607339635, "realized_annual_volatility_pct": 61.268184721545474, "trading_costs_quote_units": 48.30487191162732, "borrowing_costs_quote_units": 65.40445361084625, "price_pnl_quote_units": -7126.398537069219, "turnover_quote_units": 80508.11985271225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2759.892137408326, "return_pct": -72.40107862591674, "cagr_pct": -72.44162746589463, "max_drawdown_pct": 73.99935645928257, "mean_exposure_while_solvent": 1.0603583607339635, "realized_annual_volatility_pct": 61.268184721545474, "trading_costs_quote_units": 48.30487191162732, "borrowing_costs_quote_units": 65.40445361084625, "price_pnl_quote_units": -7126.398537069219, "turnover_quote_units": 80508.11985271225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3273.3851373987773, "return_pct": -67.26614862601224, "cagr_pct": -67.30787152214397, "max_drawdown_pct": 69.28800878409693, "mean_exposure_while_solvent": 0.9771121564321235, "realized_annual_volatility_pct": 58.449862763524116, "trading_costs_quote_units": 18.095949986154956, "borrowing_costs_quote_units": 21.38276843527534, "price_pnl_quote_units": -6687.13614417979, "turnover_quote_units": 30159.916643591616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3273.3851373987773, "return_pct": -67.26614862601224, "cagr_pct": -67.30787152214397, "max_drawdown_pct": 69.28800878409693, "mean_exposure_while_solvent": 0.9771121564321235, "realized_annual_volatility_pct": 58.449862763524116, "trading_costs_quote_units": 18.095949986154956, "borrowing_costs_quote_units": 21.38276843527534, "price_pnl_quote_units": -6687.13614417979, "turnover_quote_units": 30159.916643591616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3453.043891687508, "return_pct": -65.46956108312492, "cagr_pct": -65.51146940900927, "max_drawdown_pct": 67.40017163091385, "mean_exposure_while_solvent": 0.919699495521838, "realized_annual_volatility_pct": 55.856724618680786, "trading_costs_quote_units": 17.14913867522519, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6529.806969637273, "turnover_quote_units": 28581.89779204198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3453.043891687508, "return_pct": -65.46956108312492, "cagr_pct": -65.51146940900927, "max_drawdown_pct": 67.40017163091385, "mean_exposure_while_solvent": 0.919699495521838, "realized_annual_volatility_pct": 55.856724618680786, "trading_costs_quote_units": 17.14913867522519, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6529.806969637273, "turnover_quote_units": 28581.89779204198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3273.3851373987773, "return_pct": -67.26614862601224, "cagr_pct": -67.30787152214397, "max_drawdown_pct": 69.28800878409693, "mean_exposure_while_solvent": 0.9771121564321235, "realized_annual_volatility_pct": 58.449862763524116, "trading_costs_quote_units": 18.095949986154956, "borrowing_costs_quote_units": 21.38276843527534, "price_pnl_quote_units": -6687.13614417979, "turnover_quote_units": 30159.916643591616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3273.3851373987773, "return_pct": -67.26614862601224, "cagr_pct": -67.30787152214397, "max_drawdown_pct": 69.28800878409693, "mean_exposure_while_solvent": 0.9771121564321235, "realized_annual_volatility_pct": 58.449862763524116, "trading_costs_quote_units": 18.095949986154956, "borrowing_costs_quote_units": 21.38276843527534, "price_pnl_quote_units": -6687.13614417979, "turnover_quote_units": 30159.916643591616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3273.3851373987773, "return_pct": -67.26614862601224, "cagr_pct": -67.30787152214397, "max_drawdown_pct": 69.28800878409693, "mean_exposure_while_solvent": 0.9771121564321235, "realized_annual_volatility_pct": 58.449862763524116, "trading_costs_quote_units": 18.095949986154956, "borrowing_costs_quote_units": 21.38276843527534, "price_pnl_quote_units": -6687.13614417979, "turnover_quote_units": 30159.916643591616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3273.3851373987773, "return_pct": -67.26614862601224, "cagr_pct": -67.30787152214397, "max_drawdown_pct": 69.28800878409693, "mean_exposure_while_solvent": 0.9771121564321235, "realized_annual_volatility_pct": 58.449862763524116, "trading_costs_quote_units": 18.095949986154956, "borrowing_costs_quote_units": 21.38276843527534, "price_pnl_quote_units": -6687.13614417979, "turnover_quote_units": 30159.916643591616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4727.027844761238, "return_pct": -52.72972155238762, "cagr_pct": -52.77015545281098, "max_drawdown_pct": 55.5757419512672, "mean_exposure_while_solvent": 0.7486248936390334, "realized_annual_volatility_pct": 45.96526149040463, "trading_costs_quote_units": 11.237886913467198, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5261.7342683253, "turnover_quote_units": 18729.811522445303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4727.027844761238, "return_pct": -52.72972155238762, "cagr_pct": -52.77015545281098, "max_drawdown_pct": 55.5757419512672, "mean_exposure_while_solvent": 0.7486248936390334, "realized_annual_volatility_pct": 45.96526149040463, "trading_costs_quote_units": 11.237886913467198, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5261.7342683253, "turnover_quote_units": 18729.811522445303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3501.2318148977593, "return_pct": -64.9876818510224, "cagr_pct": -65.02962152015544, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.38956775025945, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6492.771782943529, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3501.2318148977593, "return_pct": -64.9876818510224, "cagr_pct": -65.02962152015544, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.38956775025945, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6492.771782943529, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2457.1125848407537, "return_pct": -75.42887415159247, "cagr_pct": -75.4682304328866, "max_drawdown_pct": 77.12988482045007, "mean_exposure_while_solvent": 1.2489894098759573, "realized_annual_volatility_pct": 76.88636236961615, "trading_costs_quote_units": 16.1406134733975, "borrowing_costs_quote_units": 128.6300759114634, "price_pnl_quote_units": -7398.116725774403, "turnover_quote_units": 26901.022455662503, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2457.1125848407537, "return_pct": -75.42887415159247, "cagr_pct": -75.4682304328866, "max_drawdown_pct": 77.12988482045007, "mean_exposure_while_solvent": 1.2489894098759573, "realized_annual_volatility_pct": 76.88636236961615, "trading_costs_quote_units": 16.1406134733975, "borrowing_costs_quote_units": 128.6300759114634, "price_pnl_quote_units": -7398.116725774403, "turnover_quote_units": 26901.022455662503, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1677.7302157493982, "return_pct": -83.22269784250602, "cagr_pct": -83.25686798692836, "max_drawdown_pct": 84.54469625019122, "mean_exposure_while_solvent": 1.4997348446571233, "realized_annual_volatility_pct": 92.46535885772512, "trading_costs_quote_units": 27.069145310227405, "borrowing_costs_quote_units": 222.19298101369807, "price_pnl_quote_units": -8073.007657926697, "turnover_quote_units": 45115.24218371242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1677.7302157493982, "return_pct": -83.22269784250602, "cagr_pct": -83.25686798692836, "max_drawdown_pct": 84.54469625019122, "mean_exposure_while_solvent": 1.4997348446571233, "realized_annual_volatility_pct": 92.46535885772512, "trading_costs_quote_units": 27.069145310227405, "borrowing_costs_quote_units": 222.19298101369807, "price_pnl_quote_units": -8073.007657926697, "turnover_quote_units": 45115.24218371242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4290.055341635155, "return_pct": -57.09944658364845, "cagr_pct": -57.140890821803694, "max_drawdown_pct": 57.74740219473071, "mean_exposure_while_solvent": 0.7035921270704425, "realized_annual_volatility_pct": 41.457160230023696, "trading_costs_quote_units": 28.286573149297503, "borrowing_costs_quote_units": 24.452385527014403, "price_pnl_quote_units": -5657.205699688549, "turnover_quote_units": 47144.28858216247, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4290.055341635155, "return_pct": -57.09944658364845, "cagr_pct": -57.140890821803694, "max_drawdown_pct": 57.74740219473071, "mean_exposure_while_solvent": 0.7035921270704425, "realized_annual_volatility_pct": 41.457160230023696, "trading_costs_quote_units": 28.286573149297503, "borrowing_costs_quote_units": 24.452385527014403, "price_pnl_quote_units": -5657.205699688549, "turnover_quote_units": 47144.28858216247, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2800.47871040326, "return_pct": -71.9952128959674, "cagr_pct": -72.03589180301132, "max_drawdown_pct": 73.24118520521215, "mean_exposure_while_solvent": 1.0181235641292408, "realized_annual_volatility_pct": 61.01224541239737, "trading_costs_quote_units": 29.261132013890908, "borrowing_costs_quote_units": 88.47629896726343, "price_pnl_quote_units": -7081.783858615571, "turnover_quote_units": 48768.55335648488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2800.47871040326, "return_pct": -71.9952128959674, "cagr_pct": -72.03589180301132, "max_drawdown_pct": 73.24118520521215, "mean_exposure_while_solvent": 1.0181235641292408, "realized_annual_volatility_pct": 61.01224541239737, "trading_costs_quote_units": 29.261132013890908, "borrowing_costs_quote_units": 88.47629896726343, "price_pnl_quote_units": -7081.783858615571, "turnover_quote_units": 48768.55335648488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1843.9042622955562, "return_pct": -81.56095737704445, "cagr_pct": -81.59652705359906, "max_drawdown_pct": 82.60358700247312, "mean_exposure_while_solvent": 1.2840494824151218, "realized_annual_volatility_pct": 77.96759329349237, "trading_costs_quote_units": 29.925095454501378, "borrowing_costs_quote_units": 254.93856327596467, "price_pnl_quote_units": -7871.23207897397, "turnover_quote_units": 49875.15909083578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1843.9042622955562, "return_pct": -81.56095737704445, "cagr_pct": -81.59652705359906, "max_drawdown_pct": 82.60358700247312, "mean_exposure_while_solvent": 1.2840494824151218, "realized_annual_volatility_pct": 77.96759329349237, "trading_costs_quote_units": 29.925095454501378, "borrowing_costs_quote_units": 254.93856327596467, "price_pnl_quote_units": -7871.23207897397, "turnover_quote_units": 49875.15909083578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2719.7574452270155, "return_pct": -72.80242554772984, "cagr_pct": -72.8428390679401, "max_drawdown_pct": 74.25374862099056, "mean_exposure_while_solvent": 1.0603814212359728, "realized_annual_volatility_pct": 61.27021861100265, "trading_costs_quote_units": 48.18892252839307, "borrowing_costs_quote_units": 130.0926106183243, "price_pnl_quote_units": -7101.961021626246, "turnover_quote_units": 80314.87088065503, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2719.7574452270155, "return_pct": -72.80242554772984, "cagr_pct": -72.8428390679401, "max_drawdown_pct": 74.25374862099056, "mean_exposure_while_solvent": 1.0603814212359728, "realized_annual_volatility_pct": 61.27021861100265, "trading_costs_quote_units": 48.18892252839307, "borrowing_costs_quote_units": 130.0926106183243, "price_pnl_quote_units": -7101.961021626246, "turnover_quote_units": 80314.87088065503, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3255.6999260596267, "return_pct": -67.44300073940373, "cagr_pct": -67.48469939228396, "max_drawdown_pct": 69.37700695055655, "mean_exposure_while_solvent": 0.9771195348696967, "realized_annual_volatility_pct": 58.45055861514696, "trading_costs_quote_units": 18.085728668144462, "borrowing_costs_quote_units": 42.66783157014951, "price_pnl_quote_units": -6683.546513702084, "turnover_quote_units": 30142.881113574076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3255.6999260596267, "return_pct": -67.44300073940373, "cagr_pct": -67.48469939228396, "max_drawdown_pct": 69.37700695055655, "mean_exposure_while_solvent": 0.9771195348696967, "realized_annual_volatility_pct": 58.45055861514696, "trading_costs_quote_units": 18.085728668144462, "borrowing_costs_quote_units": 42.66783157014951, "price_pnl_quote_units": -6683.546513702084, "turnover_quote_units": 30142.881113574076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3453.043891687508, "return_pct": -65.46956108312492, "cagr_pct": -65.51146940900927, "max_drawdown_pct": 67.40017163091385, "mean_exposure_while_solvent": 0.919699495521838, "realized_annual_volatility_pct": 55.856724618680786, "trading_costs_quote_units": 17.14913867522519, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6529.806969637273, "turnover_quote_units": 28581.89779204198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3453.043891687508, "return_pct": -65.46956108312492, "cagr_pct": -65.51146940900927, "max_drawdown_pct": 67.40017163091385, "mean_exposure_while_solvent": 0.919699495521838, "realized_annual_volatility_pct": 55.856724618680786, "trading_costs_quote_units": 17.14913867522519, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6529.806969637273, "turnover_quote_units": 28581.89779204198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3255.6999260596267, "return_pct": -67.44300073940373, "cagr_pct": -67.48469939228396, "max_drawdown_pct": 69.37700695055655, "mean_exposure_while_solvent": 0.9771195348696967, "realized_annual_volatility_pct": 58.45055861514696, "trading_costs_quote_units": 18.085728668144462, "borrowing_costs_quote_units": 42.66783157014951, "price_pnl_quote_units": -6683.546513702084, "turnover_quote_units": 30142.881113574076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3255.6999260596267, "return_pct": -67.44300073940373, "cagr_pct": -67.48469939228396, "max_drawdown_pct": 69.37700695055655, "mean_exposure_while_solvent": 0.9771195348696967, "realized_annual_volatility_pct": 58.45055861514696, "trading_costs_quote_units": 18.085728668144462, "borrowing_costs_quote_units": 42.66783157014951, "price_pnl_quote_units": -6683.546513702084, "turnover_quote_units": 30142.881113574076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3255.6999260596267, "return_pct": -67.44300073940373, "cagr_pct": -67.48469939228396, "max_drawdown_pct": 69.37700695055655, "mean_exposure_while_solvent": 0.9771195348696967, "realized_annual_volatility_pct": 58.45055861514696, "trading_costs_quote_units": 18.085728668144462, "borrowing_costs_quote_units": 42.66783157014951, "price_pnl_quote_units": -6683.546513702084, "turnover_quote_units": 30142.881113574076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3255.6999260596267, "return_pct": -67.44300073940373, "cagr_pct": -67.48469939228396, "max_drawdown_pct": 69.37700695055655, "mean_exposure_while_solvent": 0.9771195348696967, "realized_annual_volatility_pct": 58.45055861514696, "trading_costs_quote_units": 18.085728668144462, "borrowing_costs_quote_units": 42.66783157014951, "price_pnl_quote_units": -6683.546513702084, "turnover_quote_units": 30142.881113574076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4727.027844761238, "return_pct": -52.72972155238762, "cagr_pct": -52.77015545281098, "max_drawdown_pct": 55.5757419512672, "mean_exposure_while_solvent": 0.7486248936390334, "realized_annual_volatility_pct": 45.96526149040463, "trading_costs_quote_units": 11.237886913467198, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5261.7342683253, "turnover_quote_units": 18729.811522445303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4727.027844761238, "return_pct": -52.72972155238762, "cagr_pct": -52.77015545281098, "max_drawdown_pct": 55.5757419512672, "mean_exposure_while_solvent": 0.7486248936390334, "realized_annual_volatility_pct": 45.96526149040463, "trading_costs_quote_units": 11.237886913467198, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5261.7342683253, "turnover_quote_units": 18729.811522445303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3501.2318148977593, "return_pct": -64.9876818510224, "cagr_pct": -65.02962152015544, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.38956775025945, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6492.771782943529, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3501.2318148977593, "return_pct": -64.9876818510224, "cagr_pct": -65.02962152015544, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.38956775025945, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6492.771782943529, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2396.282449241558, "return_pct": -76.03717550758442, "cagr_pct": -76.07624240010513, "max_drawdown_pct": 77.63418668093392, "mean_exposure_while_solvent": 1.2490251512396269, "realized_annual_volatility_pct": 76.88917153731725, "trading_costs_quote_units": 16.08151704028456, "borrowing_costs_quote_units": 254.89405550021877, "price_pnl_quote_units": -7332.741978217963, "turnover_quote_units": 26802.528400474286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2396.282449241558, "return_pct": -76.03717550758442, "cagr_pct": -76.07624240010513, "max_drawdown_pct": 77.63418668093392, "mean_exposure_while_solvent": 1.2490251512396269, "realized_annual_volatility_pct": 76.88917153731725, "trading_costs_quote_units": 16.08151704028456, "borrowing_costs_quote_units": 254.89405550021877, "price_pnl_quote_units": -7332.741978217963, "turnover_quote_units": 26802.528400474286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1595.5671336653445, "return_pct": -84.04432866334656, "cagr_pct": -84.07773851320941, "max_drawdown_pct": 85.21990120372519, "mean_exposure_while_solvent": 1.4998208305274334, "realized_annual_volatility_pct": 92.4721557677018, "trading_costs_quote_units": 26.813763797205617, "borrowing_costs_quote_units": 436.85742219341233, "price_pnl_quote_units": -7940.761680344044, "turnover_quote_units": 44689.6063286761, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1595.5671336653445, "return_pct": -84.04432866334656, "cagr_pct": -84.07773851320941, "max_drawdown_pct": 85.21990120372519, "mean_exposure_while_solvent": 1.4998208305274334, "realized_annual_volatility_pct": 92.4721557677018, "trading_costs_quote_units": 26.813763797205617, "borrowing_costs_quote_units": 436.85742219341233, "price_pnl_quote_units": -7940.761680344044, "turnover_quote_units": 44689.6063286761, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4241.661655633159, "return_pct": -57.5833834436684, "cagr_pct": -57.62490920098742, "max_drawdown_pct": 58.09658214910806, "mean_exposure_while_solvent": 0.7052187705862535, "realized_annual_volatility_pct": 41.40379257417423, "trading_costs_quote_units": 140.29688036648983, "borrowing_costs_quote_units": 6.1310227644745074, "price_pnl_quote_units": -5611.91044123587, "turnover_quote_units": 46765.62678882989, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4241.661655633159, "return_pct": -57.5833834436684, "cagr_pct": -57.62490920098742, "max_drawdown_pct": 58.09658214910806, "mean_exposure_while_solvent": 0.7052187705862535, "realized_annual_volatility_pct": 41.40379257417423, "trading_costs_quote_units": 140.29688036648983, "borrowing_costs_quote_units": 6.1310227644745074, "price_pnl_quote_units": -5611.91044123587, "turnover_quote_units": 46765.62678882989, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2763.8722378457064, "return_pct": -72.36127762154294, "cagr_pct": -72.40183951622626, "max_drawdown_pct": 73.54577624711641, "mean_exposure_while_solvent": 1.0193397742476626, "realized_annual_volatility_pct": 60.93519067607792, "trading_costs_quote_units": 145.84694471907437, "borrowing_costs_quote_units": 21.96346511262392, "price_pnl_quote_units": -7068.317352322611, "turnover_quote_units": 48615.64823969146, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2763.8722378457064, "return_pct": -72.36127762154294, "cagr_pct": -72.40183951622626, "max_drawdown_pct": 73.54577624711641, "mean_exposure_while_solvent": 1.0193397742476626, "realized_annual_volatility_pct": 60.93519067607792, "trading_costs_quote_units": 145.84694471907437, "borrowing_costs_quote_units": 21.96346511262392, "price_pnl_quote_units": -7068.317352322611, "turnover_quote_units": 48615.64823969146, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1873.7372044499623, "return_pct": -81.26262795550038, "cagr_pct": -81.29843032547937, "max_drawdown_pct": 82.39489574411716, "mean_exposure_while_solvent": 1.2845225941378111, "realized_annual_volatility_pct": 77.83558891231948, "trading_costs_quote_units": 149.58786852978827, "borrowing_costs_quote_units": 64.14856586707897, "price_pnl_quote_units": -7912.526361153181, "turnover_quote_units": 49862.62284326273, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1873.7372044499623, "return_pct": -81.26262795550038, "cagr_pct": -81.29843032547937, "max_drawdown_pct": 82.39489574411716, "mean_exposure_while_solvent": 1.2845225941378111, "realized_annual_volatility_pct": 77.83558891231948, "trading_costs_quote_units": 149.58786852978827, "borrowing_costs_quote_units": 64.14856586707897, "price_pnl_quote_units": -7912.526361153181, "turnover_quote_units": 49862.62284326273, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2749.0853950423134, "return_pct": -72.50914604957687, "cagr_pct": -72.54965911271067, "max_drawdown_pct": 73.96365813794843, "mean_exposure_while_solvent": 1.0615994066161876, "realized_annual_volatility_pct": 61.172777633079356, "trading_costs_quote_units": 242.09407471136956, "borrowing_costs_quote_units": 32.577746288690406, "price_pnl_quote_units": -6976.242783957615, "turnover_quote_units": 80698.0249037898, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2749.0853950423134, "return_pct": -72.50914604957687, "cagr_pct": -72.54965911271067, "max_drawdown_pct": 73.96365813794843, "mean_exposure_while_solvent": 1.0615994066161876, "realized_annual_volatility_pct": 61.172777633079356, "trading_costs_quote_units": 242.09407471136956, "borrowing_costs_quote_units": 32.577746288690406, "price_pnl_quote_units": -6976.242783957615, "turnover_quote_units": 80698.0249037898, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3231.538010478689, "return_pct": -67.6846198952131, "cagr_pct": -67.72628365206182, "max_drawdown_pct": 69.65110301506449, "mean_exposure_while_solvent": 0.9782631931474964, "realized_annual_volatility_pct": 58.403571792205774, "trading_costs_quote_units": 89.19345210002301, "borrowing_costs_quote_units": 10.615616501397065, "price_pnl_quote_units": -6668.652920919887, "turnover_quote_units": 29731.150700007674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3231.538010478689, "return_pct": -67.6846198952131, "cagr_pct": -67.72628365206182, "max_drawdown_pct": 69.65110301506449, "mean_exposure_while_solvent": 0.9782631931474964, "realized_annual_volatility_pct": 58.403571792205774, "trading_costs_quote_units": 89.19345210002301, "borrowing_costs_quote_units": 10.615616501397065, "price_pnl_quote_units": -6668.652920919887, "turnover_quote_units": 29731.150700007674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3409.272398898188, "return_pct": -65.90727601101813, "cagr_pct": -65.9491492128321, "max_drawdown_pct": 67.7624919828405, "mean_exposure_while_solvent": 0.9206456557075414, "realized_annual_volatility_pct": 55.816874155350725, "trading_costs_quote_units": 85.32286709253862, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6505.404734009255, "turnover_quote_units": 28440.955697512865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3409.272398898188, "return_pct": -65.90727601101813, "cagr_pct": -65.9491492128321, "max_drawdown_pct": 67.7624919828405, "mean_exposure_while_solvent": 0.9206456557075414, "realized_annual_volatility_pct": 55.816874155350725, "trading_costs_quote_units": 85.32286709253862, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6505.404734009255, "turnover_quote_units": 28440.955697512865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3231.538010478689, "return_pct": -67.6846198952131, "cagr_pct": -67.72628365206182, "max_drawdown_pct": 69.65110301506449, "mean_exposure_while_solvent": 0.9782631931474964, "realized_annual_volatility_pct": 58.403571792205774, "trading_costs_quote_units": 89.19345210002301, "borrowing_costs_quote_units": 10.615616501397065, "price_pnl_quote_units": -6668.652920919887, "turnover_quote_units": 29731.150700007674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3231.538010478689, "return_pct": -67.6846198952131, "cagr_pct": -67.72628365206182, "max_drawdown_pct": 69.65110301506449, "mean_exposure_while_solvent": 0.9782631931474964, "realized_annual_volatility_pct": 58.403571792205774, "trading_costs_quote_units": 89.19345210002301, "borrowing_costs_quote_units": 10.615616501397065, "price_pnl_quote_units": -6668.652920919887, "turnover_quote_units": 29731.150700007674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3231.538010478689, "return_pct": -67.6846198952131, "cagr_pct": -67.72628365206182, "max_drawdown_pct": 69.65110301506449, "mean_exposure_while_solvent": 0.9782631931474964, "realized_annual_volatility_pct": 58.403571792205774, "trading_costs_quote_units": 89.19345210002301, "borrowing_costs_quote_units": 10.615616501397065, "price_pnl_quote_units": -6668.652920919887, "turnover_quote_units": 29731.150700007674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3231.538010478689, "return_pct": -67.6846198952131, "cagr_pct": -67.72628365206182, "max_drawdown_pct": 69.65110301506449, "mean_exposure_while_solvent": 0.9782631931474964, "realized_annual_volatility_pct": 58.403571792205774, "trading_costs_quote_units": 89.19345210002301, "borrowing_costs_quote_units": 10.615616501397065, "price_pnl_quote_units": -6668.652920919887, "turnover_quote_units": 29731.150700007674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4703.139712882591, "return_pct": -52.968602871174085, "cagr_pct": -53.009104334124366, "max_drawdown_pct": 55.63608766249555, "mean_exposure_while_solvent": 0.7495696497052514, "realized_annual_volatility_pct": 46.012378345634225, "trading_costs_quote_units": 56.04821376552105, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5240.812073351876, "turnover_quote_units": 18682.737921840337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 4703.139712882591, "return_pct": -52.968602871174085, "cagr_pct": -53.009104334124366, "max_drawdown_pct": 55.63608766249555, "mean_exposure_while_solvent": 0.7495696497052514, "realized_annual_volatility_pct": 46.012378345634225, "trading_costs_quote_units": 56.04821376552105, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5240.812073351876, "turnover_quote_units": 18682.737921840337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3494.6531607005973, "return_pct": -65.05346839299403, "cagr_pct": -65.09540423188496, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.40496777459782, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6475.4365701069855, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 3494.6531607005973, "return_pct": -65.05346839299403, "cagr_pct": -65.09540423188496, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.40496777459782, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6475.4365701069855, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2465.1730657187954, "return_pct": -75.34826934281205, "cagr_pct": -75.387662671187, "max_drawdown_pct": 77.02306883196479, "mean_exposure_while_solvent": 1.2496577659640855, "realized_annual_volatility_pct": 76.85184924263079, "trading_costs_quote_units": 80.29647892458183, "borrowing_costs_quote_units": 64.31880148147849, "price_pnl_quote_units": -7390.211653875165, "turnover_quote_units": 26765.49297486061, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2465.1730657187954, "return_pct": -75.34826934281205, "cagr_pct": -75.387662671187, "max_drawdown_pct": 77.02306883196479, "mean_exposure_while_solvent": 1.2496577659640855, "realized_annual_volatility_pct": 76.85184924263079, "trading_costs_quote_units": 80.29647892458183, "borrowing_costs_quote_units": 64.31880148147849, "price_pnl_quote_units": -7390.211653875165, "turnover_quote_units": 26765.49297486061, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1687.2930345706638, "return_pct": -83.12706965429336, "cagr_pct": -83.16132526116363, "max_drawdown_pct": 84.44023555778433, "mean_exposure_while_solvent": 1.4999418163706355, "realized_annual_volatility_pct": 92.36177552695855, "trading_costs_quote_units": 134.40352522145423, "borrowing_costs_quote_units": 111.25034102561759, "price_pnl_quote_units": -8067.053099182245, "turnover_quote_units": 44801.17507381805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1687.2930345706638, "return_pct": -83.12706965429336, "cagr_pct": -83.16132526116363, "max_drawdown_pct": 84.44023555778433, "mean_exposure_while_solvent": 1.4999418163706355, "realized_annual_volatility_pct": 92.36177552695855, "trading_costs_quote_units": 134.40352522145423, "borrowing_costs_quote_units": 111.25034102561759, "price_pnl_quote_units": -8067.053099182245, "turnover_quote_units": 44801.17507381805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4236.215395024641, "return_pct": -57.63784604975359, "cagr_pct": -57.67938058779969, "max_drawdown_pct": 58.115424833651616, "mean_exposure_while_solvent": 0.7052207374732866, "realized_annual_volatility_pct": 41.40411740739345, "trading_costs_quote_units": 140.2740857858138, "borrowing_costs_quote_units": 12.255627458339493, "price_pnl_quote_units": -5611.2548917311915, "turnover_quote_units": 46758.02859527124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4236.215395024641, "return_pct": -57.63784604975359, "cagr_pct": -57.67938058779969, "max_drawdown_pct": 58.115424833651616, "mean_exposure_while_solvent": 0.7052207374732866, "realized_annual_volatility_pct": 41.40411740739345, "trading_costs_quote_units": 140.2740857858138, "borrowing_costs_quote_units": 12.255627458339493, "price_pnl_quote_units": -5611.2548917311915, "turnover_quote_units": 46758.02859527124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2750.236927240792, "return_pct": -72.49763072759208, "cagr_pct": -72.53814762604667, "max_drawdown_pct": 73.63562662770194, "mean_exposure_while_solvent": 1.0193474963238813, "realized_annual_volatility_pct": 60.936294644978325, "trading_costs_quote_units": 145.72903054445553, "borrowing_costs_quote_units": 43.84528712143816, "price_pnl_quote_units": -7060.188755093333, "turnover_quote_units": 48576.3435148185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2750.236927240792, "return_pct": -72.49763072759208, "cagr_pct": -72.53814762604667, "max_drawdown_pct": 73.63562662770194, "mean_exposure_while_solvent": 1.0193474963238813, "realized_annual_volatility_pct": 60.936294644978325, "trading_costs_quote_units": 145.72903054445553, "borrowing_costs_quote_units": 43.84528712143816, "price_pnl_quote_units": -7060.188755093333, "turnover_quote_units": 48576.3435148185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1846.4563739318423, "return_pct": -81.53543626068158, "cagr_pct": -81.57102605760264, "max_drawdown_pct": 82.61137315827223, "mean_exposure_while_solvent": 1.2845458768152196, "realized_annual_volatility_pct": 77.838596505524, "trading_costs_quote_units": 149.13397195816532, "borrowing_costs_quote_units": 127.65676677076667, "price_pnl_quote_units": -7876.75288733922, "turnover_quote_units": 49711.32398605512, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1846.4563739318423, "return_pct": -81.53543626068158, "cagr_pct": -81.57102605760264, "max_drawdown_pct": 82.61137315827223, "mean_exposure_while_solvent": 1.2845458768152196, "realized_annual_volatility_pct": 77.838596505524, "trading_costs_quote_units": 149.13397195816532, "borrowing_costs_quote_units": 127.65676677076667, "price_pnl_quote_units": -7876.75288733922, "turnover_quote_units": 49711.32398605512, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2728.970661998061, "return_pct": -72.71029338001938, "cagr_pct": -72.75073855824003, "max_drawdown_pct": 74.09142322027536, "mean_exposure_while_solvent": 1.0616109943717407, "realized_annual_volatility_pct": 61.17395771782172, "trading_costs_quote_units": 241.79380105628957, "borrowing_costs_quote_units": 64.97621891806254, "price_pnl_quote_units": -6964.259318027595, "turnover_quote_units": 80597.93368542979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2728.970661998061, "return_pct": -72.71029338001938, "cagr_pct": -72.75073855824003, "max_drawdown_pct": 74.09142322027536, "mean_exposure_while_solvent": 1.0616109943717407, "realized_annual_volatility_pct": 61.17395771782172, "trading_costs_quote_units": 241.79380105628957, "borrowing_costs_quote_units": 64.97621891806254, "price_pnl_quote_units": -6964.259318027595, "turnover_quote_units": 80597.93368542979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3222.763619684763, "return_pct": -67.77236380315237, "cagr_pct": -67.81401437772419, "max_drawdown_pct": 69.69529457087222, "mean_exposure_while_solvent": 0.978266911373698, "realized_annual_volatility_pct": 58.40398817375253, "trading_costs_quote_units": 89.16608122353556, "borrowing_costs_quote_units": 21.20688726414844, "price_pnl_quote_units": -6666.863411827561, "turnover_quote_units": 29722.02707451185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3222.763619684763, "return_pct": -67.77236380315237, "cagr_pct": -67.81401437772419, "max_drawdown_pct": 69.69529457087222, "mean_exposure_while_solvent": 0.978266911373698, "realized_annual_volatility_pct": 58.40398817375253, "trading_costs_quote_units": 89.16608122353556, "borrowing_costs_quote_units": 21.20688726414844, "price_pnl_quote_units": -6666.863411827561, "turnover_quote_units": 29722.02707451185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3409.272398898188, "return_pct": -65.90727601101813, "cagr_pct": -65.9491492128321, "max_drawdown_pct": 67.7624919828405, "mean_exposure_while_solvent": 0.9206456557075414, "realized_annual_volatility_pct": 55.816874155350725, "trading_costs_quote_units": 85.32286709253862, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6505.404734009255, "turnover_quote_units": 28440.955697512865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3409.272398898188, "return_pct": -65.90727601101813, "cagr_pct": -65.9491492128321, "max_drawdown_pct": 67.7624919828405, "mean_exposure_while_solvent": 0.9206456557075414, "realized_annual_volatility_pct": 55.816874155350725, "trading_costs_quote_units": 85.32286709253862, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6505.404734009255, "turnover_quote_units": 28440.955697512865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3222.763619684763, "return_pct": -67.77236380315237, "cagr_pct": -67.81401437772419, "max_drawdown_pct": 69.69529457087222, "mean_exposure_while_solvent": 0.978266911373698, "realized_annual_volatility_pct": 58.40398817375253, "trading_costs_quote_units": 89.16608122353556, "borrowing_costs_quote_units": 21.20688726414844, "price_pnl_quote_units": -6666.863411827561, "turnover_quote_units": 29722.02707451185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3222.763619684763, "return_pct": -67.77236380315237, "cagr_pct": -67.81401437772419, "max_drawdown_pct": 69.69529457087222, "mean_exposure_while_solvent": 0.978266911373698, "realized_annual_volatility_pct": 58.40398817375253, "trading_costs_quote_units": 89.16608122353556, "borrowing_costs_quote_units": 21.20688726414844, "price_pnl_quote_units": -6666.863411827561, "turnover_quote_units": 29722.02707451185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3222.763619684763, "return_pct": -67.77236380315237, "cagr_pct": -67.81401437772419, "max_drawdown_pct": 69.69529457087222, "mean_exposure_while_solvent": 0.978266911373698, "realized_annual_volatility_pct": 58.40398817375253, "trading_costs_quote_units": 89.16608122353556, "borrowing_costs_quote_units": 21.20688726414844, "price_pnl_quote_units": -6666.863411827561, "turnover_quote_units": 29722.02707451185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3222.763619684763, "return_pct": -67.77236380315237, "cagr_pct": -67.81401437772419, "max_drawdown_pct": 69.69529457087222, "mean_exposure_while_solvent": 0.978266911373698, "realized_annual_volatility_pct": 58.40398817375253, "trading_costs_quote_units": 89.16608122353556, "borrowing_costs_quote_units": 21.20688726414844, "price_pnl_quote_units": -6666.863411827561, "turnover_quote_units": 29722.02707451185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4703.139712882591, "return_pct": -52.968602871174085, "cagr_pct": -53.009104334124366, "max_drawdown_pct": 55.63608766249555, "mean_exposure_while_solvent": 0.7495696497052514, "realized_annual_volatility_pct": 46.012378345634225, "trading_costs_quote_units": 56.04821376552105, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5240.812073351876, "turnover_quote_units": 18682.737921840337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 4703.139712882591, "return_pct": -52.968602871174085, "cagr_pct": -53.009104334124366, "max_drawdown_pct": 55.63608766249555, "mean_exposure_while_solvent": 0.7495696497052514, "realized_annual_volatility_pct": 46.012378345634225, "trading_costs_quote_units": 56.04821376552105, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5240.812073351876, "turnover_quote_units": 18682.737921840337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3494.6531607005973, "return_pct": -65.05346839299403, "cagr_pct": -65.09540423188496, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.40496777459782, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6475.4365701069855, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 3494.6531607005973, "return_pct": -65.05346839299403, "cagr_pct": -65.09540423188496, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.40496777459782, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6475.4365701069855, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2434.4422058281352, "return_pct": -75.65557794171865, "cagr_pct": -75.69482840525615, "max_drawdown_pct": 77.27780155085547, "mean_exposure_while_solvent": 1.2496756162672709, "realized_annual_volatility_pct": 76.85355988018998, "trading_costs_quote_units": 80.11682573468428, "borrowing_costs_quote_units": 128.04284649383578, "price_pnl_quote_units": -7357.398121943344, "turnover_quote_units": 26705.60857822812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2434.4422058281352, "return_pct": -75.65557794171865, "cagr_pct": -75.69482840525615, "max_drawdown_pct": 77.27780155085547, "mean_exposure_while_solvent": 1.2496756162672709, "realized_annual_volatility_pct": 76.85355988018998, "trading_costs_quote_units": 80.11682573468428, "borrowing_costs_quote_units": 128.04284649383578, "price_pnl_quote_units": -7357.398121943344, "turnover_quote_units": 26705.60857822812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1645.4243287414802, "return_pct": -83.54575671258519, "cagr_pct": -83.57963352023732, "max_drawdown_pct": 84.78391744221476, "mean_exposure_while_solvent": 1.499984714617589, "realized_annual_volatility_pct": 92.36590837225938, "trading_costs_quote_units": 133.69073803230208, "borrowing_costs_quote_units": 220.59949284784986, "price_pnl_quote_units": -8000.285440378374, "turnover_quote_units": 44563.5793441007, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1645.4243287414802, "return_pct": -83.54575671258519, "cagr_pct": -83.57963352023732, "max_drawdown_pct": 84.78391744221476, "mean_exposure_while_solvent": 1.499984714617589, "realized_annual_volatility_pct": 92.36590837225938, "trading_costs_quote_units": 133.69073803230208, "borrowing_costs_quote_units": 220.59949284784986, "price_pnl_quote_units": -8000.285440378374, "turnover_quote_units": 44563.5793441007, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4225.341277947999, "return_pct": -57.74658722052002, "cagr_pct": -57.78813905098048, "max_drawdown_pct": 58.17700234055362, "mean_exposure_while_solvent": 0.7052246719422285, "realized_annual_volatility_pct": 41.404773649383394, "trading_costs_quote_units": 140.22855088157627, "borrowing_costs_quote_units": 24.485606401179965, "price_pnl_quote_units": -5609.944564769234, "turnover_quote_units": 46742.85029385874, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4225.341277947999, "return_pct": -57.74658722052002, "cagr_pct": -57.78813905098048, "max_drawdown_pct": 58.17700234055362, "mean_exposure_while_solvent": 0.7052246719422285, "realized_annual_volatility_pct": 41.404773649383394, "trading_costs_quote_units": 140.22855088157627, "borrowing_costs_quote_units": 24.485606401179965, "price_pnl_quote_units": -5609.944564769234, "turnover_quote_units": 46742.85029385874, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2723.161137204762, "return_pct": -72.76838862795239, "cagr_pct": -72.80881388520315, "max_drawdown_pct": 73.81445495882934, "mean_exposure_while_solvent": 1.0193629433955909, "realized_annual_volatility_pct": 60.93851829232499, "trading_costs_quote_units": 145.493816439464, "borrowing_costs_quote_units": 87.36537423923644, "price_pnl_quote_units": -7043.979672116523, "turnover_quote_units": 48497.938813154746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2723.161137204762, "return_pct": -72.76838862795239, "cagr_pct": -72.80881388520315, "max_drawdown_pct": 73.81445495882934, "mean_exposure_while_solvent": 1.0193629433955909, "realized_annual_volatility_pct": 60.93851829232499, "trading_costs_quote_units": 145.493816439464, "borrowing_costs_quote_units": 87.36537423923644, "price_pnl_quote_units": -7043.979672116523, "turnover_quote_units": 48497.938813154746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1793.066509885463, "return_pct": -82.06933490114537, "cagr_pct": -82.10449530918497, "max_drawdown_pct": 83.03648359163945, "mean_exposure_while_solvent": 1.2845924512134725, "realized_annual_volatility_pct": 77.84462690016626, "trading_costs_quote_units": 148.23559826169725, "borrowing_costs_quote_units": 252.78214989783623, "price_pnl_quote_units": -7805.915741954998, "turnover_quote_units": 49411.86608723239, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1793.066509885463, "return_pct": -82.06933490114537, "cagr_pct": -82.10449530918497, "max_drawdown_pct": 83.03648359163945, "mean_exposure_while_solvent": 1.2845924512134725, "realized_annual_volatility_pct": 77.84462690016626, "trading_costs_quote_units": 148.23559826169725, "borrowing_costs_quote_units": 252.78214989783623, "price_pnl_quote_units": -7805.915741954998, "turnover_quote_units": 49411.86608723239, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2689.170708704807, "return_pct": -73.10829291295194, "cagr_pct": -73.14859877071598, "max_drawdown_pct": 74.34514060646677, "mean_exposure_while_solvent": 1.0616341743302733, "realized_annual_volatility_pct": 61.17633786487689, "trading_costs_quote_units": 241.19687315733108, "borrowing_costs_quote_units": 129.23989327953512, "price_pnl_quote_units": -6940.392524858305, "turnover_quote_units": 80398.95771911024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2689.170708704807, "return_pct": -73.10829291295194, "cagr_pct": -73.14859877071598, "max_drawdown_pct": 74.34514060646677, "mean_exposure_while_solvent": 1.0616341743302733, "realized_annual_volatility_pct": 61.17633786487689, "trading_costs_quote_units": 241.19687315733108, "borrowing_costs_quote_units": 129.23989327953512, "price_pnl_quote_units": -6940.392524858305, "turnover_quote_units": 80398.95771911024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3205.2825688760136, "return_pct": -67.94717431123986, "cagr_pct": -67.98879780915544, "max_drawdown_pct": 69.78350270555185, "mean_exposure_while_solvent": 0.9782743488802254, "realized_annual_volatility_pct": 58.4048256654304, "trading_costs_quote_units": 89.11146789997994, "borrowing_costs_quote_units": 42.31662101732567, "price_pnl_quote_units": -6663.289342206684, "turnover_quote_units": 29703.822633326658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3205.2825688760136, "return_pct": -67.94717431123986, "cagr_pct": -67.98879780915544, "max_drawdown_pct": 69.78350270555185, "mean_exposure_while_solvent": 0.9782743488802254, "realized_annual_volatility_pct": 58.4048256654304, "trading_costs_quote_units": 89.11146789997994, "borrowing_costs_quote_units": 42.31662101732567, "price_pnl_quote_units": -6663.289342206684, "turnover_quote_units": 29703.822633326658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3409.272398898188, "return_pct": -65.90727601101813, "cagr_pct": -65.9491492128321, "max_drawdown_pct": 67.7624919828405, "mean_exposure_while_solvent": 0.9206456557075414, "realized_annual_volatility_pct": 55.816874155350725, "trading_costs_quote_units": 85.32286709253862, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6505.404734009255, "turnover_quote_units": 28440.955697512865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3409.272398898188, "return_pct": -65.90727601101813, "cagr_pct": -65.9491492128321, "max_drawdown_pct": 67.7624919828405, "mean_exposure_while_solvent": 0.9206456557075414, "realized_annual_volatility_pct": 55.816874155350725, "trading_costs_quote_units": 85.32286709253862, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6505.404734009255, "turnover_quote_units": 28440.955697512865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3205.2825688760136, "return_pct": -67.94717431123986, "cagr_pct": -67.98879780915544, "max_drawdown_pct": 69.78350270555185, "mean_exposure_while_solvent": 0.9782743488802254, "realized_annual_volatility_pct": 58.4048256654304, "trading_costs_quote_units": 89.11146789997994, "borrowing_costs_quote_units": 42.31662101732567, "price_pnl_quote_units": -6663.289342206684, "turnover_quote_units": 29703.822633326658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3205.2825688760136, "return_pct": -67.94717431123986, "cagr_pct": -67.98879780915544, "max_drawdown_pct": 69.78350270555185, "mean_exposure_while_solvent": 0.9782743488802254, "realized_annual_volatility_pct": 58.4048256654304, "trading_costs_quote_units": 89.11146789997994, "borrowing_costs_quote_units": 42.31662101732567, "price_pnl_quote_units": -6663.289342206684, "turnover_quote_units": 29703.822633326658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3205.2825688760136, "return_pct": -67.94717431123986, "cagr_pct": -67.98879780915544, "max_drawdown_pct": 69.78350270555185, "mean_exposure_while_solvent": 0.9782743488802254, "realized_annual_volatility_pct": 58.4048256654304, "trading_costs_quote_units": 89.11146789997994, "borrowing_costs_quote_units": 42.31662101732567, "price_pnl_quote_units": -6663.289342206684, "turnover_quote_units": 29703.822633326658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3205.2825688760136, "return_pct": -67.94717431123986, "cagr_pct": -67.98879780915544, "max_drawdown_pct": 69.78350270555185, "mean_exposure_while_solvent": 0.9782743488802254, "realized_annual_volatility_pct": 58.4048256654304, "trading_costs_quote_units": 89.11146789997994, "borrowing_costs_quote_units": 42.31662101732567, "price_pnl_quote_units": -6663.289342206684, "turnover_quote_units": 29703.822633326658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4703.139712882591, "return_pct": -52.968602871174085, "cagr_pct": -53.009104334124366, "max_drawdown_pct": 55.63608766249555, "mean_exposure_while_solvent": 0.7495696497052514, "realized_annual_volatility_pct": 46.012378345634225, "trading_costs_quote_units": 56.04821376552105, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5240.812073351876, "turnover_quote_units": 18682.737921840337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 4703.139712882591, "return_pct": -52.968602871174085, "cagr_pct": -53.009104334124366, "max_drawdown_pct": 55.63608766249555, "mean_exposure_while_solvent": 0.7495696497052514, "realized_annual_volatility_pct": 46.012378345634225, "trading_costs_quote_units": 56.04821376552105, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5240.812073351876, "turnover_quote_units": 18682.737921840337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3494.6531607005973, "return_pct": -65.05346839299403, "cagr_pct": -65.09540423188496, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.40496777459782, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6475.4365701069855, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 3494.6531607005973, "return_pct": -65.05346839299403, "cagr_pct": -65.09540423188496, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9995433789954337, "realized_annual_volatility_pct": 61.40496777459782, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6475.4365701069855, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2374.109115866204, "return_pct": -76.25890884133796, "cagr_pct": -76.29786588757989, "max_drawdown_pct": 77.77895872636735, "mean_exposure_while_solvent": 1.2497113223821839, "realized_annual_volatility_pct": 76.85698189783845, "trading_costs_quote_units": 79.76501581296986, "borrowing_costs_quote_units": 253.73134604464778, "price_pnl_quote_units": -7292.394522276172, "turnover_quote_units": 26588.338604323257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2374.109115866204, "return_pct": -76.25890884133796, "cagr_pct": -76.29786588757989, "max_drawdown_pct": 77.77895872636735, "mean_exposure_while_solvent": 1.2497113223821839, "realized_annual_volatility_pct": 76.85698189783845, "trading_costs_quote_units": 79.76501581296986, "borrowing_costs_quote_units": 253.73134604464778, "price_pnl_quote_units": -7292.394522276172, "turnover_quote_units": 26588.338604323257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1564.7522277277735, "return_pct": -84.35247772272227, "cagr_pct": -84.38559010900919, "max_drawdown_pct": 85.44888897610006, "mean_exposure_while_solvent": 1.500070529779361, "realized_annual_volatility_pct": 92.37417664548536, "trading_costs_quote_units": 132.29841473483887, "borrowing_costs_quote_units": 433.74467798205626, "price_pnl_quote_units": -7869.204679555336, "turnover_quote_units": 44099.47157827967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1564.7522277277735, "return_pct": -84.35247772272227, "cagr_pct": -84.38559010900919, "max_drawdown_pct": 85.44888897610006, "mean_exposure_while_solvent": 1.500070529779361, "realized_annual_volatility_pct": 92.37417664548536, "trading_costs_quote_units": 132.29841473483887, "borrowing_costs_quote_units": 433.74467798205626, "price_pnl_quote_units": -7869.204679555336, "turnover_quote_units": 44099.47157827967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4234.844684497757, "return_pct": -57.65155315502243, "cagr_pct": -57.693089890401204, "max_drawdown_pct": 58.197526231622795, "mean_exposure_while_solvent": 0.7035864359090365, "realized_annual_volatility_pct": 41.462630062260374, "trading_costs_quote_units": 140.44956443203216, "borrowing_costs_quote_units": 6.033240299387921, "price_pnl_quote_units": -5618.672510770833, "turnover_quote_units": 46816.52147734408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4234.844684497757, "return_pct": -57.65155315502243, "cagr_pct": -57.693089890401204, "max_drawdown_pct": 58.197526231622795, "mean_exposure_while_solvent": 0.7035864359090365, "realized_annual_volatility_pct": 41.462630062260374, "trading_costs_quote_units": 140.44956443203216, "borrowing_costs_quote_units": 6.033240299387921, "price_pnl_quote_units": -5618.672510770833, "turnover_quote_units": 46816.52147734408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2786.7711521009114, "return_pct": -72.13228847899089, "cagr_pct": -72.17292421360564, "max_drawdown_pct": 73.35770466954969, "mean_exposure_while_solvent": 1.0181005716730271, "realized_annual_volatility_pct": 61.015354980613125, "trading_costs_quote_units": 145.4945421382715, "borrowing_costs_quote_units": 21.96539166855384, "price_pnl_quote_units": -7045.7689140922475, "turnover_quote_units": 48498.18071275716, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2786.7711521009114, "return_pct": -72.13228847899089, "cagr_pct": -72.17292421360564, "max_drawdown_pct": 73.35770466954969, "mean_exposure_while_solvent": 1.0181005716730271, "realized_annual_volatility_pct": 61.015354980613125, "trading_costs_quote_units": 145.4945421382715, "borrowing_costs_quote_units": 21.96539166855384, "price_pnl_quote_units": -7045.7689140922475, "turnover_quote_units": 48498.18071275716, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1885.8469114936834, "return_pct": -81.14153088506316, "cagr_pct": -81.17742615769095, "max_drawdown_pct": 82.26201994079567, "mean_exposure_while_solvent": 1.283979562645062, "realized_annual_volatility_pct": 77.96378143919377, "trading_costs_quote_units": 149.80226449341725, "borrowing_costs_quote_units": 63.989340703822116, "price_pnl_quote_units": -7900.361483309064, "turnover_quote_units": 49934.08816447245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1885.8469114936834, "return_pct": -81.14153088506316, "cagr_pct": -81.17742615769095, "max_drawdown_pct": 82.26201994079567, "mean_exposure_while_solvent": 1.283979562645062, "realized_annual_volatility_pct": 77.96378143919377, "trading_costs_quote_units": 149.80226449341725, "borrowing_costs_quote_units": 63.989340703822116, "price_pnl_quote_units": -7900.361483309064, "turnover_quote_units": 49934.08816447245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2689.048954426763, "return_pct": -73.10951045573238, "cagr_pct": -73.14981587702596, "max_drawdown_pct": 74.56641862136925, "mean_exposure_while_solvent": 1.0603468326875238, "realized_annual_volatility_pct": 61.27708998436767, "trading_costs_quote_units": 238.688723401307, "borrowing_costs_quote_units": 32.11603183852254, "price_pnl_quote_units": -7040.146290333417, "turnover_quote_units": 79562.90780043567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2689.048954426763, "return_pct": -73.10951045573238, "cagr_pct": -73.14981587702596, "max_drawdown_pct": 74.56641862136925, "mean_exposure_while_solvent": 1.0603468326875238, "realized_annual_volatility_pct": 61.27708998436767, "trading_costs_quote_units": 238.688723401307, "borrowing_costs_quote_units": 32.11603183852254, "price_pnl_quote_units": -7040.146290333417, "turnover_quote_units": 79562.90780043567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3245.821768531889, "return_pct": -67.54178231468111, "cagr_pct": -67.583466949266, "max_drawdown_pct": 69.49755159724928, "mean_exposure_while_solvent": 0.9771084677335734, "realized_annual_volatility_pct": 58.45143082542593, "trading_costs_quote_units": 90.06836572734751, "borrowing_costs_quote_units": 10.604768222319514, "price_pnl_quote_units": -6653.505097518429, "turnover_quote_units": 30022.788575782553, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3245.821768531889, "return_pct": -67.54178231468111, "cagr_pct": -67.583466949266, "max_drawdown_pct": 69.49755159724928, "mean_exposure_while_solvent": 0.9771084677335734, "realized_annual_volatility_pct": 58.45143082542593, "trading_costs_quote_units": 90.06836572734751, "borrowing_costs_quote_units": 10.604768222319514, "price_pnl_quote_units": -6653.505097518429, "turnover_quote_units": 30022.788575782553, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3421.0419911500458, "return_pct": -65.78958008849955, "cagr_pct": -65.83146336214088, "max_drawdown_pct": 67.62828049543563, "mean_exposure_while_solvent": 0.919699495521838, "realized_annual_volatility_pct": 55.856048362773, "trading_costs_quote_units": 85.37616072041843, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6493.581848129547, "turnover_quote_units": 28458.720240139508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3421.0419911500458, "return_pct": -65.78958008849955, "cagr_pct": -65.83146336214088, "max_drawdown_pct": 67.62828049543563, "mean_exposure_while_solvent": 0.919699495521838, "realized_annual_volatility_pct": 55.856048362773, "trading_costs_quote_units": 85.37616072041843, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6493.581848129547, "turnover_quote_units": 28458.720240139508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3245.821768531889, "return_pct": -67.54178231468111, "cagr_pct": -67.583466949266, "max_drawdown_pct": 69.49755159724928, "mean_exposure_while_solvent": 0.9771084677335734, "realized_annual_volatility_pct": 58.45143082542593, "trading_costs_quote_units": 90.06836572734751, "borrowing_costs_quote_units": 10.604768222319514, "price_pnl_quote_units": -6653.505097518429, "turnover_quote_units": 30022.788575782553, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3245.821768531889, "return_pct": -67.54178231468111, "cagr_pct": -67.583466949266, "max_drawdown_pct": 69.49755159724928, "mean_exposure_while_solvent": 0.9771084677335734, "realized_annual_volatility_pct": 58.45143082542593, "trading_costs_quote_units": 90.06836572734751, "borrowing_costs_quote_units": 10.604768222319514, "price_pnl_quote_units": -6653.505097518429, "turnover_quote_units": 30022.788575782553, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3245.821768531889, "return_pct": -67.54178231468111, "cagr_pct": -67.583466949266, "max_drawdown_pct": 69.49755159724928, "mean_exposure_while_solvent": 0.9771084677335734, "realized_annual_volatility_pct": 58.45143082542593, "trading_costs_quote_units": 90.06836572734751, "borrowing_costs_quote_units": 10.604768222319514, "price_pnl_quote_units": -6653.505097518429, "turnover_quote_units": 30022.788575782553, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3245.821768531889, "return_pct": -67.54178231468111, "cagr_pct": -67.583466949266, "max_drawdown_pct": 69.49755159724928, "mean_exposure_while_solvent": 0.9771084677335734, "realized_annual_volatility_pct": 58.45143082542593, "trading_costs_quote_units": 90.06836572734751, "borrowing_costs_quote_units": 10.604768222319514, "price_pnl_quote_units": -6653.505097518429, "turnover_quote_units": 30022.788575782553, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4700.453069828098, "return_pct": -52.99546930171902, "cagr_pct": -53.03597827668891, "max_drawdown_pct": 55.69029115644438, "mean_exposure_while_solvent": 0.7486248936390334, "realized_annual_volatility_pct": 45.966097097165395, "trading_costs_quote_units": 56.02554940448708, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5243.521380767415, "turnover_quote_units": 18675.183134829043, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 4700.453069828098, "return_pct": -52.99546930171902, "cagr_pct": -53.03597827668891, "max_drawdown_pct": 55.69029115644438, "mean_exposure_while_solvent": 0.7486248936390334, "realized_annual_volatility_pct": 45.966097097165395, "trading_costs_quote_units": 56.02554940448708, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5243.521380767415, "turnover_quote_units": 18675.183134829043, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3492.853992010666, "return_pct": -65.07146007989334, "cagr_pct": -65.11339484665005, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.39008279013339, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6477.235738796914, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 3492.853992010666, "return_pct": -65.07146007989334, "cagr_pct": -65.11339484665005, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.39008279013339, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6477.235738796914, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2464.7078010807104, "return_pct": -75.35292198919291, "cagr_pct": -75.39231318733887, "max_drawdown_pct": 77.01515878320467, "mean_exposure_while_solvent": 1.2489715419517313, "realized_annual_volatility_pct": 76.88675371832908, "trading_costs_quote_units": 80.52411655753431, "borrowing_costs_quote_units": 64.24727971082794, "price_pnl_quote_units": -7390.52080265093, "turnover_quote_units": 26841.372185844768, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2464.7078010807104, "return_pct": -75.35292198919291, "cagr_pct": -75.39231318733887, "max_drawdown_pct": 77.01515878320467, "mean_exposure_while_solvent": 1.2489715419517313, "realized_annual_volatility_pct": 76.88675371832908, "trading_costs_quote_units": 80.52411655753431, "borrowing_costs_quote_units": 64.24727971082794, "price_pnl_quote_units": -7390.52080265093, "turnover_quote_units": 26841.372185844768, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1687.7650771242224, "return_pct": -83.12234922875777, "cagr_pct": -83.1566090382037, "max_drawdown_pct": 84.4279503930775, "mean_exposure_while_solvent": 1.4996918610827723, "realized_annual_volatility_pct": 92.46603428201028, "trading_costs_quote_units": 135.0569574979355, "borrowing_costs_quote_units": 110.98735797212552, "price_pnl_quote_units": -8066.190607405697, "turnover_quote_units": 45018.98583264514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1687.7650771242224, "return_pct": -83.12234922875777, "cagr_pct": -83.1566090382037, "max_drawdown_pct": 84.4279503930775, "mean_exposure_while_solvent": 1.4996918610827723, "realized_annual_volatility_pct": 92.46603428201028, "trading_costs_quote_units": 135.0569574979355, "borrowing_costs_quote_units": 110.98735797212552, "price_pnl_quote_units": -8066.190607405697, "turnover_quote_units": 45018.98583264514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4229.495534033496, "return_pct": -57.70504465966504, "cagr_pct": -57.74658992156585, "max_drawdown_pct": 58.21639080255654, "mean_exposure_while_solvent": 0.7035883327442803, "realized_annual_volatility_pct": 41.462990178581556, "trading_costs_quote_units": 140.4303788931468, "borrowing_costs_quote_units": 12.06028845730339, "price_pnl_quote_units": -5618.013798616063, "turnover_quote_units": 46810.126297715586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4229.495534033496, "return_pct": -57.70504465966504, "cagr_pct": -57.74658992156585, "max_drawdown_pct": 58.21639080255654, "mean_exposure_while_solvent": 0.7035883327442803, "realized_annual_volatility_pct": 41.462990178581556, "trading_costs_quote_units": 140.4303788931468, "borrowing_costs_quote_units": 12.06028845730339, "price_pnl_quote_units": -5618.013798616063, "turnover_quote_units": 46810.126297715586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2773.0833631200367, "return_pct": -72.26916636879963, "cagr_pct": -72.30975822511758, "max_drawdown_pct": 73.44756822449037, "mean_exposure_while_solvent": 1.0181082348647907, "realized_annual_volatility_pct": 61.01627054725907, "trading_costs_quote_units": 145.384176846329, "borrowing_costs_quote_units": 43.84929511052209, "price_pnl_quote_units": -7037.683164923107, "turnover_quote_units": 48461.392282109715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2773.0833631200367, "return_pct": -72.26916636879963, "cagr_pct": -72.30975822511758, "max_drawdown_pct": 73.44756822449037, "mean_exposure_while_solvent": 1.0181082348647907, "realized_annual_volatility_pct": 61.01627054725907, "trading_costs_quote_units": 145.384176846329, "borrowing_costs_quote_units": 43.84929511052209, "price_pnl_quote_units": -7037.683164923107, "turnover_quote_units": 48461.392282109715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1858.4307667716985, "return_pct": -81.41569233228302, "cagr_pct": -81.45137599644356, "max_drawdown_pct": 82.47996691043757, "mean_exposure_while_solvent": 1.2840028662201846, "realized_annual_volatility_pct": 77.96626974095143, "trading_costs_quote_units": 149.3474995744077, "borrowing_costs_quote_units": 127.33875724822717, "price_pnl_quote_units": -7864.88297640567, "turnover_quote_units": 49782.49985813576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1858.4307667716985, "return_pct": -81.41569233228302, "cagr_pct": -81.45137599644356, "max_drawdown_pct": 82.47996691043757, "mean_exposure_while_solvent": 1.2840028662201846, "realized_annual_volatility_pct": 77.96626974095143, "trading_costs_quote_units": 149.3474995744077, "borrowing_costs_quote_units": 127.33875724822717, "price_pnl_quote_units": -7864.88297640567, "turnover_quote_units": 49782.49985813576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2669.42331678312, "return_pct": -73.3057668321688, "cagr_pct": -73.34600107385765, "max_drawdown_pct": 74.69116846931618, "mean_exposure_while_solvent": 1.0603583607339635, "realized_annual_volatility_pct": 61.278101326471244, "trading_costs_quote_units": 238.40103644966823, "borrowing_costs_quote_units": 64.05677128045956, "price_pnl_quote_units": -7028.118875486761, "turnover_quote_units": 79467.01214988944, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2669.42331678312, "return_pct": -73.3057668321688, "cagr_pct": -73.34600107385765, "max_drawdown_pct": 74.69116846931618, "mean_exposure_while_solvent": 1.0603583607339635, "realized_annual_volatility_pct": 61.278101326471244, "trading_costs_quote_units": 238.40103644966823, "borrowing_costs_quote_units": 64.05677128045956, "price_pnl_quote_units": -7028.118875486761, "turnover_quote_units": 79467.01214988944, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3237.0485387695953, "return_pct": -67.62951461230404, "cagr_pct": -67.6711865088136, "max_drawdown_pct": 69.54175505119125, "mean_exposure_while_solvent": 0.9771121564321235, "realized_annual_volatility_pct": 58.451779001323025, "trading_costs_quote_units": 90.04311371152596, "borrowing_costs_quote_units": 21.185319314023122, "price_pnl_quote_units": -6651.723028204849, "turnover_quote_units": 30014.371237175317, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3237.0485387695953, "return_pct": -67.62951461230404, "cagr_pct": -67.6711865088136, "max_drawdown_pct": 69.54175505119125, "mean_exposure_while_solvent": 0.9771121564321235, "realized_annual_volatility_pct": 58.451779001323025, "trading_costs_quote_units": 90.04311371152596, "borrowing_costs_quote_units": 21.185319314023122, "price_pnl_quote_units": -6651.723028204849, "turnover_quote_units": 30014.371237175317, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3421.0419911500458, "return_pct": -65.78958008849955, "cagr_pct": -65.83146336214088, "max_drawdown_pct": 67.62828049543563, "mean_exposure_while_solvent": 0.919699495521838, "realized_annual_volatility_pct": 55.856048362773, "trading_costs_quote_units": 85.37616072041843, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6493.581848129547, "turnover_quote_units": 28458.720240139508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3421.0419911500458, "return_pct": -65.78958008849955, "cagr_pct": -65.83146336214088, "max_drawdown_pct": 67.62828049543563, "mean_exposure_while_solvent": 0.919699495521838, "realized_annual_volatility_pct": 55.856048362773, "trading_costs_quote_units": 85.37616072041843, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6493.581848129547, "turnover_quote_units": 28458.720240139508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3237.0485387695953, "return_pct": -67.62951461230404, "cagr_pct": -67.6711865088136, "max_drawdown_pct": 69.54175505119125, "mean_exposure_while_solvent": 0.9771121564321235, "realized_annual_volatility_pct": 58.451779001323025, "trading_costs_quote_units": 90.04311371152596, "borrowing_costs_quote_units": 21.185319314023122, "price_pnl_quote_units": -6651.723028204849, "turnover_quote_units": 30014.371237175317, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3237.0485387695953, "return_pct": -67.62951461230404, "cagr_pct": -67.6711865088136, "max_drawdown_pct": 69.54175505119125, "mean_exposure_while_solvent": 0.9771121564321235, "realized_annual_volatility_pct": 58.451779001323025, "trading_costs_quote_units": 90.04311371152596, "borrowing_costs_quote_units": 21.185319314023122, "price_pnl_quote_units": -6651.723028204849, "turnover_quote_units": 30014.371237175317, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3237.0485387695953, "return_pct": -67.62951461230404, "cagr_pct": -67.6711865088136, "max_drawdown_pct": 69.54175505119125, "mean_exposure_while_solvent": 0.9771121564321235, "realized_annual_volatility_pct": 58.451779001323025, "trading_costs_quote_units": 90.04311371152596, "borrowing_costs_quote_units": 21.185319314023122, "price_pnl_quote_units": -6651.723028204849, "turnover_quote_units": 30014.371237175317, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3237.0485387695953, "return_pct": -67.62951461230404, "cagr_pct": -67.6711865088136, "max_drawdown_pct": 69.54175505119125, "mean_exposure_while_solvent": 0.9771121564321235, "realized_annual_volatility_pct": 58.451779001323025, "trading_costs_quote_units": 90.04311371152596, "borrowing_costs_quote_units": 21.185319314023122, "price_pnl_quote_units": -6651.723028204849, "turnover_quote_units": 30014.371237175317, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4700.453069828098, "return_pct": -52.99546930171902, "cagr_pct": -53.03597827668891, "max_drawdown_pct": 55.69029115644438, "mean_exposure_while_solvent": 0.7486248936390334, "realized_annual_volatility_pct": 45.966097097165395, "trading_costs_quote_units": 56.02554940448708, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5243.521380767415, "turnover_quote_units": 18675.183134829043, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 4700.453069828098, "return_pct": -52.99546930171902, "cagr_pct": -53.03597827668891, "max_drawdown_pct": 55.69029115644438, "mean_exposure_while_solvent": 0.7486248936390334, "realized_annual_volatility_pct": 45.966097097165395, "trading_costs_quote_units": 56.02554940448708, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5243.521380767415, "turnover_quote_units": 18675.183134829043, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3492.853992010666, "return_pct": -65.07146007989334, "cagr_pct": -65.11339484665005, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.39008279013339, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6477.235738796914, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 3492.853992010666, "return_pct": -65.07146007989334, "cagr_pct": -65.11339484665005, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.39008279013339, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6477.235738796914, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2433.9990459545666, "return_pct": -75.66000954045433, "cagr_pct": -75.69925791152701, "max_drawdown_pct": 77.27006058621272, "mean_exposure_while_solvent": 1.2489894098759573, "realized_annual_volatility_pct": 76.88817620872183, "trading_costs_quote_units": 80.37374106527214, "borrowing_costs_quote_units": 127.90076285997867, "price_pnl_quote_units": -7357.726450120178, "turnover_quote_units": 26791.24702175737, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2433.9990459545666, "return_pct": -75.66000954045433, "cagr_pct": -75.69925791152701, "max_drawdown_pct": 77.27006058621272, "mean_exposure_while_solvent": 1.2489894098759573, "realized_annual_volatility_pct": 76.88817620872183, "trading_costs_quote_units": 80.37374106527214, "borrowing_costs_quote_units": 127.90076285997867, "price_pnl_quote_units": -7357.726450120178, "turnover_quote_units": 26791.24702175737, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1645.9036993117209, "return_pct": -83.54096300688279, "cagr_pct": -83.57484421976102, "max_drawdown_pct": 84.77203386047968, "mean_exposure_while_solvent": 1.4997348446571233, "realized_annual_volatility_pct": 92.46947706177384, "trading_costs_quote_units": 134.4105487199732, "borrowing_costs_quote_units": 220.0780433125998, "price_pnl_quote_units": -7999.607708655689, "turnover_quote_units": 44803.51623999108, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1645.9036993117209, "return_pct": -83.54096300688279, "cagr_pct": -83.57484421976102, "max_drawdown_pct": 84.77203386047968, "mean_exposure_while_solvent": 1.4997348446571233, "realized_annual_volatility_pct": 92.46947706177384, "trading_costs_quote_units": 134.4105487199732, "borrowing_costs_quote_units": 220.0780433125998, "price_pnl_quote_units": -7999.607708655689, "turnover_quote_units": 44803.51623999108, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4218.81500020013, "return_pct": -57.8118499979987, "cagr_pct": -57.853412053339135, "max_drawdown_pct": 58.254102894803104, "mean_exposure_while_solvent": 0.7035921270704425, "realized_annual_volatility_pct": 41.463716845998896, "trading_costs_quote_units": 140.39205012154494, "borrowing_costs_quote_units": 24.09583084728994, "price_pnl_quote_units": -5616.697118831042, "turnover_quote_units": 46797.35004051499, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4218.81500020013, "return_pct": -57.8118499979987, "cagr_pct": -57.853412053339135, "max_drawdown_pct": 58.254102894803104, "mean_exposure_while_solvent": 0.7035921270704425, "realized_annual_volatility_pct": 41.463716845998896, "trading_costs_quote_units": 140.39205012154494, "borrowing_costs_quote_units": 24.09583084728994, "price_pnl_quote_units": -5616.697118831042, "turnover_quote_units": 46797.35004051499, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2745.8992486719876, "return_pct": -72.54100751328012, "cagr_pct": -72.58150993585315, "max_drawdown_pct": 73.62644809707382, "mean_exposure_while_solvent": 1.0181235641292408, "realized_annual_volatility_pct": 61.01811785833636, "trading_costs_quote_units": 145.16776763578522, "borrowing_costs_quote_units": 87.37396939312421, "price_pnl_quote_units": -7021.559014299085, "turnover_quote_units": 48389.25587859514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2745.8992486719876, "return_pct": -72.54100751328012, "cagr_pct": -72.58150993585315, "max_drawdown_pct": 73.62644809707382, "mean_exposure_while_solvent": 1.0181235641292408, "realized_annual_volatility_pct": 61.01811785833636, "trading_costs_quote_units": 145.16776763578522, "borrowing_costs_quote_units": 87.37396939312421, "price_pnl_quote_units": -7021.559014299085, "turnover_quote_units": 48389.25587859514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1804.7725386601478, "return_pct": -81.95227461339853, "cagr_pct": -81.9875307015915, "max_drawdown_pct": 82.90798221257191, "mean_exposure_while_solvent": 1.2840494824151218, "realized_annual_volatility_pct": 77.9712600474736, "trading_costs_quote_units": 148.4501527415073, "borrowing_costs_quote_units": 252.14784726438114, "price_pnl_quote_units": -7794.629461333955, "turnover_quote_units": 49483.38424716912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1804.7725386601478, "return_pct": -81.95227461339853, "cagr_pct": -81.9875307015915, "max_drawdown_pct": 82.90798221257191, "mean_exposure_while_solvent": 1.2840494824151218, "realized_annual_volatility_pct": 77.9712600474736, "trading_costs_quote_units": 148.4501527415073, "borrowing_costs_quote_units": 252.14784726438114, "price_pnl_quote_units": -7794.629461333955, "turnover_quote_units": 49483.38424716912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2630.585042815609, "return_pct": -73.69414957184391, "cagr_pct": -73.7342380849457, "max_drawdown_pct": 74.93891372614279, "mean_exposure_while_solvent": 1.0603814212359728, "realized_annual_volatility_pct": 61.28014396929444, "trading_costs_quote_units": 237.83449009781435, "borrowing_costs_quote_units": 127.41674870038241, "price_pnl_quote_units": -7004.1637183861985, "turnover_quote_units": 79278.16336593809, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2630.585042815609, "return_pct": -73.69414957184391, "cagr_pct": -73.7342380849457, "max_drawdown_pct": 74.93891372614279, "mean_exposure_while_solvent": 1.0603814212359728, "realized_annual_volatility_pct": 61.28014396929444, "trading_costs_quote_units": 237.83449009781435, "borrowing_costs_quote_units": 127.41674870038241, "price_pnl_quote_units": -7004.1637183861985, "turnover_quote_units": 79278.16336593809, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3219.569485904263, "return_pct": -67.80430514095737, "cagr_pct": -67.8459508491082, "max_drawdown_pct": 69.6299878576398, "mean_exposure_while_solvent": 0.9771195348696967, "realized_annual_volatility_pct": 58.45247993267706, "trading_costs_quote_units": 89.99272652514418, "borrowing_costs_quote_units": 42.27399732229248, "price_pnl_quote_units": -6648.16379024828, "turnover_quote_units": 29997.57550838144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3219.569485904263, "return_pct": -67.80430514095737, "cagr_pct": -67.8459508491082, "max_drawdown_pct": 69.6299878576398, "mean_exposure_while_solvent": 0.9771195348696967, "realized_annual_volatility_pct": 58.45247993267706, "trading_costs_quote_units": 89.99272652514418, "borrowing_costs_quote_units": 42.27399732229248, "price_pnl_quote_units": -6648.16379024828, "turnover_quote_units": 29997.57550838144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3421.0419911500458, "return_pct": -65.78958008849955, "cagr_pct": -65.83146336214088, "max_drawdown_pct": 67.62828049543563, "mean_exposure_while_solvent": 0.919699495521838, "realized_annual_volatility_pct": 55.856048362773, "trading_costs_quote_units": 85.37616072041843, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6493.581848129547, "turnover_quote_units": 28458.720240139508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3421.0419911500458, "return_pct": -65.78958008849955, "cagr_pct": -65.83146336214088, "max_drawdown_pct": 67.62828049543563, "mean_exposure_while_solvent": 0.919699495521838, "realized_annual_volatility_pct": 55.856048362773, "trading_costs_quote_units": 85.37616072041843, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6493.581848129547, "turnover_quote_units": 28458.720240139508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 210, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3219.569485904263, "return_pct": -67.80430514095737, "cagr_pct": -67.8459508491082, "max_drawdown_pct": 69.6299878576398, "mean_exposure_while_solvent": 0.9771195348696967, "realized_annual_volatility_pct": 58.45247993267706, "trading_costs_quote_units": 89.99272652514418, "borrowing_costs_quote_units": 42.27399732229248, "price_pnl_quote_units": -6648.16379024828, "turnover_quote_units": 29997.57550838144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3219.569485904263, "return_pct": -67.80430514095737, "cagr_pct": -67.8459508491082, "max_drawdown_pct": 69.6299878576398, "mean_exposure_while_solvent": 0.9771195348696967, "realized_annual_volatility_pct": 58.45247993267706, "trading_costs_quote_units": 89.99272652514418, "borrowing_costs_quote_units": 42.27399732229248, "price_pnl_quote_units": -6648.16379024828, "turnover_quote_units": 29997.57550838144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3219.569485904263, "return_pct": -67.80430514095737, "cagr_pct": -67.8459508491082, "max_drawdown_pct": 69.6299878576398, "mean_exposure_while_solvent": 0.9771195348696967, "realized_annual_volatility_pct": 58.45247993267706, "trading_costs_quote_units": 89.99272652514418, "borrowing_costs_quote_units": 42.27399732229248, "price_pnl_quote_units": -6648.16379024828, "turnover_quote_units": 29997.57550838144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3219.569485904263, "return_pct": -67.80430514095737, "cagr_pct": -67.8459508491082, "max_drawdown_pct": 69.6299878576398, "mean_exposure_while_solvent": 0.9771195348696967, "realized_annual_volatility_pct": 58.45247993267706, "trading_costs_quote_units": 89.99272652514418, "borrowing_costs_quote_units": 42.27399732229248, "price_pnl_quote_units": -6648.16379024828, "turnover_quote_units": 29997.57550838144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4700.453069828098, "return_pct": -52.99546930171902, "cagr_pct": -53.03597827668891, "max_drawdown_pct": 55.69029115644438, "mean_exposure_while_solvent": 0.7486248936390334, "realized_annual_volatility_pct": 45.966097097165395, "trading_costs_quote_units": 56.02554940448708, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5243.521380767415, "turnover_quote_units": 18675.183134829043, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 4700.453069828098, "return_pct": -52.99546930171902, "cagr_pct": -53.03597827668891, "max_drawdown_pct": 55.69029115644438, "mean_exposure_while_solvent": 0.7486248936390334, "realized_annual_volatility_pct": 45.966097097165395, "trading_costs_quote_units": 56.02554940448708, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -5243.521380767415, "turnover_quote_units": 18675.183134829043, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3492.853992010666, "return_pct": -65.07146007989334, "cagr_pct": -65.11339484665005, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.39008279013339, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6477.235738796914, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 3492.853992010666, "return_pct": -65.07146007989334, "cagr_pct": -65.11339484665005, "max_drawdown_pct": 67.21392902034935, "mean_exposure_while_solvent": 0.9986301369863012, "realized_annual_volatility_pct": 61.39008279013339, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -6477.235738796914, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2373.7077115159464, "return_pct": -76.26292288484053, "cagr_pct": -76.30187792081436, "max_drawdown_pct": 77.77154533916774, "mean_exposure_while_solvent": 1.2490251512396269, "realized_annual_volatility_pct": 76.8910214044729, "trading_costs_quote_units": 80.08136737289705, "borrowing_costs_quote_units": 253.4509430198657, "price_pnl_quote_units": -7292.759978091294, "turnover_quote_units": 26693.789124299026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2373.7077115159464, "return_pct": -76.26292288484053, "cagr_pct": -76.30187792081436, "max_drawdown_pct": 77.77154533916774, "mean_exposure_while_solvent": 1.2490251512396269, "realized_annual_volatility_pct": 76.8910214044729, "trading_costs_quote_units": 80.08136737289705, "borrowing_costs_quote_units": 253.4509430198657, "price_pnl_quote_units": -7292.759978091294, "turnover_quote_units": 26693.789124299026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1565.2426801012007, "return_pct": -84.34757319898799, "cagr_pct": -84.3806903735931, "max_drawdown_pct": 85.43777014208985, "mean_exposure_while_solvent": 1.4998208305274334, "realized_annual_volatility_pct": 92.47636380081585, "trading_costs_quote_units": 133.1510854273571, "borrowing_costs_quote_units": 432.71938955903266, "price_pnl_quote_units": -7868.886844912392, "turnover_quote_units": 44383.69514245229, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1565.2426801012007, "return_pct": -84.34757319898799, "cagr_pct": -84.3806903735931, "max_drawdown_pct": 85.43777014208985, "mean_exposure_while_solvent": 1.4998208305274334, "realized_annual_volatility_pct": 92.47636380081585, "trading_costs_quote_units": 133.1510854273571, "borrowing_costs_quote_units": 432.71938955903266, "price_pnl_quote_units": -7868.886844912392, "turnover_quote_units": 44383.69514245229, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28251.236192903852, "return_pct": 182.51236192903852, "cagr_pct": 182.84764960104502, "max_drawdown_pct": 26.06399943394032, "mean_exposure_while_solvent": 1.0504530010739328, "realized_annual_volatility_pct": 43.11783840451548, "trading_costs_quote_units": 97.06253665328013, "borrowing_costs_quote_units": 99.16205196294968, "price_pnl_quote_units": 18447.46078152009, "turnover_quote_units": 161770.89442213354, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28251.236192903852, "return_pct": 182.51236192903852, "cagr_pct": 182.84764960104502, "max_drawdown_pct": 26.06399943394032, "mean_exposure_while_solvent": 1.0504530010739328, "realized_annual_volatility_pct": 43.11783840451548, "trading_costs_quote_units": 97.06253665328013, "borrowing_costs_quote_units": 99.16205196294968, "price_pnl_quote_units": 18447.46078152009, "turnover_quote_units": 161770.89442213354, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33848.00883772365, "return_pct": 238.48008837723654, "cagr_pct": 238.95175876657828, "max_drawdown_pct": 30.587004690333362, "mean_exposure_while_solvent": 1.3940867066659992, "realized_annual_volatility_pct": 57.16544050983347, "trading_costs_quote_units": 86.40562920319225, "borrowing_costs_quote_units": 415.5587933167335, "price_pnl_quote_units": 24349.97326024357, "turnover_quote_units": 144009.38200532048, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33848.00883772365, "return_pct": 238.48008837723654, "cagr_pct": 238.95175876657828, "max_drawdown_pct": 30.587004690333362, "mean_exposure_while_solvent": 1.3940867066659992, "realized_annual_volatility_pct": 57.16544050983347, "trading_costs_quote_units": 86.40562920319225, "borrowing_costs_quote_units": 415.5587933167335, "price_pnl_quote_units": 24349.97326024357, "turnover_quote_units": 144009.38200532048, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35054.908897751266, "return_pct": 250.54908897751264, "cagr_pct": 251.0516238495446, "max_drawdown_pct": 30.603417978048377, "mean_exposure_while_solvent": 1.4721572472766755, "realized_annual_volatility_pct": 61.319142365814535, "trading_costs_quote_units": 67.0304140928623, "borrowing_costs_quote_units": 495.4949783089865, "price_pnl_quote_units": 25617.434290153134, "turnover_quote_units": 111717.35682143713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35054.908897751266, "return_pct": 250.54908897751264, "cagr_pct": 251.0516238495446, "max_drawdown_pct": 30.603417978048377, "mean_exposure_while_solvent": 1.4721572472766755, "realized_annual_volatility_pct": 61.319142365814535, "trading_costs_quote_units": 67.0304140928623, "borrowing_costs_quote_units": 495.4949783089865, "price_pnl_quote_units": 25617.434290153134, "turnover_quote_units": 111717.35682143713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32470.675612086303, "return_pct": 224.70675612086302, "cagr_pct": 225.1438066460315, "max_drawdown_pct": 29.892970480878333, "mean_exposure_while_solvent": 1.381051844090232, "realized_annual_volatility_pct": 56.23621143443547, "trading_costs_quote_units": 130.74934522211223, "borrowing_costs_quote_units": 386.91073959836064, "price_pnl_quote_units": 22988.335696906703, "turnover_quote_units": 217915.57537018682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32470.675612086303, "return_pct": 224.70675612086302, "cagr_pct": 225.1438066460315, "max_drawdown_pct": 29.892970480878333, "mean_exposure_while_solvent": 1.381051844090232, "realized_annual_volatility_pct": 56.23621143443547, "trading_costs_quote_units": 130.74934522211223, "borrowing_costs_quote_units": 386.91073959836064, "price_pnl_quote_units": 22988.335696906703, "turnover_quote_units": 217915.57537018682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35027.37391780903, "return_pct": 250.27373917809035, "cagr_pct": 250.77556452150708, "max_drawdown_pct": 30.58700469033332, "mean_exposure_while_solvent": 1.393373689017981, "realized_annual_volatility_pct": 57.26375704230592, "trading_costs_quote_units": 65.47968925384657, "borrowing_costs_quote_units": 418.64189628197965, "price_pnl_quote_units": 25511.495503344842, "turnover_quote_units": 109132.81542307755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35027.37391780903, "return_pct": 250.27373917809035, "cagr_pct": 250.77556452150708, "max_drawdown_pct": 30.58700469033332, "mean_exposure_while_solvent": 1.393373689017981, "realized_annual_volatility_pct": 57.26375704230592, "trading_costs_quote_units": 65.47968925384657, "borrowing_costs_quote_units": 418.64189628197965, "price_pnl_quote_units": 25511.495503344842, "turnover_quote_units": 109132.81542307755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25122.2321814316, "return_pct": 151.22232181431596, "cagr_pct": 151.48675735983392, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9898929376464225, "realized_annual_volatility_pct": 41.60375036046179, "trading_costs_quote_units": 10.78453550100604, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15133.01671693261, "turnover_quote_units": 17974.225835010067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25122.2321814316, "return_pct": 151.22232181431596, "cagr_pct": 151.48675735983392, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9898929376464225, "realized_annual_volatility_pct": 41.60375036046179, "trading_costs_quote_units": 10.78453550100604, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15133.01671693261, "turnover_quote_units": 17974.225835010067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35027.37391780903, "return_pct": 250.27373917809035, "cagr_pct": 250.77556452150708, "max_drawdown_pct": 30.58700469033332, "mean_exposure_while_solvent": 1.393373689017981, "realized_annual_volatility_pct": 57.26375704230592, "trading_costs_quote_units": 65.47968925384657, "borrowing_costs_quote_units": 418.64189628197965, "price_pnl_quote_units": 25511.495503344842, "turnover_quote_units": 109132.81542307755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35027.37391780903, "return_pct": 250.27373917809035, "cagr_pct": 250.77556452150708, "max_drawdown_pct": 30.58700469033332, "mean_exposure_while_solvent": 1.393373689017981, "realized_annual_volatility_pct": 57.26375704230592, "trading_costs_quote_units": 65.47968925384657, "borrowing_costs_quote_units": 418.64189628197965, "price_pnl_quote_units": 25511.495503344842, "turnover_quote_units": 109132.81542307755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35027.37391780903, "return_pct": 250.27373917809035, "cagr_pct": 250.77556452150708, "max_drawdown_pct": 30.58700469033332, "mean_exposure_while_solvent": 1.393373689017981, "realized_annual_volatility_pct": 57.26375704230592, "trading_costs_quote_units": 65.47968925384657, "borrowing_costs_quote_units": 418.64189628197965, "price_pnl_quote_units": 25511.495503344842, "turnover_quote_units": 109132.81542307755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35027.37391780903, "return_pct": 250.27373917809035, "cagr_pct": 250.77556452150708, "max_drawdown_pct": 30.58700469033332, "mean_exposure_while_solvent": 1.393373689017981, "realized_annual_volatility_pct": 57.26375704230592, "trading_costs_quote_units": 65.47968925384657, "borrowing_costs_quote_units": 418.64189628197965, "price_pnl_quote_units": 25511.495503344842, "turnover_quote_units": 109132.81542307755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20585.66663171925, "return_pct": 105.85666631719248, "cagr_pct": 106.02648342196099, "max_drawdown_pct": 16.244995090737525, "mean_exposure_while_solvent": 0.7497826627998541, "realized_annual_volatility_pct": 31.669342102567384, "trading_costs_quote_units": 14.089368896162416, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10599.756000615422, "turnover_quote_units": 23482.281493604045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20585.66663171925, "return_pct": 105.85666631719248, "cagr_pct": 106.02648342196099, "max_drawdown_pct": 16.244995090737525, "mean_exposure_while_solvent": 0.7497826627998541, "realized_annual_volatility_pct": 31.669342102567384, "trading_costs_quote_units": 14.089368896162416, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10599.756000615422, "turnover_quote_units": 23482.281493604045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25588.387743166684, "return_pct": 155.88387743166683, "cagr_pct": 156.15859835482587, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 42.14388751759139, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15594.384145325403, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25588.387743166684, "return_pct": 155.88387743166683, "cagr_pct": 156.15859835482587, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 42.14388751759139, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15594.384145325403, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30995.77294322491, "return_pct": 209.9577294322491, "cagr_pct": 210.35845027960383, "max_drawdown_pct": 26.01184255526293, "mean_exposure_while_solvent": 1.2492646612467477, "realized_annual_volatility_pct": 52.58566631099103, "trading_costs_quote_units": 27.959107704142806, "borrowing_costs_quote_units": 244.8101132807974, "price_pnl_quote_units": 21268.542164209863, "turnover_quote_units": 46598.51284023798, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30995.77294322491, "return_pct": 209.9577294322491, "cagr_pct": 210.35845027960383, "max_drawdown_pct": 26.01184255526293, "mean_exposure_while_solvent": 1.2492646612467477, "realized_annual_volatility_pct": 52.58566631099103, "trading_costs_quote_units": 27.959107704142806, "borrowing_costs_quote_units": 244.8101132807974, "price_pnl_quote_units": 21268.542164209863, "turnover_quote_units": 46598.51284023798, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37098.6838199209, "return_pct": 270.986838199209, "cagr_pct": 271.54271610596743, "max_drawdown_pct": 30.603417978048377, "mean_exposure_while_solvent": 1.4989512378108727, "realized_annual_volatility_pct": 62.998749451064064, "trading_costs_quote_units": 63.933044623029765, "borrowing_costs_quote_units": 547.9202862759722, "price_pnl_quote_units": 27710.53715081981, "turnover_quote_units": 106555.0743717163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37098.6838199209, "return_pct": 270.986838199209, "cagr_pct": 271.54271610596743, "max_drawdown_pct": 30.603417978048377, "mean_exposure_while_solvent": 1.4989512378108727, "realized_annual_volatility_pct": 62.998749451064064, "trading_costs_quote_units": 63.933044623029765, "borrowing_costs_quote_units": 547.9202862759722, "price_pnl_quote_units": 27710.53715081981, "turnover_quote_units": 106555.0743717163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28081.828934793724, "return_pct": 180.81828934793722, "cagr_pct": 181.14963525616398, "max_drawdown_pct": 26.250956215391252, "mean_exposure_while_solvent": 1.0504623301399467, "realized_annual_volatility_pct": 43.117829909369945, "trading_costs_quote_units": 96.7904733356308, "borrowing_costs_quote_units": 197.70983578709928, "price_pnl_quote_units": 18376.329243916458, "turnover_quote_units": 161317.45555938475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28081.828934793724, "return_pct": 180.81828934793722, "cagr_pct": 181.14963525616398, "max_drawdown_pct": 26.250956215391252, "mean_exposure_while_solvent": 1.0504623301399467, "realized_annual_volatility_pct": 43.117829909369945, "trading_costs_quote_units": 96.7904733356308, "borrowing_costs_quote_units": 197.70983578709928, "price_pnl_quote_units": 18376.329243916458, "turnover_quote_units": 161317.45555938475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33173.15196110611, "return_pct": 231.73151961106106, "cagr_pct": 232.18614534248658, "max_drawdown_pct": 30.873281576251788, "mean_exposure_while_solvent": 1.3941203035571625, "realized_annual_volatility_pct": 57.16738218444054, "trading_costs_quote_units": 85.66896260518281, "borrowing_costs_quote_units": 821.8329440239526, "price_pnl_quote_units": 24080.65386773524, "turnover_quote_units": 142781.60434197148, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33173.15196110611, "return_pct": 231.73151961106106, "cagr_pct": 232.18614534248658, "max_drawdown_pct": 30.873281576251788, "mean_exposure_while_solvent": 1.3941203035571625, "realized_annual_volatility_pct": 57.16738218444054, "trading_costs_quote_units": 85.66896260518281, "borrowing_costs_quote_units": 821.8329440239526, "price_pnl_quote_units": 24080.65386773524, "turnover_quote_units": 142781.60434197148, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34238.75327785341, "return_pct": 242.38753277853408, "cagr_pct": 242.86914270723798, "max_drawdown_pct": 30.873281576251756, "mean_exposure_while_solvent": 1.4721973781554798, "realized_annual_volatility_pct": 61.32187040839394, "trading_costs_quote_units": 66.36469861345032, "borrowing_costs_quote_units": 978.0519624925878, "price_pnl_quote_units": 25283.16993895943, "turnover_quote_units": 110607.83102241713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34238.75327785341, "return_pct": 242.38753277853408, "cagr_pct": 242.86914270723798, "max_drawdown_pct": 30.873281576251756, "mean_exposure_while_solvent": 1.4721973781554798, "realized_annual_volatility_pct": 61.32187040839394, "trading_costs_quote_units": 66.36469861345032, "borrowing_costs_quote_units": 978.0519624925878, "price_pnl_quote_units": 25283.16993895943, "turnover_quote_units": 110607.83102241713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31839.608762351778, "return_pct": 218.39608762351776, "cagr_pct": 218.81749779978938, "max_drawdown_pct": 30.177266160018146, "mean_exposure_while_solvent": 1.3810846494669071, "realized_annual_volatility_pct": 56.23833769268211, "trading_costs_quote_units": 129.65894979628862, "borrowing_costs_quote_units": 765.4781275569167, "price_pnl_quote_units": 22734.745839704927, "turnover_quote_units": 216098.2496604811, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31839.608762351778, "return_pct": 218.39608762351776, "cagr_pct": 218.81749779978938, "max_drawdown_pct": 30.177266160018146, "mean_exposure_while_solvent": 1.3810846494669071, "realized_annual_volatility_pct": 56.23833769268211, "trading_costs_quote_units": 129.65894979628862, "borrowing_costs_quote_units": 765.4781275569167, "price_pnl_quote_units": 22734.745839704927, "turnover_quote_units": 216098.2496604811, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34346.770982370115, "return_pct": 243.46770982370117, "cagr_pct": 243.95207647977378, "max_drawdown_pct": 30.873281576251777, "mean_exposure_while_solvent": 1.3934067006465383, "realized_annual_volatility_pct": 57.26567853863778, "trading_costs_quote_units": 64.92944983672477, "borrowing_costs_quote_units": 828.0980017546586, "price_pnl_quote_units": 25239.798433961496, "turnover_quote_units": 108215.7497278746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34346.770982370115, "return_pct": 243.46770982370117, "cagr_pct": 243.95207647977378, "max_drawdown_pct": 30.873281576251777, "mean_exposure_while_solvent": 1.3934067006465383, "realized_annual_volatility_pct": 57.26567853863778, "trading_costs_quote_units": 64.92944983672477, "borrowing_costs_quote_units": 828.0980017546586, "price_pnl_quote_units": 25239.798433961496, "turnover_quote_units": 108215.7497278746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25122.2321814316, "return_pct": 151.22232181431596, "cagr_pct": 151.48675735983392, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9898929376464225, "realized_annual_volatility_pct": 41.60375036046179, "trading_costs_quote_units": 10.78453550100604, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15133.01671693261, "turnover_quote_units": 17974.225835010067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25122.2321814316, "return_pct": 151.22232181431596, "cagr_pct": 151.48675735983392, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9898929376464225, "realized_annual_volatility_pct": 41.60375036046179, "trading_costs_quote_units": 10.78453550100604, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15133.01671693261, "turnover_quote_units": 17974.225835010067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34346.770982370115, "return_pct": 243.46770982370117, "cagr_pct": 243.95207647977378, "max_drawdown_pct": 30.873281576251777, "mean_exposure_while_solvent": 1.3934067006465383, "realized_annual_volatility_pct": 57.26567853863778, "trading_costs_quote_units": 64.92944983672477, "borrowing_costs_quote_units": 828.0980017546586, "price_pnl_quote_units": 25239.798433961496, "turnover_quote_units": 108215.7497278746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34346.770982370115, "return_pct": 243.46770982370117, "cagr_pct": 243.95207647977378, "max_drawdown_pct": 30.873281576251777, "mean_exposure_while_solvent": 1.3934067006465383, "realized_annual_volatility_pct": 57.26567853863778, "trading_costs_quote_units": 64.92944983672477, "borrowing_costs_quote_units": 828.0980017546586, "price_pnl_quote_units": 25239.798433961496, "turnover_quote_units": 108215.7497278746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34346.770982370115, "return_pct": 243.46770982370117, "cagr_pct": 243.95207647977378, "max_drawdown_pct": 30.873281576251777, "mean_exposure_while_solvent": 1.3934067006465383, "realized_annual_volatility_pct": 57.26567853863778, "trading_costs_quote_units": 64.92944983672477, "borrowing_costs_quote_units": 828.0980017546586, "price_pnl_quote_units": 25239.798433961496, "turnover_quote_units": 108215.7497278746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34346.770982370115, "return_pct": 243.46770982370117, "cagr_pct": 243.95207647977378, "max_drawdown_pct": 30.873281576251777, "mean_exposure_while_solvent": 1.3934067006465383, "realized_annual_volatility_pct": 57.26567853863778, "trading_costs_quote_units": 64.92944983672477, "borrowing_costs_quote_units": 828.0980017546586, "price_pnl_quote_units": 25239.798433961496, "turnover_quote_units": 108215.7497278746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20585.66663171925, "return_pct": 105.85666631719248, "cagr_pct": 106.02648342196099, "max_drawdown_pct": 16.244995090737525, "mean_exposure_while_solvent": 0.7497826627998541, "realized_annual_volatility_pct": 31.669342102567384, "trading_costs_quote_units": 14.089368896162416, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10599.756000615422, "turnover_quote_units": 23482.281493604045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20585.66663171925, "return_pct": 105.85666631719248, "cagr_pct": 106.02648342196099, "max_drawdown_pct": 16.244995090737525, "mean_exposure_while_solvent": 0.7497826627998541, "realized_annual_volatility_pct": 31.669342102567384, "trading_costs_quote_units": 14.089368896162416, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10599.756000615422, "turnover_quote_units": 23482.281493604045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25588.387743166684, "return_pct": 155.88387743166683, "cagr_pct": 156.15859835482587, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 42.14388751759139, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15594.384145325403, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25588.387743166684, "return_pct": 155.88387743166683, "cagr_pct": 156.15859835482587, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 42.14388751759139, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15594.384145325403, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30612.30558400676, "return_pct": 206.1230558400676, "cagr_pct": 206.51446125490827, "max_drawdown_pct": 26.071322676069087, "mean_exposure_while_solvent": 1.2492824460554863, "realized_annual_volatility_pct": 52.58682158202629, "trading_costs_quote_units": 27.825595090890467, "borrowing_costs_quote_units": 486.28301794906724, "price_pnl_quote_units": 21126.414197046735, "turnover_quote_units": 46375.9918181508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30612.30558400676, "return_pct": 206.1230558400676, "cagr_pct": 206.51446125490827, "max_drawdown_pct": 26.071322676069087, "mean_exposure_while_solvent": 1.2492824460554863, "realized_annual_volatility_pct": 52.58682158202629, "trading_costs_quote_units": 27.825595090890467, "borrowing_costs_quote_units": 486.28301794906724, "price_pnl_quote_units": 21126.414197046735, "turnover_quote_units": 46375.9918181508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36186.6909721714, "return_pct": 261.86690972171397, "cagr_pct": 262.3988207286493, "max_drawdown_pct": 30.87328157625182, "mean_exposure_while_solvent": 1.4989939124830445, "realized_annual_volatility_pct": 63.00151345001801, "trading_costs_quote_units": 63.20691422600205, "borrowing_costs_quote_units": 1080.693358962549, "price_pnl_quote_units": 27330.59124535999, "turnover_quote_units": 105344.8570433366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36186.6909721714, "return_pct": 261.86690972171397, "cagr_pct": 262.3988207286493, "max_drawdown_pct": 30.87328157625182, "mean_exposure_while_solvent": 1.4989939124830445, "realized_annual_volatility_pct": 63.00151345001801, "trading_costs_quote_units": 63.20691422600205, "borrowing_costs_quote_units": 1080.693358962549, "price_pnl_quote_units": 27330.59124535999, "turnover_quote_units": 105344.8570433366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27745.96673246535, "return_pct": 177.45966732465348, "cagr_pct": 177.78323305700292, "max_drawdown_pct": 26.623546964707458, "mean_exposure_while_solvent": 1.0504809917094238, "realized_annual_volatility_pct": 43.11783522801071, "trading_costs_quote_units": 96.25266352724748, "borrowing_costs_quote_units": 392.97667396407104, "price_pnl_quote_units": 18235.19606995664, "turnover_quote_units": 160421.1058787458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27745.96673246535, "return_pct": 177.45966732465348, "cagr_pct": 177.78323305700292, "max_drawdown_pct": 26.623546964707458, "mean_exposure_while_solvent": 1.0504809917094238, "realized_annual_volatility_pct": 43.11783522801071, "trading_costs_quote_units": 96.25266352724748, "borrowing_costs_quote_units": 392.97667396407104, "price_pnl_quote_units": 18235.19606995664, "turnover_quote_units": 160421.1058787458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31863.181942735708, "return_pct": 218.6318194273571, "cagr_pct": 219.0538112836396, "max_drawdown_pct": 31.442458899512673, "mean_exposure_while_solvent": 1.3941875112574216, "realized_annual_volatility_pct": 57.17127932122875, "trading_costs_quote_units": 84.23250368918494, "borrowing_costs_quote_units": 1607.3052962059237, "price_pnl_quote_units": 23554.719742630772, "turnover_quote_units": 140387.50614864138, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31863.181942735708, "return_pct": 218.6318194273571, "cagr_pct": 219.0538112836396, "max_drawdown_pct": 31.442458899512673, "mean_exposure_while_solvent": 1.3941875112574216, "realized_annual_volatility_pct": 57.17127932122875, "trading_costs_quote_units": 84.23250368918494, "borrowing_costs_quote_units": 1607.3052962059237, "price_pnl_quote_units": 23554.719742630772, "turnover_quote_units": 140387.50614864138, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32662.56108703561, "return_pct": 226.6256108703561, "cagr_pct": 227.0674450483058, "max_drawdown_pct": 31.442458899512594, "mean_exposure_while_solvent": 1.4722776571390697, "realized_annual_volatility_pct": 61.3273321380122, "trading_costs_quote_units": 65.07909697840155, "borrowing_costs_quote_units": 1905.618108135558, "price_pnl_quote_units": 24633.25829214949, "turnover_quote_units": 108465.16163066922, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32662.56108703561, "return_pct": 226.6256108703561, "cagr_pct": 227.0674450483058, "max_drawdown_pct": 31.442458899512594, "mean_exposure_while_solvent": 1.4722776571390697, "realized_annual_volatility_pct": 61.3273321380122, "trading_costs_quote_units": 65.07909697840155, "borrowing_costs_quote_units": 1905.618108135558, "price_pnl_quote_units": 24633.25829214949, "turnover_quote_units": 108465.16163066922, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30613.691761920745, "return_pct": 206.13691761920748, "cagr_pct": 206.5283566093379, "max_drawdown_pct": 30.74256358385121, "mean_exposure_while_solvent": 1.381150273881947, "realized_annual_volatility_pct": 56.24260705655616, "trading_costs_quote_units": 127.53177024432203, "borrowing_costs_quote_units": 1498.2610430961086, "price_pnl_quote_units": 22239.484575261184, "turnover_quote_units": 212552.95040720323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30613.691761920745, "return_pct": 206.13691761920748, "cagr_pct": 206.5283566093379, "max_drawdown_pct": 30.74256358385121, "mean_exposure_while_solvent": 1.381150273881947, "realized_annual_volatility_pct": 56.24260705655616, "trading_costs_quote_units": 127.53177024432203, "borrowing_costs_quote_units": 1498.2610430961086, "price_pnl_quote_units": 22239.484575261184, "turnover_quote_units": 212552.95040720323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33024.61133554527, "return_pct": 230.2461133554527, "cagr_pct": 230.6970084373193, "max_drawdown_pct": 31.442458899512793, "mean_exposure_while_solvent": 1.3934727377858471, "realized_annual_volatility_pct": 57.26954036854801, "trading_costs_quote_units": 63.866651259943126, "borrowing_costs_quote_units": 1620.205080642731, "price_pnl_quote_units": 24708.68306744792, "turnover_quote_units": 106444.41876657179, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33024.61133554527, "return_pct": 230.2461133554527, "cagr_pct": 230.6970084373193, "max_drawdown_pct": 31.442458899512793, "mean_exposure_while_solvent": 1.3934727377858471, "realized_annual_volatility_pct": 57.26954036854801, "trading_costs_quote_units": 63.866651259943126, "borrowing_costs_quote_units": 1620.205080642731, "price_pnl_quote_units": 24708.68306744792, "turnover_quote_units": 106444.41876657179, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25122.2321814316, "return_pct": 151.22232181431596, "cagr_pct": 151.48675735983392, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9898929376464225, "realized_annual_volatility_pct": 41.60375036046179, "trading_costs_quote_units": 10.78453550100604, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15133.01671693261, "turnover_quote_units": 17974.225835010067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25122.2321814316, "return_pct": 151.22232181431596, "cagr_pct": 151.48675735983392, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9898929376464225, "realized_annual_volatility_pct": 41.60375036046179, "trading_costs_quote_units": 10.78453550100604, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15133.01671693261, "turnover_quote_units": 17974.225835010067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33024.61133554527, "return_pct": 230.2461133554527, "cagr_pct": 230.6970084373193, "max_drawdown_pct": 31.442458899512793, "mean_exposure_while_solvent": 1.3934727377858471, "realized_annual_volatility_pct": 57.26954036854801, "trading_costs_quote_units": 63.866651259943126, "borrowing_costs_quote_units": 1620.205080642731, "price_pnl_quote_units": 24708.68306744792, "turnover_quote_units": 106444.41876657179, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33024.61133554527, "return_pct": 230.2461133554527, "cagr_pct": 230.6970084373193, "max_drawdown_pct": 31.442458899512793, "mean_exposure_while_solvent": 1.3934727377858471, "realized_annual_volatility_pct": 57.26954036854801, "trading_costs_quote_units": 63.866651259943126, "borrowing_costs_quote_units": 1620.205080642731, "price_pnl_quote_units": 24708.68306744792, "turnover_quote_units": 106444.41876657179, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33024.61133554527, "return_pct": 230.2461133554527, "cagr_pct": 230.6970084373193, "max_drawdown_pct": 31.442458899512793, "mean_exposure_while_solvent": 1.3934727377858471, "realized_annual_volatility_pct": 57.26954036854801, "trading_costs_quote_units": 63.866651259943126, "borrowing_costs_quote_units": 1620.205080642731, "price_pnl_quote_units": 24708.68306744792, "turnover_quote_units": 106444.41876657179, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33024.61133554527, "return_pct": 230.2461133554527, "cagr_pct": 230.6970084373193, "max_drawdown_pct": 31.442458899512793, "mean_exposure_while_solvent": 1.3934727377858471, "realized_annual_volatility_pct": 57.26954036854801, "trading_costs_quote_units": 63.866651259943126, "borrowing_costs_quote_units": 1620.205080642731, "price_pnl_quote_units": 24708.68306744792, "turnover_quote_units": 106444.41876657179, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20585.66663171925, "return_pct": 105.85666631719248, "cagr_pct": 106.02648342196099, "max_drawdown_pct": 16.244995090737525, "mean_exposure_while_solvent": 0.7497826627998541, "realized_annual_volatility_pct": 31.669342102567384, "trading_costs_quote_units": 14.089368896162416, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10599.756000615422, "turnover_quote_units": 23482.281493604045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20585.66663171925, "return_pct": 105.85666631719248, "cagr_pct": 106.02648342196099, "max_drawdown_pct": 16.244995090737525, "mean_exposure_while_solvent": 0.7497826627998541, "realized_annual_volatility_pct": 31.669342102567384, "trading_costs_quote_units": 14.089368896162416, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10599.756000615422, "turnover_quote_units": 23482.281493604045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25588.387743166684, "return_pct": 155.88387743166683, "cagr_pct": 156.15859835482587, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 42.14388751759139, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15594.384145325403, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25588.387743166684, "return_pct": 155.88387743166683, "cagr_pct": 156.15859835482587, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 42.14388751759139, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15594.384145325403, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29859.36905260322, "return_pct": 198.5936905260322, "cagr_pct": 198.96696578016372, "max_drawdown_pct": 26.375941950439994, "mean_exposure_while_solvent": 1.2493180211451014, "realized_annual_volatility_pct": 52.58913241003682, "trading_costs_quote_units": 27.56785744725053, "borrowing_costs_quote_units": 959.38782126443, "price_pnl_quote_units": 20846.324731314868, "turnover_quote_units": 45946.42907875097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29859.36905260322, "return_pct": 198.5936905260322, "cagr_pct": 198.96696578016372, "max_drawdown_pct": 26.375941950439994, "mean_exposure_while_solvent": 1.2493180211451014, "realized_annual_volatility_pct": 52.58913241003682, "trading_costs_quote_units": 27.56785744725053, "borrowing_costs_quote_units": 959.38782126443, "price_pnl_quote_units": 20846.324731314868, "turnover_quote_units": 45946.42907875097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 34428.915395114396, "return_pct": 244.28915395114393, "cagr_pct": 244.77561962484148, "max_drawdown_pct": 31.442458899512715, "mean_exposure_while_solvent": 1.4990792803069883, "realized_annual_volatility_pct": 63.00704261992206, "trading_costs_quote_units": 61.80752342225808, "borrowing_costs_quote_units": 2102.362091256426, "price_pnl_quote_units": 26593.085009793056, "turnover_quote_units": 103012.53903709684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 34428.915395114396, "return_pct": 244.28915395114393, "cagr_pct": 244.77561962484148, "max_drawdown_pct": 31.442458899512715, "mean_exposure_while_solvent": 1.4990792803069883, "realized_annual_volatility_pct": 63.00704261992206, "trading_costs_quote_units": 61.80752342225808, "borrowing_costs_quote_units": 2102.362091256426, "price_pnl_quote_units": 26593.085009793056, "turnover_quote_units": 103012.53903709684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28393.381885722407, "return_pct": 183.93381885722405, "cagr_pct": 184.27242294681844, "max_drawdown_pct": 25.926700495955203, "mean_exposure_while_solvent": 1.0494091934691618, "realized_annual_volatility_pct": 43.134087622625714, "trading_costs_quote_units": 97.41518781363416, "borrowing_costs_quote_units": 99.36855762278579, "price_pnl_quote_units": 18590.165631158783, "turnover_quote_units": 162358.64635605708, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28393.381885722407, "return_pct": 183.93381885722405, "cagr_pct": 184.27242294681844, "max_drawdown_pct": 25.926700495955203, "mean_exposure_while_solvent": 1.0494091934691618, "realized_annual_volatility_pct": 43.134087622625714, "trading_costs_quote_units": 97.41518781363416, "borrowing_costs_quote_units": 99.36855762278579, "price_pnl_quote_units": 18590.165631158783, "turnover_quote_units": 162358.64635605708, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33750.205661828375, "return_pct": 237.50205661828377, "cagr_pct": 237.9712472032764, "max_drawdown_pct": 30.555844773091202, "mean_exposure_while_solvent": 1.3924174111866934, "realized_annual_volatility_pct": 57.20302441670795, "trading_costs_quote_units": 84.5344846358775, "borrowing_costs_quote_units": 413.3877151176859, "price_pnl_quote_units": 24248.127861581866, "turnover_quote_units": 140890.8077264625, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33750.205661828375, "return_pct": 237.50205661828377, "cagr_pct": 237.9712472032764, "max_drawdown_pct": 30.555844773091202, "mean_exposure_while_solvent": 1.3924174111866934, "realized_annual_volatility_pct": 57.20302441670795, "trading_costs_quote_units": 84.5344846358775, "borrowing_costs_quote_units": 413.3877151176859, "price_pnl_quote_units": 24248.127861581866, "turnover_quote_units": 140890.8077264625, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35045.48828917987, "return_pct": 250.4548828917987, "cagr_pct": 250.95717498322819, "max_drawdown_pct": 30.599337310341255, "mean_exposure_while_solvent": 1.470402412935406, "realized_annual_volatility_pct": 61.328076139966605, "trading_costs_quote_units": 64.66142051318069, "borrowing_costs_quote_units": 494.5693370678411, "price_pnl_quote_units": 25604.719046760794, "turnover_quote_units": 107769.03418863453, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35045.48828917987, "return_pct": 250.4548828917987, "cagr_pct": 250.95717498322819, "max_drawdown_pct": 30.599337310341255, "mean_exposure_while_solvent": 1.470402412935406, "realized_annual_volatility_pct": 61.328076139966605, "trading_costs_quote_units": 64.66142051318069, "borrowing_costs_quote_units": 494.5693370678411, "price_pnl_quote_units": 25604.719046760794, "turnover_quote_units": 107769.03418863453, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32590.593660326605, "return_pct": 225.90593660326604, "cagr_pct": 226.3459751361536, "max_drawdown_pct": 29.872736040309732, "mean_exposure_while_solvent": 1.3792675469718525, "realized_annual_volatility_pct": 56.26405026677689, "trading_costs_quote_units": 128.73515176058123, "borrowing_costs_quote_units": 385.5248149694986, "price_pnl_quote_units": 23104.85362705669, "turnover_quote_units": 214558.58626763528, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32590.593660326605, "return_pct": 225.90593660326604, "cagr_pct": 226.3459751361536, "max_drawdown_pct": 29.872736040309732, "mean_exposure_while_solvent": 1.3792675469718525, "realized_annual_volatility_pct": 56.26405026677689, "trading_costs_quote_units": 128.73515176058123, "borrowing_costs_quote_units": 385.5248149694986, "price_pnl_quote_units": 23104.85362705669, "turnover_quote_units": 214558.58626763528, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34990.882036778086, "return_pct": 249.9088203677809, "cagr_pct": 250.40970576071368, "max_drawdown_pct": 30.555844773091334, "mean_exposure_while_solvent": 1.391711523493235, "realized_annual_volatility_pct": 57.2591878775328, "trading_costs_quote_units": 63.39281102953547, "borrowing_costs_quote_units": 417.42317876413443, "price_pnl_quote_units": 25471.698026571812, "turnover_quote_units": 105654.68504922587, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34990.882036778086, "return_pct": 249.9088203677809, "cagr_pct": 250.40970576071368, "max_drawdown_pct": 30.555844773091334, "mean_exposure_while_solvent": 1.391711523493235, "realized_annual_volatility_pct": 57.2591878775328, "trading_costs_quote_units": 63.39281102953547, "borrowing_costs_quote_units": 417.42317876413443, "price_pnl_quote_units": 25471.698026571812, "turnover_quote_units": 105654.68504922587, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25088.74300996195, "return_pct": 150.88743009961948, "cagr_pct": 151.15113052143533, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9889617522550982, "realized_annual_volatility_pct": 41.61146102307616, "trading_costs_quote_units": 10.746107234979176, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15099.489117196932, "turnover_quote_units": 17910.178724965288, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25088.74300996195, "return_pct": 150.88743009961948, "cagr_pct": 151.15113052143533, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9889617522550982, "realized_annual_volatility_pct": 41.61146102307616, "trading_costs_quote_units": 10.746107234979176, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15099.489117196932, "turnover_quote_units": 17910.178724965288, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34990.882036778086, "return_pct": 249.9088203677809, "cagr_pct": 250.40970576071368, "max_drawdown_pct": 30.555844773091334, "mean_exposure_while_solvent": 1.391711523493235, "realized_annual_volatility_pct": 57.2591878775328, "trading_costs_quote_units": 63.39281102953547, "borrowing_costs_quote_units": 417.42317876413443, "price_pnl_quote_units": 25471.698026571812, "turnover_quote_units": 105654.68504922587, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34990.882036778086, "return_pct": 249.9088203677809, "cagr_pct": 250.40970576071368, "max_drawdown_pct": 30.555844773091334, "mean_exposure_while_solvent": 1.391711523493235, "realized_annual_volatility_pct": 57.2591878775328, "trading_costs_quote_units": 63.39281102953547, "borrowing_costs_quote_units": 417.42317876413443, "price_pnl_quote_units": 25471.698026571812, "turnover_quote_units": 105654.68504922587, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34990.882036778086, "return_pct": 249.9088203677809, "cagr_pct": 250.40970576071368, "max_drawdown_pct": 30.555844773091334, "mean_exposure_while_solvent": 1.391711523493235, "realized_annual_volatility_pct": 57.2591878775328, "trading_costs_quote_units": 63.39281102953547, "borrowing_costs_quote_units": 417.42317876413443, "price_pnl_quote_units": 25471.698026571812, "turnover_quote_units": 105654.68504922587, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34990.882036778086, "return_pct": 249.9088203677809, "cagr_pct": 250.40970576071368, "max_drawdown_pct": 30.555844773091334, "mean_exposure_while_solvent": 1.391711523493235, "realized_annual_volatility_pct": 57.2591878775328, "trading_costs_quote_units": 63.39281102953547, "borrowing_costs_quote_units": 417.42317876413443, "price_pnl_quote_units": 25471.698026571812, "turnover_quote_units": 105654.68504922587, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20551.761350631416, "return_pct": 105.51761350631415, "cagr_pct": 105.68676369348834, "max_drawdown_pct": 16.246830476476383, "mean_exposure_while_solvent": 0.74917844143069, "realized_annual_volatility_pct": 31.67113992902558, "trading_costs_quote_units": 13.556654617140364, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10565.318005248515, "turnover_quote_units": 22594.42436190063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20551.761350631416, "return_pct": 105.51761350631415, "cagr_pct": 105.68676369348834, "max_drawdown_pct": 16.246830476476383, "mean_exposure_while_solvent": 0.74917844143069, "realized_annual_volatility_pct": 31.67113992902558, "trading_costs_quote_units": 13.556654617140364, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10565.318005248515, "turnover_quote_units": 22594.42436190063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25534.50918607936, "return_pct": 155.34509186079356, "cagr_pct": 155.61861899144108, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 42.14367966566466, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15540.505588238051, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25534.50918607936, "return_pct": 155.34509186079356, "cagr_pct": 155.61861899144108, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 42.14367966566466, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15540.505588238051, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30922.616704179087, "return_pct": 209.2261670417909, "cagr_pct": 209.6251065182071, "max_drawdown_pct": 26.00962586309755, "mean_exposure_while_solvent": 1.2480034297846119, "realized_annual_volatility_pct": 52.582085407990796, "trading_costs_quote_units": 26.732529470351164, "borrowing_costs_quote_units": 244.02909922554335, "price_pnl_quote_units": 21193.378332875032, "turnover_quote_units": 44554.21578391864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30922.616704179087, "return_pct": 209.2261670417909, "cagr_pct": 209.6251065182071, "max_drawdown_pct": 26.00962586309755, "mean_exposure_while_solvent": 1.2480034297846119, "realized_annual_volatility_pct": 52.582085407990796, "trading_costs_quote_units": 26.732529470351164, "borrowing_costs_quote_units": 244.02909922554335, "price_pnl_quote_units": 21193.378332875032, "turnover_quote_units": 44554.21578391864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37007.300344654286, "return_pct": 270.0730034465429, "cagr_pct": 270.62646814405446, "max_drawdown_pct": 30.599337310341255, "mean_exposure_while_solvent": 1.4973115309515495, "realized_annual_volatility_pct": 62.99058644629378, "trading_costs_quote_units": 60.52948071999761, "borrowing_costs_quote_units": 546.1121901858049, "price_pnl_quote_units": 27613.942015560136, "turnover_quote_units": 100882.46786666266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37007.300344654286, "return_pct": 270.0730034465429, "cagr_pct": 270.62646814405446, "max_drawdown_pct": 30.599337310341255, "mean_exposure_while_solvent": 1.4973115309515495, "realized_annual_volatility_pct": 62.99058644629378, "trading_costs_quote_units": 60.52948071999761, "borrowing_costs_quote_units": 546.1121901858049, "price_pnl_quote_units": 27613.942015560136, "turnover_quote_units": 100882.46786666266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28223.155800026096, "return_pct": 182.23155800026097, "cagr_pct": 182.5661914925044, "max_drawdown_pct": 26.113748226973897, "mean_exposure_while_solvent": 1.0494185029657137, "realized_annual_volatility_pct": 43.13379881218417, "trading_costs_quote_units": 97.1417987053173, "borrowing_costs_quote_units": 198.1206551797219, "price_pnl_quote_units": 18518.418253911157, "turnover_quote_units": 161902.99784219524, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28223.155800026096, "return_pct": 182.23155800026097, "cagr_pct": 182.5661914925044, "max_drawdown_pct": 26.113748226973897, "mean_exposure_while_solvent": 1.0494185029657137, "realized_annual_volatility_pct": 43.13379881218417, "trading_costs_quote_units": 97.1417987053173, "borrowing_costs_quote_units": 198.1206551797219, "price_pnl_quote_units": 18518.418253911157, "turnover_quote_units": 161902.99784219524, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33077.962298507446, "return_pct": 230.77962298507444, "cagr_pct": 231.23185711641673, "max_drawdown_pct": 30.842116222706107, "mean_exposure_while_solvent": 1.3924509105399892, "realized_annual_volatility_pct": 57.20437931830554, "trading_costs_quote_units": 83.81692092935884, "borrowing_costs_quote_units": 817.5479511412499, "price_pnl_quote_units": 23979.327170577995, "turnover_quote_units": 139694.86821559805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33077.962298507446, "return_pct": 230.77962298507444, "cagr_pct": 231.23185711641673, "max_drawdown_pct": 30.842116222706107, "mean_exposure_while_solvent": 1.3924509105399892, "realized_annual_volatility_pct": 57.20437931830554, "trading_costs_quote_units": 83.81692092935884, "borrowing_costs_quote_units": 817.5479511412499, "price_pnl_quote_units": 23979.327170577995, "turnover_quote_units": 139694.86821559805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34230.36146985866, "return_pct": 242.30361469858659, "cagr_pct": 242.7850106225569, "max_drawdown_pct": 30.842116222706128, "mean_exposure_while_solvent": 1.4704424276956454, "realized_annual_volatility_pct": 61.33007089630653, "trading_costs_quote_units": 64.03308992824105, "borrowing_costs_quote_units": 976.2344311674896, "price_pnl_quote_units": 25270.628990954323, "turnover_quote_units": 106721.81654706848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34230.36146985866, "return_pct": 242.30361469858659, "cagr_pct": 242.7850106225569, "max_drawdown_pct": 30.842116222706128, "mean_exposure_while_solvent": 1.4704424276956454, "realized_annual_volatility_pct": 61.33007089630653, "trading_costs_quote_units": 64.03308992824105, "borrowing_costs_quote_units": 976.2344311674896, "price_pnl_quote_units": 25270.628990954323, "turnover_quote_units": 106721.81654706848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31958.001626254765, "return_pct": 219.58001626254764, "cagr_pct": 220.00434985725656, "max_drawdown_pct": 30.156955996680267, "mean_exposure_while_solvent": 1.3793002370085152, "realized_annual_volatility_pct": 56.26556579827625, "trading_costs_quote_units": 127.66802020151053, "borrowing_costs_quote_units": 762.7409259906608, "price_pnl_quote_units": 22848.41057244699, "turnover_quote_units": 212780.0336691839, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31958.001626254765, "return_pct": 219.58001626254764, "cagr_pct": 220.00434985725656, "max_drawdown_pct": 30.156955996680267, "mean_exposure_while_solvent": 1.3793002370085152, "realized_annual_volatility_pct": 56.26556579827625, "trading_costs_quote_units": 127.66802020151053, "borrowing_costs_quote_units": 762.7409259906608, "price_pnl_quote_units": 22848.41057244699, "turnover_quote_units": 212780.0336691839, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34311.80289563781, "return_pct": 243.11802895637814, "cagr_pct": 243.6015027631091, "max_drawdown_pct": 30.842116222706174, "mean_exposure_while_solvent": 1.3917444338490412, "realized_annual_volatility_pct": 57.26053294595139, "trading_costs_quote_units": 62.848857078830214, "borrowing_costs_quote_units": 825.697180515553, "price_pnl_quote_units": 25200.348933232246, "turnover_quote_units": 104748.09513138377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34311.80289563781, "return_pct": 243.11802895637814, "cagr_pct": 243.6015027631091, "max_drawdown_pct": 30.842116222706174, "mean_exposure_while_solvent": 1.3917444338490412, "realized_annual_volatility_pct": 57.26053294595139, "trading_costs_quote_units": 62.848857078830214, "borrowing_costs_quote_units": 825.697180515553, "price_pnl_quote_units": 25200.348933232246, "turnover_quote_units": 104748.09513138377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25088.74300996195, "return_pct": 150.88743009961948, "cagr_pct": 151.15113052143533, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9889617522550982, "realized_annual_volatility_pct": 41.61146102307616, "trading_costs_quote_units": 10.746107234979176, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15099.489117196932, "turnover_quote_units": 17910.178724965288, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25088.74300996195, "return_pct": 150.88743009961948, "cagr_pct": 151.15113052143533, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9889617522550982, "realized_annual_volatility_pct": 41.61146102307616, "trading_costs_quote_units": 10.746107234979176, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15099.489117196932, "turnover_quote_units": 17910.178724965288, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34311.80289563781, "return_pct": 243.11802895637814, "cagr_pct": 243.6015027631091, "max_drawdown_pct": 30.842116222706174, "mean_exposure_while_solvent": 1.3917444338490412, "realized_annual_volatility_pct": 57.26053294595139, "trading_costs_quote_units": 62.848857078830214, "borrowing_costs_quote_units": 825.697180515553, "price_pnl_quote_units": 25200.348933232246, "turnover_quote_units": 104748.09513138377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34311.80289563781, "return_pct": 243.11802895637814, "cagr_pct": 243.6015027631091, "max_drawdown_pct": 30.842116222706174, "mean_exposure_while_solvent": 1.3917444338490412, "realized_annual_volatility_pct": 57.26053294595139, "trading_costs_quote_units": 62.848857078830214, "borrowing_costs_quote_units": 825.697180515553, "price_pnl_quote_units": 25200.348933232246, "turnover_quote_units": 104748.09513138377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34311.80289563781, "return_pct": 243.11802895637814, "cagr_pct": 243.6015027631091, "max_drawdown_pct": 30.842116222706174, "mean_exposure_while_solvent": 1.3917444338490412, "realized_annual_volatility_pct": 57.26053294595139, "trading_costs_quote_units": 62.848857078830214, "borrowing_costs_quote_units": 825.697180515553, "price_pnl_quote_units": 25200.348933232246, "turnover_quote_units": 104748.09513138377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34311.80289563781, "return_pct": 243.11802895637814, "cagr_pct": 243.6015027631091, "max_drawdown_pct": 30.842116222706174, "mean_exposure_while_solvent": 1.3917444338490412, "realized_annual_volatility_pct": 57.26053294595139, "trading_costs_quote_units": 62.848857078830214, "borrowing_costs_quote_units": 825.697180515553, "price_pnl_quote_units": 25200.348933232246, "turnover_quote_units": 104748.09513138377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20551.761350631416, "return_pct": 105.51761350631415, "cagr_pct": 105.68676369348834, "max_drawdown_pct": 16.246830476476383, "mean_exposure_while_solvent": 0.74917844143069, "realized_annual_volatility_pct": 31.67113992902558, "trading_costs_quote_units": 13.556654617140364, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10565.318005248515, "turnover_quote_units": 22594.42436190063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20551.761350631416, "return_pct": 105.51761350631415, "cagr_pct": 105.68676369348834, "max_drawdown_pct": 16.246830476476383, "mean_exposure_while_solvent": 0.74917844143069, "realized_annual_volatility_pct": 31.67113992902558, "trading_costs_quote_units": 13.556654617140364, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10565.318005248515, "turnover_quote_units": 22594.42436190063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25534.50918607936, "return_pct": 155.34509186079356, "cagr_pct": 155.61861899144108, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 42.14367966566466, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15540.505588238051, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25534.50918607936, "return_pct": 155.34509186079356, "cagr_pct": 155.61861899144108, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 42.14367966566466, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15540.505588238051, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30540.407742683674, "return_pct": 205.40407742683672, "cagr_pct": 205.79374235508106, "max_drawdown_pct": 26.065652012791453, "mean_exposure_while_solvent": 1.2480211749658117, "realized_annual_volatility_pct": 52.582921701894705, "trading_costs_quote_units": 26.60565783563898, "borrowing_costs_quote_units": 484.7350911382855, "price_pnl_quote_units": 21051.748491657556, "turnover_quote_units": 44342.763059398225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30540.407742683674, "return_pct": 205.40407742683672, "cagr_pct": 205.79374235508106, "max_drawdown_pct": 26.065652012791453, "mean_exposure_while_solvent": 1.2480211749658117, "realized_annual_volatility_pct": 52.582921701894705, "trading_costs_quote_units": 26.60565783563898, "borrowing_costs_quote_units": 484.7350911382855, "price_pnl_quote_units": 21051.748491657556, "turnover_quote_units": 44342.763059398225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36098.39401115373, "return_pct": 260.9839401115373, "cagr_pct": 261.51354457010945, "max_drawdown_pct": 30.842116222706217, "mean_exposure_while_solvent": 1.497354105816042, "realized_annual_volatility_pct": 62.99258720163121, "trading_costs_quote_units": 59.84833021646038, "borrowing_costs_quote_units": 1077.1447910864572, "price_pnl_quote_units": 27235.38713245665, "turnover_quote_units": 99747.21702743389, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36098.39401115373, "return_pct": 260.9839401115373, "cagr_pct": 261.51354457010945, "max_drawdown_pct": 30.842116222706217, "mean_exposure_while_solvent": 1.497354105816042, "realized_annual_volatility_pct": 62.99258720163121, "trading_costs_quote_units": 59.84833021646038, "borrowing_costs_quote_units": 1077.1447910864572, "price_pnl_quote_units": 27235.38713245665, "turnover_quote_units": 99747.21702743389, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27885.672177187444, "return_pct": 178.85672177187445, "cagr_pct": 179.18351812987825, "max_drawdown_pct": 26.486530432870214, "mean_exposure_while_solvent": 1.0494371253874775, "realized_annual_volatility_pct": 43.133243232119625, "trading_costs_quote_units": 96.60176210264375, "borrowing_costs_quote_units": 393.7896792165561, "price_pnl_quote_units": 18376.063618506647, "turnover_quote_units": 161002.93683773957, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27885.672177187444, "return_pct": 178.85672177187445, "cagr_pct": 179.18351812987825, "max_drawdown_pct": 26.486530432870214, "mean_exposure_while_solvent": 1.0494371253874775, "realized_annual_volatility_pct": 43.133243232119625, "trading_costs_quote_units": 96.60176210264375, "borrowing_costs_quote_units": 393.7896792165561, "price_pnl_quote_units": 18376.063618506647, "turnover_quote_units": 161002.93683773957, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31773.01874783147, "return_pct": 217.73018747831466, "cagr_pct": 218.14995559263028, "max_drawdown_pct": 31.41128684151124, "mean_exposure_while_solvent": 1.3925179231185294, "realized_annual_volatility_pct": 57.20710308018293, "trading_costs_quote_units": 82.42496451689256, "borrowing_costs_quote_units": 1598.9583509497174, "price_pnl_quote_units": 23454.40206329791, "turnover_quote_units": 137374.94086148747, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31773.01874783147, "return_pct": 217.73018747831466, "cagr_pct": 218.14995559263028, "max_drawdown_pct": 31.41128684151124, "mean_exposure_while_solvent": 1.3925179231185294, "realized_annual_volatility_pct": 57.20710308018293, "trading_costs_quote_units": 82.42496451689256, "borrowing_costs_quote_units": 1598.9583509497174, "price_pnl_quote_units": 23454.40206329791, "turnover_quote_units": 137374.94086148747, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32656.090073211868, "return_pct": 226.56090073211868, "cagr_pct": 227.0025733787374, "max_drawdown_pct": 31.411286841511377, "mean_exposure_while_solvent": 1.4705224743828316, "realized_annual_volatility_pct": 61.33406692074056, "trading_costs_quote_units": 62.82754533149947, "borrowing_costs_quote_units": 1902.1131690447935, "price_pnl_quote_units": 24621.03078758815, "turnover_quote_units": 104712.57555249911, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32656.090073211868, "return_pct": 226.56090073211868, "cagr_pct": 227.0025733787374, "max_drawdown_pct": 31.411286841511377, "mean_exposure_while_solvent": 1.4705224743828316, "realized_annual_volatility_pct": 61.33406692074056, "trading_costs_quote_units": 62.82754533149947, "borrowing_costs_quote_units": 1902.1131690447935, "price_pnl_quote_units": 24621.03078758815, "turnover_quote_units": 104712.57555249911, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 30729.085269261985, "return_pct": 207.29085269261986, "cagr_pct": 207.68508920161347, "max_drawdown_pct": 30.72210623061521, "mean_exposure_while_solvent": 1.3793656306829796, "realized_annual_volatility_pct": 56.26861414198526, "trading_costs_quote_units": 125.58317141117008, "borrowing_costs_quote_units": 1492.9223486585033, "price_pnl_quote_units": 22347.590789331698, "turnover_quote_units": 209305.28568528348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 30729.085269261985, "return_pct": 207.29085269261986, "cagr_pct": 207.68508920161347, "max_drawdown_pct": 30.72210623061521, "mean_exposure_while_solvent": 1.3793656306829796, "realized_annual_volatility_pct": 56.26861414198526, "trading_costs_quote_units": 125.58317141117008, "borrowing_costs_quote_units": 1492.9223486585033, "price_pnl_quote_units": 22347.590789331698, "turnover_quote_units": 209305.28568528348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32992.56272140359, "return_pct": 229.92562721403593, "cagr_pct": 230.37571838588343, "max_drawdown_pct": 31.41128684151131, "mean_exposure_while_solvent": 1.3918102683930853, "realized_annual_volatility_pct": 57.2632423278312, "trading_costs_quote_units": 61.79475990819075, "borrowing_costs_quote_units": 1615.546143821864, "price_pnl_quote_units": 24669.903625133655, "turnover_quote_units": 102991.26651365116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32992.56272140359, "return_pct": 229.92562721403593, "cagr_pct": 230.37571838588343, "max_drawdown_pct": 31.41128684151131, "mean_exposure_while_solvent": 1.3918102683930853, "realized_annual_volatility_pct": 57.2632423278312, "trading_costs_quote_units": 61.79475990819075, "borrowing_costs_quote_units": 1615.546143821864, "price_pnl_quote_units": 24669.903625133655, "turnover_quote_units": 102991.26651365116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25088.74300996195, "return_pct": 150.88743009961948, "cagr_pct": 151.15113052143533, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9889617522550982, "realized_annual_volatility_pct": 41.61146102307616, "trading_costs_quote_units": 10.746107234979176, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15099.489117196932, "turnover_quote_units": 17910.178724965288, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25088.74300996195, "return_pct": 150.88743009961948, "cagr_pct": 151.15113052143533, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9889617522550982, "realized_annual_volatility_pct": 41.61146102307616, "trading_costs_quote_units": 10.746107234979176, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15099.489117196932, "turnover_quote_units": 17910.178724965288, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32992.56272140359, "return_pct": 229.92562721403593, "cagr_pct": 230.37571838588343, "max_drawdown_pct": 31.41128684151131, "mean_exposure_while_solvent": 1.3918102683930853, "realized_annual_volatility_pct": 57.2632423278312, "trading_costs_quote_units": 61.79475990819075, "borrowing_costs_quote_units": 1615.546143821864, "price_pnl_quote_units": 24669.903625133655, "turnover_quote_units": 102991.26651365116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32992.56272140359, "return_pct": 229.92562721403593, "cagr_pct": 230.37571838588343, "max_drawdown_pct": 31.41128684151131, "mean_exposure_while_solvent": 1.3918102683930853, "realized_annual_volatility_pct": 57.2632423278312, "trading_costs_quote_units": 61.79475990819075, "borrowing_costs_quote_units": 1615.546143821864, "price_pnl_quote_units": 24669.903625133655, "turnover_quote_units": 102991.26651365116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32992.56272140359, "return_pct": 229.92562721403593, "cagr_pct": 230.37571838588343, "max_drawdown_pct": 31.41128684151131, "mean_exposure_while_solvent": 1.3918102683930853, "realized_annual_volatility_pct": 57.2632423278312, "trading_costs_quote_units": 61.79475990819075, "borrowing_costs_quote_units": 1615.546143821864, "price_pnl_quote_units": 24669.903625133655, "turnover_quote_units": 102991.26651365116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32992.56272140359, "return_pct": 229.92562721403593, "cagr_pct": 230.37571838588343, "max_drawdown_pct": 31.41128684151131, "mean_exposure_while_solvent": 1.3918102683930853, "realized_annual_volatility_pct": 57.2632423278312, "trading_costs_quote_units": 61.79475990819075, "borrowing_costs_quote_units": 1615.546143821864, "price_pnl_quote_units": 24669.903625133655, "turnover_quote_units": 102991.26651365116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20551.761350631416, "return_pct": 105.51761350631415, "cagr_pct": 105.68676369348834, "max_drawdown_pct": 16.246830476476383, "mean_exposure_while_solvent": 0.74917844143069, "realized_annual_volatility_pct": 31.67113992902558, "trading_costs_quote_units": 13.556654617140364, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10565.318005248515, "turnover_quote_units": 22594.42436190063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20551.761350631416, "return_pct": 105.51761350631415, "cagr_pct": 105.68676369348834, "max_drawdown_pct": 16.246830476476383, "mean_exposure_while_solvent": 0.74917844143069, "realized_annual_volatility_pct": 31.67113992902558, "trading_costs_quote_units": 13.556654617140364, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10565.318005248515, "turnover_quote_units": 22594.42436190063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25534.50918607936, "return_pct": 155.34509186079356, "cagr_pct": 155.61861899144108, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 42.14367966566466, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15540.505588238051, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25534.50918607936, "return_pct": 155.34509186079356, "cagr_pct": 155.61861899144108, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 42.14367966566466, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15540.505588238051, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29789.92527764892, "return_pct": 197.89925277648922, "cagr_pct": 198.27086674077066, "max_drawdown_pct": 26.362295057187403, "mean_exposure_while_solvent": 1.2480566707859482, "realized_annual_volatility_pct": 52.58459489293842, "trading_costs_quote_units": 26.363869080428273, "borrowing_costs_quote_units": 956.3474260469583, "price_pnl_quote_units": 20772.636572776362, "turnover_quote_units": 43939.781800713805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29789.92527764892, "return_pct": 197.89925277648922, "cagr_pct": 198.27086674077066, "max_drawdown_pct": 26.362295057187403, "mean_exposure_while_solvent": 1.2480566707859482, "realized_annual_volatility_pct": 52.58459489293842, "trading_costs_quote_units": 26.363869080428273, "borrowing_costs_quote_units": 956.3474260469583, "price_pnl_quote_units": 20772.636572776362, "turnover_quote_units": 43939.781800713805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 34346.49598177767, "return_pct": 243.46495981777667, "cagr_pct": 243.94931945059616, "max_drawdown_pct": 31.411286841511334, "mean_exposure_while_solvent": 1.4974392739748779, "realized_annual_volatility_pct": 62.996590524701546, "trading_costs_quote_units": 58.54385798296329, "borrowing_costs_quote_units": 2095.5264853966833, "price_pnl_quote_units": 26500.56632515734, "turnover_quote_units": 97573.09663827224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 34346.49598177767, "return_pct": 243.46495981777667, "cagr_pct": 243.94931945059616, "max_drawdown_pct": 31.411286841511334, "mean_exposure_while_solvent": 1.4974392739748779, "realized_annual_volatility_pct": 62.996590524701546, "trading_costs_quote_units": 58.54385798296329, "borrowing_costs_quote_units": 2095.5264853966833, "price_pnl_quote_units": 26500.56632515734, "turnover_quote_units": 97573.09663827224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27614.86736927131, "return_pct": 176.1486736927131, "cagr_pct": 176.46921513402694, "max_drawdown_pct": 26.3094446638119, "mean_exposure_while_solvent": 1.0504530010739328, "realized_annual_volatility_pct": 43.11774096444321, "trading_costs_quote_units": 479.0983507847174, "borrowing_costs_quote_units": 97.74869623470731, "price_pnl_quote_units": 18191.714416290717, "turnover_quote_units": 159699.45026157235, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27614.86736927131, "return_pct": 176.1486736927131, "cagr_pct": 176.46921513402694, "max_drawdown_pct": 26.3094446638119, "mean_exposure_while_solvent": 1.0504530010739328, "realized_annual_volatility_pct": 43.11774096444321, "trading_costs_quote_units": 479.0983507847174, "borrowing_costs_quote_units": 97.74869623470731, "price_pnl_quote_units": 18191.714416290717, "turnover_quote_units": 159699.45026157235, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33225.64710985008, "return_pct": 232.25647109850075, "cagr_pct": 232.71241708684744, "max_drawdown_pct": 30.66245694954658, "mean_exposure_while_solvent": 1.3940867066659992, "realized_annual_volatility_pct": 57.162901028997645, "trading_costs_quote_units": 427.14911929985607, "borrowing_costs_quote_units": 410.0630505359843, "price_pnl_quote_units": 24062.85927968595, "turnover_quote_units": 142383.03976661855, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33225.64710985008, "return_pct": 232.25647109850075, "cagr_pct": 232.71241708684744, "max_drawdown_pct": 30.66245694954658, "mean_exposure_while_solvent": 1.3940867066659992, "realized_annual_volatility_pct": 57.162901028997645, "trading_costs_quote_units": 427.14911929985607, "borrowing_costs_quote_units": 410.0630505359843, "price_pnl_quote_units": 24062.85927968595, "turnover_quote_units": 142383.03976661855, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34546.86460678929, "return_pct": 245.4686460678929, "cagr_pct": 245.9581295942462, "max_drawdown_pct": 30.662456949546424, "mean_exposure_while_solvent": 1.4721572472766755, "realized_annual_volatility_pct": 61.31818170924651, "trading_costs_quote_units": 332.05788484375404, "borrowing_costs_quote_units": 490.31640353707854, "price_pnl_quote_units": 25369.238895170038, "turnover_quote_units": 110685.96161458474, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34546.86460678929, "return_pct": 245.4686460678929, "cagr_pct": 245.9581295942462, "max_drawdown_pct": 30.662456949546424, "mean_exposure_while_solvent": 1.4721572472766755, "realized_annual_volatility_pct": 61.31818170924651, "trading_costs_quote_units": 332.05788484375404, "borrowing_costs_quote_units": 490.31640353707854, "price_pnl_quote_units": 25369.238895170038, "turnover_quote_units": 110685.96161458474, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31568.41282752355, "return_pct": 215.68412827523548, "cagr_pct": 216.0988609660975, "max_drawdown_pct": 30.00569995062875, "mean_exposure_while_solvent": 1.381051844090232, "realized_annual_volatility_pct": 56.23977181943087, "trading_costs_quote_units": 642.955899806591, "borrowing_costs_quote_units": 379.36839364472974, "price_pnl_quote_units": 22590.73712097478, "turnover_quote_units": 214318.63326886354, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31568.41282752355, "return_pct": 215.68412827523548, "cagr_pct": 216.0988609660975, "max_drawdown_pct": 30.00569995062875, "mean_exposure_while_solvent": 1.381051844090232, "realized_annual_volatility_pct": 56.23977181943087, "trading_costs_quote_units": 642.955899806591, "borrowing_costs_quote_units": 379.36839364472974, "price_pnl_quote_units": 22590.73712097478, "turnover_quote_units": 214318.63326886354, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34531.660428446456, "return_pct": 245.31660428446455, "cagr_pct": 245.80569853697125, "max_drawdown_pct": 30.662456949546613, "mean_exposure_while_solvent": 1.393373689017981, "realized_annual_volatility_pct": 57.2632691502395, "trading_costs_quote_units": 324.40849949036834, "borrowing_costs_quote_units": 414.31417955888907, "price_pnl_quote_units": 25270.38310749571, "turnover_quote_units": 108136.16649678948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34531.660428446456, "return_pct": 245.31660428446455, "cagr_pct": 245.80569853697125, "max_drawdown_pct": 30.662456949546613, "mean_exposure_while_solvent": 1.393373689017981, "realized_annual_volatility_pct": 57.2632691502395, "trading_costs_quote_units": 324.40849949036834, "borrowing_costs_quote_units": 414.31417955888907, "price_pnl_quote_units": 25270.38310749571, "turnover_quote_units": 108136.16649678948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25033.21318034979, "return_pct": 150.3321318034979, "cagr_pct": 150.59461441312462, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9898929376464225, "realized_annual_volatility_pct": 41.60449345279944, "trading_costs_quote_units": 53.77954915825637, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15086.99272950804, "turnover_quote_units": 17926.51638608545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25033.21318034979, "return_pct": 150.3321318034979, "cagr_pct": 150.59461441312462, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9898929376464225, "realized_annual_volatility_pct": 41.60449345279944, "trading_costs_quote_units": 53.77954915825637, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15086.99272950804, "turnover_quote_units": 17926.51638608545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34531.660428446456, "return_pct": 245.31660428446455, "cagr_pct": 245.80569853697125, "max_drawdown_pct": 30.662456949546613, "mean_exposure_while_solvent": 1.393373689017981, "realized_annual_volatility_pct": 57.2632691502395, "trading_costs_quote_units": 324.40849949036834, "borrowing_costs_quote_units": 414.31417955888907, "price_pnl_quote_units": 25270.38310749571, "turnover_quote_units": 108136.16649678948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34531.660428446456, "return_pct": 245.31660428446455, "cagr_pct": 245.80569853697125, "max_drawdown_pct": 30.662456949546613, "mean_exposure_while_solvent": 1.393373689017981, "realized_annual_volatility_pct": 57.2632691502395, "trading_costs_quote_units": 324.40849949036834, "borrowing_costs_quote_units": 414.31417955888907, "price_pnl_quote_units": 25270.38310749571, "turnover_quote_units": 108136.16649678948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34531.660428446456, "return_pct": 245.31660428446455, "cagr_pct": 245.80569853697125, "max_drawdown_pct": 30.662456949546613, "mean_exposure_while_solvent": 1.393373689017981, "realized_annual_volatility_pct": 57.2632691502395, "trading_costs_quote_units": 324.40849949036834, "borrowing_costs_quote_units": 414.31417955888907, "price_pnl_quote_units": 25270.38310749571, "turnover_quote_units": 108136.16649678948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34531.660428446456, "return_pct": 245.31660428446455, "cagr_pct": 245.80569853697125, "max_drawdown_pct": 30.662456949546613, "mean_exposure_while_solvent": 1.393373689017981, "realized_annual_volatility_pct": 57.2632691502395, "trading_costs_quote_units": 324.40849949036834, "borrowing_costs_quote_units": 414.31417955888907, "price_pnl_quote_units": 25270.38310749571, "turnover_quote_units": 108136.16649678948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20497.07636309625, "return_pct": 104.97076363096252, "cagr_pct": 105.13883951245523, "max_drawdown_pct": 16.260106733098812, "mean_exposure_while_solvent": 0.7497826627998541, "realized_annual_volatility_pct": 31.66950242971305, "trading_costs_quote_units": 70.27004446855845, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10567.346407564832, "turnover_quote_units": 23423.348156186126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20497.07636309625, "return_pct": 104.97076363096252, "cagr_pct": 105.13883951245523, "max_drawdown_pct": 16.260106733098812, "mean_exposure_while_solvent": 0.7497826627998541, "realized_annual_volatility_pct": 31.66950242971305, "trading_costs_quote_units": 70.27004446855845, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10567.346407564832, "turnover_quote_units": 23423.348156186126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25527.159297918828, "return_pct": 155.27159297918826, "cagr_pct": 155.5449573584395, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 42.14515509244507, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15557.069567111232, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25527.159297918828, "return_pct": 155.27159297918826, "cagr_pct": 155.5449573584395, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 42.14515509244507, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15557.069567111232, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30774.664561310452, "return_pct": 207.74664561310453, "cagr_pct": 208.14198848211097, "max_drawdown_pct": 26.034563109890808, "mean_exposure_while_solvent": 1.2492646612467477, "realized_annual_volatility_pct": 52.58623592842072, "trading_costs_quote_units": 139.0967910951361, "borrowing_costs_quote_units": 243.48006902104046, "price_pnl_quote_units": 21157.24142142667, "turnover_quote_units": 46365.597031712, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30774.664561310452, "return_pct": 207.74664561310453, "cagr_pct": 208.14198848211097, "max_drawdown_pct": 26.034563109890808, "mean_exposure_while_solvent": 1.2492646612467477, "realized_annual_volatility_pct": 52.58623592842072, "trading_costs_quote_units": 139.0967910951361, "borrowing_costs_quote_units": 243.48006902104046, "price_pnl_quote_units": 21157.24142142667, "turnover_quote_units": 46365.597031712, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36598.80033119835, "return_pct": 265.98800331198345, "cagr_pct": 266.53071222789265, "max_drawdown_pct": 30.662456949546556, "mean_exposure_while_solvent": 1.4989512378108727, "realized_annual_volatility_pct": 62.998556831875355, "trading_costs_quote_units": 316.83713761187414, "borrowing_costs_quote_units": 542.7176442311355, "price_pnl_quote_units": 27458.355113041358, "turnover_quote_units": 105612.37920395806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36598.80033119835, "return_pct": 265.98800331198345, "cagr_pct": 266.53071222789265, "max_drawdown_pct": 30.662456949546556, "mean_exposure_while_solvent": 1.4989512378108727, "realized_annual_volatility_pct": 62.998556831875355, "trading_costs_quote_units": 316.83713761187414, "borrowing_costs_quote_units": 542.7176442311355, "price_pnl_quote_units": 27458.355113041358, "turnover_quote_units": 105612.37920395806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27449.27201364731, "return_pct": 174.4927201364731, "cagr_pct": 174.8094516966307, "max_drawdown_pct": 26.49579134029031, "mean_exposure_while_solvent": 1.0504623301399467, "realized_annual_volatility_pct": 43.11774000673052, "trading_costs_quote_units": 477.7627016889944, "borrowing_costs_quote_units": 194.89337728355753, "price_pnl_quote_units": 18121.92809261991, "turnover_quote_units": 159254.2338963313, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27449.27201364731, "return_pct": 174.4927201364731, "cagr_pct": 174.8094516966307, "max_drawdown_pct": 26.49579134029031, "mean_exposure_while_solvent": 1.0504623301399467, "realized_annual_volatility_pct": 43.11774000673052, "trading_costs_quote_units": 477.7627016889944, "borrowing_costs_quote_units": 194.89337728355753, "price_pnl_quote_units": 18121.92809261991, "turnover_quote_units": 159254.2338963313, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32563.147778664104, "return_pct": 225.63147778664106, "cagr_pct": 226.07083200179844, "max_drawdown_pct": 30.94877866038328, "mean_exposure_while_solvent": 1.3941203035571625, "realized_annual_volatility_pct": 57.16486540768302, "trading_costs_quote_units": 423.5273241103852, "borrowing_costs_quote_units": 810.981252865461, "price_pnl_quote_units": 23797.65635563996, "turnover_quote_units": 141175.77470346174, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32563.147778664104, "return_pct": 225.63147778664106, "cagr_pct": 226.07083200179844, "max_drawdown_pct": 30.94877866038328, "mean_exposure_while_solvent": 1.3941203035571625, "realized_annual_volatility_pct": 57.16486540768302, "trading_costs_quote_units": 423.5273241103852, "borrowing_costs_quote_units": 810.981252865461, "price_pnl_quote_units": 23797.65635563996, "turnover_quote_units": 141175.77470346174, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33742.48540313528, "return_pct": 237.42485403135282, "cagr_pct": 237.89384900687008, "max_drawdown_pct": 30.948778660383347, "mean_exposure_while_solvent": 1.4721973781554798, "realized_annual_volatility_pct": 61.320946809422374, "trading_costs_quote_units": 328.77736839545764, "borrowing_costs_quote_units": 967.8496466191292, "price_pnl_quote_units": 25039.11241814982, "turnover_quote_units": 109592.4561318191, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33742.48540313528, "return_pct": 237.42485403135282, "cagr_pct": 237.89384900687008, "max_drawdown_pct": 30.948778660383347, "mean_exposure_while_solvent": 1.4721973781554798, "realized_annual_volatility_pct": 61.320946809422374, "trading_costs_quote_units": 328.77736839545764, "borrowing_costs_quote_units": 967.8496466191292, "price_pnl_quote_units": 25039.11241814982, "turnover_quote_units": 109592.4561318191, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30954.71240569515, "return_pct": 209.54712405695153, "cagr_pct": 209.9468448272644, "max_drawdown_pct": 30.289892283692367, "mean_exposure_while_solvent": 1.3810846494669071, "realized_annual_volatility_pct": 56.24191737379498, "trading_costs_quote_units": 637.6309271688319, "borrowing_costs_quote_units": 750.5786533495113, "price_pnl_quote_units": 22342.921986213525, "turnover_quote_units": 212543.64238961067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30954.71240569515, "return_pct": 209.54712405695153, "cagr_pct": 209.9468448272644, "max_drawdown_pct": 30.289892283692367, "mean_exposure_while_solvent": 1.3810846494669071, "realized_annual_volatility_pct": 56.24191737379498, "trading_costs_quote_units": 637.6309271688319, "borrowing_costs_quote_units": 750.5786533495113, "price_pnl_quote_units": 22342.921986213525, "turnover_quote_units": 212543.64238961067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33860.67761106415, "return_pct": 238.6067761106415, "cagr_pct": 239.07876795426571, "max_drawdown_pct": 30.948778660383347, "mean_exposure_while_solvent": 1.3934067006465383, "realized_annual_volatility_pct": 57.26521631565381, "trading_costs_quote_units": 321.69677055400274, "borrowing_costs_quote_units": 819.5509049863263, "price_pnl_quote_units": 25001.925286604463, "turnover_quote_units": 107232.25685133434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33860.67761106415, "return_pct": 238.6067761106415, "cagr_pct": 239.07876795426571, "max_drawdown_pct": 30.948778660383347, "mean_exposure_while_solvent": 1.3934067006465383, "realized_annual_volatility_pct": 57.26521631565381, "trading_costs_quote_units": 321.69677055400274, "borrowing_costs_quote_units": 819.5509049863263, "price_pnl_quote_units": 25001.925286604463, "turnover_quote_units": 107232.25685133434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25033.21318034979, "return_pct": 150.3321318034979, "cagr_pct": 150.59461441312462, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9898929376464225, "realized_annual_volatility_pct": 41.60449345279944, "trading_costs_quote_units": 53.77954915825637, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15086.99272950804, "turnover_quote_units": 17926.51638608545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25033.21318034979, "return_pct": 150.3321318034979, "cagr_pct": 150.59461441312462, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9898929376464225, "realized_annual_volatility_pct": 41.60449345279944, "trading_costs_quote_units": 53.77954915825637, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15086.99272950804, "turnover_quote_units": 17926.51638608545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33860.67761106415, "return_pct": 238.6067761106415, "cagr_pct": 239.07876795426571, "max_drawdown_pct": 30.948778660383347, "mean_exposure_while_solvent": 1.3934067006465383, "realized_annual_volatility_pct": 57.26521631565381, "trading_costs_quote_units": 321.69677055400274, "borrowing_costs_quote_units": 819.5509049863263, "price_pnl_quote_units": 25001.925286604463, "turnover_quote_units": 107232.25685133434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33860.67761106415, "return_pct": 238.6067761106415, "cagr_pct": 239.07876795426571, "max_drawdown_pct": 30.948778660383347, "mean_exposure_while_solvent": 1.3934067006465383, "realized_annual_volatility_pct": 57.26521631565381, "trading_costs_quote_units": 321.69677055400274, "borrowing_costs_quote_units": 819.5509049863263, "price_pnl_quote_units": 25001.925286604463, "turnover_quote_units": 107232.25685133434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33860.67761106415, "return_pct": 238.6067761106415, "cagr_pct": 239.07876795426571, "max_drawdown_pct": 30.948778660383347, "mean_exposure_while_solvent": 1.3934067006465383, "realized_annual_volatility_pct": 57.26521631565381, "trading_costs_quote_units": 321.69677055400274, "borrowing_costs_quote_units": 819.5509049863263, "price_pnl_quote_units": 25001.925286604463, "turnover_quote_units": 107232.25685133434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33860.67761106415, "return_pct": 238.6067761106415, "cagr_pct": 239.07876795426571, "max_drawdown_pct": 30.948778660383347, "mean_exposure_while_solvent": 1.3934067006465383, "realized_annual_volatility_pct": 57.26521631565381, "trading_costs_quote_units": 321.69677055400274, "borrowing_costs_quote_units": 819.5509049863263, "price_pnl_quote_units": 25001.925286604463, "turnover_quote_units": 107232.25685133434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20497.07636309625, "return_pct": 104.97076363096252, "cagr_pct": 105.13883951245523, "max_drawdown_pct": 16.260106733098812, "mean_exposure_while_solvent": 0.7497826627998541, "realized_annual_volatility_pct": 31.66950242971305, "trading_costs_quote_units": 70.27004446855845, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10567.346407564832, "turnover_quote_units": 23423.348156186126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20497.07636309625, "return_pct": 104.97076363096252, "cagr_pct": 105.13883951245523, "max_drawdown_pct": 16.260106733098812, "mean_exposure_while_solvent": 0.7497826627998541, "realized_annual_volatility_pct": 31.66950242971305, "trading_costs_quote_units": 70.27004446855845, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10567.346407564832, "turnover_quote_units": 23423.348156186126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25527.159297918828, "return_pct": 155.27159297918826, "cagr_pct": 155.5449573584395, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 42.14515509244507, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15557.069567111232, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25527.159297918828, "return_pct": 155.27159297918826, "cagr_pct": 155.5449573584395, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 42.14515509244507, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15557.069567111232, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30393.924935222705, "return_pct": 203.93924935222705, "cagr_pct": 204.3253742585619, "max_drawdown_pct": 26.10484072881343, "mean_exposure_while_solvent": 1.2492824460554863, "realized_annual_volatility_pct": 52.58740700605847, "trading_costs_quote_units": 138.43624917258347, "borrowing_costs_quote_units": 483.6431718959995, "price_pnl_quote_units": 21016.004356291327, "turnover_quote_units": 46145.41639086112, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30393.924935222705, "return_pct": 203.93924935222705, "cagr_pct": 204.3253742585619, "max_drawdown_pct": 26.10484072881343, "mean_exposure_while_solvent": 1.2492824460554863, "realized_annual_volatility_pct": 52.58740700605847, "trading_costs_quote_units": 138.43624917258347, "borrowing_costs_quote_units": 483.6431718959995, "price_pnl_quote_units": 21016.004356291327, "turnover_quote_units": 46145.41639086112, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 35699.04734089543, "return_pct": 256.99047340895424, "cagr_pct": 257.50967685950167, "max_drawdown_pct": 30.94877866038329, "mean_exposure_while_solvent": 1.4989939124830445, "realized_annual_volatility_pct": 63.001359917253254, "trading_costs_quote_units": 313.2563900508701, "borrowing_costs_quote_units": 1070.4529620514802, "price_pnl_quote_units": 27082.756692997777, "turnover_quote_units": 104418.79668362341, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 35699.04734089543, "return_pct": 256.99047340895424, "cagr_pct": 257.50967685950167, "max_drawdown_pct": 30.94877866038329, "mean_exposure_while_solvent": 1.4989939124830445, "realized_annual_volatility_pct": 63.001359917253254, "trading_costs_quote_units": 313.2563900508701, "borrowing_costs_quote_units": 1070.4529620514802, "price_pnl_quote_units": 27082.756692997777, "turnover_quote_units": 104418.79668362341, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27120.936981350427, "return_pct": 171.20936981350425, "cagr_pct": 171.51858119508617, "max_drawdown_pct": 26.86716613148973, "mean_exposure_while_solvent": 1.0504809917094238, "realized_annual_volatility_pct": 43.117760279708236, "trading_costs_quote_units": 475.122106780684, "borrowing_costs_quote_units": 387.38410701248813, "price_pnl_quote_units": 17983.443195143584, "turnover_quote_units": 158374.03559356128, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27120.936981350427, "return_pct": 171.20936981350425, "cagr_pct": 171.51858119508617, "max_drawdown_pct": 26.86716613148973, "mean_exposure_while_solvent": 1.0504809917094238, "realized_annual_volatility_pct": 43.117760279708236, "trading_costs_quote_units": 475.122106780684, "borrowing_costs_quote_units": 387.38410701248813, "price_pnl_quote_units": 17983.443195143584, "turnover_quote_units": 158374.03559356128, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31277.115020132296, "return_pct": 212.77115020132297, "cagr_pct": 213.1787401698461, "max_drawdown_pct": 31.518061670731424, "mean_exposure_while_solvent": 1.3941875112574216, "realized_annual_volatility_pct": 57.168808099152116, "trading_costs_quote_units": 416.46440350076335, "borrowing_costs_quote_units": 1586.1467150496665, "price_pnl_quote_units": 23279.726138682767, "turnover_quote_units": 138821.4678335876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31277.115020132296, "return_pct": 212.77115020132297, "cagr_pct": 213.1787401698461, "max_drawdown_pct": 31.518061670731424, "mean_exposure_while_solvent": 1.3941875112574216, "realized_annual_volatility_pct": 57.168808099152116, "trading_costs_quote_units": 416.46440350076335, "borrowing_costs_quote_units": 1586.1467150496665, "price_pnl_quote_units": 23279.726138682767, "turnover_quote_units": 138821.4678335876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32188.935551374256, "return_pct": 221.88935551374254, "cagr_pct": 222.3194058829877, "max_drawdown_pct": 31.581999061202424, "mean_exposure_while_solvent": 1.4722776571390694, "realized_annual_volatility_pct": 61.32648256427602, "trading_costs_quote_units": 322.4415560475773, "borrowing_costs_quote_units": 1885.8127913929197, "price_pnl_quote_units": 24397.189898814744, "turnover_quote_units": 107480.51868252583, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32188.935551374256, "return_pct": 221.88935551374254, "cagr_pct": 222.3194058829877, "max_drawdown_pct": 31.581999061202424, "mean_exposure_while_solvent": 1.4722776571390694, "realized_annual_volatility_pct": 61.32648256427602, "trading_costs_quote_units": 322.4415560475773, "borrowing_costs_quote_units": 1885.8127913929197, "price_pnl_quote_units": 24397.189898814744, "turnover_quote_units": 107480.51868252583, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29762.46315403419, "return_pct": 197.6246315403419, "cagr_pct": 197.9955890447178, "max_drawdown_pct": 30.855005104114586, "mean_exposure_while_solvent": 1.381150273881947, "realized_annual_volatility_pct": 56.24622514542501, "trading_costs_quote_units": 627.241618404865, "borrowing_costs_quote_units": 1469.183909145174, "price_pnl_quote_units": 21858.888681584267, "turnover_quote_units": 209080.5394682882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29762.46315403419, "return_pct": 197.6246315403419, "cagr_pct": 197.9955890447178, "max_drawdown_pct": 30.855005104114586, "mean_exposure_while_solvent": 1.381150273881947, "realized_annual_volatility_pct": 56.24622514542501, "trading_costs_quote_units": 627.241618404865, "borrowing_costs_quote_units": 1469.183909145174, "price_pnl_quote_units": 21858.888681584267, "turnover_quote_units": 209080.5394682882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32557.113632733788, "return_pct": 225.57113632733788, "cagr_pct": 226.01034012654023, "max_drawdown_pct": 31.518061670731434, "mean_exposure_while_solvent": 1.3934727377858471, "realized_annual_volatility_pct": 57.26912964297084, "trading_costs_quote_units": 316.4586317214499, "borrowing_costs_quote_units": 1603.5323928651158, "price_pnl_quote_units": 24477.10465732037, "turnover_quote_units": 105486.21057381672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32557.113632733788, "return_pct": 225.57113632733788, "cagr_pct": 226.01034012654023, "max_drawdown_pct": 31.518061670731434, "mean_exposure_while_solvent": 1.3934727377858471, "realized_annual_volatility_pct": 57.26912964297084, "trading_costs_quote_units": 316.4586317214499, "borrowing_costs_quote_units": 1603.5323928651158, "price_pnl_quote_units": 24477.10465732037, "turnover_quote_units": 105486.21057381672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25033.21318034979, "return_pct": 150.3321318034979, "cagr_pct": 150.59461441312462, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9898929376464225, "realized_annual_volatility_pct": 41.60449345279944, "trading_costs_quote_units": 53.77954915825637, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15086.99272950804, "turnover_quote_units": 17926.51638608545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25033.21318034979, "return_pct": 150.3321318034979, "cagr_pct": 150.59461441312462, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9898929376464225, "realized_annual_volatility_pct": 41.60449345279944, "trading_costs_quote_units": 53.77954915825637, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15086.99272950804, "turnover_quote_units": 17926.51638608545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32557.113632733788, "return_pct": 225.57113632733788, "cagr_pct": 226.01034012654023, "max_drawdown_pct": 31.518061670731434, "mean_exposure_while_solvent": 1.3934727377858471, "realized_annual_volatility_pct": 57.26912964297084, "trading_costs_quote_units": 316.4586317214499, "borrowing_costs_quote_units": 1603.5323928651158, "price_pnl_quote_units": 24477.10465732037, "turnover_quote_units": 105486.21057381672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32557.113632733788, "return_pct": 225.57113632733788, "cagr_pct": 226.01034012654023, "max_drawdown_pct": 31.518061670731434, "mean_exposure_while_solvent": 1.3934727377858471, "realized_annual_volatility_pct": 57.26912964297084, "trading_costs_quote_units": 316.4586317214499, "borrowing_costs_quote_units": 1603.5323928651158, "price_pnl_quote_units": 24477.10465732037, "turnover_quote_units": 105486.21057381672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32557.113632733788, "return_pct": 225.57113632733788, "cagr_pct": 226.01034012654023, "max_drawdown_pct": 31.518061670731434, "mean_exposure_while_solvent": 1.3934727377858471, "realized_annual_volatility_pct": 57.26912964297084, "trading_costs_quote_units": 316.4586317214499, "borrowing_costs_quote_units": 1603.5323928651158, "price_pnl_quote_units": 24477.10465732037, "turnover_quote_units": 105486.21057381672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32557.113632733788, "return_pct": 225.57113632733788, "cagr_pct": 226.01034012654023, "max_drawdown_pct": 31.518061670731434, "mean_exposure_while_solvent": 1.3934727377858471, "realized_annual_volatility_pct": 57.26912964297084, "trading_costs_quote_units": 316.4586317214499, "borrowing_costs_quote_units": 1603.5323928651158, "price_pnl_quote_units": 24477.10465732037, "turnover_quote_units": 105486.21057381672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20497.07636309625, "return_pct": 104.97076363096252, "cagr_pct": 105.13883951245523, "max_drawdown_pct": 16.260106733098812, "mean_exposure_while_solvent": 0.7497826627998541, "realized_annual_volatility_pct": 31.66950242971305, "trading_costs_quote_units": 70.27004446855845, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10567.346407564832, "turnover_quote_units": 23423.348156186126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20497.07636309625, "return_pct": 104.97076363096252, "cagr_pct": 105.13883951245523, "max_drawdown_pct": 16.260106733098812, "mean_exposure_while_solvent": 0.7497826627998541, "realized_annual_volatility_pct": 31.66950242971305, "trading_costs_quote_units": 70.27004446855845, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10567.346407564832, "turnover_quote_units": 23423.348156186126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25527.159297918828, "return_pct": 155.27159297918826, "cagr_pct": 155.5449573584395, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 42.14515509244507, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15557.069567111232, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25527.159297918828, "return_pct": 155.27159297918826, "cagr_pct": 155.5449573584395, "max_drawdown_pct": 21.203984916591434, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 42.14515509244507, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15557.069567111232, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29646.303858894564, "return_pct": 196.46303858894564, "cagr_pct": 196.83122261081536, "max_drawdown_pct": 26.409641993521305, "mean_exposure_while_solvent": 1.2493180211451014, "realized_annual_volatility_pct": 52.58974939224906, "trading_costs_quote_units": 137.16113592242723, "borrowing_costs_quote_units": 954.187140199196, "price_pnl_quote_units": 20737.652135016207, "turnover_quote_units": 45720.37864080914, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29646.303858894564, "return_pct": 196.46303858894564, "cagr_pct": 196.83122261081536, "max_drawdown_pct": 26.409641993521305, "mean_exposure_while_solvent": 1.2493180211451014, "realized_annual_volatility_pct": 52.58974939224906, "trading_costs_quote_units": 137.16113592242723, "borrowing_costs_quote_units": 954.187140199196, "price_pnl_quote_units": 20737.652135016207, "turnover_quote_units": 45720.37864080914, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33964.75440611395, "return_pct": 239.6475440611395, "cagr_pct": 240.1221787757545, "max_drawdown_pct": 31.583186185324642, "mean_exposure_while_solvent": 1.4990792803069883, "realized_annual_volatility_pct": 63.006967152436076, "trading_costs_quote_units": 306.3550021741455, "borrowing_costs_quote_units": 2082.518268058155, "price_pnl_quote_units": 26353.627676346256, "turnover_quote_units": 102118.33405804851, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33964.75440611395, "return_pct": 239.6475440611395, "cagr_pct": 240.1221787757545, "max_drawdown_pct": 31.583186185324642, "mean_exposure_while_solvent": 1.4990792803069883, "realized_annual_volatility_pct": 63.006967152436076, "trading_costs_quote_units": 306.3550021741455, "borrowing_costs_quote_units": 2082.518268058155, "price_pnl_quote_units": 26353.627676346256, "turnover_quote_units": 102118.33405804851, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27753.093314386977, "return_pct": 177.5309331438698, "cagr_pct": 177.854663480663, "max_drawdown_pct": 26.170456246812222, "mean_exposure_while_solvent": 1.0494091934691618, "realized_annual_volatility_pct": 43.134275161407835, "trading_costs_quote_units": 480.8212559297892, "borrowing_costs_quote_units": 97.95471062036036, "price_pnl_quote_units": 18331.869280937146, "turnover_quote_units": 160273.75197659642, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27753.093314386977, "return_pct": 177.5309331438698, "cagr_pct": 177.854663480663, "max_drawdown_pct": 26.170456246812222, "mean_exposure_while_solvent": 1.0494091934691618, "realized_annual_volatility_pct": 43.134275161407835, "trading_costs_quote_units": 480.8212559297892, "borrowing_costs_quote_units": 97.95471062036036, "price_pnl_quote_units": 18331.869280937146, "turnover_quote_units": 160273.75197659642, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33137.50981779007, "return_pct": 231.37509817790072, "cagr_pct": 231.82882804877698, "max_drawdown_pct": 30.631450930970505, "mean_exposure_while_solvent": 1.3924174111866934, "realized_annual_volatility_pct": 57.20300064999265, "trading_costs_quote_units": 417.9608109034085, "borrowing_costs_quote_units": 407.9521988772478, "price_pnl_quote_units": 23963.42282757074, "turnover_quote_units": 139320.27030113604, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33137.50981779007, "return_pct": 231.37509817790072, "cagr_pct": 231.82882804877698, "max_drawdown_pct": 30.631450930970505, "mean_exposure_while_solvent": 1.3924174111866934, "realized_annual_volatility_pct": 57.20300064999265, "trading_costs_quote_units": 417.9608109034085, "borrowing_costs_quote_units": 407.9521988772478, "price_pnl_quote_units": 23963.42282757074, "turnover_quote_units": 139320.27030113604, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34550.06420950785, "return_pct": 245.5006420950785, "cagr_pct": 245.99020755088654, "max_drawdown_pct": 30.649893638540814, "mean_exposure_while_solvent": 1.470402412935406, "realized_annual_volatility_pct": 61.32772833558916, "trading_costs_quote_units": 320.38980042087655, "borrowing_costs_quote_units": 489.47769847707843, "price_pnl_quote_units": 25359.931708405835, "turnover_quote_units": 106796.60014029217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34550.06420950785, "return_pct": 245.5006420950785, "cagr_pct": 245.99020755088654, "max_drawdown_pct": 30.649893638540814, "mean_exposure_while_solvent": 1.470402412935406, "realized_annual_volatility_pct": 61.32772833558916, "trading_costs_quote_units": 320.38980042087655, "borrowing_costs_quote_units": 489.47769847707843, "price_pnl_quote_units": 25359.931708405835, "turnover_quote_units": 106796.60014029217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 31691.903896913318, "return_pct": 216.91903896913317, "cagr_pct": 217.3368090083739, "max_drawdown_pct": 29.986034602642874, "mean_exposure_while_solvent": 1.3792675469718525, "realized_annual_volatility_pct": 56.26506052247514, "trading_costs_quote_units": 633.150427732382, "borrowing_costs_quote_units": 378.0034967604553, "price_pnl_quote_units": 22703.057821406113, "turnover_quote_units": 211050.14257746047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 31691.903896913318, "return_pct": 216.91903896913317, "cagr_pct": 217.3368090083739, "max_drawdown_pct": 29.986034602642874, "mean_exposure_while_solvent": 1.3792675469718525, "realized_annual_volatility_pct": 56.26506052247514, "trading_costs_quote_units": 633.150427732382, "borrowing_costs_quote_units": 378.0034967604553, "price_pnl_quote_units": 22703.057821406113, "turnover_quote_units": 211050.14257746047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34508.719057911425, "return_pct": 245.08719057911424, "cagr_pct": 245.57569760689213, "max_drawdown_pct": 30.63145093097045, "mean_exposure_while_solvent": 1.391711523493235, "realized_annual_volatility_pct": 57.2602986682609, "trading_costs_quote_units": 314.13282199720146, "borrowing_costs_quote_units": 413.2065631111007, "price_pnl_quote_units": 25236.05844301972, "turnover_quote_units": 104710.94066573393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34508.719057911425, "return_pct": 245.08719057911424, "cagr_pct": 245.57569760689213, "max_drawdown_pct": 30.63145093097045, "mean_exposure_while_solvent": 1.391711523493235, "realized_annual_volatility_pct": 57.2602986682609, "trading_costs_quote_units": 314.13282199720146, "borrowing_costs_quote_units": 413.2065631111007, "price_pnl_quote_units": 25236.05844301972, "turnover_quote_units": 104710.94066573393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25000.16231069217, "return_pct": 150.00162310692167, "cagr_pct": 150.2633815544681, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9889617522550982, "realized_annual_volatility_pct": 41.61191464429679, "trading_costs_quote_units": 53.58814391973537, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15053.750454611918, "turnover_quote_units": 17862.714639911777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25000.16231069217, "return_pct": 150.00162310692167, "cagr_pct": 150.2633815544681, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9889617522550982, "realized_annual_volatility_pct": 41.61191464429679, "trading_costs_quote_units": 53.58814391973537, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15053.750454611918, "turnover_quote_units": 17862.714639911777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34508.719057911425, "return_pct": 245.08719057911424, "cagr_pct": 245.57569760689213, "max_drawdown_pct": 30.63145093097045, "mean_exposure_while_solvent": 1.391711523493235, "realized_annual_volatility_pct": 57.2602986682609, "trading_costs_quote_units": 314.13282199720146, "borrowing_costs_quote_units": 413.2065631111007, "price_pnl_quote_units": 25236.05844301972, "turnover_quote_units": 104710.94066573393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34508.719057911425, "return_pct": 245.08719057911424, "cagr_pct": 245.57569760689213, "max_drawdown_pct": 30.63145093097045, "mean_exposure_while_solvent": 1.391711523493235, "realized_annual_volatility_pct": 57.2602986682609, "trading_costs_quote_units": 314.13282199720146, "borrowing_costs_quote_units": 413.2065631111007, "price_pnl_quote_units": 25236.05844301972, "turnover_quote_units": 104710.94066573393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34508.719057911425, "return_pct": 245.08719057911424, "cagr_pct": 245.57569760689213, "max_drawdown_pct": 30.63145093097045, "mean_exposure_while_solvent": 1.391711523493235, "realized_annual_volatility_pct": 57.2602986682609, "trading_costs_quote_units": 314.13282199720146, "borrowing_costs_quote_units": 413.2065631111007, "price_pnl_quote_units": 25236.05844301972, "turnover_quote_units": 104710.94066573393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34508.719057911425, "return_pct": 245.08719057911424, "cagr_pct": 245.57569760689213, "max_drawdown_pct": 30.63145093097045, "mean_exposure_while_solvent": 1.391711523493235, "realized_annual_volatility_pct": 57.2602986682609, "trading_costs_quote_units": 314.13282199720146, "borrowing_costs_quote_units": 413.2065631111007, "price_pnl_quote_units": 25236.05844301972, "turnover_quote_units": 104710.94066573393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20465.896016243205, "return_pct": 104.65896016243205, "cagr_pct": 104.82642424218285, "max_drawdown_pct": 16.261581452875763, "mean_exposure_while_solvent": 0.74917844143069, "realized_annual_volatility_pct": 31.671431828906403, "trading_costs_quote_units": 67.61816387925367, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10533.51418012247, "turnover_quote_units": 22539.387959751242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20465.896016243205, "return_pct": 104.65896016243205, "cagr_pct": 104.82642424218285, "max_drawdown_pct": 16.261581452875763, "mean_exposure_while_solvent": 0.74917844143069, "realized_annual_volatility_pct": 31.671431828906403, "trading_costs_quote_units": 67.61816387925367, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10533.51418012247, "turnover_quote_units": 22539.387959751242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25473.409662603193, "return_pct": 154.73409662603194, "cagr_pct": 155.0062715431795, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 42.14494669853838, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15503.319931795586, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25473.409662603193, "return_pct": 154.73409662603194, "cagr_pct": 155.0062715431795, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 42.14494669853838, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15503.319931795586, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30708.553819415934, "return_pct": 207.08553819415934, "cagr_pct": 207.47927658980788, "max_drawdown_pct": 26.0318640707871, "mean_exposure_while_solvent": 1.2480034297846119, "realized_annual_volatility_pct": 52.582722015163554, "trading_costs_quote_units": 133.00799290669738, "borrowing_costs_quote_units": 242.73185657613664, "price_pnl_quote_units": 21084.293668898812, "turnover_quote_units": 44335.99763556585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30708.553819415934, "return_pct": 207.08553819415934, "cagr_pct": 207.47927658980788, "max_drawdown_pct": 26.0318640707871, "mean_exposure_while_solvent": 1.2480034297846119, "realized_annual_volatility_pct": 52.582722015163554, "trading_costs_quote_units": 133.00799290669738, "borrowing_costs_quote_units": 242.73185657613664, "price_pnl_quote_units": 21084.293668898812, "turnover_quote_units": 44335.99763556585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36527.370530795815, "return_pct": 265.27370530795815, "cagr_pct": 265.81453882785286, "max_drawdown_pct": 30.649893638540814, "mean_exposure_while_solvent": 1.4973115309515492, "realized_annual_volatility_pct": 62.99039571162265, "trading_costs_quote_units": 300.05419231431796, "borrowing_costs_quote_units": 541.0819218454883, "price_pnl_quote_units": 27368.506644955567, "turnover_quote_units": 100018.06410477264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36527.370530795815, "return_pct": 265.27370530795815, "cagr_pct": 265.81453882785286, "max_drawdown_pct": 30.649893638540814, "mean_exposure_while_solvent": 1.4973115309515492, "realized_annual_volatility_pct": 62.99039571162265, "trading_costs_quote_units": 300.05419231431796, "borrowing_costs_quote_units": 541.0819218454883, "price_pnl_quote_units": 27368.506644955567, "turnover_quote_units": 100018.06410477264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27586.68547572375, "return_pct": 175.86685475723746, "cagr_pct": 176.1867470083035, "max_drawdown_pct": 26.356959635332554, "mean_exposure_while_solvent": 1.0494185029657137, "realized_annual_volatility_pct": 43.1339880716972, "trading_costs_quote_units": 479.47900617560725, "borrowing_costs_quote_units": 195.30315407628188, "price_pnl_quote_units": 18261.467635975634, "turnover_quote_units": 159826.3353918692, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27586.68547572375, "return_pct": 175.86685475723746, "cagr_pct": 176.1867470083035, "max_drawdown_pct": 26.356959635332554, "mean_exposure_while_solvent": 1.0494185029657137, "realized_annual_volatility_pct": 43.1339880716972, "trading_costs_quote_units": 479.47900617560725, "borrowing_costs_quote_units": 195.30315407628188, "price_pnl_quote_units": 18261.467635975634, "turnover_quote_units": 159826.3353918692, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32477.477502601243, "return_pct": 224.7747750260124, "cagr_pct": 225.21199489896756, "max_drawdown_pct": 30.91769384824201, "mean_exposure_while_solvent": 1.3924509105399892, "realized_annual_volatility_pct": 57.20437245094633, "trading_costs_quote_units": 414.43259620806003, "borrowing_costs_quote_units": 806.8157005551875, "price_pnl_quote_units": 23698.725799364536, "turnover_quote_units": 138144.19873601993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32477.477502601243, "return_pct": 224.7747750260124, "cagr_pct": 225.21199489896756, "max_drawdown_pct": 30.91769384824201, "mean_exposure_while_solvent": 1.3924509105399892, "realized_annual_volatility_pct": 57.20437245094633, "trading_costs_quote_units": 414.43259620806003, "borrowing_costs_quote_units": 806.8157005551875, "price_pnl_quote_units": 23698.725799364536, "turnover_quote_units": 138144.19873601993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33746.42179843706, "return_pct": 237.46421798437063, "cagr_pct": 237.9333126944619, "max_drawdown_pct": 30.917693848242024, "mean_exposure_while_solvent": 1.4704424276956454, "realized_annual_volatility_pct": 61.329752520818204, "trading_costs_quote_units": 317.2930785298132, "borrowing_costs_quote_units": 966.2026098260995, "price_pnl_quote_units": 25029.917486792954, "turnover_quote_units": 105764.35950993765, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33746.42179843706, "return_pct": 237.46421798437063, "cagr_pct": 237.9333126944619, "max_drawdown_pct": 30.917693848242024, "mean_exposure_while_solvent": 1.4704424276956454, "realized_annual_volatility_pct": 61.329752520818204, "trading_costs_quote_units": 317.2930785298132, "borrowing_costs_quote_units": 966.2026098260995, "price_pnl_quote_units": 25029.917486792954, "turnover_quote_units": 105764.35950993765, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31076.683081818202, "return_pct": 210.76683081818203, "cagr_pct": 211.16952414761835, "max_drawdown_pct": 30.269975538964154, "mean_exposure_while_solvent": 1.3793002370085152, "realized_annual_volatility_pct": 56.26659334720683, "trading_costs_quote_units": 627.9388694089641, "borrowing_costs_quote_units": 747.8835116418165, "price_pnl_quote_units": 22452.50546286904, "turnover_quote_units": 209312.95646965457, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31076.683081818202, "return_pct": 210.76683081818203, "cagr_pct": 211.16952414761835, "max_drawdown_pct": 30.269975538964154, "mean_exposure_while_solvent": 1.3793002370085152, "realized_annual_volatility_pct": 56.26659334720683, "trading_costs_quote_units": 627.9388694089641, "borrowing_costs_quote_units": 747.8835116418165, "price_pnl_quote_units": 22452.50546286904, "turnover_quote_units": 209312.95646965457, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33839.07473219518, "return_pct": 238.3907473219518, "cagr_pct": 238.86219105217927, "max_drawdown_pct": 30.91769384824188, "mean_exposure_while_solvent": 1.3917444338490412, "realized_annual_volatility_pct": 57.26166713019259, "trading_costs_quote_units": 311.4515635339284, "borrowing_costs_quote_units": 817.3702835824548, "price_pnl_quote_units": 24967.896579311422, "turnover_quote_units": 103817.18784464289, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33839.07473219518, "return_pct": 238.3907473219518, "cagr_pct": 238.86219105217927, "max_drawdown_pct": 30.91769384824188, "mean_exposure_while_solvent": 1.3917444338490412, "realized_annual_volatility_pct": 57.26166713019259, "trading_costs_quote_units": 311.4515635339284, "borrowing_costs_quote_units": 817.3702835824548, "price_pnl_quote_units": 24967.896579311422, "turnover_quote_units": 103817.18784464289, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25000.16231069217, "return_pct": 150.00162310692167, "cagr_pct": 150.2633815544681, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9889617522550982, "realized_annual_volatility_pct": 41.61191464429679, "trading_costs_quote_units": 53.58814391973537, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15053.750454611918, "turnover_quote_units": 17862.714639911777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25000.16231069217, "return_pct": 150.00162310692167, "cagr_pct": 150.2633815544681, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9889617522550982, "realized_annual_volatility_pct": 41.61191464429679, "trading_costs_quote_units": 53.58814391973537, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15053.750454611918, "turnover_quote_units": 17862.714639911777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33839.07473219518, "return_pct": 238.3907473219518, "cagr_pct": 238.86219105217927, "max_drawdown_pct": 30.91769384824188, "mean_exposure_while_solvent": 1.3917444338490412, "realized_annual_volatility_pct": 57.26166713019259, "trading_costs_quote_units": 311.4515635339284, "borrowing_costs_quote_units": 817.3702835824548, "price_pnl_quote_units": 24967.896579311422, "turnover_quote_units": 103817.18784464289, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33839.07473219518, "return_pct": 238.3907473219518, "cagr_pct": 238.86219105217927, "max_drawdown_pct": 30.91769384824188, "mean_exposure_while_solvent": 1.3917444338490412, "realized_annual_volatility_pct": 57.26166713019259, "trading_costs_quote_units": 311.4515635339284, "borrowing_costs_quote_units": 817.3702835824548, "price_pnl_quote_units": 24967.896579311422, "turnover_quote_units": 103817.18784464289, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33839.07473219518, "return_pct": 238.3907473219518, "cagr_pct": 238.86219105217927, "max_drawdown_pct": 30.91769384824188, "mean_exposure_while_solvent": 1.3917444338490412, "realized_annual_volatility_pct": 57.26166713019259, "trading_costs_quote_units": 311.4515635339284, "borrowing_costs_quote_units": 817.3702835824548, "price_pnl_quote_units": 24967.896579311422, "turnover_quote_units": 103817.18784464289, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33839.07473219518, "return_pct": 238.3907473219518, "cagr_pct": 238.86219105217927, "max_drawdown_pct": 30.91769384824188, "mean_exposure_while_solvent": 1.3917444338490412, "realized_annual_volatility_pct": 57.26166713019259, "trading_costs_quote_units": 311.4515635339284, "borrowing_costs_quote_units": 817.3702835824548, "price_pnl_quote_units": 24967.896579311422, "turnover_quote_units": 103817.18784464289, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20465.896016243205, "return_pct": 104.65896016243205, "cagr_pct": 104.82642424218285, "max_drawdown_pct": 16.261581452875763, "mean_exposure_while_solvent": 0.74917844143069, "realized_annual_volatility_pct": 31.671431828906403, "trading_costs_quote_units": 67.61816387925367, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10533.51418012247, "turnover_quote_units": 22539.387959751242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20465.896016243205, "return_pct": 104.65896016243205, "cagr_pct": 104.82642424218285, "max_drawdown_pct": 16.261581452875763, "mean_exposure_while_solvent": 0.74917844143069, "realized_annual_volatility_pct": 31.671431828906403, "trading_costs_quote_units": 67.61816387925367, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10533.51418012247, "turnover_quote_units": 22539.387959751242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25473.409662603193, "return_pct": 154.73409662603194, "cagr_pct": 155.0062715431795, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 42.14494669853838, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15503.319931795586, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25473.409662603193, "return_pct": 154.73409662603194, "cagr_pct": 155.0062715431795, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 42.14494669853838, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15503.319931795586, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30328.993323490322, "return_pct": 203.28993323490323, "cagr_pct": 203.67449153445665, "max_drawdown_pct": 26.091284436381635, "mean_exposure_while_solvent": 1.2480211749658117, "realized_annual_volatility_pct": 52.58357168775439, "trading_costs_quote_units": 132.38035160340078, "borrowing_costs_quote_units": 482.1602279487672, "price_pnl_quote_units": 20943.533903042484, "turnover_quote_units": 44126.78386780026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30328.993323490322, "return_pct": 203.28993323490323, "cagr_pct": 203.67449153445665, "max_drawdown_pct": 26.091284436381635, "mean_exposure_while_solvent": 1.2480211749658117, "realized_annual_volatility_pct": 52.58357168775439, "trading_costs_quote_units": 132.38035160340078, "borrowing_costs_quote_units": 482.1602279487672, "price_pnl_quote_units": 20943.533903042484, "turnover_quote_units": 44126.78386780026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35630.23314578825, "return_pct": 256.3023314578825, "cagr_pct": 256.8197477893807, "max_drawdown_pct": 30.91769384824199, "mean_exposure_while_solvent": 1.497354105816042, "realized_annual_volatility_pct": 62.99242962433195, "trading_costs_quote_units": 296.69452589263324, "borrowing_costs_quote_units": 1067.243135434625, "price_pnl_quote_units": 26994.170807115435, "turnover_quote_units": 98898.17529754448, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35630.23314578825, "return_pct": 256.3023314578825, "cagr_pct": 256.8197477893807, "max_drawdown_pct": 30.91769384824199, "mean_exposure_while_solvent": 1.497354105816042, "realized_annual_volatility_pct": 62.99242962433195, "trading_costs_quote_units": 296.69452589263324, "borrowing_costs_quote_units": 1067.243135434625, "price_pnl_quote_units": 26994.170807115435, "turnover_quote_units": 98898.17529754448, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27256.7517217475, "return_pct": 172.56751721747497, "cagr_pct": 172.87983381030747, "max_drawdown_pct": 26.728689337275636, "mean_exposure_while_solvent": 1.0494371253874775, "realized_annual_volatility_pct": 43.13343447004204, "trading_costs_quote_units": 476.82747742250024, "borrowing_costs_quote_units": 388.1950745568365, "price_pnl_quote_units": 18121.774273726864, "turnover_quote_units": 158942.4924741669, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27256.7517217475, "return_pct": 172.56751721747497, "cagr_pct": 172.87983381030747, "max_drawdown_pct": 26.728689337275636, "mean_exposure_while_solvent": 1.0494371253874775, "realized_annual_volatility_pct": 43.13343447004204, "trading_costs_quote_units": 476.82747742250024, "borrowing_costs_quote_units": 388.1950745568365, "price_pnl_quote_units": 18121.774273726864, "turnover_quote_units": 158942.4924741669, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31196.15451324015, "return_pct": 211.9615451324015, "cagr_pct": 212.36715542508838, "max_drawdown_pct": 31.486835038114226, "mean_exposure_while_solvent": 1.3925179231185294, "realized_annual_volatility_pct": 57.20712967215354, "trading_costs_quote_units": 407.58787927028646, "borrowing_costs_quote_units": 1578.0344737049465, "price_pnl_quote_units": 23181.77686621536, "turnover_quote_units": 135862.6264234291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31196.15451324015, "return_pct": 211.9615451324015, "cagr_pct": 212.36715542508838, "max_drawdown_pct": 31.486835038114226, "mean_exposure_while_solvent": 1.3925179231185294, "realized_annual_volatility_pct": 57.20712967215354, "trading_costs_quote_units": 407.58787927028646, "borrowing_costs_quote_units": 1578.0344737049465, "price_pnl_quote_units": 23181.77686621536, "turnover_quote_units": 135862.6264234291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32194.187096043734, "return_pct": 221.9418709604373, "cagr_pct": 222.37205155288996, "max_drawdown_pct": 31.61552888215191, "mean_exposure_while_solvent": 1.4705224743828316, "realized_annual_volatility_pct": 61.333809537826724, "trading_costs_quote_units": 311.3510370803482, "borrowing_costs_quote_units": 1882.634533526383, "price_pnl_quote_units": 24388.17266665048, "turnover_quote_units": 103783.67902678266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32194.187096043734, "return_pct": 221.9418709604373, "cagr_pct": 222.37205155288996, "max_drawdown_pct": 31.61552888215191, "mean_exposure_while_solvent": 1.4705224743828316, "realized_annual_volatility_pct": 61.333809537826724, "trading_costs_quote_units": 311.3510370803482, "borrowing_costs_quote_units": 1882.634533526383, "price_pnl_quote_units": 24388.17266665048, "turnover_quote_units": 103783.67902678266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29881.476432392396, "return_pct": 198.81476432392398, "cagr_pct": 199.18856883677688, "max_drawdown_pct": 30.834599846176502, "mean_exposure_while_solvent": 1.3793656306829796, "realized_annual_volatility_pct": 56.26967672089962, "trading_costs_quote_units": 617.7562942752294, "borrowing_costs_quote_units": 1463.9314231122896, "price_pnl_quote_units": 21963.164149779896, "turnover_quote_units": 205918.76475840987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29881.476432392396, "return_pct": 198.81476432392398, "cagr_pct": 199.18856883677688, "max_drawdown_pct": 30.834599846176502, "mean_exposure_while_solvent": 1.3793656306829796, "realized_annual_volatility_pct": 56.26967672089962, "trading_costs_quote_units": 617.7562942752294, "borrowing_costs_quote_units": 1463.9314231122896, "price_pnl_quote_units": 21963.164149779896, "turnover_quote_units": 205918.76475840987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32538.089422311263, "return_pct": 225.38089422311262, "cagr_pct": 225.81962388082934, "max_drawdown_pct": 31.486835038114315, "mean_exposure_while_solvent": 1.3918102683930853, "realized_annual_volatility_pct": 57.264424337085615, "trading_costs_quote_units": 306.2553853498393, "borrowing_costs_quote_units": 1599.306685335205, "price_pnl_quote_units": 24443.6514929963, "turnover_quote_units": 102085.12844994638, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32538.089422311263, "return_pct": 225.38089422311262, "cagr_pct": 225.81962388082934, "max_drawdown_pct": 31.486835038114315, "mean_exposure_while_solvent": 1.3918102683930853, "realized_annual_volatility_pct": 57.264424337085615, "trading_costs_quote_units": 306.2553853498393, "borrowing_costs_quote_units": 1599.306685335205, "price_pnl_quote_units": 24443.6514929963, "turnover_quote_units": 102085.12844994638, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25000.16231069217, "return_pct": 150.00162310692167, "cagr_pct": 150.2633815544681, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9889617522550982, "realized_annual_volatility_pct": 41.61191464429679, "trading_costs_quote_units": 53.58814391973537, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15053.750454611918, "turnover_quote_units": 17862.714639911777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25000.16231069217, "return_pct": 150.00162310692167, "cagr_pct": 150.2633815544681, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9889617522550982, "realized_annual_volatility_pct": 41.61191464429679, "trading_costs_quote_units": 53.58814391973537, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15053.750454611918, "turnover_quote_units": 17862.714639911777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32538.089422311263, "return_pct": 225.38089422311262, "cagr_pct": 225.81962388082934, "max_drawdown_pct": 31.486835038114315, "mean_exposure_while_solvent": 1.3918102683930853, "realized_annual_volatility_pct": 57.264424337085615, "trading_costs_quote_units": 306.2553853498393, "borrowing_costs_quote_units": 1599.306685335205, "price_pnl_quote_units": 24443.6514929963, "turnover_quote_units": 102085.12844994638, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32538.089422311263, "return_pct": 225.38089422311262, "cagr_pct": 225.81962388082934, "max_drawdown_pct": 31.486835038114315, "mean_exposure_while_solvent": 1.3918102683930853, "realized_annual_volatility_pct": 57.264424337085615, "trading_costs_quote_units": 306.2553853498393, "borrowing_costs_quote_units": 1599.306685335205, "price_pnl_quote_units": 24443.6514929963, "turnover_quote_units": 102085.12844994638, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32538.089422311263, "return_pct": 225.38089422311262, "cagr_pct": 225.81962388082934, "max_drawdown_pct": 31.486835038114315, "mean_exposure_while_solvent": 1.3918102683930853, "realized_annual_volatility_pct": 57.264424337085615, "trading_costs_quote_units": 306.2553853498393, "borrowing_costs_quote_units": 1599.306685335205, "price_pnl_quote_units": 24443.6514929963, "turnover_quote_units": 102085.12844994638, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32538.089422311263, "return_pct": 225.38089422311262, "cagr_pct": 225.81962388082934, "max_drawdown_pct": 31.486835038114315, "mean_exposure_while_solvent": 1.3918102683930853, "realized_annual_volatility_pct": 57.264424337085615, "trading_costs_quote_units": 306.2553853498393, "borrowing_costs_quote_units": 1599.306685335205, "price_pnl_quote_units": 24443.6514929963, "turnover_quote_units": 102085.12844994638, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20465.896016243205, "return_pct": 104.65896016243205, "cagr_pct": 104.82642424218285, "max_drawdown_pct": 16.261581452875763, "mean_exposure_while_solvent": 0.74917844143069, "realized_annual_volatility_pct": 31.671431828906403, "trading_costs_quote_units": 67.61816387925367, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10533.51418012247, "turnover_quote_units": 22539.387959751242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20465.896016243205, "return_pct": 104.65896016243205, "cagr_pct": 104.82642424218285, "max_drawdown_pct": 16.261581452875763, "mean_exposure_while_solvent": 0.74917844143069, "realized_annual_volatility_pct": 31.671431828906403, "trading_costs_quote_units": 67.61816387925367, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10533.51418012247, "turnover_quote_units": 22539.387959751242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25473.409662603193, "return_pct": 154.73409662603194, "cagr_pct": 155.0062715431795, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 42.14494669853838, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15503.319931795586, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25473.409662603193, "return_pct": 154.73409662603194, "cagr_pct": 155.0062715431795, "max_drawdown_pct": 21.203984916591423, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 42.14494669853838, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15503.319931795586, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29583.655224537462, "return_pct": 195.8365522453746, "cagr_pct": 196.20324259593426, "max_drawdown_pct": 26.395965388669516, "mean_exposure_while_solvent": 1.2480566707859482, "realized_annual_volatility_pct": 52.585272502060654, "trading_costs_quote_units": 131.1842991845287, "borrowing_costs_quote_units": 951.2740578151414, "price_pnl_quote_units": 20666.1135815371, "turnover_quote_units": 43728.09972817622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29583.655224537462, "return_pct": 195.8365522453746, "cagr_pct": 196.20324259593426, "max_drawdown_pct": 26.395965388669516, "mean_exposure_while_solvent": 1.2480566707859482, "realized_annual_volatility_pct": 52.585272502060654, "trading_costs_quote_units": 131.1842991845287, "borrowing_costs_quote_units": 951.2740578151414, "price_pnl_quote_units": 20666.1135815371, "turnover_quote_units": 43728.09972817622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33900.86705668398, "return_pct": 239.0086705668398, "cagr_pct": 239.48168252646101, "max_drawdown_pct": 31.617118149345067, "mean_exposure_while_solvent": 1.4974392739748779, "realized_annual_volatility_pct": 62.99650136346665, "trading_costs_quote_units": 290.25992979932636, "borrowing_costs_quote_units": 2076.3356614090703, "price_pnl_quote_units": 26267.46264789234, "turnover_quote_units": 96753.30993310885, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33900.86705668398, "return_pct": 239.0086705668398, "cagr_pct": 239.48168252646101, "max_drawdown_pct": 31.617118149345067, "mean_exposure_while_solvent": 1.4974392739748779, "realized_annual_volatility_pct": 62.99650136346665, "trading_costs_quote_units": 290.25992979932636, "borrowing_costs_quote_units": 2076.3356614090703, "price_pnl_quote_units": 26267.46264789234, "turnover_quote_units": 96753.30993310885, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28359.584768777215, "return_pct": 183.59584768777216, "cagr_pct": 183.93366251321615, "max_drawdown_pct": 25.94827795128769, "mean_exposure_while_solvent": 1.0554530822509218, "realized_annual_volatility_pct": 43.12579006544013, "trading_costs_quote_units": 96.8020012304928, "borrowing_costs_quote_units": 102.35454372994006, "price_pnl_quote_units": 18558.74131373763, "turnover_quote_units": 161336.66871748818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28359.584768777215, "return_pct": 183.59584768777216, "cagr_pct": 183.93366251321615, "max_drawdown_pct": 25.94827795128769, "mean_exposure_while_solvent": 1.0554530822509218, "realized_annual_volatility_pct": 43.12579006544013, "trading_costs_quote_units": 96.8020012304928, "borrowing_costs_quote_units": 102.35454372994006, "price_pnl_quote_units": 18558.74131373763, "turnover_quote_units": 161336.66871748818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33756.27702635701, "return_pct": 237.56277026357014, "cagr_pct": 238.03211469393673, "max_drawdown_pct": 30.33742198456697, "mean_exposure_while_solvent": 1.3963573617380935, "realized_annual_volatility_pct": 57.00419503862088, "trading_costs_quote_units": 86.21450404014104, "borrowing_costs_quote_units": 416.80088045071665, "price_pnl_quote_units": 24259.29241084789, "turnover_quote_units": 143690.84006690176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33756.27702635701, "return_pct": 237.56277026357014, "cagr_pct": 238.03211469393673, "max_drawdown_pct": 30.33742198456697, "mean_exposure_while_solvent": 1.3963573617380935, "realized_annual_volatility_pct": 57.00419503862088, "trading_costs_quote_units": 86.21450404014104, "borrowing_costs_quote_units": 416.80088045071665, "price_pnl_quote_units": 24259.29241084789, "turnover_quote_units": 143690.84006690176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35025.722974562246, "return_pct": 250.25722974562248, "cagr_pct": 250.7590125549725, "max_drawdown_pct": 30.57989832715422, "mean_exposure_while_solvent": 1.4728742833007704, "realized_annual_volatility_pct": 61.058505614651125, "trading_costs_quote_units": 66.42892792865902, "borrowing_costs_quote_units": 495.67493906511345, "price_pnl_quote_units": 25587.826841555874, "turnover_quote_units": 110714.87988109839, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35025.722974562246, "return_pct": 250.25722974562248, "cagr_pct": 250.7590125549725, "max_drawdown_pct": 30.57989832715422, "mean_exposure_while_solvent": 1.4728742833007704, "realized_annual_volatility_pct": 61.058505614651125, "trading_costs_quote_units": 66.42892792865902, "borrowing_costs_quote_units": 495.67493906511345, "price_pnl_quote_units": 25587.826841555874, "turnover_quote_units": 110714.87988109839, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32448.133953201068, "return_pct": 224.48133953201065, "cagr_pct": 224.917828950424, "max_drawdown_pct": 29.646139258832093, "mean_exposure_while_solvent": 1.383176931781006, "realized_annual_volatility_pct": 56.078164650006514, "trading_costs_quote_units": 129.83922115525039, "borrowing_costs_quote_units": 388.21768634877805, "price_pnl_quote_units": 22966.190860705137, "turnover_quote_units": 216398.70192541718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32448.133953201068, "return_pct": 224.48133953201065, "cagr_pct": 224.917828950424, "max_drawdown_pct": 29.646139258832093, "mean_exposure_while_solvent": 1.383176931781006, "realized_annual_volatility_pct": 56.078164650006514, "trading_costs_quote_units": 129.83922115525039, "borrowing_costs_quote_units": 388.21768634877805, "price_pnl_quote_units": 22966.190860705137, "turnover_quote_units": 216398.70192541718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35053.04150027474, "return_pct": 250.53041500274736, "cagr_pct": 251.03290174735912, "max_drawdown_pct": 30.33742198456698, "mean_exposure_while_solvent": 1.3961099887404722, "realized_annual_volatility_pct": 57.07728521932809, "trading_costs_quote_units": 65.1108804561163, "borrowing_costs_quote_units": 421.2716375254936, "price_pnl_quote_units": 25539.42401825636, "turnover_quote_units": 108518.1340935271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35053.04150027474, "return_pct": 250.53041500274736, "cagr_pct": 251.03290174735912, "max_drawdown_pct": 30.33742198456698, "mean_exposure_while_solvent": 1.3961099887404722, "realized_annual_volatility_pct": 57.07728521932809, "trading_costs_quote_units": 65.1108804561163, "borrowing_costs_quote_units": 421.2716375254936, "price_pnl_quote_units": 25539.42401825636, "turnover_quote_units": 108518.1340935271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25122.100585969525, "return_pct": 151.22100585969525, "cagr_pct": 151.48543851554942, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9904088334295441, "realized_annual_volatility_pct": 41.43278737991463, "trading_costs_quote_units": 10.804304246262012, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15132.904890215801, "turnover_quote_units": 18007.173743770018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25122.100585969525, "return_pct": 151.22100585969525, "cagr_pct": 151.48543851554942, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9904088334295441, "realized_annual_volatility_pct": 41.43278737991463, "trading_costs_quote_units": 10.804304246262012, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15132.904890215801, "turnover_quote_units": 18007.173743770018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35053.04150027474, "return_pct": 250.53041500274736, "cagr_pct": 251.03290174735912, "max_drawdown_pct": 30.33742198456698, "mean_exposure_while_solvent": 1.3961099887404722, "realized_annual_volatility_pct": 57.07728521932809, "trading_costs_quote_units": 65.1108804561163, "borrowing_costs_quote_units": 421.2716375254936, "price_pnl_quote_units": 25539.42401825636, "turnover_quote_units": 108518.1340935271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35053.04150027474, "return_pct": 250.53041500274736, "cagr_pct": 251.03290174735912, "max_drawdown_pct": 30.33742198456698, "mean_exposure_while_solvent": 1.3961099887404722, "realized_annual_volatility_pct": 57.07728521932809, "trading_costs_quote_units": 65.1108804561163, "borrowing_costs_quote_units": 421.2716375254936, "price_pnl_quote_units": 25539.42401825636, "turnover_quote_units": 108518.1340935271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35053.04150027474, "return_pct": 250.53041500274736, "cagr_pct": 251.03290174735912, "max_drawdown_pct": 30.33742198456698, "mean_exposure_while_solvent": 1.3961099887404722, "realized_annual_volatility_pct": 57.07728521932809, "trading_costs_quote_units": 65.1108804561163, "borrowing_costs_quote_units": 421.2716375254936, "price_pnl_quote_units": 25539.42401825636, "turnover_quote_units": 108518.1340935271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 35053.04150027474, "return_pct": 250.53041500274736, "cagr_pct": 251.03290174735912, "max_drawdown_pct": 30.33742198456698, "mean_exposure_while_solvent": 1.3961099887404722, "realized_annual_volatility_pct": 57.07728521932809, "trading_costs_quote_units": 65.1108804561163, "borrowing_costs_quote_units": 421.2716375254936, "price_pnl_quote_units": 25539.42401825636, "turnover_quote_units": 108518.1340935271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20574.40023675706, "return_pct": 105.7440023675706, "cagr_pct": 105.91359779116934, "max_drawdown_pct": 16.2305781594301, "mean_exposure_while_solvent": 0.7497874125936316, "realized_annual_volatility_pct": 31.51036109550328, "trading_costs_quote_units": 14.035217634720432, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10588.435454391785, "turnover_quote_units": 23392.029391200715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20574.40023675706, "return_pct": 105.7440023675706, "cagr_pct": 105.91359779116934, "max_drawdown_pct": 16.2305781594301, "mean_exposure_while_solvent": 0.7497874125936316, "realized_annual_volatility_pct": 31.51036109550328, "trading_costs_quote_units": 14.035217634720432, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10588.435454391785, "turnover_quote_units": 23392.029391200715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25570.45820298631, "return_pct": 155.70458202986308, "cagr_pct": 155.9789055421363, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 41.93006751989433, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15576.45460514504, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25570.45820298631, "return_pct": 155.70458202986308, "cagr_pct": 155.9789055421363, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 41.93006751989433, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15576.45460514504, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30970.167554593394, "return_pct": 209.70167554593394, "cagr_pct": 210.1017726711973, "max_drawdown_pct": 25.990819640107276, "mean_exposure_while_solvent": 1.2492564463860234, "realized_annual_volatility_pct": 52.31611700263865, "trading_costs_quote_units": 27.832145657138522, "borrowing_costs_quote_units": 244.54432590154184, "price_pnl_quote_units": 21242.544026152056, "turnover_quote_units": 46386.9094285642, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30970.167554593394, "return_pct": 209.70167554593394, "cagr_pct": 210.1017726711973, "max_drawdown_pct": 25.990819640107276, "mean_exposure_while_solvent": 1.2492564463860234, "realized_annual_volatility_pct": 52.31611700263865, "trading_costs_quote_units": 27.832145657138522, "borrowing_costs_quote_units": 244.54432590154184, "price_pnl_quote_units": 21242.544026152056, "turnover_quote_units": 46386.9094285642, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37064.25879425379, "return_pct": 270.6425879425379, "cagr_pct": 271.1975564674316, "max_drawdown_pct": 30.57989832715422, "mean_exposure_while_solvent": 1.4989311655215278, "realized_annual_volatility_pct": 62.67265962698292, "trading_costs_quote_units": 63.57755648093688, "borrowing_costs_quote_units": 547.2091379441703, "price_pnl_quote_units": 27675.04548867884, "turnover_quote_units": 105962.59413489483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37064.25879425379, "return_pct": 270.6425879425379, "cagr_pct": 271.1975564674316, "max_drawdown_pct": 30.57989832715422, "mean_exposure_while_solvent": 1.4989311655215278, "realized_annual_volatility_pct": 62.67265962698292, "trading_costs_quote_units": 63.57755648093688, "borrowing_costs_quote_units": 547.2091379441703, "price_pnl_quote_units": 27675.04548867884, "turnover_quote_units": 105962.59413489483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28184.648836593587, "return_pct": 181.84648836593587, "cagr_pct": 182.18022529405968, "max_drawdown_pct": 26.138924310512067, "mean_exposure_while_solvent": 1.0554627132725392, "realized_annual_volatility_pct": 43.12577580442073, "trading_costs_quote_units": 96.5246617958961, "borrowing_costs_quote_units": 204.0564269462026, "price_pnl_quote_units": 18485.22992533565, "turnover_quote_units": 160874.43632649348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28184.648836593587, "return_pct": 181.84648836593587, "cagr_pct": 182.18022529405968, "max_drawdown_pct": 26.138924310512067, "mean_exposure_while_solvent": 1.0554627132725392, "realized_annual_volatility_pct": 43.12577580442073, "trading_costs_quote_units": 96.5246617958961, "borrowing_costs_quote_units": 204.0564269462026, "price_pnl_quote_units": 18485.22992533565, "turnover_quote_units": 160874.43632649348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33080.329603131846, "return_pct": 230.80329603131844, "cagr_pct": 231.2555896021977, "max_drawdown_pct": 30.624715898759693, "mean_exposure_while_solvent": 1.3963911343432278, "realized_annual_volatility_pct": 57.00616330438317, "trading_costs_quote_units": 85.48760757777795, "borrowing_costs_quote_units": 824.2468722044382, "price_pnl_quote_units": 23990.064082914054, "turnover_quote_units": 142479.3459629633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33080.329603131846, "return_pct": 230.80329603131844, "cagr_pct": 231.2555896021977, "max_drawdown_pct": 30.624715898759693, "mean_exposure_while_solvent": 1.3963911343432278, "realized_annual_volatility_pct": 57.00616330438317, "trading_costs_quote_units": 85.48760757777795, "borrowing_costs_quote_units": 824.2468722044382, "price_pnl_quote_units": 23990.064082914054, "turnover_quote_units": 142479.3459629633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34208.99394972241, "return_pct": 242.0899394972241, "cagr_pct": 242.57079062108994, "max_drawdown_pct": 30.685298773483982, "mean_exposure_while_solvent": 1.4729144707865285, "realized_annual_volatility_pct": 61.06124246473021, "trading_costs_quote_units": 65.7702236455303, "borrowing_costs_quote_units": 978.3874530956437, "price_pnl_quote_units": 25253.151626463514, "turnover_quote_units": 109617.03940921709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34208.99394972241, "return_pct": 242.0899394972241, "cagr_pct": 242.57079062108994, "max_drawdown_pct": 30.685298773483982, "mean_exposure_while_solvent": 1.4729144707865285, "realized_annual_volatility_pct": 61.06124246473021, "trading_costs_quote_units": 65.7702236455303, "borrowing_costs_quote_units": 978.3874530956437, "price_pnl_quote_units": 25253.151626463514, "turnover_quote_units": 109617.03940921709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31814.870470561324, "return_pct": 218.14870470561326, "cagr_pct": 218.56950466704558, "max_drawdown_pct": 29.931986958508393, "mean_exposure_while_solvent": 1.383209903338198, "realized_annual_volatility_pct": 56.08029736960927, "trading_costs_quote_units": 128.75930900213856, "borrowing_costs_quote_units": 768.0250952695565, "price_pnl_quote_units": 22711.654874833024, "turnover_quote_units": 214598.84833689762, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31814.870470561324, "return_pct": 218.14870470561326, "cagr_pct": 218.56950466704558, "max_drawdown_pct": 29.931986958508393, "mean_exposure_while_solvent": 1.383209903338198, "realized_annual_volatility_pct": 56.08029736960927, "trading_costs_quote_units": 128.75930900213856, "borrowing_costs_quote_units": 768.0250952695565, "price_pnl_quote_units": 22711.654874833024, "turnover_quote_units": 214598.84833689762, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34367.24318065154, "return_pct": 243.67243180651536, "cagr_pct": 244.1573213738099, "max_drawdown_pct": 30.624715898759757, "mean_exposure_while_solvent": 1.3961432249013521, "realized_annual_volatility_pct": 57.07921765011575, "trading_costs_quote_units": 64.5684913274658, "borrowing_costs_quote_units": 833.2313801274844, "price_pnl_quote_units": 25265.0430521066, "turnover_quote_units": 107614.15221244296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34367.24318065154, "return_pct": 243.67243180651536, "cagr_pct": 244.1573213738099, "max_drawdown_pct": 30.624715898759757, "mean_exposure_while_solvent": 1.3961432249013521, "realized_annual_volatility_pct": 57.07921765011575, "trading_costs_quote_units": 64.5684913274658, "borrowing_costs_quote_units": 833.2313801274844, "price_pnl_quote_units": 25265.0430521066, "turnover_quote_units": 107614.15221244296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25122.100585969525, "return_pct": 151.22100585969525, "cagr_pct": 151.48543851554942, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9904088334295441, "realized_annual_volatility_pct": 41.43278737991463, "trading_costs_quote_units": 10.804304246262012, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15132.904890215801, "turnover_quote_units": 18007.173743770018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25122.100585969525, "return_pct": 151.22100585969525, "cagr_pct": 151.48543851554942, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9904088334295441, "realized_annual_volatility_pct": 41.43278737991463, "trading_costs_quote_units": 10.804304246262012, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15132.904890215801, "turnover_quote_units": 18007.173743770018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34367.24318065154, "return_pct": 243.67243180651536, "cagr_pct": 244.1573213738099, "max_drawdown_pct": 30.624715898759757, "mean_exposure_while_solvent": 1.3961432249013521, "realized_annual_volatility_pct": 57.07921765011575, "trading_costs_quote_units": 64.5684913274658, "borrowing_costs_quote_units": 833.2313801274844, "price_pnl_quote_units": 25265.0430521066, "turnover_quote_units": 107614.15221244296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34367.24318065154, "return_pct": 243.67243180651536, "cagr_pct": 244.1573213738099, "max_drawdown_pct": 30.624715898759757, "mean_exposure_while_solvent": 1.3961432249013521, "realized_annual_volatility_pct": 57.07921765011575, "trading_costs_quote_units": 64.5684913274658, "borrowing_costs_quote_units": 833.2313801274844, "price_pnl_quote_units": 25265.0430521066, "turnover_quote_units": 107614.15221244296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34367.24318065154, "return_pct": 243.67243180651536, "cagr_pct": 244.1573213738099, "max_drawdown_pct": 30.624715898759757, "mean_exposure_while_solvent": 1.3961432249013521, "realized_annual_volatility_pct": 57.07921765011575, "trading_costs_quote_units": 64.5684913274658, "borrowing_costs_quote_units": 833.2313801274844, "price_pnl_quote_units": 25265.0430521066, "turnover_quote_units": 107614.15221244296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 34367.24318065154, "return_pct": 243.67243180651536, "cagr_pct": 244.1573213738099, "max_drawdown_pct": 30.624715898759757, "mean_exposure_while_solvent": 1.3961432249013521, "realized_annual_volatility_pct": 57.07921765011575, "trading_costs_quote_units": 64.5684913274658, "borrowing_costs_quote_units": 833.2313801274844, "price_pnl_quote_units": 25265.0430521066, "turnover_quote_units": 107614.15221244296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20574.40023675706, "return_pct": 105.7440023675706, "cagr_pct": 105.91359779116934, "max_drawdown_pct": 16.2305781594301, "mean_exposure_while_solvent": 0.7497874125936316, "realized_annual_volatility_pct": 31.51036109550328, "trading_costs_quote_units": 14.035217634720432, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10588.435454391785, "turnover_quote_units": 23392.029391200715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20574.40023675706, "return_pct": 105.7440023675706, "cagr_pct": 105.91359779116934, "max_drawdown_pct": 16.2305781594301, "mean_exposure_while_solvent": 0.7497874125936316, "realized_annual_volatility_pct": 31.51036109550328, "trading_costs_quote_units": 14.035217634720432, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10588.435454391785, "turnover_quote_units": 23392.029391200715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25570.45820298631, "return_pct": 155.70458202986308, "cagr_pct": 155.9789055421363, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 41.93006751989433, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15576.45460514504, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25570.45820298631, "return_pct": 155.70458202986308, "cagr_pct": 155.9789055421363, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 41.93006751989433, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15576.45460514504, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30587.0160935575, "return_pct": 205.870160935575, "cagr_pct": 206.2609539275417, "max_drawdown_pct": 26.046856114990568, "mean_exposure_while_solvent": 1.249274230798038, "realized_annual_volatility_pct": 52.31727228889651, "trading_costs_quote_units": 27.699866711557856, "borrowing_costs_quote_units": 485.7546263860764, "price_pnl_quote_units": 21100.470586655152, "turnover_quote_units": 46166.444519263096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30587.0160935575, "return_pct": 205.870160935575, "cagr_pct": 206.2609539275417, "max_drawdown_pct": 26.046856114990568, "mean_exposure_while_solvent": 1.249274230798038, "realized_annual_volatility_pct": 52.31727228889651, "trading_costs_quote_units": 27.699866711557856, "borrowing_costs_quote_units": 485.7546263860764, "price_pnl_quote_units": 21100.470586655152, "turnover_quote_units": 46166.444519263096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36153.11007188267, "return_pct": 261.5311007188267, "cagr_pct": 262.06213421347724, "max_drawdown_pct": 30.685298773483982, "mean_exposure_while_solvent": 1.4989738388267642, "realized_annual_volatility_pct": 62.675423466715465, "trading_costs_quote_units": 62.857556219438955, "borrowing_costs_quote_units": 1079.2883123896715, "price_pnl_quote_units": 27295.255940491752, "turnover_quote_units": 104762.59369906492, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36153.11007188267, "return_pct": 261.5311007188267, "cagr_pct": 262.06213421347724, "max_drawdown_pct": 30.685298773483982, "mean_exposure_while_solvent": 1.4989738388267642, "realized_annual_volatility_pct": 62.675423466715465, "trading_costs_quote_units": 62.857556219438955, "borrowing_costs_quote_units": 1079.2883123896715, "price_pnl_quote_units": 27295.255940491752, "turnover_quote_units": 104762.59369906492, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27837.91723583128, "return_pct": 178.3791723583128, "cagr_pct": 178.70486350144574, "max_drawdown_pct": 26.518842214843673, "mean_exposure_while_solvent": 1.0554819788874783, "realized_annual_volatility_pct": 43.12577036699256, "trading_costs_quote_units": 95.97580564989045, "borrowing_costs_quote_units": 405.5176589479158, "price_pnl_quote_units": 18339.410700429074, "turnover_quote_units": 159959.67608315102, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27837.91723583128, "return_pct": 178.3791723583128, "cagr_pct": 178.70486350144574, "max_drawdown_pct": 26.518842214843673, "mean_exposure_while_solvent": 1.0554819788874783, "realized_annual_volatility_pct": 43.12577036699256, "trading_costs_quote_units": 95.97580564989045, "borrowing_costs_quote_units": 405.5176589479158, "price_pnl_quote_units": 18339.410700429074, "turnover_quote_units": 159959.67608315102, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31768.415688298566, "return_pct": 217.68415688298566, "cagr_pct": 218.10381154816096, "max_drawdown_pct": 31.195917218923096, "mean_exposure_while_solvent": 1.3964586935647527, "realized_annual_volatility_pct": 57.01011360971621, "trading_costs_quote_units": 84.0697171721003, "borrowing_costs_quote_units": 1611.8616354005396, "price_pnl_quote_units": 23464.347040871187, "turnover_quote_units": 140116.19528683374, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31768.415688298566, "return_pct": 217.68415688298566, "cagr_pct": 218.10381154816096, "max_drawdown_pct": 31.195917218923096, "mean_exposure_while_solvent": 1.3964586935647527, "realized_annual_volatility_pct": 57.01011360971621, "trading_costs_quote_units": 84.0697171721003, "borrowing_costs_quote_units": 1611.8616354005396, "price_pnl_quote_units": 23464.347040871187, "turnover_quote_units": 140116.19528683374, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32631.789994172723, "return_pct": 226.31789994172723, "cagr_pct": 226.75896613380152, "max_drawdown_pct": 31.200856642852635, "mean_exposure_while_solvent": 1.4729948630051475, "realized_annual_volatility_pct": 61.066721673242355, "trading_costs_quote_units": 64.4932076473852, "borrowing_costs_quote_units": 1906.1960559050497, "price_pnl_quote_units": 24602.479257725186, "turnover_quote_units": 107488.67941230863, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32631.789994172723, "return_pct": 226.31789994172723, "cagr_pct": 226.75896613380152, "max_drawdown_pct": 31.200856642852635, "mean_exposure_while_solvent": 1.4729948630051475, "realized_annual_volatility_pct": 61.066721673242355, "trading_costs_quote_units": 64.4932076473852, "borrowing_costs_quote_units": 1906.1960559050497, "price_pnl_quote_units": 24602.479257725186, "turnover_quote_units": 107488.67941230863, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30584.836565370777, "return_pct": 205.8483656537078, "cagr_pct": 206.2391058763377, "max_drawdown_pct": 30.500364636719446, "mean_exposure_while_solvent": 1.3832758602028021, "realized_annual_volatility_pct": 56.08457986549374, "trading_costs_quote_units": 126.65658820938954, "borrowing_costs_quote_units": 1503.0960335420875, "price_pnl_quote_units": 22214.589187122278, "turnover_quote_units": 211094.3136823157, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30584.836565370777, "return_pct": 205.8483656537078, "cagr_pct": 206.2391058763377, "max_drawdown_pct": 30.500364636719446, "mean_exposure_while_solvent": 1.3832758602028021, "realized_annual_volatility_pct": 56.08457986549374, "trading_costs_quote_units": 126.65658820938954, "borrowing_costs_quote_units": 1503.0960335420875, "price_pnl_quote_units": 22214.589187122278, "turnover_quote_units": 211094.3136823157, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33035.27543688651, "return_pct": 230.35275436886513, "cagr_pct": 230.8039170288839, "max_drawdown_pct": 31.19591721892312, "mean_exposure_while_solvent": 1.3962097111986977, "realized_annual_volatility_pct": 57.083100823505525, "trading_costs_quote_units": 63.51309727123421, "borrowing_costs_quote_units": 1629.9834334903105, "price_pnl_quote_units": 24728.771967648034, "turnover_quote_units": 105855.16211872365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33035.27543688651, "return_pct": 230.35275436886513, "cagr_pct": 230.8039170288839, "max_drawdown_pct": 31.19591721892312, "mean_exposure_while_solvent": 1.3962097111986977, "realized_annual_volatility_pct": 57.083100823505525, "trading_costs_quote_units": 63.51309727123421, "borrowing_costs_quote_units": 1629.9834334903105, "price_pnl_quote_units": 24728.771967648034, "turnover_quote_units": 105855.16211872365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25122.100585969525, "return_pct": 151.22100585969525, "cagr_pct": 151.48543851554942, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9904088334295441, "realized_annual_volatility_pct": 41.43278737991463, "trading_costs_quote_units": 10.804304246262012, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15132.904890215801, "turnover_quote_units": 18007.173743770018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25122.100585969525, "return_pct": 151.22100585969525, "cagr_pct": 151.48543851554942, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9904088334295441, "realized_annual_volatility_pct": 41.43278737991463, "trading_costs_quote_units": 10.804304246262012, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15132.904890215801, "turnover_quote_units": 18007.173743770018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33035.27543688651, "return_pct": 230.35275436886513, "cagr_pct": 230.8039170288839, "max_drawdown_pct": 31.19591721892312, "mean_exposure_while_solvent": 1.3962097111986977, "realized_annual_volatility_pct": 57.083100823505525, "trading_costs_quote_units": 63.51309727123421, "borrowing_costs_quote_units": 1629.9834334903105, "price_pnl_quote_units": 24728.771967648034, "turnover_quote_units": 105855.16211872365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33035.27543688651, "return_pct": 230.35275436886513, "cagr_pct": 230.8039170288839, "max_drawdown_pct": 31.19591721892312, "mean_exposure_while_solvent": 1.3962097111986977, "realized_annual_volatility_pct": 57.083100823505525, "trading_costs_quote_units": 63.51309727123421, "borrowing_costs_quote_units": 1629.9834334903105, "price_pnl_quote_units": 24728.771967648034, "turnover_quote_units": 105855.16211872365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33035.27543688651, "return_pct": 230.35275436886513, "cagr_pct": 230.8039170288839, "max_drawdown_pct": 31.19591721892312, "mean_exposure_while_solvent": 1.3962097111986977, "realized_annual_volatility_pct": 57.083100823505525, "trading_costs_quote_units": 63.51309727123421, "borrowing_costs_quote_units": 1629.9834334903105, "price_pnl_quote_units": 24728.771967648034, "turnover_quote_units": 105855.16211872365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33035.27543688651, "return_pct": 230.35275436886513, "cagr_pct": 230.8039170288839, "max_drawdown_pct": 31.19591721892312, "mean_exposure_while_solvent": 1.3962097111986977, "realized_annual_volatility_pct": 57.083100823505525, "trading_costs_quote_units": 63.51309727123421, "borrowing_costs_quote_units": 1629.9834334903105, "price_pnl_quote_units": 24728.771967648034, "turnover_quote_units": 105855.16211872365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20574.40023675706, "return_pct": 105.7440023675706, "cagr_pct": 105.91359779116934, "max_drawdown_pct": 16.2305781594301, "mean_exposure_while_solvent": 0.7497874125936316, "realized_annual_volatility_pct": 31.51036109550328, "trading_costs_quote_units": 14.035217634720432, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10588.435454391785, "turnover_quote_units": 23392.029391200715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20574.40023675706, "return_pct": 105.7440023675706, "cagr_pct": 105.91359779116934, "max_drawdown_pct": 16.2305781594301, "mean_exposure_while_solvent": 0.7497874125936316, "realized_annual_volatility_pct": 31.51036109550328, "trading_costs_quote_units": 14.035217634720432, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10588.435454391785, "turnover_quote_units": 23392.029391200715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25570.45820298631, "return_pct": 155.70458202986308, "cagr_pct": 155.9789055421363, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 41.93006751989433, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15576.45460514504, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25570.45820298631, "return_pct": 155.70458202986308, "cagr_pct": 155.9789055421363, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 41.93006751989433, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15576.45460514504, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29834.703151066093, "return_pct": 198.34703151066094, "cagr_pct": 198.71971647530034, "max_drawdown_pct": 26.158826806060574, "mean_exposure_while_solvent": 1.2493098050942208, "realized_annual_volatility_pct": 52.31958317802046, "trading_costs_quote_units": 27.442673524388905, "borrowing_costs_quote_units": 958.3436917057506, "price_pnl_quote_units": 20820.48951629618, "turnover_quote_units": 45737.78920731482, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29834.703151066093, "return_pct": 198.34703151066094, "cagr_pct": 198.71971647530034, "max_drawdown_pct": 26.158826806060574, "mean_exposure_while_solvent": 1.2493098050942208, "realized_annual_volatility_pct": 52.31958317802046, "trading_costs_quote_units": 27.442673524388905, "borrowing_costs_quote_units": 958.3436917057506, "price_pnl_quote_units": 20820.48951629618, "turnover_quote_units": 45737.78920731482, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 34396.9707272925, "return_pct": 243.969707272925, "cagr_pct": 244.45535640479144, "max_drawdown_pct": 31.200856642852536, "mean_exposure_while_solvent": 1.499059203916775, "realized_annual_volatility_pct": 62.6809523941092, "trading_costs_quote_units": 61.465159194237636, "borrowing_costs_quote_units": 2099.6197019599335, "price_pnl_quote_units": 26558.055588446674, "turnover_quote_units": 102441.93199039609, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 34396.9707272925, "return_pct": 243.969707272925, "cagr_pct": 244.45535640479144, "max_drawdown_pct": 31.200856642852536, "mean_exposure_while_solvent": 1.499059203916775, "realized_annual_volatility_pct": 62.6809523941092, "trading_costs_quote_units": 61.465159194237636, "borrowing_costs_quote_units": 2099.6197019599335, "price_pnl_quote_units": 26558.055588446674, "turnover_quote_units": 102441.93199039609, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28495.511998494203, "return_pct": 184.95511998494206, "cagr_pct": 185.29611191552942, "max_drawdown_pct": 25.824364177455905, "mean_exposure_while_solvent": 1.0543894064881352, "realized_annual_volatility_pct": 43.13890656446909, "trading_costs_quote_units": 97.37194642608756, "borrowing_costs_quote_units": 102.59005228078824, "price_pnl_quote_units": 18695.473997201098, "turnover_quote_units": 162286.5773768125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28495.511998494203, "return_pct": 184.95511998494206, "cagr_pct": 185.29611191552942, "max_drawdown_pct": 25.824364177455905, "mean_exposure_while_solvent": 1.0543894064881352, "realized_annual_volatility_pct": 43.13890656446909, "trading_costs_quote_units": 97.37194642608756, "borrowing_costs_quote_units": 102.59005228078824, "price_pnl_quote_units": 18695.473997201098, "turnover_quote_units": 162286.5773768125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33697.59047227244, "return_pct": 236.97590472272435, "cagr_pct": 237.44376258884583, "max_drawdown_pct": 30.300159776096468, "mean_exposure_while_solvent": 1.394697458617304, "realized_annual_volatility_pct": 57.041873285012876, "trading_costs_quote_units": 83.8699584207544, "borrowing_costs_quote_units": 415.01326888275895, "price_pnl_quote_units": 24196.473699576014, "turnover_quote_units": 139783.2640345907, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33697.59047227244, "return_pct": 236.97590472272435, "cagr_pct": 237.44376258884583, "max_drawdown_pct": 30.300159776096468, "mean_exposure_while_solvent": 1.394697458617304, "realized_annual_volatility_pct": 57.041873285012876, "trading_costs_quote_units": 83.8699584207544, "borrowing_costs_quote_units": 415.01326888275895, "price_pnl_quote_units": 24196.473699576014, "turnover_quote_units": 139783.2640345907, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35043.67965215829, "return_pct": 250.4367965215829, "cagr_pct": 250.93904200554232, "max_drawdown_pct": 30.576605543616843, "mean_exposure_while_solvent": 1.4711722525846926, "realized_annual_volatility_pct": 61.0760540411505, "trading_costs_quote_units": 64.09731011063998, "borrowing_costs_quote_units": 495.10505380113966, "price_pnl_quote_units": 25602.88201607013, "turnover_quote_units": 106828.85018439998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35043.67965215829, "return_pct": 250.4367965215829, "cagr_pct": 250.93904200554232, "max_drawdown_pct": 30.576605543616843, "mean_exposure_while_solvent": 1.4711722525846926, "realized_annual_volatility_pct": 61.0760540411505, "trading_costs_quote_units": 64.09731011063998, "borrowing_costs_quote_units": 495.10505380113966, "price_pnl_quote_units": 25602.88201607013, "turnover_quote_units": 106828.85018439998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32581.826232651143, "return_pct": 225.81826232651144, "cagr_pct": 226.2580822292943, "max_drawdown_pct": 29.619264259263712, "mean_exposure_while_solvent": 1.3814067115518651, "realized_annual_volatility_pct": 56.10847710846596, "trading_costs_quote_units": 128.0866595845308, "borrowing_costs_quote_units": 387.1370082779144, "price_pnl_quote_units": 23097.04990051353, "turnover_quote_units": 213477.76597421805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32581.826232651143, "return_pct": 225.81826232651144, "cagr_pct": 226.2580822292943, "max_drawdown_pct": 29.619264259263712, "mean_exposure_while_solvent": 1.3814067115518651, "realized_annual_volatility_pct": 56.10847710846596, "trading_costs_quote_units": 128.0866595845308, "borrowing_costs_quote_units": 387.1370082779144, "price_pnl_quote_units": 23097.04990051353, "turnover_quote_units": 213477.76597421805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35043.41422755499, "return_pct": 250.43414227554987, "cagr_pct": 250.93638091976948, "max_drawdown_pct": 30.30015977609658, "mean_exposure_while_solvent": 1.3944645032420335, "realized_annual_volatility_pct": 57.07323903938287, "trading_costs_quote_units": 63.02468526817048, "borrowing_costs_quote_units": 420.33857914632136, "price_pnl_quote_units": 25526.77749196944, "turnover_quote_units": 105041.14211361733, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35043.41422755499, "return_pct": 250.43414227554987, "cagr_pct": 250.93638091976948, "max_drawdown_pct": 30.30015977609658, "mean_exposure_while_solvent": 1.3944645032420335, "realized_annual_volatility_pct": 57.07323903938287, "trading_costs_quote_units": 63.02468526817048, "borrowing_costs_quote_units": 420.33857914632136, "price_pnl_quote_units": 25526.77749196944, "turnover_quote_units": 105041.14211361733, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25097.602704562647, "return_pct": 150.97602704562644, "cagr_pct": 151.23992189761842, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9894726807724965, "realized_annual_volatility_pct": 41.43901956203272, "trading_costs_quote_units": 10.749647014715482, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15108.352351577363, "turnover_quote_units": 17916.078357859133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25097.602704562647, "return_pct": 150.97602704562644, "cagr_pct": 151.23992189761842, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9894726807724965, "realized_annual_volatility_pct": 41.43901956203272, "trading_costs_quote_units": 10.749647014715482, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15108.352351577363, "turnover_quote_units": 17916.078357859133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35043.41422755499, "return_pct": 250.43414227554987, "cagr_pct": 250.93638091976948, "max_drawdown_pct": 30.30015977609658, "mean_exposure_while_solvent": 1.3944645032420335, "realized_annual_volatility_pct": 57.07323903938287, "trading_costs_quote_units": 63.02468526817048, "borrowing_costs_quote_units": 420.33857914632136, "price_pnl_quote_units": 25526.77749196944, "turnover_quote_units": 105041.14211361733, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35043.41422755499, "return_pct": 250.43414227554987, "cagr_pct": 250.93638091976948, "max_drawdown_pct": 30.30015977609658, "mean_exposure_while_solvent": 1.3944645032420335, "realized_annual_volatility_pct": 57.07323903938287, "trading_costs_quote_units": 63.02468526817048, "borrowing_costs_quote_units": 420.33857914632136, "price_pnl_quote_units": 25526.77749196944, "turnover_quote_units": 105041.14211361733, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35043.41422755499, "return_pct": 250.43414227554987, "cagr_pct": 250.93638091976948, "max_drawdown_pct": 30.30015977609658, "mean_exposure_while_solvent": 1.3944645032420335, "realized_annual_volatility_pct": 57.07323903938287, "trading_costs_quote_units": 63.02468526817048, "borrowing_costs_quote_units": 420.33857914632136, "price_pnl_quote_units": 25526.77749196944, "turnover_quote_units": 105041.14211361733, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 35043.41422755499, "return_pct": 250.43414227554987, "cagr_pct": 250.93638091976948, "max_drawdown_pct": 30.30015977609658, "mean_exposure_while_solvent": 1.3944645032420335, "realized_annual_volatility_pct": 57.07323903938287, "trading_costs_quote_units": 63.02468526817048, "borrowing_costs_quote_units": 420.33857914632136, "price_pnl_quote_units": 25526.77749196944, "turnover_quote_units": 105041.14211361733, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20542.33776321108, "return_pct": 105.42337763211079, "cagr_pct": 105.59234257075079, "max_drawdown_pct": 16.232182852005216, "mean_exposure_while_solvent": 0.7491632755529588, "realized_annual_volatility_pct": 31.50922659532146, "trading_costs_quote_units": 13.55437700054301, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10555.892140211605, "turnover_quote_units": 22590.62833423834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20542.33776321108, "return_pct": 105.42337763211079, "cagr_pct": 105.59234257075079, "max_drawdown_pct": 16.232182852005216, "mean_exposure_while_solvent": 0.7491632755529588, "realized_annual_volatility_pct": 31.50922659532146, "trading_costs_quote_units": 13.55437700054301, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10555.892140211605, "turnover_quote_units": 22590.62833423834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25520.209016609984, "return_pct": 155.20209016609985, "cagr_pct": 155.47530066488534, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 41.92986170679306, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15526.205418768699, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25520.209016609984, "return_pct": 155.20209016609985, "cagr_pct": 155.47530066488534, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 41.92986170679306, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15526.205418768699, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30902.81632988469, "return_pct": 209.0281632988469, "cagr_pct": 209.4266209722026, "max_drawdown_pct": 25.988945216356374, "mean_exposure_while_solvent": 1.248028235238744, "realized_annual_volatility_pct": 52.31737319173225, "trading_costs_quote_units": 26.714914610671407, "borrowing_costs_quote_units": 243.83105077155338, "price_pnl_quote_units": 21173.362295266907, "turnover_quote_units": 44524.85768445231, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30902.81632988469, "return_pct": 209.0281632988469, "cagr_pct": 209.4266209722026, "max_drawdown_pct": 25.988945216356374, "mean_exposure_while_solvent": 1.248028235238744, "realized_annual_volatility_pct": 52.31737319173225, "trading_costs_quote_units": 26.714914610671407, "borrowing_costs_quote_units": 243.83105077155338, "price_pnl_quote_units": 21173.362295266907, "turnover_quote_units": 44524.85768445231, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36981.389361998736, "return_pct": 269.81389361998737, "cagr_pct": 270.36667454311305, "max_drawdown_pct": 30.576605543616843, "mean_exposure_while_solvent": 1.497370525796318, "realized_annual_volatility_pct": 62.676008205960606, "trading_costs_quote_units": 60.46786721688087, "borrowing_costs_quote_units": 545.5602730541027, "price_pnl_quote_units": 27587.417502269825, "turnover_quote_units": 100779.77869480145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36981.389361998736, "return_pct": 269.81389361998737, "cagr_pct": 270.36667454311305, "max_drawdown_pct": 30.576605543616843, "mean_exposure_while_solvent": 1.497370525796318, "realized_annual_volatility_pct": 62.676008205960606, "trading_costs_quote_units": 60.46786721688087, "borrowing_costs_quote_units": 545.5602730541027, "price_pnl_quote_units": 27587.417502269825, "turnover_quote_units": 100779.77869480145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28319.76622047464, "return_pct": 183.19766220474642, "cagr_pct": 183.53454773918793, "max_drawdown_pct": 26.015077768836882, "mean_exposure_while_solvent": 1.0543990179505216, "realized_annual_volatility_pct": 43.13861328350279, "trading_costs_quote_units": 97.0927330086091, "borrowing_costs_quote_units": 204.52496950328802, "price_pnl_quote_units": 18621.383922986515, "turnover_quote_units": 161821.2216810152, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28319.76622047464, "return_pct": 183.19766220474642, "cagr_pct": 183.53454773918793, "max_drawdown_pct": 26.015077768836882, "mean_exposure_while_solvent": 1.0543990179505216, "realized_annual_volatility_pct": 43.13861328350279, "trading_costs_quote_units": 97.0927330086091, "borrowing_costs_quote_units": 204.52496950328802, "price_pnl_quote_units": 18621.383922986515, "turnover_quote_units": 161821.2216810152, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33023.50463104742, "return_pct": 230.23504631047422, "cagr_pct": 230.68591362573807, "max_drawdown_pct": 30.587463328831777, "mean_exposure_while_solvent": 1.394731133488898, "realized_annual_volatility_pct": 57.04325018805312, "trading_costs_quote_units": 83.16628049314924, "borrowing_costs_quote_units": 820.7192801884634, "price_pnl_quote_units": 23927.390191729115, "turnover_quote_units": 138610.46748858233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33023.50463104742, "return_pct": 230.23504631047422, "cagr_pct": 230.68591362573807, "max_drawdown_pct": 30.587463328831777, "mean_exposure_while_solvent": 1.394731133488898, "realized_annual_volatility_pct": 57.04325018805312, "trading_costs_quote_units": 83.16628049314924, "borrowing_costs_quote_units": 820.7192801884634, "price_pnl_quote_units": 23927.390191729115, "turnover_quote_units": 138610.46748858233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34227.351995218974, "return_pct": 242.27351995218976, "cagr_pct": 242.7548391354073, "max_drawdown_pct": 30.682019559017192, "mean_exposure_while_solvent": 1.4712123291558223, "realized_annual_volatility_pct": 61.0780542775061, "trading_costs_quote_units": 63.47236777719571, "borrowing_costs_quote_units": 977.2712864525696, "price_pnl_quote_units": 25268.09564944884, "turnover_quote_units": 105787.27962865953, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34227.351995218974, "return_pct": 242.27351995218976, "cagr_pct": 242.7548391354073, "max_drawdown_pct": 30.682019559017192, "mean_exposure_while_solvent": 1.4712123291558223, "realized_annual_volatility_pct": 61.0780542775061, "trading_costs_quote_units": 63.47236777719571, "borrowing_costs_quote_units": 977.2712864525696, "price_pnl_quote_units": 25268.09564944884, "turnover_quote_units": 105787.27962865953, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31946.74703405681, "return_pct": 219.46747034056813, "cagr_pct": 219.89152581472672, "max_drawdown_pct": 29.905078117278762, "mean_exposure_while_solvent": 1.3814395693565922, "realized_annual_volatility_pct": 56.10999339916112, "trading_costs_quote_units": 127.032798375762, "borrowing_costs_quote_units": 765.890791025495, "price_pnl_quote_units": 22839.670623458052, "turnover_quote_units": 211721.3306262701, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31946.74703405681, "return_pct": 219.46747034056813, "cagr_pct": 219.89152581472672, "max_drawdown_pct": 29.905078117278762, "mean_exposure_while_solvent": 1.3814395693565922, "realized_annual_volatility_pct": 56.10999339916112, "trading_costs_quote_units": 127.032798375762, "borrowing_costs_quote_units": 765.890791025495, "price_pnl_quote_units": 22839.670623458052, "turnover_quote_units": 211721.3306262701, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34358.64239216877, "return_pct": 243.58642392168767, "cagr_pct": 244.07109378628823, "max_drawdown_pct": 30.587463328831667, "mean_exposure_while_solvent": 1.3944976381984826, "realized_annual_volatility_pct": 57.07459004778478, "trading_costs_quote_units": 62.486094161813945, "borrowing_costs_quote_units": 831.3951894135644, "price_pnl_quote_units": 25252.52367574412, "turnover_quote_units": 104143.49026968978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34358.64239216877, "return_pct": 243.58642392168767, "cagr_pct": 244.07109378628823, "max_drawdown_pct": 30.587463328831667, "mean_exposure_while_solvent": 1.3944976381984826, "realized_annual_volatility_pct": 57.07459004778478, "trading_costs_quote_units": 62.486094161813945, "borrowing_costs_quote_units": 831.3951894135644, "price_pnl_quote_units": 25252.52367574412, "turnover_quote_units": 104143.49026968978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25097.602704562647, "return_pct": 150.97602704562644, "cagr_pct": 151.23992189761842, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9894726807724965, "realized_annual_volatility_pct": 41.43901956203272, "trading_costs_quote_units": 10.749647014715482, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15108.352351577363, "turnover_quote_units": 17916.078357859133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25097.602704562647, "return_pct": 150.97602704562644, "cagr_pct": 151.23992189761842, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9894726807724965, "realized_annual_volatility_pct": 41.43901956203272, "trading_costs_quote_units": 10.749647014715482, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15108.352351577363, "turnover_quote_units": 17916.078357859133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34358.64239216877, "return_pct": 243.58642392168767, "cagr_pct": 244.07109378628823, "max_drawdown_pct": 30.587463328831667, "mean_exposure_while_solvent": 1.3944976381984826, "realized_annual_volatility_pct": 57.07459004778478, "trading_costs_quote_units": 62.486094161813945, "borrowing_costs_quote_units": 831.3951894135644, "price_pnl_quote_units": 25252.52367574412, "turnover_quote_units": 104143.49026968978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34358.64239216877, "return_pct": 243.58642392168767, "cagr_pct": 244.07109378628823, "max_drawdown_pct": 30.587463328831667, "mean_exposure_while_solvent": 1.3944976381984826, "realized_annual_volatility_pct": 57.07459004778478, "trading_costs_quote_units": 62.486094161813945, "borrowing_costs_quote_units": 831.3951894135644, "price_pnl_quote_units": 25252.52367574412, "turnover_quote_units": 104143.49026968978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34358.64239216877, "return_pct": 243.58642392168767, "cagr_pct": 244.07109378628823, "max_drawdown_pct": 30.587463328831667, "mean_exposure_while_solvent": 1.3944976381984826, "realized_annual_volatility_pct": 57.07459004778478, "trading_costs_quote_units": 62.486094161813945, "borrowing_costs_quote_units": 831.3951894135644, "price_pnl_quote_units": 25252.52367574412, "turnover_quote_units": 104143.49026968978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 34358.64239216877, "return_pct": 243.58642392168767, "cagr_pct": 244.07109378628823, "max_drawdown_pct": 30.587463328831667, "mean_exposure_while_solvent": 1.3944976381984826, "realized_annual_volatility_pct": 57.07459004778478, "trading_costs_quote_units": 62.486094161813945, "borrowing_costs_quote_units": 831.3951894135644, "price_pnl_quote_units": 25252.52367574412, "turnover_quote_units": 104143.49026968978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20542.33776321108, "return_pct": 105.42337763211079, "cagr_pct": 105.59234257075079, "max_drawdown_pct": 16.232182852005216, "mean_exposure_while_solvent": 0.7491632755529588, "realized_annual_volatility_pct": 31.50922659532146, "trading_costs_quote_units": 13.55437700054301, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10555.892140211605, "turnover_quote_units": 22590.62833423834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20542.33776321108, "return_pct": 105.42337763211079, "cagr_pct": 105.59234257075079, "max_drawdown_pct": 16.232182852005216, "mean_exposure_while_solvent": 0.7491632755529588, "realized_annual_volatility_pct": 31.50922659532146, "trading_costs_quote_units": 13.55437700054301, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10555.892140211605, "turnover_quote_units": 22590.62833423834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25520.209016609984, "return_pct": 155.20209016609985, "cagr_pct": 155.47530066488534, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 41.92986170679306, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15526.205418768699, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25520.209016609984, "return_pct": 155.20209016609985, "cagr_pct": 155.47530066488534, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 41.92986170679306, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15526.205418768699, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30520.854694670554, "return_pct": 205.20854694670555, "cagr_pct": 205.5977388741696, "max_drawdown_pct": 26.044986522860636, "mean_exposure_while_solvent": 1.2480459830115296, "realized_annual_volatility_pct": 52.3182072037514, "trading_costs_quote_units": 26.58713423090666, "borrowing_costs_quote_units": 484.3413578814937, "price_pnl_quote_units": 21031.783186782923, "turnover_quote_units": 44311.89038484437, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30520.854694670554, "return_pct": 205.20854694670555, "cagr_pct": 205.5977388741696, "max_drawdown_pct": 26.044986522860636, "mean_exposure_while_solvent": 1.2480459830115296, "realized_annual_volatility_pct": 52.3182072037514, "trading_costs_quote_units": 26.58713423090666, "borrowing_costs_quote_units": 484.3413578814937, "price_pnl_quote_units": 21031.783186782923, "turnover_quote_units": 44311.89038484437, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36073.127047971866, "return_pct": 260.73127047971866, "cagr_pct": 261.2602153537284, "max_drawdown_pct": 30.682019559017192, "mean_exposure_while_solvent": 1.497413108840651, "realized_annual_volatility_pct": 62.67800359366249, "trading_costs_quote_units": 59.78657909770206, "borrowing_costs_quote_units": 1076.0541819920743, "price_pnl_quote_units": 27208.96780906168, "turnover_quote_units": 99644.29849617003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36073.127047971866, "return_pct": 260.73127047971866, "cagr_pct": 261.2602153537284, "max_drawdown_pct": 30.682019559017192, "mean_exposure_while_solvent": 1.497413108840651, "realized_annual_volatility_pct": 62.67800359366249, "trading_costs_quote_units": 59.78657909770206, "borrowing_costs_quote_units": 1076.0541819920743, "price_pnl_quote_units": 27208.96780906168, "turnover_quote_units": 99644.29849617003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27971.434778919473, "return_pct": 179.7143477891947, "cagr_pct": 180.04313134031116, "max_drawdown_pct": 26.39513160891659, "mean_exposure_while_solvent": 1.0544182444379497, "realized_annual_volatility_pct": 43.13804987255331, "trading_costs_quote_units": 96.53804724010661, "borrowing_costs_quote_units": 406.4449983633715, "price_pnl_quote_units": 18474.41782452291, "turnover_quote_units": 160896.74540017772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27971.434778919473, "return_pct": 179.7143477891947, "cagr_pct": 180.04313134031116, "max_drawdown_pct": 26.39513160891659, "mean_exposure_while_solvent": 1.0544182444379497, "realized_annual_volatility_pct": 43.13804987255331, "trading_costs_quote_units": 96.53804724010661, "borrowing_costs_quote_units": 406.4449983633715, "price_pnl_quote_units": 18474.41782452291, "turnover_quote_units": 160896.74540017772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31715.171114101577, "return_pct": 217.15171114101577, "cagr_pct": 217.57005407100914, "max_drawdown_pct": 31.158683858706127, "mean_exposure_while_solvent": 1.3947984971960292, "realized_annual_volatility_pct": 57.04601791828458, "trading_costs_quote_units": 81.79050325501406, "borrowing_costs_quote_units": 1604.9926133916658, "price_pnl_quote_units": 23401.95423074829, "turnover_quote_units": 136317.50542502347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31715.171114101577, "return_pct": 217.15171114101577, "cagr_pct": 217.57005407100914, "max_drawdown_pct": 31.158683858706127, "mean_exposure_while_solvent": 1.3947984971960292, "realized_annual_volatility_pct": 57.04601791828458, "trading_costs_quote_units": 81.79050325501406, "borrowing_costs_quote_units": 1604.9926133916658, "price_pnl_quote_units": 23401.95423074829, "turnover_quote_units": 136317.50542502347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32650.870989550895, "return_pct": 226.50870989550893, "cagr_pct": 226.9502522725372, "max_drawdown_pct": 31.220579767611014, "mean_exposure_while_solvent": 1.4712924994877337, "realized_annual_volatility_pct": 61.08206044108352, "trading_costs_quote_units": 62.2583530776952, "borrowing_costs_quote_units": 1904.0547041067216, "price_pnl_quote_units": 24617.18404673546, "turnover_quote_units": 103763.92179615864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32650.870989550895, "return_pct": 226.50870989550893, "cagr_pct": 226.9502522725372, "max_drawdown_pct": 31.220579767611014, "mean_exposure_while_solvent": 1.4712924994877337, "realized_annual_volatility_pct": 61.08206044108352, "trading_costs_quote_units": 62.2583530776952, "borrowing_costs_quote_units": 1904.0547041067216, "price_pnl_quote_units": 24617.18404673546, "turnover_quote_units": 103763.92179615864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 30713.156995877856, "return_pct": 207.13156995877858, "cagr_pct": 207.52542001839197, "max_drawdown_pct": 30.473388495875554, "mean_exposure_while_solvent": 1.3815052986558438, "realized_annual_volatility_pct": 56.11304306977597, "trading_costs_quote_units": 124.97086111790397, "borrowing_costs_quote_units": 1498.9333569210305, "price_pnl_quote_units": 22337.06121391679, "turnover_quote_units": 208284.76852984013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 30713.156995877856, "return_pct": 207.13156995877858, "cagr_pct": 207.52542001839197, "max_drawdown_pct": 30.473388495875554, "mean_exposure_while_solvent": 1.3815052986558438, "realized_annual_volatility_pct": 56.11304306977597, "trading_costs_quote_units": 124.97086111790397, "borrowing_costs_quote_units": 1498.9333569210305, "price_pnl_quote_units": 22337.06121391679, "turnover_quote_units": 208284.76852984013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33028.62604747852, "return_pct": 230.28626047478525, "cagr_pct": 230.7372562871142, "max_drawdown_pct": 31.158683858706016, "mean_exposure_while_solvent": 1.3945639220359858, "realized_annual_volatility_pct": 57.07731043920447, "trading_costs_quote_units": 61.433940358920374, "borrowing_costs_quote_units": 1626.42752182775, "price_pnl_quote_units": 24716.48750966527, "turnover_quote_units": 102389.90059820062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33028.62604747852, "return_pct": 230.28626047478525, "cagr_pct": 230.7372562871142, "max_drawdown_pct": 31.158683858706016, "mean_exposure_while_solvent": 1.3945639220359858, "realized_annual_volatility_pct": 57.07731043920447, "trading_costs_quote_units": 61.433940358920374, "borrowing_costs_quote_units": 1626.42752182775, "price_pnl_quote_units": 24716.48750966527, "turnover_quote_units": 102389.90059820062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25097.602704562647, "return_pct": 150.97602704562644, "cagr_pct": 151.23992189761842, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9894726807724965, "realized_annual_volatility_pct": 41.43901956203272, "trading_costs_quote_units": 10.749647014715482, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15108.352351577363, "turnover_quote_units": 17916.078357859133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25097.602704562647, "return_pct": 150.97602704562644, "cagr_pct": 151.23992189761842, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9894726807724965, "realized_annual_volatility_pct": 41.43901956203272, "trading_costs_quote_units": 10.749647014715482, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15108.352351577363, "turnover_quote_units": 17916.078357859133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33028.62604747852, "return_pct": 230.28626047478525, "cagr_pct": 230.7372562871142, "max_drawdown_pct": 31.158683858706016, "mean_exposure_while_solvent": 1.3945639220359858, "realized_annual_volatility_pct": 57.07731043920447, "trading_costs_quote_units": 61.433940358920374, "borrowing_costs_quote_units": 1626.42752182775, "price_pnl_quote_units": 24716.48750966527, "turnover_quote_units": 102389.90059820062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33028.62604747852, "return_pct": 230.28626047478525, "cagr_pct": 230.7372562871142, "max_drawdown_pct": 31.158683858706016, "mean_exposure_while_solvent": 1.3945639220359858, "realized_annual_volatility_pct": 57.07731043920447, "trading_costs_quote_units": 61.433940358920374, "borrowing_costs_quote_units": 1626.42752182775, "price_pnl_quote_units": 24716.48750966527, "turnover_quote_units": 102389.90059820062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33028.62604747852, "return_pct": 230.28626047478525, "cagr_pct": 230.7372562871142, "max_drawdown_pct": 31.158683858706016, "mean_exposure_while_solvent": 1.3945639220359858, "realized_annual_volatility_pct": 57.07731043920447, "trading_costs_quote_units": 61.433940358920374, "borrowing_costs_quote_units": 1626.42752182775, "price_pnl_quote_units": 24716.48750966527, "turnover_quote_units": 102389.90059820062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33028.62604747852, "return_pct": 230.28626047478525, "cagr_pct": 230.7372562871142, "max_drawdown_pct": 31.158683858706016, "mean_exposure_while_solvent": 1.3945639220359858, "realized_annual_volatility_pct": 57.07731043920447, "trading_costs_quote_units": 61.433940358920374, "borrowing_costs_quote_units": 1626.42752182775, "price_pnl_quote_units": 24716.48750966527, "turnover_quote_units": 102389.90059820062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20542.33776321108, "return_pct": 105.42337763211079, "cagr_pct": 105.59234257075079, "max_drawdown_pct": 16.232182852005216, "mean_exposure_while_solvent": 0.7491632755529588, "realized_annual_volatility_pct": 31.50922659532146, "trading_costs_quote_units": 13.55437700054301, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10555.892140211605, "turnover_quote_units": 22590.62833423834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20542.33776321108, "return_pct": 105.42337763211079, "cagr_pct": 105.59234257075079, "max_drawdown_pct": 16.232182852005216, "mean_exposure_while_solvent": 0.7491632755529588, "realized_annual_volatility_pct": 31.50922659532146, "trading_costs_quote_units": 13.55437700054301, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10555.892140211605, "turnover_quote_units": 22590.62833423834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25520.209016609984, "return_pct": 155.20209016609985, "cagr_pct": 155.47530066488534, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 41.92986170679306, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15526.205418768699, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25520.209016609984, "return_pct": 155.20209016609985, "cagr_pct": 155.47530066488534, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 41.92986170679306, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15526.205418768699, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29770.8659145613, "return_pct": 197.70865914561298, "cagr_pct": 198.07981748041047, "max_drawdown_pct": 26.15697407206842, "mean_exposure_while_solvent": 1.248081484015851, "realized_annual_volatility_pct": 52.31987560722457, "trading_costs_quote_units": 26.338029948070513, "borrowing_costs_quote_units": 955.569437318957, "price_pnl_quote_units": 20752.77338182831, "turnover_quote_units": 43896.71658011748, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29770.8659145613, "return_pct": 197.70865914561298, "cagr_pct": 198.07981748041047, "max_drawdown_pct": 26.15697407206842, "mean_exposure_while_solvent": 1.248081484015851, "realized_annual_volatility_pct": 52.31987560722457, "trading_costs_quote_units": 26.338029948070513, "borrowing_costs_quote_units": 955.569437318957, "price_pnl_quote_units": 20752.77338182831, "turnover_quote_units": 43896.71658011748, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 34322.4923386719, "return_pct": 243.224923386719, "cagr_pct": 243.70867008652343, "max_drawdown_pct": 31.220579767610634, "mean_exposure_while_solvent": 1.4974982933639758, "realized_annual_volatility_pct": 62.68199564485543, "trading_costs_quote_units": 58.46717878921203, "borrowing_costs_quote_units": 2093.3976225466117, "price_pnl_quote_units": 26474.357140007687, "turnover_quote_units": 97445.29798201997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 34322.4923386719, "return_pct": 243.224923386719, "cagr_pct": 243.70867008652343, "max_drawdown_pct": 31.220579767610634, "mean_exposure_while_solvent": 1.4974982933639758, "realized_annual_volatility_pct": 62.68199564485543, "trading_costs_quote_units": 58.46717878921203, "borrowing_costs_quote_units": 2093.3976225466117, "price_pnl_quote_units": 26474.357140007687, "turnover_quote_units": 97445.29798201997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27722.951917169084, "return_pct": 177.22951917169084, "cagr_pct": 177.55255346822577, "max_drawdown_pct": 26.183504055954522, "mean_exposure_while_solvent": 1.055453082250922, "realized_annual_volatility_pct": 43.12526060892383, "trading_costs_quote_units": 477.8256403087372, "borrowing_costs_quote_units": 100.8948203081565, "price_pnl_quote_units": 18301.67237778597, "turnover_quote_units": 159275.21343624577, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27722.951917169084, "return_pct": 177.22951917169084, "cagr_pct": 177.55255346822577, "max_drawdown_pct": 26.183504055954522, "mean_exposure_while_solvent": 1.055453082250922, "realized_annual_volatility_pct": 43.12526060892383, "trading_costs_quote_units": 477.8256403087372, "borrowing_costs_quote_units": 100.8948203081565, "price_pnl_quote_units": 18301.67237778597, "turnover_quote_units": 159275.21343624577, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33135.9188483646, "return_pct": 231.359188483646, "cagr_pct": 231.81287837594658, "max_drawdown_pct": 30.412491884314996, "mean_exposure_while_solvent": 1.3963573617380935, "realized_annual_volatility_pct": 57.00128963515394, "trading_costs_quote_units": 426.2046894692677, "borrowing_costs_quote_units": 411.2862569182694, "price_pnl_quote_units": 23973.40979475213, "turnover_quote_units": 142068.22982308912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33135.9188483646, "return_pct": 231.359188483646, "cagr_pct": 231.81287837594658, "max_drawdown_pct": 30.412491884314996, "mean_exposure_while_solvent": 1.3963573617380935, "realized_annual_volatility_pct": 57.00128963515394, "trading_costs_quote_units": 426.2046894692677, "borrowing_costs_quote_units": 411.2862569182694, "price_pnl_quote_units": 23973.40979475213, "turnover_quote_units": 142068.22982308912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34521.36607610462, "return_pct": 245.21366076104619, "cagr_pct": 245.7024914899071, "max_drawdown_pct": 30.63157952914537, "mean_exposure_while_solvent": 1.4728742833007704, "realized_annual_volatility_pct": 61.057657303011126, "trading_costs_quote_units": 329.09376992725157, "borrowing_costs_quote_units": 490.5267703950034, "price_pnl_quote_units": 25340.98661642684, "turnover_quote_units": 109697.92330908388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34521.36607610462, "return_pct": 245.21366076104619, "cagr_pct": 245.7024914899071, "max_drawdown_pct": 30.63157952914537, "mean_exposure_while_solvent": 1.4728742833007704, "realized_annual_volatility_pct": 61.057657303011126, "trading_costs_quote_units": 329.09376992725157, "borrowing_costs_quote_units": 490.5267703950034, "price_pnl_quote_units": 25340.98661642684, "turnover_quote_units": 109697.92330908388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31548.006061822314, "return_pct": 215.48006061822315, "cagr_pct": 215.89429192245487, "max_drawdown_pct": 29.761950601500565, "mean_exposure_while_solvent": 1.383176931781006, "realized_annual_volatility_pct": 56.08158030387186, "trading_costs_quote_units": 638.5117015807787, "borrowing_costs_quote_units": 380.6255650485621, "price_pnl_quote_units": 22567.143328451635, "turnover_quote_units": 212837.23386025964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31548.006061822314, "return_pct": 215.48006061822315, "cagr_pct": 215.89429192245487, "max_drawdown_pct": 29.761950601500565, "mean_exposure_while_solvent": 1.383176931781006, "realized_annual_volatility_pct": 56.08158030387186, "trading_costs_quote_units": 638.5117015807787, "borrowing_costs_quote_units": 380.6255650485621, "price_pnl_quote_units": 22567.143328451635, "turnover_quote_units": 212837.23386025964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34557.40704498641, "return_pct": 245.57407044986408, "cagr_pct": 246.06382394012493, "max_drawdown_pct": 30.412491884315084, "mean_exposure_while_solvent": 1.3961099887404722, "realized_annual_volatility_pct": 57.07698062086626, "trading_costs_quote_units": 322.5834571220908, "borrowing_costs_quote_units": 416.90205653668363, "price_pnl_quote_units": 25296.892558645217, "turnover_quote_units": 107527.81904069686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34557.40704498641, "return_pct": 245.57407044986408, "cagr_pct": 246.06382394012493, "max_drawdown_pct": 30.412491884315084, "mean_exposure_while_solvent": 1.3961099887404722, "realized_annual_volatility_pct": 57.07698062086626, "trading_costs_quote_units": 322.5834571220908, "borrowing_costs_quote_units": 416.90205653668363, "price_pnl_quote_units": 25296.892558645217, "turnover_quote_units": 107527.81904069686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25032.85973299614, "return_pct": 150.3285973299614, "cagr_pct": 150.59107219272602, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9904088334295441, "realized_annual_volatility_pct": 41.433685137532514, "trading_costs_quote_units": 53.877999987765484, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15086.737732983871, "turnover_quote_units": 17959.333329255158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25032.85973299614, "return_pct": 150.3285973299614, "cagr_pct": 150.59107219272602, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9904088334295441, "realized_annual_volatility_pct": 41.433685137532514, "trading_costs_quote_units": 53.877999987765484, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15086.737732983871, "turnover_quote_units": 17959.333329255158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34557.40704498641, "return_pct": 245.57407044986408, "cagr_pct": 246.06382394012493, "max_drawdown_pct": 30.412491884315084, "mean_exposure_while_solvent": 1.3961099887404722, "realized_annual_volatility_pct": 57.07698062086626, "trading_costs_quote_units": 322.5834571220908, "borrowing_costs_quote_units": 416.90205653668363, "price_pnl_quote_units": 25296.892558645217, "turnover_quote_units": 107527.81904069686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34557.40704498641, "return_pct": 245.57407044986408, "cagr_pct": 246.06382394012493, "max_drawdown_pct": 30.412491884315084, "mean_exposure_while_solvent": 1.3961099887404722, "realized_annual_volatility_pct": 57.07698062086626, "trading_costs_quote_units": 322.5834571220908, "borrowing_costs_quote_units": 416.90205653668363, "price_pnl_quote_units": 25296.892558645217, "turnover_quote_units": 107527.81904069686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34557.40704498641, "return_pct": 245.57407044986408, "cagr_pct": 246.06382394012493, "max_drawdown_pct": 30.412491884315084, "mean_exposure_while_solvent": 1.3961099887404722, "realized_annual_volatility_pct": 57.07698062086626, "trading_costs_quote_units": 322.5834571220908, "borrowing_costs_quote_units": 416.90205653668363, "price_pnl_quote_units": 25296.892558645217, "turnover_quote_units": 107527.81904069686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 34557.40704498641, "return_pct": 245.57407044986408, "cagr_pct": 246.06382394012493, "max_drawdown_pct": 30.412491884315084, "mean_exposure_while_solvent": 1.3961099887404722, "realized_annual_volatility_pct": 57.07698062086626, "trading_costs_quote_units": 322.5834571220908, "borrowing_costs_quote_units": 416.90205653668363, "price_pnl_quote_units": 25296.892558645217, "turnover_quote_units": 107527.81904069686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20486.106652607617, "return_pct": 104.86106652607616, "cagr_pct": 105.02892710467324, "max_drawdown_pct": 16.245711068356382, "mean_exposure_while_solvent": 0.7497874125936316, "realized_annual_volatility_pct": 31.51046069955905, "trading_costs_quote_units": 70.00044100748023, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10556.107093615095, "turnover_quote_units": 23333.480335826767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20486.106652607617, "return_pct": 104.86106652607616, "cagr_pct": 105.02892710467324, "max_drawdown_pct": 16.245711068356382, "mean_exposure_while_solvent": 0.7497874125936316, "realized_annual_volatility_pct": 31.51046069955905, "trading_costs_quote_units": 70.00044100748023, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10556.107093615095, "turnover_quote_units": 23333.480335826767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25509.272659928316, "return_pct": 155.09272659928314, "cagr_pct": 155.36569500905398, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 41.931341375238866, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15539.182929120738, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25509.272659928316, "return_pct": 155.09272659928314, "cagr_pct": 155.36569500905398, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 41.931341375238866, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15539.182929120738, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30749.863393881584, "return_pct": 207.49863393881586, "cagr_pct": 207.89337470561992, "max_drawdown_pct": 26.01357387451191, "mean_exposure_while_solvent": 1.2492564463860234, "realized_annual_volatility_pct": 52.31659513905623, "trading_costs_quote_units": 138.4664921843119, "borrowing_costs_quote_units": 243.217932058359, "price_pnl_quote_units": 21131.547818124196, "turnover_quote_units": 46155.497394770646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30749.863393881584, "return_pct": 207.49863393881586, "cagr_pct": 207.89337470561992, "max_drawdown_pct": 26.01357387451191, "mean_exposure_while_solvent": 1.2492564463860234, "realized_annual_volatility_pct": 52.31659513905623, "trading_costs_quote_units": 138.4664921843119, "borrowing_costs_quote_units": 243.217932058359, "price_pnl_quote_units": 21131.547818124196, "turnover_quote_units": 46155.497394770646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36566.61708517593, "return_pct": 265.6661708517593, "cagr_pct": 266.2080345957905, "max_drawdown_pct": 30.63157952914537, "mean_exposure_while_solvent": 1.4989311655215278, "realized_annual_volatility_pct": 62.67224805381212, "trading_costs_quote_units": 315.0834534403433, "borrowing_costs_quote_units": 542.0252394784331, "price_pnl_quote_units": 27423.725778094726, "turnover_quote_units": 105027.81781344765, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36566.61708517593, "return_pct": 265.6661708517593, "cagr_pct": 266.2080345957905, "max_drawdown_pct": 30.63157952914537, "mean_exposure_while_solvent": 1.4989311655215278, "realized_annual_volatility_pct": 62.67224805381212, "trading_costs_quote_units": 315.0834534403433, "borrowing_costs_quote_units": 542.0252394784331, "price_pnl_quote_units": 27423.725778094726, "turnover_quote_units": 105027.81781344765, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27551.93690739667, "return_pct": 175.51936907396671, "cagr_pct": 175.83846132042274, "max_drawdown_pct": 26.37358441717266, "mean_exposure_while_solvent": 1.0554627132725392, "realized_annual_volatility_pct": 43.1252539237962, "trading_costs_quote_units": 476.4641093612239, "borrowing_costs_quote_units": 201.14787191447556, "price_pnl_quote_units": 18229.54888867233, "turnover_quote_units": 158821.36978707457, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27551.93690739667, "return_pct": 175.51936907396671, "cagr_pct": 175.83846132042274, "max_drawdown_pct": 26.37358441717266, "mean_exposure_while_solvent": 1.0554627132725392, "realized_annual_volatility_pct": 43.1252539237962, "trading_costs_quote_units": 476.4641093612239, "borrowing_costs_quote_units": 201.14787191447556, "price_pnl_quote_units": 18229.54888867233, "turnover_quote_units": 158821.36978707457, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32472.30893133246, "return_pct": 224.7230893133246, "cagr_pct": 225.16018050202283, "max_drawdown_pct": 30.699829730965934, "mean_exposure_while_solvent": 1.3963911343432278, "realized_annual_volatility_pct": 57.00328087416404, "trading_costs_quote_units": 422.63094015597756, "borrowing_costs_quote_units": 813.3586139162998, "price_pnl_quote_units": 23708.298485404768, "turnover_quote_units": 140876.9800519927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32472.30893133246, "return_pct": 224.7230893133246, "cagr_pct": 225.16018050202283, "max_drawdown_pct": 30.699829730965934, "mean_exposure_while_solvent": 1.3963911343432278, "realized_annual_volatility_pct": 57.00328087416404, "trading_costs_quote_units": 422.63094015597756, "borrowing_costs_quote_units": 813.3586139162998, "price_pnl_quote_units": 23708.298485404768, "turnover_quote_units": 140876.9800519927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33716.33166128249, "return_pct": 237.16331661282496, "cagr_pct": 237.63164907698226, "max_drawdown_pct": 30.736951994782014, "mean_exposure_while_solvent": 1.4729144707865285, "realized_annual_volatility_pct": 61.0604320516243, "trading_costs_quote_units": 325.8476543836373, "borrowing_costs_quote_units": 968.2448797132802, "price_pnl_quote_units": 25010.424195379426, "turnover_quote_units": 108615.88479454574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33716.33166128249, "return_pct": 237.16331661282496, "cagr_pct": 237.63164907698226, "max_drawdown_pct": 30.736951994782014, "mean_exposure_while_solvent": 1.4729144707865285, "realized_annual_volatility_pct": 61.0604320516243, "trading_costs_quote_units": 325.8476543836373, "borrowing_costs_quote_units": 968.2448797132802, "price_pnl_quote_units": 25010.424195379426, "turnover_quote_units": 108615.88479454574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30932.174706162266, "return_pct": 209.32174706162266, "cagr_pct": 209.7209191651186, "max_drawdown_pct": 30.04764624309554, "mean_exposure_while_solvent": 1.383209903338198, "realized_annual_volatility_pct": 56.08373512797555, "trading_costs_quote_units": 633.2380357304132, "borrowing_costs_quote_units": 753.0284400637578, "price_pnl_quote_units": 22318.441181956467, "turnover_quote_units": 211079.34524347106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30932.174706162266, "return_pct": 209.32174706162266, "cagr_pct": 209.7209191651186, "max_drawdown_pct": 30.04764624309554, "mean_exposure_while_solvent": 1.383209903338198, "realized_annual_volatility_pct": 56.08373512797555, "trading_costs_quote_units": 633.2380357304132, "borrowing_costs_quote_units": 753.0284400637578, "price_pnl_quote_units": 22318.441181956467, "turnover_quote_units": 211079.34524347106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33881.275018332424, "return_pct": 238.81275018332423, "cagr_pct": 239.28526477624058, "max_drawdown_pct": 30.69982973096583, "mean_exposure_while_solvent": 1.3961432249013521, "realized_annual_volatility_pct": 57.07894099054271, "trading_costs_quote_units": 319.9105338195146, "borrowing_costs_quote_units": 824.6020381794987, "price_pnl_quote_units": 25025.787590331376, "turnover_quote_units": 106636.84460650488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33881.275018332424, "return_pct": 238.81275018332423, "cagr_pct": 239.28526477624058, "max_drawdown_pct": 30.69982973096583, "mean_exposure_while_solvent": 1.3961432249013521, "realized_annual_volatility_pct": 57.07894099054271, "trading_costs_quote_units": 319.9105338195146, "borrowing_costs_quote_units": 824.6020381794987, "price_pnl_quote_units": 25025.787590331376, "turnover_quote_units": 106636.84460650488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25032.85973299614, "return_pct": 150.3285973299614, "cagr_pct": 150.59107219272602, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9904088334295441, "realized_annual_volatility_pct": 41.433685137532514, "trading_costs_quote_units": 53.877999987765484, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15086.737732983871, "turnover_quote_units": 17959.333329255158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25032.85973299614, "return_pct": 150.3285973299614, "cagr_pct": 150.59107219272602, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9904088334295441, "realized_annual_volatility_pct": 41.433685137532514, "trading_costs_quote_units": 53.877999987765484, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15086.737732983871, "turnover_quote_units": 17959.333329255158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33881.275018332424, "return_pct": 238.81275018332423, "cagr_pct": 239.28526477624058, "max_drawdown_pct": 30.69982973096583, "mean_exposure_while_solvent": 1.3961432249013521, "realized_annual_volatility_pct": 57.07894099054271, "trading_costs_quote_units": 319.9105338195146, "borrowing_costs_quote_units": 824.6020381794987, "price_pnl_quote_units": 25025.787590331376, "turnover_quote_units": 106636.84460650488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33881.275018332424, "return_pct": 238.81275018332423, "cagr_pct": 239.28526477624058, "max_drawdown_pct": 30.69982973096583, "mean_exposure_while_solvent": 1.3961432249013521, "realized_annual_volatility_pct": 57.07894099054271, "trading_costs_quote_units": 319.9105338195146, "borrowing_costs_quote_units": 824.6020381794987, "price_pnl_quote_units": 25025.787590331376, "turnover_quote_units": 106636.84460650488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33881.275018332424, "return_pct": 238.81275018332423, "cagr_pct": 239.28526477624058, "max_drawdown_pct": 30.69982973096583, "mean_exposure_while_solvent": 1.3961432249013521, "realized_annual_volatility_pct": 57.07894099054271, "trading_costs_quote_units": 319.9105338195146, "borrowing_costs_quote_units": 824.6020381794987, "price_pnl_quote_units": 25025.787590331376, "turnover_quote_units": 106636.84460650488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 33881.275018332424, "return_pct": 238.81275018332423, "cagr_pct": 239.28526477624058, "max_drawdown_pct": 30.69982973096583, "mean_exposure_while_solvent": 1.3961432249013521, "realized_annual_volatility_pct": 57.07894099054271, "trading_costs_quote_units": 319.9105338195146, "borrowing_costs_quote_units": 824.6020381794987, "price_pnl_quote_units": 25025.787590331376, "turnover_quote_units": 106636.84460650488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20486.106652607617, "return_pct": 104.86106652607616, "cagr_pct": 105.02892710467324, "max_drawdown_pct": 16.245711068356382, "mean_exposure_while_solvent": 0.7497874125936316, "realized_annual_volatility_pct": 31.51046069955905, "trading_costs_quote_units": 70.00044100748023, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10556.107093615095, "turnover_quote_units": 23333.480335826767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20486.106652607617, "return_pct": 104.86106652607616, "cagr_pct": 105.02892710467324, "max_drawdown_pct": 16.245711068356382, "mean_exposure_while_solvent": 0.7497874125936316, "realized_annual_volatility_pct": 31.51046069955905, "trading_costs_quote_units": 70.00044100748023, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10556.107093615095, "turnover_quote_units": 23333.480335826767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25509.272659928316, "return_pct": 155.09272659928314, "cagr_pct": 155.36569500905398, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 41.931341375238866, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15539.182929120738, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25509.272659928316, "return_pct": 155.09272659928314, "cagr_pct": 155.36569500905398, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 41.931341375238866, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15539.182929120738, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30369.42811344917, "return_pct": 203.6942811344917, "cagr_pct": 204.07981481860364, "max_drawdown_pct": 26.069613757933784, "mean_exposure_while_solvent": 1.249274230798038, "realized_annual_volatility_pct": 52.31776633309973, "trading_costs_quote_units": 137.8120682878575, "borrowing_costs_quote_units": 483.12199251494076, "price_pnl_quote_units": 20990.362174251997, "turnover_quote_units": 45937.35609595253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30369.42811344917, "return_pct": 203.6942811344917, "cagr_pct": 204.07981481860364, "max_drawdown_pct": 26.069613757933784, "mean_exposure_while_solvent": 1.249274230798038, "realized_annual_volatility_pct": 52.31776633309973, "trading_costs_quote_units": 137.8120682878575, "borrowing_costs_quote_units": 483.12199251494076, "price_pnl_quote_units": 20990.362174251997, "turnover_quote_units": 45937.35609595253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 35667.64874847392, "return_pct": 256.6764874847392, "cagr_pct": 257.1948753186865, "max_drawdown_pct": 30.736951994782014, "mean_exposure_while_solvent": 1.4989738388267642, "realized_annual_volatility_pct": 62.67505120942186, "trading_costs_quote_units": 311.5328860630798, "borrowing_costs_quote_units": 1069.0846185320524, "price_pnl_quote_units": 27048.26625306916, "turnover_quote_units": 103844.29535435996, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 35667.64874847392, "return_pct": 256.6764874847392, "cagr_pct": 257.1948753186865, "max_drawdown_pct": 30.736951994782014, "mean_exposure_while_solvent": 1.4989738388267642, "realized_annual_volatility_pct": 62.67505120942186, "trading_costs_quote_units": 311.5328860630798, "borrowing_costs_quote_units": 1069.0846185320524, "price_pnl_quote_units": 27048.26625306916, "turnover_quote_units": 103844.29535435996, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27212.953307529522, "return_pct": 172.12953307529523, "cagr_pct": 172.44084743143137, "max_drawdown_pct": 26.752374122764945, "mean_exposure_while_solvent": 1.0554819788874783, "realized_annual_volatility_pct": 43.125263650381065, "trading_costs_quote_units": 473.76938337742155, "borrowing_costs_quote_units": 399.74351044609426, "price_pnl_quote_units": 18086.466201353054, "turnover_quote_units": 157923.12779247385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27212.953307529522, "return_pct": 172.12953307529523, "cagr_pct": 172.44084743143137, "max_drawdown_pct": 26.752374122764945, "mean_exposure_while_solvent": 1.0554819788874783, "realized_annual_volatility_pct": 43.125263650381065, "trading_costs_quote_units": 473.76938337742155, "borrowing_costs_quote_units": 399.74351044609426, "price_pnl_quote_units": 18086.466201353054, "turnover_quote_units": 157923.12779247385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31184.292843950825, "return_pct": 211.84292843950826, "cagr_pct": 212.2482488882158, "max_drawdown_pct": 31.271142192320124, "mean_exposure_while_solvent": 1.3964586935647527, "realized_annual_volatility_pct": 57.00727725785659, "trading_costs_quote_units": 415.65936626108186, "borrowing_costs_quote_units": 1590.634557429222, "price_pnl_quote_units": 23190.58676764129, "turnover_quote_units": 138553.12208702712, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31184.292843950825, "return_pct": 211.84292843950826, "cagr_pct": 212.2482488882158, "max_drawdown_pct": 31.271142192320124, "mean_exposure_while_solvent": 1.3964586935647527, "realized_annual_volatility_pct": 57.00727725785659, "trading_costs_quote_units": 415.65936626108186, "borrowing_costs_quote_units": 1590.634557429222, "price_pnl_quote_units": 23190.58676764129, "turnover_quote_units": 138553.12208702712, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32161.647983429044, "return_pct": 221.61647983429043, "cagr_pct": 222.0458537082572, "max_drawdown_pct": 31.442831448243645, "mean_exposure_while_solvent": 1.4729948630051475, "realized_annual_volatility_pct": 61.06598718704419, "trading_costs_quote_units": 319.55394692842316, "borrowing_costs_quote_units": 1886.5075918779453, "price_pnl_quote_units": 24367.709522235422, "turnover_quote_units": 106517.9823094744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32161.647983429044, "return_pct": 221.61647983429043, "cagr_pct": 222.0458537082572, "max_drawdown_pct": 31.442831448243645, "mean_exposure_while_solvent": 1.4729948630051475, "realized_annual_volatility_pct": 61.06598718704419, "trading_costs_quote_units": 319.55394692842316, "borrowing_costs_quote_units": 1886.5075918779453, "price_pnl_quote_units": 24367.709522235422, "turnover_quote_units": 106517.9823094744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29735.923117642567, "return_pct": 197.35923117642565, "cagr_pct": 197.72955453828578, "max_drawdown_pct": 30.615746117077602, "mean_exposure_while_solvent": 1.3832758602028021, "realized_annual_volatility_pct": 56.08806241484804, "trading_costs_quote_units": 622.9684145284343, "borrowing_costs_quote_units": 1473.8346293367579, "price_pnl_quote_units": 21832.7261615078, "turnover_quote_units": 207656.13817614468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29735.923117642567, "return_pct": 197.35923117642565, "cagr_pct": 197.72955453828578, "max_drawdown_pct": 30.615746117077602, "mean_exposure_while_solvent": 1.3832758602028021, "realized_annual_volatility_pct": 56.08806241484804, "trading_costs_quote_units": 622.9684145284343, "borrowing_costs_quote_units": 1473.8346293367579, "price_pnl_quote_units": 21832.7261615078, "turnover_quote_units": 207656.13817614468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32568.037674406107, "return_pct": 225.68037674406108, "cagr_pct": 226.11985286130897, "max_drawdown_pct": 31.271142192320056, "mean_exposure_while_solvent": 1.3962097111986977, "realized_annual_volatility_pct": 57.08288010960692, "trading_costs_quote_units": 314.7091857495689, "borrowing_costs_quote_units": 1613.1533724746312, "price_pnl_quote_units": 24495.900232630247, "turnover_quote_units": 104903.06191652303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32568.037674406107, "return_pct": 225.68037674406108, "cagr_pct": 226.11985286130897, "max_drawdown_pct": 31.271142192320056, "mean_exposure_while_solvent": 1.3962097111986977, "realized_annual_volatility_pct": 57.08288010960692, "trading_costs_quote_units": 314.7091857495689, "borrowing_costs_quote_units": 1613.1533724746312, "price_pnl_quote_units": 24495.900232630247, "turnover_quote_units": 104903.06191652303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25032.85973299614, "return_pct": 150.3285973299614, "cagr_pct": 150.59107219272602, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9904088334295441, "realized_annual_volatility_pct": 41.433685137532514, "trading_costs_quote_units": 53.877999987765484, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15086.737732983871, "turnover_quote_units": 17959.333329255158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25032.85973299614, "return_pct": 150.3285973299614, "cagr_pct": 150.59107219272602, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9904088334295441, "realized_annual_volatility_pct": 41.433685137532514, "trading_costs_quote_units": 53.877999987765484, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15086.737732983871, "turnover_quote_units": 17959.333329255158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32568.037674406107, "return_pct": 225.68037674406108, "cagr_pct": 226.11985286130897, "max_drawdown_pct": 31.271142192320056, "mean_exposure_while_solvent": 1.3962097111986977, "realized_annual_volatility_pct": 57.08288010960692, "trading_costs_quote_units": 314.7091857495689, "borrowing_costs_quote_units": 1613.1533724746312, "price_pnl_quote_units": 24495.900232630247, "turnover_quote_units": 104903.06191652303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32568.037674406107, "return_pct": 225.68037674406108, "cagr_pct": 226.11985286130897, "max_drawdown_pct": 31.271142192320056, "mean_exposure_while_solvent": 1.3962097111986977, "realized_annual_volatility_pct": 57.08288010960692, "trading_costs_quote_units": 314.7091857495689, "borrowing_costs_quote_units": 1613.1533724746312, "price_pnl_quote_units": 24495.900232630247, "turnover_quote_units": 104903.06191652303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32568.037674406107, "return_pct": 225.68037674406108, "cagr_pct": 226.11985286130897, "max_drawdown_pct": 31.271142192320056, "mean_exposure_while_solvent": 1.3962097111986977, "realized_annual_volatility_pct": 57.08288010960692, "trading_costs_quote_units": 314.7091857495689, "borrowing_costs_quote_units": 1613.1533724746312, "price_pnl_quote_units": 24495.900232630247, "turnover_quote_units": 104903.06191652303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32568.037674406107, "return_pct": 225.68037674406108, "cagr_pct": 226.11985286130897, "max_drawdown_pct": 31.271142192320056, "mean_exposure_while_solvent": 1.3962097111986977, "realized_annual_volatility_pct": 57.08288010960692, "trading_costs_quote_units": 314.7091857495689, "borrowing_costs_quote_units": 1613.1533724746312, "price_pnl_quote_units": 24495.900232630247, "turnover_quote_units": 104903.06191652303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20486.106652607617, "return_pct": 104.86106652607616, "cagr_pct": 105.02892710467324, "max_drawdown_pct": 16.245711068356382, "mean_exposure_while_solvent": 0.7497874125936316, "realized_annual_volatility_pct": 31.51046069955905, "trading_costs_quote_units": 70.00044100748023, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10556.107093615095, "turnover_quote_units": 23333.480335826767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20486.106652607617, "return_pct": 104.86106652607616, "cagr_pct": 105.02892710467324, "max_drawdown_pct": 16.245711068356382, "mean_exposure_while_solvent": 0.7497874125936316, "realized_annual_volatility_pct": 31.51046069955905, "trading_costs_quote_units": 70.00044100748023, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10556.107093615095, "turnover_quote_units": 23333.480335826767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25509.272659928316, "return_pct": 155.09272659928314, "cagr_pct": 155.36569500905398, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 41.931341375238866, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15539.182929120738, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25509.272659928316, "return_pct": 155.09272659928314, "cagr_pct": 155.36569500905398, "max_drawdown_pct": 21.185976603209788, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 41.931341375238866, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15539.182929120738, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29622.421084131012, "return_pct": 196.22421084131014, "cagr_pct": 196.5918252701536, "max_drawdown_pct": 26.186327060172275, "mean_exposure_while_solvent": 1.2493098050942208, "realized_annual_volatility_pct": 52.32010904862919, "trading_costs_quote_units": 136.5396569724959, "borrowing_costs_quote_units": 953.157391786257, "price_pnl_quote_units": 20712.1181328898, "turnover_quote_units": 45513.218990831956, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29622.421084131012, "return_pct": 196.22421084131014, "cagr_pct": 196.5918252701536, "max_drawdown_pct": 26.186327060172275, "mean_exposure_while_solvent": 1.2493098050942208, "realized_annual_volatility_pct": 52.32010904862919, "trading_costs_quote_units": 136.5396569724959, "borrowing_costs_quote_units": 953.157391786257, "price_pnl_quote_units": 20712.1181328898, "turnover_quote_units": 45513.218990831956, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33934.91365959725, "return_pct": 239.3491365959725, "cagr_pct": 239.82301317660006, "max_drawdown_pct": 31.442831448243446, "mean_exposure_while_solvent": 1.499059203916775, "realized_annual_volatility_pct": 62.68065882266968, "trading_costs_quote_units": 304.6659654118484, "borrowing_costs_quote_units": 2079.847854886018, "price_pnl_quote_units": 26319.427479895036, "turnover_quote_units": 101555.32180394951, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 33934.91365959725, "return_pct": 239.3491365959725, "cagr_pct": 239.82301317660006, "max_drawdown_pct": 31.442831448243446, "mean_exposure_while_solvent": 1.499059203916775, "realized_annual_volatility_pct": 62.68065882266968, "trading_costs_quote_units": 304.6659654118484, "borrowing_costs_quote_units": 2079.847854886018, "price_pnl_quote_units": 26319.427479895036, "turnover_quote_units": 101555.32180394951, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27853.92064662011, "return_pct": 178.5392064662011, "cagr_pct": 178.8652678793362, "max_drawdown_pct": 26.059595975362683, "mean_exposure_while_solvent": 1.0543894064881352, "realized_annual_volatility_pct": 43.13901796411605, "trading_costs_quote_units": 480.6110364874583, "borrowing_costs_quote_units": 101.1269743408135, "price_pnl_quote_units": 18435.658657448403, "turnover_quote_units": 160203.6788291529, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27853.92064662011, "return_pct": 178.5392064662011, "cagr_pct": 178.8652678793362, "max_drawdown_pct": 26.059595975362683, "mean_exposure_while_solvent": 1.0543894064881352, "realized_annual_volatility_pct": 43.13901796411605, "trading_costs_quote_units": 480.6110364874583, "borrowing_costs_quote_units": 101.1269743408135, "price_pnl_quote_units": 18435.658657448403, "turnover_quote_units": 160203.6788291529, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33088.81217654537, "return_pct": 230.8881217654537, "cagr_pct": 231.34062833720003, "max_drawdown_pct": 30.375201388834448, "mean_exposure_while_solvent": 1.394697458617304, "realized_annual_volatility_pct": 57.04154397779154, "trading_costs_quote_units": 414.69400812012543, "borrowing_costs_quote_units": 409.5691829315061, "price_pnl_quote_units": 23913.07536759702, "turnover_quote_units": 138231.33604004193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33088.81217654537, "return_pct": 230.8881217654537, "cagr_pct": 231.34062833720003, "max_drawdown_pct": 30.375201388834448, "mean_exposure_while_solvent": 1.394697458617304, "realized_annual_volatility_pct": 57.04154397779154, "trading_costs_quote_units": 414.69400812012543, "borrowing_costs_quote_units": 409.5691829315061, "price_pnl_quote_units": 23913.07536759702, "turnover_quote_units": 138231.33604004193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34551.49872138126, "return_pct": 245.51498721381256, "cagr_pct": 246.0045894030248, "max_drawdown_pct": 30.62719196469701, "mean_exposure_while_solvent": 1.4711722525846926, "realized_annual_volatility_pct": 61.0754773265348, "trading_costs_quote_units": 317.6090168964252, "borrowing_costs_quote_units": 490.03757300488104, "price_pnl_quote_units": 25359.145311282555, "turnover_quote_units": 105869.6722988085, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34551.49872138126, "return_pct": 245.51498721381256, "cagr_pct": 246.0045894030248, "max_drawdown_pct": 30.62719196469701, "mean_exposure_while_solvent": 1.4711722525846926, "realized_annual_volatility_pct": 61.0754773265348, "trading_costs_quote_units": 317.6090168964252, "borrowing_costs_quote_units": 490.03757300488104, "price_pnl_quote_units": 25359.145311282555, "turnover_quote_units": 105869.6722988085, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 31684.12219589951, "return_pct": 216.84122195899508, "cagr_pct": 217.25880043904544, "max_drawdown_pct": 29.7343373278264, "mean_exposure_while_solvent": 1.3814067115518651, "realized_annual_volatility_pct": 56.109273470200414, "trading_costs_quote_units": 629.9792306515307, "borrowing_costs_quote_units": 379.5596188627721, "price_pnl_quote_units": 22693.66104541381, "turnover_quote_units": 209993.07688384323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 31684.12219589951, "return_pct": 216.84122195899508, "cagr_pct": 217.25880043904544, "max_drawdown_pct": 29.7343373278264, "mean_exposure_while_solvent": 1.3814067115518651, "realized_annual_volatility_pct": 56.109273470200414, "trading_costs_quote_units": 629.9792306515307, "borrowing_costs_quote_units": 379.5596188627721, "price_pnl_quote_units": 22693.66104541381, "turnover_quote_units": 209993.07688384323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34561.158044319556, "return_pct": 245.61158044319558, "cagr_pct": 246.101429995493, "max_drawdown_pct": 30.37520138883435, "mean_exposure_while_solvent": 1.3944645032420335, "realized_annual_volatility_pct": 57.07437412962669, "trading_costs_quote_units": 312.31103555871175, "borrowing_costs_quote_units": 416.0781304134078, "price_pnl_quote_units": 25289.54721029172, "turnover_quote_units": 104103.67851957057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34561.158044319556, "return_pct": 245.61158044319558, "cagr_pct": 246.101429995493, "max_drawdown_pct": 30.37520138883435, "mean_exposure_while_solvent": 1.3944645032420335, "realized_annual_volatility_pct": 57.07437412962669, "trading_costs_quote_units": 312.31103555871175, "borrowing_costs_quote_units": 416.0781304134078, "price_pnl_quote_units": 25289.54721029172, "turnover_quote_units": 104103.67851957057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25008.887297109894, "return_pct": 150.0888729710989, "cagr_pct": 150.35082253916613, "max_drawdown_pct": 21.185976603209777, "mean_exposure_while_solvent": 0.9894726807724965, "realized_annual_volatility_pct": 41.43941103269813, "trading_costs_quote_units": 53.60575359935065, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15062.493050709269, "turnover_quote_units": 17868.58453311688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25008.887297109894, "return_pct": 150.0888729710989, "cagr_pct": 150.35082253916613, "max_drawdown_pct": 21.185976603209777, "mean_exposure_while_solvent": 0.9894726807724965, "realized_annual_volatility_pct": 41.43941103269813, "trading_costs_quote_units": 53.60575359935065, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15062.493050709269, "turnover_quote_units": 17868.58453311688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34561.158044319556, "return_pct": 245.61158044319558, "cagr_pct": 246.101429995493, "max_drawdown_pct": 30.37520138883435, "mean_exposure_while_solvent": 1.3944645032420335, "realized_annual_volatility_pct": 57.07437412962669, "trading_costs_quote_units": 312.31103555871175, "borrowing_costs_quote_units": 416.0781304134078, "price_pnl_quote_units": 25289.54721029172, "turnover_quote_units": 104103.67851957057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34561.158044319556, "return_pct": 245.61158044319558, "cagr_pct": 246.101429995493, "max_drawdown_pct": 30.37520138883435, "mean_exposure_while_solvent": 1.3944645032420335, "realized_annual_volatility_pct": 57.07437412962669, "trading_costs_quote_units": 312.31103555871175, "borrowing_costs_quote_units": 416.0781304134078, "price_pnl_quote_units": 25289.54721029172, "turnover_quote_units": 104103.67851957057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34561.158044319556, "return_pct": 245.61158044319558, "cagr_pct": 246.101429995493, "max_drawdown_pct": 30.37520138883435, "mean_exposure_while_solvent": 1.3944645032420335, "realized_annual_volatility_pct": 57.07437412962669, "trading_costs_quote_units": 312.31103555871175, "borrowing_costs_quote_units": 416.0781304134078, "price_pnl_quote_units": 25289.54721029172, "turnover_quote_units": 104103.67851957057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 34561.158044319556, "return_pct": 245.61158044319558, "cagr_pct": 246.101429995493, "max_drawdown_pct": 30.37520138883435, "mean_exposure_while_solvent": 1.3944645032420335, "realized_annual_volatility_pct": 57.07437412962669, "trading_costs_quote_units": 312.31103555871175, "borrowing_costs_quote_units": 416.0781304134078, "price_pnl_quote_units": 25289.54721029172, "turnover_quote_units": 104103.67851957057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20456.47540411444, "return_pct": 104.56475404114443, "cagr_pct": 104.7320333822841, "max_drawdown_pct": 16.24693908031938, "mean_exposure_while_solvent": 0.7491632755529588, "realized_annual_volatility_pct": 31.509497283690614, "trading_costs_quote_units": 67.60677449909413, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10524.082178613517, "turnover_quote_units": 22535.591499698006, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20456.47540411444, "return_pct": 104.56475404114443, "cagr_pct": 104.7320333822841, "max_drawdown_pct": 16.24693908031938, "mean_exposure_while_solvent": 0.7491632755529588, "realized_annual_volatility_pct": 31.509497283690614, "trading_costs_quote_units": 67.60677449909413, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10524.082178613517, "turnover_quote_units": 22535.591499698006, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25459.143710887285, "return_pct": 154.59143710887284, "cagr_pct": 154.86329654298981, "max_drawdown_pct": 21.185976603209777, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 41.93113505415732, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15489.053980079718, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25459.143710887285, "return_pct": 154.59143710887284, "cagr_pct": 154.86329654298981, "max_drawdown_pct": 21.185976603209777, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 41.93113505415732, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15489.053980079718, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30688.803186207377, "return_pct": 206.88803186207377, "cagr_pct": 207.28129123606553, "max_drawdown_pct": 26.011194892166966, "mean_exposure_while_solvent": 1.248028235238744, "realized_annual_volatility_pct": 52.317976647662924, "trading_costs_quote_units": 132.92030404439166, "borrowing_costs_quote_units": 242.53200387497094, "price_pnl_quote_units": 21064.25549412674, "turnover_quote_units": 44306.76801479716, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30688.803186207377, "return_pct": 206.88803186207377, "cagr_pct": 207.28129123606553, "max_drawdown_pct": 26.011194892166966, "mean_exposure_while_solvent": 1.248028235238744, "realized_annual_volatility_pct": 52.317976647662924, "trading_costs_quote_units": 132.92030404439166, "borrowing_costs_quote_units": 242.53200387497094, "price_pnl_quote_units": 21064.25549412674, "turnover_quote_units": 44306.76801479716, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36501.53940258249, "return_pct": 265.01539402582495, "cagr_pct": 265.55554974068747, "max_drawdown_pct": 30.62719196469701, "mean_exposure_while_solvent": 1.497370525796318, "realized_annual_volatility_pct": 62.67573168412225, "trading_costs_quote_units": 299.7483919158929, "borrowing_costs_quote_units": 540.5196539174892, "price_pnl_quote_units": 27341.807448415846, "turnover_quote_units": 99916.13063863112, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36501.53940258249, "return_pct": 265.01539402582495, "cagr_pct": 265.55554974068747, "max_drawdown_pct": 30.62719196469701, "mean_exposure_while_solvent": 1.497370525796318, "realized_annual_volatility_pct": 62.67573168412225, "trading_costs_quote_units": 299.7483919158929, "borrowing_costs_quote_units": 540.5196539174892, "price_pnl_quote_units": 27341.807448415846, "turnover_quote_units": 99916.13063863112, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27682.106079412304, "return_pct": 176.82106079412304, "cagr_pct": 177.14315245679262, "max_drawdown_pct": 26.24978551094632, "mean_exposure_while_solvent": 1.0543990179505216, "realized_annual_volatility_pct": 43.13872745858864, "trading_costs_quote_units": 479.2402152272824, "borrowing_costs_quote_units": 201.60962546458654, "price_pnl_quote_units": 18362.955920104163, "turnover_quote_units": 159746.7384090942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27682.106079412304, "return_pct": 176.82106079412304, "cagr_pct": 177.14315245679262, "max_drawdown_pct": 26.24978551094632, "mean_exposure_while_solvent": 1.0543990179505216, "realized_annual_volatility_pct": 43.13872745858864, "trading_costs_quote_units": 479.2402152272824, "borrowing_costs_quote_units": 201.60962546458654, "price_pnl_quote_units": 18362.955920104163, "turnover_quote_units": 159746.7384090942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32426.883873245883, "return_pct": 224.26883873245882, "cagr_pct": 224.70479935826003, "max_drawdown_pct": 30.662426781412687, "mean_exposure_while_solvent": 1.3947311334888979, "realized_annual_volatility_pct": 57.04293764338168, "trading_costs_quote_units": 411.23395017299026, "borrowing_costs_quote_units": 809.9706236287411, "price_pnl_quote_units": 23648.088447047474, "turnover_quote_units": 137077.9833909966, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32426.883873245883, "return_pct": 224.26883873245882, "cagr_pct": 224.70479935826003, "max_drawdown_pct": 30.662426781412687, "mean_exposure_while_solvent": 1.3947311334888979, "realized_annual_volatility_pct": 57.04293764338168, "trading_costs_quote_units": 411.23395017299026, "borrowing_costs_quote_units": 809.9706236287411, "price_pnl_quote_units": 23648.088447047474, "turnover_quote_units": 137077.9833909966, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33746.60443534109, "return_pct": 237.4660443534109, "cagr_pct": 237.93514369101416, "max_drawdown_pct": 30.732613515751517, "mean_exposure_while_solvent": 1.4712123291558223, "realized_annual_volatility_pct": 61.077507854573824, "trading_costs_quote_units": 314.52887476011165, "borrowing_costs_quote_units": 967.2872942295769, "price_pnl_quote_units": 25028.42060433078, "turnover_quote_units": 104842.95825337048, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33746.60443534109, "return_pct": 237.4660443534109, "cagr_pct": 237.93514369101416, "max_drawdown_pct": 30.732613515751517, "mean_exposure_while_solvent": 1.4712123291558223, "realized_annual_volatility_pct": 61.077507854573824, "trading_costs_quote_units": 314.52887476011165, "borrowing_costs_quote_units": 967.2872942295769, "price_pnl_quote_units": 25028.42060433078, "turnover_quote_units": 104842.95825337048, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31066.444765725042, "return_pct": 210.66444765725043, "cagr_pct": 211.06689125668288, "max_drawdown_pct": 30.01987863254779, "mean_exposure_while_solvent": 1.3814395693565924, "realized_annual_volatility_pct": 56.11080898330629, "trading_costs_quote_units": 624.8323438015907, "borrowing_costs_quote_units": 750.9232655078828, "price_pnl_quote_units": 22442.20037503452, "turnover_quote_units": 208277.4479338636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31066.444765725042, "return_pct": 210.66444765725043, "cagr_pct": 211.06689125668288, "max_drawdown_pct": 30.01987863254779, "mean_exposure_while_solvent": 1.3814395693565924, "realized_annual_volatility_pct": 56.11080898330629, "trading_costs_quote_units": 624.8323438015907, "borrowing_costs_quote_units": 750.9232655078828, "price_pnl_quote_units": 22442.20037503452, "turnover_quote_units": 208277.4479338636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33885.888571642005, "return_pct": 238.85888571642005, "cagr_pct": 239.33151741808524, "max_drawdown_pct": 30.662426781412698, "mean_exposure_while_solvent": 1.3944976381984826, "realized_annual_volatility_pct": 57.07574825969136, "trading_costs_quote_units": 309.6563537573559, "borrowing_costs_quote_units": 822.9824299391829, "price_pnl_quote_units": 25018.527355338487, "turnover_quote_units": 103218.78458578544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33885.888571642005, "return_pct": 238.85888571642005, "cagr_pct": 239.33151741808524, "max_drawdown_pct": 30.662426781412698, "mean_exposure_while_solvent": 1.3944976381984826, "realized_annual_volatility_pct": 57.07574825969136, "trading_costs_quote_units": 309.6563537573559, "borrowing_costs_quote_units": 822.9824299391829, "price_pnl_quote_units": 25018.527355338487, "turnover_quote_units": 103218.78458578544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25008.887297109894, "return_pct": 150.0888729710989, "cagr_pct": 150.35082253916613, "max_drawdown_pct": 21.185976603209777, "mean_exposure_while_solvent": 0.9894726807724965, "realized_annual_volatility_pct": 41.43941103269813, "trading_costs_quote_units": 53.60575359935065, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15062.493050709269, "turnover_quote_units": 17868.58453311688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25008.887297109894, "return_pct": 150.0888729710989, "cagr_pct": 150.35082253916613, "max_drawdown_pct": 21.185976603209777, "mean_exposure_while_solvent": 0.9894726807724965, "realized_annual_volatility_pct": 41.43941103269813, "trading_costs_quote_units": 53.60575359935065, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15062.493050709269, "turnover_quote_units": 17868.58453311688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33885.888571642005, "return_pct": 238.85888571642005, "cagr_pct": 239.33151741808524, "max_drawdown_pct": 30.662426781412698, "mean_exposure_while_solvent": 1.3944976381984826, "realized_annual_volatility_pct": 57.07574825969136, "trading_costs_quote_units": 309.6563537573559, "borrowing_costs_quote_units": 822.9824299391829, "price_pnl_quote_units": 25018.527355338487, "turnover_quote_units": 103218.78458578544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33885.888571642005, "return_pct": 238.85888571642005, "cagr_pct": 239.33151741808524, "max_drawdown_pct": 30.662426781412698, "mean_exposure_while_solvent": 1.3944976381984826, "realized_annual_volatility_pct": 57.07574825969136, "trading_costs_quote_units": 309.6563537573559, "borrowing_costs_quote_units": 822.9824299391829, "price_pnl_quote_units": 25018.527355338487, "turnover_quote_units": 103218.78458578544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33885.888571642005, "return_pct": 238.85888571642005, "cagr_pct": 239.33151741808524, "max_drawdown_pct": 30.662426781412698, "mean_exposure_while_solvent": 1.3944976381984826, "realized_annual_volatility_pct": 57.07574825969136, "trading_costs_quote_units": 309.6563537573559, "borrowing_costs_quote_units": 822.9824299391829, "price_pnl_quote_units": 25018.527355338487, "turnover_quote_units": 103218.78458578544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 33885.888571642005, "return_pct": 238.85888571642005, "cagr_pct": 239.33151741808524, "max_drawdown_pct": 30.662426781412698, "mean_exposure_while_solvent": 1.3944976381984826, "realized_annual_volatility_pct": 57.07574825969136, "trading_costs_quote_units": 309.6563537573559, "borrowing_costs_quote_units": 822.9824299391829, "price_pnl_quote_units": 25018.527355338487, "turnover_quote_units": 103218.78458578544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20456.47540411444, "return_pct": 104.56475404114443, "cagr_pct": 104.7320333822841, "max_drawdown_pct": 16.24693908031938, "mean_exposure_while_solvent": 0.7491632755529588, "realized_annual_volatility_pct": 31.509497283690614, "trading_costs_quote_units": 67.60677449909413, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10524.082178613517, "turnover_quote_units": 22535.591499698006, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20456.47540411444, "return_pct": 104.56475404114443, "cagr_pct": 104.7320333822841, "max_drawdown_pct": 16.24693908031938, "mean_exposure_while_solvent": 0.7491632755529588, "realized_annual_volatility_pct": 31.509497283690614, "trading_costs_quote_units": 67.60677449909413, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10524.082178613517, "turnover_quote_units": 22535.591499698006, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25459.143710887285, "return_pct": 154.59143710887284, "cagr_pct": 154.86329654298981, "max_drawdown_pct": 21.185976603209777, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 41.93113505415732, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15489.053980079718, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25459.143710887285, "return_pct": 154.59143710887284, "cagr_pct": 154.86329654298981, "max_drawdown_pct": 21.185976603209777, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 41.93113505415732, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15489.053980079718, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30309.500168421102, "return_pct": 203.095001684211, "cagr_pct": 203.4790899823235, "max_drawdown_pct": 26.06725507065013, "mean_exposure_while_solvent": 1.2480459830115296, "realized_annual_volatility_pct": 52.318823377775956, "trading_costs_quote_units": 132.28815909192457, "borrowing_costs_quote_units": 481.76303321545504, "price_pnl_quote_units": 20923.551360728474, "turnover_quote_units": 44096.05303064155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30309.500168421102, "return_pct": 203.095001684211, "cagr_pct": 203.4790899823235, "max_drawdown_pct": 26.06725507065013, "mean_exposure_while_solvent": 1.2480459830115296, "realized_annual_volatility_pct": 52.318823377775956, "trading_costs_quote_units": 132.28815909192457, "borrowing_costs_quote_units": 481.76303321545504, "price_pnl_quote_units": 20923.551360728474, "turnover_quote_units": 44096.05303064155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35605.074380502556, "return_pct": 256.05074380502555, "cagr_pct": 256.56750713786414, "max_drawdown_pct": 30.732613515751517, "mean_exposure_while_solvent": 1.497413108840651, "realized_annual_volatility_pct": 62.67775864394767, "trading_costs_quote_units": 296.38815643721927, "borrowing_costs_quote_units": 1066.132750568759, "price_pnl_quote_units": 26967.595287508604, "turnover_quote_units": 98796.05214573978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 35605.074380502556, "return_pct": 256.05074380502555, "cagr_pct": 256.56750713786414, "max_drawdown_pct": 30.732613515751517, "mean_exposure_while_solvent": 1.497413108840651, "realized_annual_volatility_pct": 62.67775864394767, "trading_costs_quote_units": 296.38815643721927, "borrowing_costs_quote_units": 1066.132750568759, "price_pnl_quote_units": 26967.595287508604, "turnover_quote_units": 98796.05214573978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27341.565991091487, "return_pct": 173.41565991091485, "cagr_pct": 173.7299195933786, "max_drawdown_pct": 26.628794419320066, "mean_exposure_while_solvent": 1.0544182444379497, "realized_annual_volatility_pct": 43.13816964237689, "trading_costs_quote_units": 476.51689469702234, "borrowing_costs_quote_units": 400.6572754772602, "price_pnl_quote_units": 18218.74016126573, "turnover_quote_units": 158838.96489900752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27341.565991091487, "return_pct": 173.41565991091485, "cagr_pct": 173.7299195933786, "max_drawdown_pct": 26.628794419320066, "mean_exposure_while_solvent": 1.0544182444379497, "realized_annual_volatility_pct": 43.13816964237689, "trading_costs_quote_units": 476.51689469702234, "borrowing_costs_quote_units": 400.6572754772602, "price_pnl_quote_units": 18218.74016126573, "turnover_quote_units": 158838.96489900752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31142.126739255575, "return_pct": 211.42126739255573, "cagr_pct": 211.82555791627587, "max_drawdown_pct": 31.23351034877122, "mean_exposure_while_solvent": 1.3947984971960292, "realized_annual_volatility_pct": 57.04573864749772, "trading_costs_quote_units": 404.4686994713325, "borrowing_costs_quote_units": 1584.04053702132, "price_pnl_quote_units": 23130.6359757482, "turnover_quote_units": 134822.8998237774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31142.126739255575, "return_pct": 211.42126739255573, "cagr_pct": 211.82555791627587, "max_drawdown_pct": 31.23351034877122, "mean_exposure_while_solvent": 1.3947984971960292, "realized_annual_volatility_pct": 57.04573864749772, "trading_costs_quote_units": 404.4686994713325, "borrowing_costs_quote_units": 1584.04053702132, "price_pnl_quote_units": 23130.6359757482, "turnover_quote_units": 134822.8998237774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32192.153905382173, "return_pct": 221.9215390538217, "cagr_pct": 222.35166922782858, "max_drawdown_pct": 31.463564763356533, "mean_exposure_while_solvent": 1.4712924994877337, "realized_annual_volatility_pct": 61.08157457907003, "trading_costs_quote_units": 308.54492089639734, "borrowing_costs_quote_units": 1884.6730115420967, "price_pnl_quote_units": 24385.371837820614, "turnover_quote_units": 102848.30696546574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32192.153905382173, "return_pct": 221.9215390538217, "cagr_pct": 222.35166922782858, "max_drawdown_pct": 31.463564763356533, "mean_exposure_while_solvent": 1.4712924994877337, "realized_annual_volatility_pct": 61.08157457907003, "trading_costs_quote_units": 308.54492089639734, "borrowing_costs_quote_units": 1884.6730115420967, "price_pnl_quote_units": 24385.371837820614, "turnover_quote_units": 102848.30696546574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29866.63977651963, "return_pct": 198.6663977651963, "cagr_pct": 199.0398470624331, "max_drawdown_pct": 30.587666181962014, "mean_exposure_while_solvent": 1.3815052986558438, "realized_annual_volatility_pct": 56.11389688468024, "trading_costs_quote_units": 614.7614950769639, "borrowing_costs_quote_units": 1469.7308486234217, "price_pnl_quote_units": 21951.13212022002, "turnover_quote_units": 204920.49835898797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29866.63977651963, "return_pct": 198.6663977651963, "cagr_pct": 199.0398470624331, "max_drawdown_pct": 30.587666181962014, "mean_exposure_while_solvent": 1.3815052986558438, "realized_annual_volatility_pct": 56.11389688468024, "trading_costs_quote_units": 614.7614950769639, "borrowing_costs_quote_units": 1469.7308486234217, "price_pnl_quote_units": 21951.13212022002, "turnover_quote_units": 204920.49835898797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32574.302527544784, "return_pct": 225.74302527544785, "cagr_pct": 226.1826575839112, "max_drawdown_pct": 31.233510348771254, "mean_exposure_while_solvent": 1.3945639220359856, "realized_annual_volatility_pct": 57.07851463219734, "trading_costs_quote_units": 304.4700559103191, "borrowing_costs_quote_units": 1610.024640851728, "price_pnl_quote_units": 24488.79722430688, "turnover_quote_units": 101490.01863677298, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32574.302527544784, "return_pct": 225.74302527544785, "cagr_pct": 226.1826575839112, "max_drawdown_pct": 31.233510348771254, "mean_exposure_while_solvent": 1.3945639220359856, "realized_annual_volatility_pct": 57.07851463219734, "trading_costs_quote_units": 304.4700559103191, "borrowing_costs_quote_units": 1610.024640851728, "price_pnl_quote_units": 24488.79722430688, "turnover_quote_units": 101490.01863677298, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25008.887297109894, "return_pct": 150.0888729710989, "cagr_pct": 150.35082253916613, "max_drawdown_pct": 21.185976603209777, "mean_exposure_while_solvent": 0.9894726807724965, "realized_annual_volatility_pct": 41.43941103269813, "trading_costs_quote_units": 53.60575359935065, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15062.493050709269, "turnover_quote_units": 17868.58453311688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25008.887297109894, "return_pct": 150.0888729710989, "cagr_pct": 150.35082253916613, "max_drawdown_pct": 21.185976603209777, "mean_exposure_while_solvent": 0.9894726807724965, "realized_annual_volatility_pct": 41.43941103269813, "trading_costs_quote_units": 53.60575359935065, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15062.493050709269, "turnover_quote_units": 17868.58453311688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 32, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32574.302527544784, "return_pct": 225.74302527544785, "cagr_pct": 226.1826575839112, "max_drawdown_pct": 31.233510348771254, "mean_exposure_while_solvent": 1.3945639220359856, "realized_annual_volatility_pct": 57.07851463219734, "trading_costs_quote_units": 304.4700559103191, "borrowing_costs_quote_units": 1610.024640851728, "price_pnl_quote_units": 24488.79722430688, "turnover_quote_units": 101490.01863677298, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32574.302527544784, "return_pct": 225.74302527544785, "cagr_pct": 226.1826575839112, "max_drawdown_pct": 31.233510348771254, "mean_exposure_while_solvent": 1.3945639220359856, "realized_annual_volatility_pct": 57.07851463219734, "trading_costs_quote_units": 304.4700559103191, "borrowing_costs_quote_units": 1610.024640851728, "price_pnl_quote_units": 24488.79722430688, "turnover_quote_units": 101490.01863677298, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32574.302527544784, "return_pct": 225.74302527544785, "cagr_pct": 226.1826575839112, "max_drawdown_pct": 31.233510348771254, "mean_exposure_while_solvent": 1.3945639220359856, "realized_annual_volatility_pct": 57.07851463219734, "trading_costs_quote_units": 304.4700559103191, "borrowing_costs_quote_units": 1610.024640851728, "price_pnl_quote_units": 24488.79722430688, "turnover_quote_units": 101490.01863677298, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 32574.302527544784, "return_pct": 225.74302527544785, "cagr_pct": 226.1826575839112, "max_drawdown_pct": 31.233510348771254, "mean_exposure_while_solvent": 1.3945639220359856, "realized_annual_volatility_pct": 57.07851463219734, "trading_costs_quote_units": 304.4700559103191, "borrowing_costs_quote_units": 1610.024640851728, "price_pnl_quote_units": 24488.79722430688, "turnover_quote_units": 101490.01863677298, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20456.47540411444, "return_pct": 104.56475404114443, "cagr_pct": 104.7320333822841, "max_drawdown_pct": 16.24693908031938, "mean_exposure_while_solvent": 0.7491632755529588, "realized_annual_volatility_pct": 31.509497283690614, "trading_costs_quote_units": 67.60677449909413, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10524.082178613517, "turnover_quote_units": 22535.591499698006, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20456.47540411444, "return_pct": 104.56475404114443, "cagr_pct": 104.7320333822841, "max_drawdown_pct": 16.24693908031938, "mean_exposure_while_solvent": 0.7491632755529588, "realized_annual_volatility_pct": 31.509497283690614, "trading_costs_quote_units": 67.60677449909413, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 10524.082178613517, "turnover_quote_units": 22535.591499698006, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25459.143710887285, "return_pct": 154.59143710887284, "cagr_pct": 154.86329654298981, "max_drawdown_pct": 21.185976603209777, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 41.93113505415732, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15489.053980079718, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25459.143710887285, "return_pct": 154.59143710887284, "cagr_pct": 154.86329654298981, "max_drawdown_pct": 21.185976603209777, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 41.93113505415732, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 15489.053980079718, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29564.707626794894, "return_pct": 195.64707626794893, "cagr_pct": 196.0133151680962, "max_drawdown_pct": 26.17930847929435, "mean_exposure_while_solvent": 1.248081484015851, "realized_annual_volatility_pct": 52.320517355016435, "trading_costs_quote_units": 131.05580738666367, "borrowing_costs_quote_units": 950.4902706471655, "price_pnl_quote_units": 20646.253704828712, "turnover_quote_units": 43685.26912888784, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29564.707626794894, "return_pct": 195.64707626794893, "cagr_pct": 196.0133151680962, "max_drawdown_pct": 26.17930847929435, "mean_exposure_while_solvent": 1.248081484015851, "realized_annual_volatility_pct": 52.320517355016435, "trading_costs_quote_units": 131.05580738666367, "borrowing_costs_quote_units": 950.4902706471655, "price_pnl_quote_units": 20646.253704828712, "turnover_quote_units": 43685.26912888784, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33877.11285093006, "return_pct": 238.7711285093006, "cagr_pct": 239.24353745745464, "max_drawdown_pct": 31.463564763356644, "mean_exposure_while_solvent": 1.4974982933639758, "realized_annual_volatility_pct": 62.68181419742186, "trading_costs_quote_units": 289.8801555295468, "borrowing_costs_quote_units": 2074.1736994422095, "price_pnl_quote_units": 26241.16670590182, "turnover_quote_units": 96626.71850984896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 33877.11285093006, "return_pct": 238.7711285093006, "cagr_pct": 239.24353745745464, "max_drawdown_pct": 31.463564763356644, "mean_exposure_while_solvent": 1.4974982933639758, "realized_annual_volatility_pct": 62.68181419742186, "trading_costs_quote_units": 289.8801555295468, "borrowing_costs_quote_units": 2074.1736994422095, "price_pnl_quote_units": 26241.16670590182, "turnover_quote_units": 96626.71850984896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21292.37054032928, "return_pct": 112.92370540329281, "cagr_pct": 112.6672676742063, "max_drawdown_pct": 25.70771652986975, "mean_exposure_while_solvent": 0.8195705443644646, "realized_annual_volatility_pct": 42.63605907858838, "trading_costs_quote_units": 64.69813597230983, "borrowing_costs_quote_units": 9.31043585059188, "price_pnl_quote_units": 11366.379112152177, "turnover_quote_units": 107830.2266205164, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21292.37054032928, "return_pct": 112.92370540329281, "cagr_pct": 112.6672676742063, "max_drawdown_pct": 25.70771652986975, "mean_exposure_while_solvent": 0.8195705443644646, "realized_annual_volatility_pct": 42.63605907858838, "trading_costs_quote_units": 64.69813597230983, "borrowing_costs_quote_units": 9.31043585059188, "price_pnl_quote_units": 11366.379112152177, "turnover_quote_units": 107830.2266205164, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27826.703391941173, "return_pct": 178.26703391941172, "cagr_pct": 177.81331064086316, "max_drawdown_pct": 36.6868345666533, "mean_exposure_while_solvent": 1.2107829444319875, "realized_annual_volatility_pct": 62.961652365172746, "trading_costs_quote_units": 99.04927535971852, "borrowing_costs_quote_units": 189.56615871284131, "price_pnl_quote_units": 18115.318826013692, "turnover_quote_units": 165082.12559953096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27826.703391941173, "return_pct": 178.26703391941172, "cagr_pct": 177.81331064086316, "max_drawdown_pct": 36.6868345666533, "mean_exposure_while_solvent": 1.2107829444319875, "realized_annual_volatility_pct": 62.961652365172746, "trading_costs_quote_units": 99.04927535971852, "borrowing_costs_quote_units": 189.56615871284131, "price_pnl_quote_units": 18115.318826013692, "turnover_quote_units": 165082.12559953096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28700.342939787006, "return_pct": 187.00342939787004, "cagr_pct": 186.52133766624917, "max_drawdown_pct": 43.821571644060086, "mean_exposure_while_solvent": 1.4293907258930136, "realized_annual_volatility_pct": 74.70165025970326, "trading_costs_quote_units": 85.00140151087993, "borrowing_costs_quote_units": 390.9752173838131, "price_pnl_quote_units": 19176.319558681746, "turnover_quote_units": 141669.00251813323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28700.342939787006, "return_pct": 187.00342939787004, "cagr_pct": 186.52133766624917, "max_drawdown_pct": 43.821571644060086, "mean_exposure_while_solvent": 1.4293907258930136, "realized_annual_volatility_pct": 74.70165025970326, "trading_costs_quote_units": 85.00140151087993, "borrowing_costs_quote_units": 390.9752173838131, "price_pnl_quote_units": 19176.319558681746, "turnover_quote_units": 141669.00251813323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24809.267889052688, "return_pct": 148.09267889052688, "cagr_pct": 147.7334915555101, "max_drawdown_pct": 40.853863028837836, "mean_exposure_while_solvent": 1.2161160918036817, "realized_annual_volatility_pct": 62.66577550594881, "trading_costs_quote_units": 139.54286760270784, "borrowing_costs_quote_units": 199.28611349344098, "price_pnl_quote_units": 15148.0968701489, "turnover_quote_units": 232571.44600451304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24809.267889052688, "return_pct": 148.09267889052688, "cagr_pct": 147.7334915555101, "max_drawdown_pct": 40.853863028837836, "mean_exposure_while_solvent": 1.2161160918036817, "realized_annual_volatility_pct": 62.66577550594881, "trading_costs_quote_units": 139.54286760270784, "borrowing_costs_quote_units": 199.28611349344098, "price_pnl_quote_units": 15148.0968701489, "turnover_quote_units": 232571.44600451304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27258.77610473216, "return_pct": 172.58776104732158, "cagr_pct": 172.15224627872954, "max_drawdown_pct": 38.82929981512745, "mean_exposure_while_solvent": 1.2090350657690156, "realized_annual_volatility_pct": 63.968589263933104, "trading_costs_quote_units": 62.48302870819565, "borrowing_costs_quote_units": 180.28943929248442, "price_pnl_quote_units": 17501.548572732794, "turnover_quote_units": 104138.38118032613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27258.77610473216, "return_pct": 172.58776104732158, "cagr_pct": 172.15224627872954, "max_drawdown_pct": 38.82929981512745, "mean_exposure_while_solvent": 1.2090350657690156, "realized_annual_volatility_pct": 63.968589263933104, "trading_costs_quote_units": 62.48302870819565, "borrowing_costs_quote_units": 180.28943929248442, "price_pnl_quote_units": 17501.548572732794, "turnover_quote_units": 104138.38118032613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21994.916268163026, "return_pct": 119.94916268163026, "cagr_pct": 119.67289261280007, "max_drawdown_pct": 30.463593024487523, "mean_exposure_while_solvent": 0.9844854547348109, "realized_annual_volatility_pct": 51.51086561828949, "trading_costs_quote_units": 15.241928731532763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12010.158196894536, "turnover_quote_units": 25403.214552554615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21994.916268163026, "return_pct": 119.94916268163026, "cagr_pct": 119.67289261280007, "max_drawdown_pct": 30.463593024487523, "mean_exposure_while_solvent": 0.9844854547348109, "realized_annual_volatility_pct": 51.51086561828949, "trading_costs_quote_units": 15.241928731532763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12010.158196894536, "turnover_quote_units": 25403.214552554615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27258.77610473216, "return_pct": 172.58776104732158, "cagr_pct": 172.15224627872954, "max_drawdown_pct": 38.82929981512745, "mean_exposure_while_solvent": 1.2090350657690156, "realized_annual_volatility_pct": 63.968589263933104, "trading_costs_quote_units": 62.48302870819565, "borrowing_costs_quote_units": 180.28943929248442, "price_pnl_quote_units": 17501.548572732794, "turnover_quote_units": 104138.38118032613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27258.77610473216, "return_pct": 172.58776104732158, "cagr_pct": 172.15224627872954, "max_drawdown_pct": 38.82929981512745, "mean_exposure_while_solvent": 1.2090350657690156, "realized_annual_volatility_pct": 63.968589263933104, "trading_costs_quote_units": 62.48302870819565, "borrowing_costs_quote_units": 180.28943929248442, "price_pnl_quote_units": 17501.548572732794, "turnover_quote_units": 104138.38118032613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27258.77610473216, "return_pct": 172.58776104732158, "cagr_pct": 172.15224627872954, "max_drawdown_pct": 38.82929981512745, "mean_exposure_while_solvent": 1.2090350657690156, "realized_annual_volatility_pct": 63.968589263933104, "trading_costs_quote_units": 62.48302870819565, "borrowing_costs_quote_units": 180.28943929248442, "price_pnl_quote_units": 17501.548572732794, "turnover_quote_units": 104138.38118032613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27258.77610473216, "return_pct": 172.58776104732158, "cagr_pct": 172.15224627872954, "max_drawdown_pct": 38.82929981512745, "mean_exposure_while_solvent": 1.2090350657690156, "realized_annual_volatility_pct": 63.968589263933104, "trading_costs_quote_units": 62.48302870819565, "borrowing_costs_quote_units": 180.28943929248442, "price_pnl_quote_units": 17501.548572732794, "turnover_quote_units": 104138.38118032613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18492.61780543053, "return_pct": 84.92617805430531, "cagr_pct": 84.74498422635999, "max_drawdown_pct": 22.76277956308277, "mean_exposure_while_solvent": 0.7498254324991316, "realized_annual_volatility_pct": 39.24945112784691, "trading_costs_quote_units": 16.010864574663948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8508.628670005237, "turnover_quote_units": 26684.77429110657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18492.61780543053, "return_pct": 84.92617805430531, "cagr_pct": 84.74498422635999, "max_drawdown_pct": 22.76277956308277, "mean_exposure_while_solvent": 0.7498254324991316, "realized_annual_volatility_pct": 39.24945112784691, "trading_costs_quote_units": 16.010864574663948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8508.628670005237, "turnover_quote_units": 26684.77429110657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21954.340477382197, "return_pct": 119.54340477382198, "cagr_pct": 119.26828994887626, "max_drawdown_pct": 30.160442748151816, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 52.36195597254463, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11960.336879540891, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21954.340477382197, "return_pct": 119.54340477382198, "cagr_pct": 119.26828994887626, "max_drawdown_pct": 30.160442748151816, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 52.36195597254463, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11960.336879540891, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25246.848049822078, "return_pct": 152.46848049822077, "cagr_pct": 152.0959296538054, "max_drawdown_pct": 37.69941314358588, "mean_exposure_while_solvent": 1.2492155378593697, "realized_annual_volatility_pct": 65.50317177539822, "trading_costs_quote_units": 30.472928484032153, "borrowing_costs_quote_units": 210.65132249375637, "price_pnl_quote_units": 15487.972300799887, "turnover_quote_units": 50788.21414005355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25246.848049822078, "return_pct": 152.46848049822077, "cagr_pct": 152.0959296538054, "max_drawdown_pct": 37.69941314358588, "mean_exposure_while_solvent": 1.2492155378593697, "realized_annual_volatility_pct": 65.50317177539822, "trading_costs_quote_units": 30.472928484032153, "borrowing_costs_quote_units": 210.65132249375637, "price_pnl_quote_units": 15487.972300799887, "turnover_quote_units": 50788.21414005355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28522.904127894028, "return_pct": 185.22904127894026, "cagr_pct": 184.75274589408656, "max_drawdown_pct": 44.867708584303436, "mean_exposure_while_solvent": 1.4988545437471945, "realized_annual_volatility_pct": 78.67965007933083, "trading_costs_quote_units": 68.39462162442379, "borrowing_costs_quote_units": 454.01886401188966, "price_pnl_quote_units": 19045.317613530297, "turnover_quote_units": 113991.03604070633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28522.904127894028, "return_pct": 185.22904127894026, "cagr_pct": 184.75274589408656, "max_drawdown_pct": 44.867708584303436, "mean_exposure_while_solvent": 1.4988545437471945, "realized_annual_volatility_pct": 78.67965007933083, "trading_costs_quote_units": 68.39462162442379, "borrowing_costs_quote_units": 454.01886401188966, "price_pnl_quote_units": 19045.317613530297, "turnover_quote_units": 113991.03604070633, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21279.550285748606, "return_pct": 112.79550285748607, "cagr_pct": 112.53942364659211, "max_drawdown_pct": 25.715501872583747, "mean_exposure_while_solvent": 0.8195713345855516, "realized_annual_volatility_pct": 42.636055168257464, "trading_costs_quote_units": 64.685181482452, "borrowing_costs_quote_units": 18.61633498852353, "price_pnl_quote_units": 11362.851802219595, "turnover_quote_units": 107808.63580408682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21279.550285748606, "return_pct": 112.79550285748607, "cagr_pct": 112.53942364659211, "max_drawdown_pct": 25.715501872583747, "mean_exposure_while_solvent": 0.8195713345855516, "realized_annual_volatility_pct": 42.636055168257464, "trading_costs_quote_units": 64.685181482452, "borrowing_costs_quote_units": 18.61633498852353, "price_pnl_quote_units": 11362.851802219595, "turnover_quote_units": 107808.63580408682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27513.793245212026, "return_pct": 175.13793245212022, "cagr_pct": 174.6942645252548, "max_drawdown_pct": 36.937322387203665, "mean_exposure_while_solvent": 1.2108006738781547, "realized_annual_volatility_pct": 62.962468134477, "trading_costs_quote_units": 98.46557373477461, "borrowing_costs_quote_units": 376.75973741016315, "price_pnl_quote_units": 17989.01855635695, "turnover_quote_units": 164109.2895579577, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27513.793245212026, "return_pct": 175.13793245212022, "cagr_pct": 174.6942645252548, "max_drawdown_pct": 36.937322387203665, "mean_exposure_while_solvent": 1.2108006738781547, "realized_annual_volatility_pct": 62.962468134477, "trading_costs_quote_units": 98.46557373477461, "borrowing_costs_quote_units": 376.75973741016315, "price_pnl_quote_units": 17989.01855635695, "turnover_quote_units": 164109.2895579577, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28089.928200672377, "return_pct": 180.89928200672375, "cagr_pct": 180.4370566754082, "max_drawdown_pct": 44.283126172892636, "mean_exposure_while_solvent": 1.4294264526281613, "realized_annual_volatility_pct": 74.70423839162181, "trading_costs_quote_units": 84.09044288849518, "borrowing_costs_quote_units": 772.5331110439579, "price_pnl_quote_units": 18946.55175460483, "turnover_quote_units": 140150.73814749188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28089.928200672377, "return_pct": 180.89928200672375, "cagr_pct": 180.4370566754082, "max_drawdown_pct": 44.283126172892636, "mean_exposure_while_solvent": 1.4294264526281613, "realized_annual_volatility_pct": 74.70423839162181, "trading_costs_quote_units": 84.09044288849518, "borrowing_costs_quote_units": 772.5331110439579, "price_pnl_quote_units": 18946.55175460483, "turnover_quote_units": 140150.73814749188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24509.046315829022, "return_pct": 145.09046315829025, "cagr_pct": 144.740373623186, "max_drawdown_pct": 41.114655163935886, "mean_exposure_while_solvent": 1.216135381011467, "realized_annual_volatility_pct": 62.667081421771556, "trading_costs_quote_units": 138.66966564429964, "borrowing_costs_quote_units": 395.98409288310893, "price_pnl_quote_units": 15043.70007435642, "turnover_quote_units": 231116.10940716596, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24509.046315829022, "return_pct": 145.09046315829025, "cagr_pct": 144.740373623186, "max_drawdown_pct": 41.114655163935886, "mean_exposure_while_solvent": 1.216135381011467, "realized_annual_volatility_pct": 62.667081421771556, "trading_costs_quote_units": 138.66966564429964, "borrowing_costs_quote_units": 395.98409288310893, "price_pnl_quote_units": 15043.70007435642, "turnover_quote_units": 231116.10940716596, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26970.719051970213, "return_pct": 169.70719051970212, "cagr_pct": 169.28083960121424, "max_drawdown_pct": 39.038126157848396, "mean_exposure_while_solvent": 1.2090512554400301, "realized_annual_volatility_pct": 63.96951535352422, "trading_costs_quote_units": 62.14362650450553, "borrowing_costs_quote_units": 358.3938807333527, "price_pnl_quote_units": 17391.256559208035, "turnover_quote_units": 103572.71084084256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26970.719051970213, "return_pct": 169.70719051970212, "cagr_pct": 169.28083960121424, "max_drawdown_pct": 39.038126157848396, "mean_exposure_while_solvent": 1.2090512554400301, "realized_annual_volatility_pct": 63.96951535352422, "trading_costs_quote_units": 62.14362650450553, "borrowing_costs_quote_units": 358.3938807333527, "price_pnl_quote_units": 17391.256559208035, "turnover_quote_units": 103572.71084084256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21994.916268163026, "return_pct": 119.94916268163026, "cagr_pct": 119.67289261280007, "max_drawdown_pct": 30.463593024487523, "mean_exposure_while_solvent": 0.9844854547348109, "realized_annual_volatility_pct": 51.51086561828949, "trading_costs_quote_units": 15.241928731532763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12010.158196894536, "turnover_quote_units": 25403.214552554615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21994.916268163026, "return_pct": 119.94916268163026, "cagr_pct": 119.67289261280007, "max_drawdown_pct": 30.463593024487523, "mean_exposure_while_solvent": 0.9844854547348109, "realized_annual_volatility_pct": 51.51086561828949, "trading_costs_quote_units": 15.241928731532763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12010.158196894536, "turnover_quote_units": 25403.214552554615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26970.719051970213, "return_pct": 169.70719051970212, "cagr_pct": 169.28083960121424, "max_drawdown_pct": 39.038126157848396, "mean_exposure_while_solvent": 1.2090512554400301, "realized_annual_volatility_pct": 63.96951535352422, "trading_costs_quote_units": 62.14362650450553, "borrowing_costs_quote_units": 358.3938807333527, "price_pnl_quote_units": 17391.256559208035, "turnover_quote_units": 103572.71084084256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26970.719051970213, "return_pct": 169.70719051970212, "cagr_pct": 169.28083960121424, "max_drawdown_pct": 39.038126157848396, "mean_exposure_while_solvent": 1.2090512554400301, "realized_annual_volatility_pct": 63.96951535352422, "trading_costs_quote_units": 62.14362650450553, "borrowing_costs_quote_units": 358.3938807333527, "price_pnl_quote_units": 17391.256559208035, "turnover_quote_units": 103572.71084084256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26970.719051970213, "return_pct": 169.70719051970212, "cagr_pct": 169.28083960121424, "max_drawdown_pct": 39.038126157848396, "mean_exposure_while_solvent": 1.2090512554400301, "realized_annual_volatility_pct": 63.96951535352422, "trading_costs_quote_units": 62.14362650450553, "borrowing_costs_quote_units": 358.3938807333527, "price_pnl_quote_units": 17391.256559208035, "turnover_quote_units": 103572.71084084256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26970.719051970213, "return_pct": 169.70719051970212, "cagr_pct": 169.28083960121424, "max_drawdown_pct": 39.038126157848396, "mean_exposure_while_solvent": 1.2090512554400301, "realized_annual_volatility_pct": 63.96951535352422, "trading_costs_quote_units": 62.14362650450553, "borrowing_costs_quote_units": 358.3938807333527, "price_pnl_quote_units": 17391.256559208035, "turnover_quote_units": 103572.71084084256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18492.61780543053, "return_pct": 84.92617805430531, "cagr_pct": 84.74498422635999, "max_drawdown_pct": 22.76277956308277, "mean_exposure_while_solvent": 0.7498254324991316, "realized_annual_volatility_pct": 39.24945112784691, "trading_costs_quote_units": 16.010864574663948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8508.628670005237, "turnover_quote_units": 26684.77429110657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18492.61780543053, "return_pct": 84.92617805430531, "cagr_pct": 84.74498422635999, "max_drawdown_pct": 22.76277956308277, "mean_exposure_while_solvent": 0.7498254324991316, "realized_annual_volatility_pct": 39.24945112784691, "trading_costs_quote_units": 16.010864574663948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8508.628670005237, "turnover_quote_units": 26684.77429110657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21954.340477382197, "return_pct": 119.54340477382198, "cagr_pct": 119.26828994887626, "max_drawdown_pct": 30.160442748151816, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 52.36195597254463, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11960.336879540891, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21954.340477382197, "return_pct": 119.54340477382198, "cagr_pct": 119.26828994887626, "max_drawdown_pct": 30.160442748151816, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 52.36195597254463, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11960.336879540891, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24933.41363246885, "return_pct": 149.3341363246885, "cagr_pct": 148.97117000537992, "max_drawdown_pct": 38.00826328869117, "mean_exposure_while_solvent": 1.2492333237104376, "realized_annual_volatility_pct": 65.50454888563787, "trading_costs_quote_units": 30.314442810707295, "borrowing_costs_quote_units": 418.42946021865316, "price_pnl_quote_units": 15382.157535498223, "turnover_quote_units": 50524.071351178834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24933.41363246885, "return_pct": 149.3341363246885, "cagr_pct": 148.97117000537992, "max_drawdown_pct": 38.00826328869117, "mean_exposure_while_solvent": 1.2492333237104376, "realized_annual_volatility_pct": 65.50454888563787, "trading_costs_quote_units": 30.314442810707295, "borrowing_costs_quote_units": 418.42946021865316, "price_pnl_quote_units": 15382.157535498223, "turnover_quote_units": 50524.071351178834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27819.123354877556, "return_pct": 178.19123354877556, "cagr_pct": 177.73775451785815, "max_drawdown_pct": 45.413574369827415, "mean_exposure_while_solvent": 1.4988972282150756, "realized_annual_volatility_pct": 78.68296881317171, "trading_costs_quote_units": 67.58798683901378, "borrowing_costs_quote_units": 895.52310742076, "price_pnl_quote_units": 18782.234449137308, "turnover_quote_units": 112646.6447316896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27819.123354877556, "return_pct": 178.19123354877556, "cagr_pct": 177.73775451785815, "max_drawdown_pct": 45.413574369827415, "mean_exposure_while_solvent": 1.4988972282150756, "realized_annual_volatility_pct": 78.68296881317171, "trading_costs_quote_units": 67.58798683901378, "borrowing_costs_quote_units": 895.52310742076, "price_pnl_quote_units": 18782.234449137308, "turnover_quote_units": 112646.6447316896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21253.927781608916, "return_pct": 112.53927781608914, "cagr_pct": 112.28391476998488, "max_drawdown_pct": 25.73107295753384, "mean_exposure_while_solvent": 0.8195729152316349, "realized_annual_volatility_pct": 42.636048591661186, "trading_costs_quote_units": 64.65928584729633, "borrowing_costs_quote_units": 37.21452862126357, "price_pnl_quote_units": 11355.801596077485, "turnover_quote_units": 107765.4764121605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21253.927781608916, "return_pct": 112.53927781608914, "cagr_pct": 112.28391476998488, "max_drawdown_pct": 25.73107295753384, "mean_exposure_while_solvent": 0.8195729152316349, "realized_annual_volatility_pct": 42.636048591661186, "trading_costs_quote_units": 64.65928584729633, "borrowing_costs_quote_units": 37.21452862126357, "price_pnl_quote_units": 11355.801596077485, "turnover_quote_units": 107765.4764121605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26898.334529207277, "return_pct": 168.98334529207278, "cagr_pct": 168.55928944747927, "max_drawdown_pct": 37.435451726178215, "mean_exposure_while_solvent": 1.2108361394436544, "realized_annual_volatility_pct": 62.96411872555322, "trading_costs_quote_units": 97.3136567664663, "borrowing_costs_quote_units": 744.1390695134244, "price_pnl_quote_units": 17739.78725548716, "turnover_quote_units": 162189.4279441105, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26898.334529207277, "return_pct": 168.98334529207278, "cagr_pct": 168.55928944747927, "max_drawdown_pct": 37.435451726178215, "mean_exposure_while_solvent": 1.2108361394436544, "realized_annual_volatility_pct": 62.96411872555322, "trading_costs_quote_units": 97.3136567664663, "borrowing_costs_quote_units": 744.1390695134244, "price_pnl_quote_units": 17739.78725548716, "turnover_quote_units": 162189.4279441105, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26907.458786771145, "return_pct": 169.07458786771144, "cagr_pct": 168.65024289344638, "max_drawdown_pct": 45.19512846457785, "mean_exposure_while_solvent": 1.429497920918274, "realized_annual_volatility_pct": 74.70942172105714, "trading_costs_quote_units": 82.31252499575224, "borrowing_costs_quote_units": 1508.2412479882614, "price_pnl_quote_units": 18498.01255975516, "turnover_quote_units": 137187.54165958715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26907.458786771145, "return_pct": 169.07458786771144, "cagr_pct": 168.65024289344638, "max_drawdown_pct": 45.19512846457785, "mean_exposure_while_solvent": 1.429497920918274, "realized_annual_volatility_pct": 74.70942172105714, "trading_costs_quote_units": 82.31252499575224, "borrowing_costs_quote_units": 1508.2412479882614, "price_pnl_quote_units": 18498.01255975516, "turnover_quote_units": 137187.54165958715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23919.30746185848, "return_pct": 139.1930746185848, "cagr_pct": 138.86068540733717, "max_drawdown_pct": 41.63292376012405, "mean_exposure_while_solvent": 1.2161739668429692, "realized_annual_volatility_pct": 62.66971357591677, "trading_costs_quote_units": 136.9483194901776, "borrowing_costs_quote_units": 781.7419870945154, "price_pnl_quote_units": 14837.99776844314, "turnover_quote_units": 228247.1991502958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23919.30746185848, "return_pct": 139.1930746185848, "cagr_pct": 138.86068540733717, "max_drawdown_pct": 41.63292376012405, "mean_exposure_while_solvent": 1.2161739668429692, "realized_annual_volatility_pct": 62.66971357591677, "trading_costs_quote_units": 136.9483194901776, "borrowing_costs_quote_units": 781.7419870945154, "price_pnl_quote_units": 14837.99776844314, "turnover_quote_units": 228247.1991502958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26403.56957248618, "return_pct": 164.0356957248618, "cagr_pct": 163.62724389443756, "max_drawdown_pct": 39.45374065345584, "mean_exposure_while_solvent": 1.2090836405483503, "realized_annual_volatility_pct": 63.97138228414624, "trading_costs_quote_units": 61.4730002143868, "borrowing_costs_quote_units": 708.144662742168, "price_pnl_quote_units": 17173.187235442736, "turnover_quote_units": 102455.00035731142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26403.56957248618, "return_pct": 164.0356957248618, "cagr_pct": 163.62724389443756, "max_drawdown_pct": 39.45374065345584, "mean_exposure_while_solvent": 1.2090836405483503, "realized_annual_volatility_pct": 63.97138228414624, "trading_costs_quote_units": 61.4730002143868, "borrowing_costs_quote_units": 708.144662742168, "price_pnl_quote_units": 17173.187235442736, "turnover_quote_units": 102455.00035731142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21994.916268163026, "return_pct": 119.94916268163026, "cagr_pct": 119.67289261280007, "max_drawdown_pct": 30.463593024487523, "mean_exposure_while_solvent": 0.9844854547348109, "realized_annual_volatility_pct": 51.51086561828949, "trading_costs_quote_units": 15.241928731532763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12010.158196894536, "turnover_quote_units": 25403.214552554615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21994.916268163026, "return_pct": 119.94916268163026, "cagr_pct": 119.67289261280007, "max_drawdown_pct": 30.463593024487523, "mean_exposure_while_solvent": 0.9844854547348109, "realized_annual_volatility_pct": 51.51086561828949, "trading_costs_quote_units": 15.241928731532763, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12010.158196894536, "turnover_quote_units": 25403.214552554615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26403.56957248618, "return_pct": 164.0356957248618, "cagr_pct": 163.62724389443756, "max_drawdown_pct": 39.45374065345584, "mean_exposure_while_solvent": 1.2090836405483503, "realized_annual_volatility_pct": 63.97138228414624, "trading_costs_quote_units": 61.4730002143868, "borrowing_costs_quote_units": 708.144662742168, "price_pnl_quote_units": 17173.187235442736, "turnover_quote_units": 102455.00035731142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26403.56957248618, "return_pct": 164.0356957248618, "cagr_pct": 163.62724389443756, "max_drawdown_pct": 39.45374065345584, "mean_exposure_while_solvent": 1.2090836405483503, "realized_annual_volatility_pct": 63.97138228414624, "trading_costs_quote_units": 61.4730002143868, "borrowing_costs_quote_units": 708.144662742168, "price_pnl_quote_units": 17173.187235442736, "turnover_quote_units": 102455.00035731142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26403.56957248618, "return_pct": 164.0356957248618, "cagr_pct": 163.62724389443756, "max_drawdown_pct": 39.45374065345584, "mean_exposure_while_solvent": 1.2090836405483503, "realized_annual_volatility_pct": 63.97138228414624, "trading_costs_quote_units": 61.4730002143868, "borrowing_costs_quote_units": 708.144662742168, "price_pnl_quote_units": 17173.187235442736, "turnover_quote_units": 102455.00035731142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26403.56957248618, "return_pct": 164.0356957248618, "cagr_pct": 163.62724389443756, "max_drawdown_pct": 39.45374065345584, "mean_exposure_while_solvent": 1.2090836405483503, "realized_annual_volatility_pct": 63.97138228414624, "trading_costs_quote_units": 61.4730002143868, "borrowing_costs_quote_units": 708.144662742168, "price_pnl_quote_units": 17173.187235442736, "turnover_quote_units": 102455.00035731142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18492.61780543053, "return_pct": 84.92617805430531, "cagr_pct": 84.74498422635999, "max_drawdown_pct": 22.76277956308277, "mean_exposure_while_solvent": 0.7498254324991316, "realized_annual_volatility_pct": 39.24945112784691, "trading_costs_quote_units": 16.010864574663948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8508.628670005237, "turnover_quote_units": 26684.77429110657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18492.61780543053, "return_pct": 84.92617805430531, "cagr_pct": 84.74498422635999, "max_drawdown_pct": 22.76277956308277, "mean_exposure_while_solvent": 0.7498254324991316, "realized_annual_volatility_pct": 39.24945112784691, "trading_costs_quote_units": 16.010864574663948, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8508.628670005237, "turnover_quote_units": 26684.77429110657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21954.340477382197, "return_pct": 119.54340477382198, "cagr_pct": 119.26828994887626, "max_drawdown_pct": 30.160442748151816, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 52.36195597254463, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11960.336879540891, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21954.340477382197, "return_pct": 119.54340477382198, "cagr_pct": 119.26828994887626, "max_drawdown_pct": 30.160442748151816, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 52.36195597254463, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11960.336879540891, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24318.030171805523, "return_pct": 143.18030171805526, "cagr_pct": 142.83597027630682, "max_drawdown_pct": 38.62151544814305, "mean_exposure_while_solvent": 1.2492689008878357, "realized_annual_volatility_pct": 65.50730378319844, "trading_costs_quote_units": 30.004745935039594, "borrowing_costs_quote_units": 825.5137191870932, "price_pnl_quote_units": 15173.548636927677, "turnover_quote_units": 50007.90989173265, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24318.030171805523, "return_pct": 143.18030171805526, "cagr_pct": 142.83597027630682, "max_drawdown_pct": 38.62151544814305, "mean_exposure_while_solvent": 1.2492689008878357, "realized_annual_volatility_pct": 65.50730378319844, "trading_costs_quote_units": 30.004745935039594, "borrowing_costs_quote_units": 825.5137191870932, "price_pnl_quote_units": 15173.548636927677, "turnover_quote_units": 50007.90989173265, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26462.854379583732, "return_pct": 164.62854379583734, "cagr_pct": 164.21822994440478, "max_drawdown_pct": 46.4894414477237, "mean_exposure_while_solvent": 1.4989826156513546, "realized_annual_volatility_pct": 78.68960849777933, "trading_costs_quote_units": 66.02403946028818, "borrowing_costs_quote_units": 1742.2834098314984, "price_pnl_quote_units": 18271.161828875494, "turnover_quote_units": 110040.06576714701, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26462.854379583732, "return_pct": 164.62854379583734, "cagr_pct": 164.21822994440478, "max_drawdown_pct": 46.4894414477237, "mean_exposure_while_solvent": 1.4989826156513546, "realized_annual_volatility_pct": 78.68960849777933, "trading_costs_quote_units": 66.02403946028818, "borrowing_costs_quote_units": 1742.2834098314984, "price_pnl_quote_units": 18271.161828875494, "turnover_quote_units": 110040.06576714701, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21365.621271413427, "return_pct": 113.65621271413428, "cagr_pct": 113.39772417773793, "max_drawdown_pct": 25.73040070454332, "mean_exposure_while_solvent": 0.8187888809059098, "realized_annual_volatility_pct": 42.79649154626865, "trading_costs_quote_units": 64.99212553418309, "borrowing_costs_quote_units": 9.333555395758623, "price_pnl_quote_units": 11439.946952343367, "turnover_quote_units": 108320.2092236385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21365.621271413427, "return_pct": 113.65621271413428, "cagr_pct": 113.39772417773793, "max_drawdown_pct": 25.73040070454332, "mean_exposure_while_solvent": 0.8187888809059098, "realized_annual_volatility_pct": 42.79649154626865, "trading_costs_quote_units": 64.99212553418309, "borrowing_costs_quote_units": 9.333555395758623, "price_pnl_quote_units": 11439.946952343367, "turnover_quote_units": 108320.2092236385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27919.21386134273, "return_pct": 179.1921386134273, "cagr_pct": 178.73543177597023, "max_drawdown_pct": 36.977252904152046, "mean_exposure_while_solvent": 1.209709003406364, "realized_annual_volatility_pct": 63.214315210437654, "trading_costs_quote_units": 100.25538400779202, "borrowing_costs_quote_units": 189.8713545011803, "price_pnl_quote_units": 18209.34059985171, "turnover_quote_units": 167092.30667965356, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27919.21386134273, "return_pct": 179.1921386134273, "cagr_pct": 178.73543177597023, "max_drawdown_pct": 36.977252904152046, "mean_exposure_while_solvent": 1.209709003406364, "realized_annual_volatility_pct": 63.214315210437654, "trading_costs_quote_units": 100.25538400779202, "borrowing_costs_quote_units": 189.8713545011803, "price_pnl_quote_units": 18209.34059985171, "turnover_quote_units": 167092.30667965356, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28468.247823758924, "return_pct": 184.68247823758924, "cagr_pct": 184.20796476658802, "max_drawdown_pct": 44.11295244877322, "mean_exposure_while_solvent": 1.4282013252521089, "realized_annual_volatility_pct": 74.78621248457794, "trading_costs_quote_units": 83.04480160337829, "borrowing_costs_quote_units": 388.6701257362452, "price_pnl_quote_units": 18939.962751098592, "turnover_quote_units": 138408.0026722972, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28468.247823758924, "return_pct": 184.68247823758924, "cagr_pct": 184.20796476658802, "max_drawdown_pct": 44.11295244877322, "mean_exposure_while_solvent": 1.4282013252521089, "realized_annual_volatility_pct": 74.78621248457794, "trading_costs_quote_units": 83.04480160337829, "borrowing_costs_quote_units": 388.6701257362452, "price_pnl_quote_units": 18939.962751098592, "turnover_quote_units": 138408.0026722972, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25279.498404652633, "return_pct": 152.7949840465263, "cagr_pct": 152.42143121475618, "max_drawdown_pct": 41.010921576458784, "mean_exposure_while_solvent": 1.2151180664246362, "realized_annual_volatility_pct": 62.91669288931657, "trading_costs_quote_units": 142.15487799909263, "borrowing_costs_quote_units": 201.5349275165371, "price_pnl_quote_units": 15623.188210168237, "turnover_quote_units": 236924.79666515446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25279.498404652633, "return_pct": 152.7949840465263, "cagr_pct": 152.42143121475618, "max_drawdown_pct": 41.010921576458784, "mean_exposure_while_solvent": 1.2151180664246362, "realized_annual_volatility_pct": 62.91669288931657, "trading_costs_quote_units": 142.15487799909263, "borrowing_costs_quote_units": 201.5349275165371, "price_pnl_quote_units": 15623.188210168237, "turnover_quote_units": 236924.79666515446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27245.15129234607, "return_pct": 172.45151292346068, "cagr_pct": 172.01643269004566, "max_drawdown_pct": 38.892735327539526, "mean_exposure_while_solvent": 1.208098753366042, "realized_annual_volatility_pct": 64.13024713299187, "trading_costs_quote_units": 61.65394645263215, "borrowing_costs_quote_units": 180.32360263669437, "price_pnl_quote_units": 17487.128841435453, "turnover_quote_units": 102756.57742105365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27245.15129234607, "return_pct": 172.45151292346068, "cagr_pct": 172.01643269004566, "max_drawdown_pct": 38.892735327539526, "mean_exposure_while_solvent": 1.208098753366042, "realized_annual_volatility_pct": 64.13024713299187, "trading_costs_quote_units": 61.65394645263215, "borrowing_costs_quote_units": 180.32360263669437, "price_pnl_quote_units": 17487.128841435453, "turnover_quote_units": 102756.57742105365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21884.454124432952, "return_pct": 118.84454124432952, "cagr_pct": 118.571413375204, "max_drawdown_pct": 30.372565518275763, "mean_exposure_while_solvent": 0.9835517201376855, "realized_annual_volatility_pct": 51.50317129099952, "trading_costs_quote_units": 15.245358401980813, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11899.69948283494, "turnover_quote_units": 25408.930669968027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21884.454124432952, "return_pct": 118.84454124432952, "cagr_pct": 118.571413375204, "max_drawdown_pct": 30.372565518275763, "mean_exposure_while_solvent": 0.9835517201376855, "realized_annual_volatility_pct": 51.50317129099952, "trading_costs_quote_units": 15.245358401980813, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11899.69948283494, "turnover_quote_units": 25408.930669968027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27245.15129234607, "return_pct": 172.45151292346068, "cagr_pct": 172.01643269004566, "max_drawdown_pct": 38.892735327539526, "mean_exposure_while_solvent": 1.208098753366042, "realized_annual_volatility_pct": 64.13024713299187, "trading_costs_quote_units": 61.65394645263215, "borrowing_costs_quote_units": 180.32360263669437, "price_pnl_quote_units": 17487.128841435453, "turnover_quote_units": 102756.57742105365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27245.15129234607, "return_pct": 172.45151292346068, "cagr_pct": 172.01643269004566, "max_drawdown_pct": 38.892735327539526, "mean_exposure_while_solvent": 1.208098753366042, "realized_annual_volatility_pct": 64.13024713299187, "trading_costs_quote_units": 61.65394645263215, "borrowing_costs_quote_units": 180.32360263669437, "price_pnl_quote_units": 17487.128841435453, "turnover_quote_units": 102756.57742105365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27245.15129234607, "return_pct": 172.45151292346068, "cagr_pct": 172.01643269004566, "max_drawdown_pct": 38.892735327539526, "mean_exposure_while_solvent": 1.208098753366042, "realized_annual_volatility_pct": 64.13024713299187, "trading_costs_quote_units": 61.65394645263215, "borrowing_costs_quote_units": 180.32360263669437, "price_pnl_quote_units": 17487.128841435453, "turnover_quote_units": 102756.57742105365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27245.15129234607, "return_pct": 172.45151292346068, "cagr_pct": 172.01643269004566, "max_drawdown_pct": 38.892735327539526, "mean_exposure_while_solvent": 1.208098753366042, "realized_annual_volatility_pct": 64.13024713299187, "trading_costs_quote_units": 61.65394645263215, "borrowing_costs_quote_units": 180.32360263669437, "price_pnl_quote_units": 17487.128841435453, "turnover_quote_units": 102756.57742105365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18398.39009030562, "return_pct": 83.98390090305621, "cagr_pct": 83.805127529652, "max_drawdown_pct": 22.71223002992896, "mean_exposure_while_solvent": 0.7490793422111663, "realized_annual_volatility_pct": 39.24007775782059, "trading_costs_quote_units": 15.492382884954141, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8413.882473190557, "turnover_quote_units": 25820.638141590196, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18398.39009030562, "return_pct": 83.98390090305621, "cagr_pct": 83.805127529652, "max_drawdown_pct": 22.71223002992896, "mean_exposure_while_solvent": 0.7490793422111663, "realized_annual_volatility_pct": 39.24007775782059, "trading_costs_quote_units": 15.492382884954141, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8413.882473190557, "turnover_quote_units": 25820.638141590196, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21800.014406358237, "return_pct": 118.00014406358237, "cagr_pct": 117.72941218556974, "max_drawdown_pct": 30.160442748151837, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 52.35986574651184, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11806.010808516961, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21800.014406358237, "return_pct": 118.00014406358237, "cagr_pct": 117.72941218556974, "max_drawdown_pct": 30.160442748151837, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 52.35986574651184, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11806.010808516961, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25013.94938307994, "return_pct": 150.13949383079938, "cagr_pct": 149.77407075314431, "max_drawdown_pct": 37.77709302890221, "mean_exposure_while_solvent": 1.2481967611536906, "realized_annual_volatility_pct": 65.51391695002498, "trading_costs_quote_units": 29.454476078326152, "borrowing_costs_quote_units": 208.96852038481188, "price_pnl_quote_units": 15252.37237954307, "turnover_quote_units": 49090.79346387695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25013.94938307994, "return_pct": 150.13949383079938, "cagr_pct": 149.77407075314431, "max_drawdown_pct": 37.77709302890221, "mean_exposure_while_solvent": 1.2481967611536906, "realized_annual_volatility_pct": 65.51391695002498, "trading_costs_quote_units": 29.454476078326152, "borrowing_costs_quote_units": 208.96852038481188, "price_pnl_quote_units": 15252.37237954307, "turnover_quote_units": 49090.79346387695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28182.075526780885, "return_pct": 181.82075526780886, "cagr_pct": 181.3555443326591, "max_drawdown_pct": 45.04809151179614, "mean_exposure_while_solvent": 1.4977934539027002, "realized_annual_volatility_pct": 78.70927823267489, "trading_costs_quote_units": 65.81951486983719, "borrowing_costs_quote_units": 450.24573789245994, "price_pnl_quote_units": 18698.1407795431, "turnover_quote_units": 109699.19144972856, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28182.075526780885, "return_pct": 181.82075526780886, "cagr_pct": 181.3555443326591, "max_drawdown_pct": 45.04809151179614, "mean_exposure_while_solvent": 1.4977934539027002, "realized_annual_volatility_pct": 78.70927823267489, "trading_costs_quote_units": 65.81951486983719, "borrowing_costs_quote_units": 450.24573789245994, "price_pnl_quote_units": 18698.1407795431, "turnover_quote_units": 109699.19144972856, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21352.759756796317, "return_pct": 113.52759756796318, "cagr_pct": 113.26946940595373, "max_drawdown_pct": 25.738186963522715, "mean_exposure_while_solvent": 0.8187896683602477, "realized_annual_volatility_pct": 42.796457753062825, "trading_costs_quote_units": 64.9790011840841, "borrowing_costs_quote_units": 18.662556113500507, "price_pnl_quote_units": 11436.401314093924, "turnover_quote_units": 108298.33530680672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21352.759756796317, "return_pct": 113.52759756796318, "cagr_pct": 113.26946940595373, "max_drawdown_pct": 25.738186963522715, "mean_exposure_while_solvent": 0.8187896683602477, "realized_annual_volatility_pct": 42.796457753062825, "trading_costs_quote_units": 64.9790011840841, "borrowing_costs_quote_units": 18.662556113500507, "price_pnl_quote_units": 11436.401314093924, "turnover_quote_units": 108298.33530680672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27605.38832928647, "return_pct": 176.0538832928647, "cagr_pct": 175.60727778926184, "max_drawdown_pct": 37.22613805947719, "mean_exposure_while_solvent": 1.209726721363689, "realized_annual_volatility_pct": 63.214814973735855, "trading_costs_quote_units": 99.67241869519304, "borrowing_costs_quote_units": 377.36287293701497, "price_pnl_quote_units": 18082.423620918675, "turnover_quote_units": 166120.69782532187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27605.38832928647, "return_pct": 176.0538832928647, "cagr_pct": 175.60727778926184, "max_drawdown_pct": 37.22613805947719, "mean_exposure_while_solvent": 1.209726721363689, "realized_annual_volatility_pct": 63.214814973735855, "trading_costs_quote_units": 99.67241869519304, "borrowing_costs_quote_units": 377.36287293701497, "price_pnl_quote_units": 18082.423620918675, "turnover_quote_units": 166120.69782532187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27863.33470142541, "return_pct": 178.63334701425407, "cagr_pct": 178.1784429215283, "max_drawdown_pct": 44.57199034873221, "mean_exposure_while_solvent": 1.4282370087080234, "realized_annual_volatility_pct": 74.78822874412356, "trading_costs_quote_units": 82.14234247560599, "borrowing_costs_quote_units": 767.9973501271127, "price_pnl_quote_units": 18713.474394028086, "turnover_quote_units": 136903.90412600993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27863.33470142541, "return_pct": 178.63334701425407, "cagr_pct": 178.1784429215283, "max_drawdown_pct": 44.57199034873221, "mean_exposure_while_solvent": 1.4282370087080234, "realized_annual_volatility_pct": 74.78822874412356, "trading_costs_quote_units": 82.14234247560599, "borrowing_costs_quote_units": 767.9973501271127, "price_pnl_quote_units": 18713.474394028086, "turnover_quote_units": 136903.90412600993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24973.680562676876, "return_pct": 149.73680562676876, "cagr_pct": 149.37261147319103, "max_drawdown_pct": 41.270926008344055, "mean_exposure_while_solvent": 1.215137348176516, "realized_annual_volatility_pct": 62.91757715172272, "trading_costs_quote_units": 141.2688348738264, "borrowing_costs_quote_units": 400.4498716657513, "price_pnl_quote_units": 15515.399269216496, "turnover_quote_units": 235448.05812304385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24973.680562676876, "return_pct": 149.73680562676876, "cagr_pct": 149.37261147319103, "max_drawdown_pct": 41.270926008344055, "mean_exposure_while_solvent": 1.215137348176516, "realized_annual_volatility_pct": 62.91757715172272, "trading_costs_quote_units": 141.2688348738264, "borrowing_costs_quote_units": 400.4498716657513, "price_pnl_quote_units": 15515.399269216496, "turnover_quote_units": 235448.05812304385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26957.341458621133, "return_pct": 169.57341458621133, "cagr_pct": 169.1474880598272, "max_drawdown_pct": 39.10112441826612, "mean_exposure_while_solvent": 1.2081149429399403, "realized_annual_volatility_pct": 64.13083197673186, "trading_costs_quote_units": 61.32895954029091, "borrowing_costs_quote_units": 358.4606566103951, "price_pnl_quote_units": 17377.131074771783, "turnover_quote_units": 102214.93256715158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26957.341458621133, "return_pct": 169.57341458621133, "cagr_pct": 169.1474880598272, "max_drawdown_pct": 39.10112441826612, "mean_exposure_while_solvent": 1.2081149429399403, "realized_annual_volatility_pct": 64.13083197673186, "trading_costs_quote_units": 61.32895954029091, "borrowing_costs_quote_units": 358.4606566103951, "price_pnl_quote_units": 17377.131074771783, "turnover_quote_units": 102214.93256715158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21884.454124432952, "return_pct": 118.84454124432952, "cagr_pct": 118.571413375204, "max_drawdown_pct": 30.372565518275763, "mean_exposure_while_solvent": 0.9835517201376855, "realized_annual_volatility_pct": 51.50317129099952, "trading_costs_quote_units": 15.245358401980813, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11899.69948283494, "turnover_quote_units": 25408.930669968027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21884.454124432952, "return_pct": 118.84454124432952, "cagr_pct": 118.571413375204, "max_drawdown_pct": 30.372565518275763, "mean_exposure_while_solvent": 0.9835517201376855, "realized_annual_volatility_pct": 51.50317129099952, "trading_costs_quote_units": 15.245358401980813, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11899.69948283494, "turnover_quote_units": 25408.930669968027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26957.341458621133, "return_pct": 169.57341458621133, "cagr_pct": 169.1474880598272, "max_drawdown_pct": 39.10112441826612, "mean_exposure_while_solvent": 1.2081149429399403, "realized_annual_volatility_pct": 64.13083197673186, "trading_costs_quote_units": 61.32895954029091, "borrowing_costs_quote_units": 358.4606566103951, "price_pnl_quote_units": 17377.131074771783, "turnover_quote_units": 102214.93256715158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26957.341458621133, "return_pct": 169.57341458621133, "cagr_pct": 169.1474880598272, "max_drawdown_pct": 39.10112441826612, "mean_exposure_while_solvent": 1.2081149429399403, "realized_annual_volatility_pct": 64.13083197673186, "trading_costs_quote_units": 61.32895954029091, "borrowing_costs_quote_units": 358.4606566103951, "price_pnl_quote_units": 17377.131074771783, "turnover_quote_units": 102214.93256715158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26957.341458621133, "return_pct": 169.57341458621133, "cagr_pct": 169.1474880598272, "max_drawdown_pct": 39.10112441826612, "mean_exposure_while_solvent": 1.2081149429399403, "realized_annual_volatility_pct": 64.13083197673186, "trading_costs_quote_units": 61.32895954029091, "borrowing_costs_quote_units": 358.4606566103951, "price_pnl_quote_units": 17377.131074771783, "turnover_quote_units": 102214.93256715158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26957.341458621133, "return_pct": 169.57341458621133, "cagr_pct": 169.1474880598272, "max_drawdown_pct": 39.10112441826612, "mean_exposure_while_solvent": 1.2081149429399403, "realized_annual_volatility_pct": 64.13083197673186, "trading_costs_quote_units": 61.32895954029091, "borrowing_costs_quote_units": 358.4606566103951, "price_pnl_quote_units": 17377.131074771783, "turnover_quote_units": 102214.93256715158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18398.39009030562, "return_pct": 83.98390090305621, "cagr_pct": 83.805127529652, "max_drawdown_pct": 22.71223002992896, "mean_exposure_while_solvent": 0.7490793422111663, "realized_annual_volatility_pct": 39.24007775782059, "trading_costs_quote_units": 15.492382884954141, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8413.882473190557, "turnover_quote_units": 25820.638141590196, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18398.39009030562, "return_pct": 83.98390090305621, "cagr_pct": 83.805127529652, "max_drawdown_pct": 22.71223002992896, "mean_exposure_while_solvent": 0.7490793422111663, "realized_annual_volatility_pct": 39.24007775782059, "trading_costs_quote_units": 15.492382884954141, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8413.882473190557, "turnover_quote_units": 25820.638141590196, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21800.014406358237, "return_pct": 118.00014406358237, "cagr_pct": 117.72941218556974, "max_drawdown_pct": 30.160442748151837, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 52.35986574651184, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11806.010808516961, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21800.014406358237, "return_pct": 118.00014406358237, "cagr_pct": 117.72941218556974, "max_drawdown_pct": 30.160442748151837, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 52.35986574651184, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11806.010808516961, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24703.697580794462, "return_pct": 147.0369758079446, "cagr_pct": 146.68099425507165, "max_drawdown_pct": 38.085654510534816, "mean_exposure_while_solvent": 1.248214529999747, "realized_annual_volatility_pct": 65.5150036833508, "trading_costs_quote_units": 29.289870286475804, "borrowing_costs_quote_units": 415.09215014996676, "price_pnl_quote_units": 15148.079601230893, "turnover_quote_units": 48816.45047745967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24703.697580794462, "return_pct": 147.0369758079446, "cagr_pct": 146.68099425507165, "max_drawdown_pct": 38.085654510534816, "mean_exposure_while_solvent": 1.248214529999747, "realized_annual_volatility_pct": 65.5150036833508, "trading_costs_quote_units": 29.289870286475804, "borrowing_costs_quote_units": 415.09215014996676, "price_pnl_quote_units": 15148.079601230893, "turnover_quote_units": 48816.45047745967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27487.349338236687, "return_pct": 174.8734933823669, "cagr_pct": 174.43067264605202, "max_drawdown_pct": 45.59239637898461, "mean_exposure_while_solvent": 1.4978361104753584, "realized_annual_volatility_pct": 78.71190560140867, "trading_costs_quote_units": 65.00425121309624, "borrowing_costs_quote_units": 888.1093068371946, "price_pnl_quote_units": 18440.462896286983, "turnover_quote_units": 108340.41868849381, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27487.349338236687, "return_pct": 174.8734933823669, "cagr_pct": 174.43067264605202, "max_drawdown_pct": 45.59239637898461, "mean_exposure_while_solvent": 1.4978361104753584, "realized_annual_volatility_pct": 78.71190560140867, "trading_costs_quote_units": 65.00425121309624, "borrowing_costs_quote_units": 888.1093068371946, "price_pnl_quote_units": 18440.462896286983, "turnover_quote_units": 108340.41868849381, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21327.05478582898, "return_pct": 113.27054785828979, "cagr_pct": 113.01313956988261, "max_drawdown_pct": 25.753759879778205, "mean_exposure_while_solvent": 0.8187912434717697, "realized_annual_volatility_pct": 42.79639143018292, "trading_costs_quote_units": 64.95276605295469, "borrowing_costs_quote_units": 37.306899029624255, "price_pnl_quote_units": 11429.314450911563, "turnover_quote_units": 108254.61008825773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21327.05478582898, "return_pct": 113.27054785828979, "cagr_pct": 113.01313956988261, "max_drawdown_pct": 25.753759879778205, "mean_exposure_while_solvent": 0.8187912434717697, "realized_annual_volatility_pct": 42.79639143018292, "trading_costs_quote_units": 64.95276605295469, "borrowing_costs_quote_units": 37.306899029624255, "price_pnl_quote_units": 11429.314450911563, "turnover_quote_units": 108254.61008825773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26988.12894950583, "return_pct": 169.88128949505833, "cagr_pct": 169.45438610531173, "max_drawdown_pct": 37.721085908602106, "mean_exposure_while_solvent": 1.2097621639492073, "realized_annual_volatility_pct": 63.21583309013891, "trading_costs_quote_units": 98.52039283836885, "borrowing_costs_quote_units": 745.3167697877501, "price_pnl_quote_units": 17831.96611213196, "turnover_quote_units": 164200.65473061486, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26988.12894950583, "return_pct": 169.88128949505833, "cagr_pct": 169.45438610531173, "max_drawdown_pct": 37.721085908602106, "mean_exposure_while_solvent": 1.2097621639492073, "realized_annual_volatility_pct": 63.21583309013891, "trading_costs_quote_units": 98.52039283836885, "borrowing_costs_quote_units": 745.3167697877501, "price_pnl_quote_units": 17831.96611213196, "turnover_quote_units": 164200.65473061486, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26691.481641643044, "return_pct": 166.91481641643043, "cagr_pct": 166.49730209824574, "max_drawdown_pct": 45.479040825845104, "mean_exposure_while_solvent": 1.4283083904190517, "realized_annual_volatility_pct": 74.79226802886988, "trading_costs_quote_units": 80.38596461357109, "borrowing_costs_quote_units": 1499.4590519382407, "price_pnl_quote_units": 18271.326658194856, "turnover_quote_units": 133976.6076892852, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26691.481641643044, "return_pct": 166.91481641643043, "cagr_pct": 166.49730209824574, "max_drawdown_pct": 45.479040825845104, "mean_exposure_while_solvent": 1.4283083904190517, "realized_annual_volatility_pct": 74.79226802886988, "trading_costs_quote_units": 80.38596461357109, "borrowing_costs_quote_units": 1499.4590519382407, "price_pnl_quote_units": 18271.326658194856, "turnover_quote_units": 133976.6076892852, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24372.946988264564, "return_pct": 143.72946988264565, "cagr_pct": 143.3834854336641, "max_drawdown_pct": 41.78763767990388, "mean_exposure_while_solvent": 1.2151759190933105, "realized_annual_volatility_pct": 62.919365599262555, "trading_costs_quote_units": 139.52158290895608, "borrowing_costs_quote_units": 790.5476038407852, "price_pnl_quote_units": 15303.016175014349, "turnover_quote_units": 232535.9715149267, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24372.946988264564, "return_pct": 143.72946988264565, "cagr_pct": 143.3834854336641, "max_drawdown_pct": 41.78763767990388, "mean_exposure_while_solvent": 1.2151759190933105, "realized_annual_volatility_pct": 62.919365599262555, "trading_costs_quote_units": 139.52158290895608, "borrowing_costs_quote_units": 790.5476038407852, "price_pnl_quote_units": 15303.016175014349, "turnover_quote_units": 232535.9715149267, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26390.672744899945, "return_pct": 163.90672744899945, "cagr_pct": 163.49868040291312, "max_drawdown_pct": 39.51587124697989, "mean_exposure_while_solvent": 1.2081473278567394, "realized_annual_volatility_pct": 64.13201622876385, "trading_costs_quote_units": 60.68755490863421, "borrowing_costs_quote_units": 708.2719634581345, "price_pnl_quote_units": 17159.632263266725, "turnover_quote_units": 101145.92484772371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26390.672744899945, "return_pct": 163.90672744899945, "cagr_pct": 163.49868040291312, "max_drawdown_pct": 39.51587124697989, "mean_exposure_while_solvent": 1.2081473278567394, "realized_annual_volatility_pct": 64.13201622876385, "trading_costs_quote_units": 60.68755490863421, "borrowing_costs_quote_units": 708.2719634581345, "price_pnl_quote_units": 17159.632263266725, "turnover_quote_units": 101145.92484772371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21884.454124432952, "return_pct": 118.84454124432952, "cagr_pct": 118.571413375204, "max_drawdown_pct": 30.372565518275763, "mean_exposure_while_solvent": 0.9835517201376855, "realized_annual_volatility_pct": 51.50317129099952, "trading_costs_quote_units": 15.245358401980813, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11899.69948283494, "turnover_quote_units": 25408.930669968027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21884.454124432952, "return_pct": 118.84454124432952, "cagr_pct": 118.571413375204, "max_drawdown_pct": 30.372565518275763, "mean_exposure_while_solvent": 0.9835517201376855, "realized_annual_volatility_pct": 51.50317129099952, "trading_costs_quote_units": 15.245358401980813, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11899.69948283494, "turnover_quote_units": 25408.930669968027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26390.672744899945, "return_pct": 163.90672744899945, "cagr_pct": 163.49868040291312, "max_drawdown_pct": 39.51587124697989, "mean_exposure_while_solvent": 1.2081473278567394, "realized_annual_volatility_pct": 64.13201622876385, "trading_costs_quote_units": 60.68755490863421, "borrowing_costs_quote_units": 708.2719634581345, "price_pnl_quote_units": 17159.632263266725, "turnover_quote_units": 101145.92484772371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26390.672744899945, "return_pct": 163.90672744899945, "cagr_pct": 163.49868040291312, "max_drawdown_pct": 39.51587124697989, "mean_exposure_while_solvent": 1.2081473278567394, "realized_annual_volatility_pct": 64.13201622876385, "trading_costs_quote_units": 60.68755490863421, "borrowing_costs_quote_units": 708.2719634581345, "price_pnl_quote_units": 17159.632263266725, "turnover_quote_units": 101145.92484772371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26390.672744899945, "return_pct": 163.90672744899945, "cagr_pct": 163.49868040291312, "max_drawdown_pct": 39.51587124697989, "mean_exposure_while_solvent": 1.2081473278567394, "realized_annual_volatility_pct": 64.13201622876385, "trading_costs_quote_units": 60.68755490863421, "borrowing_costs_quote_units": 708.2719634581345, "price_pnl_quote_units": 17159.632263266725, "turnover_quote_units": 101145.92484772371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26390.672744899945, "return_pct": 163.90672744899945, "cagr_pct": 163.49868040291312, "max_drawdown_pct": 39.51587124697989, "mean_exposure_while_solvent": 1.2081473278567394, "realized_annual_volatility_pct": 64.13201622876385, "trading_costs_quote_units": 60.68755490863421, "borrowing_costs_quote_units": 708.2719634581345, "price_pnl_quote_units": 17159.632263266725, "turnover_quote_units": 101145.92484772371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 18398.39009030562, "return_pct": 83.98390090305621, "cagr_pct": 83.805127529652, "max_drawdown_pct": 22.71223002992896, "mean_exposure_while_solvent": 0.7490793422111663, "realized_annual_volatility_pct": 39.24007775782059, "trading_costs_quote_units": 15.492382884954141, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8413.882473190557, "turnover_quote_units": 25820.638141590196, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 18398.39009030562, "return_pct": 83.98390090305621, "cagr_pct": 83.805127529652, "max_drawdown_pct": 22.71223002992896, "mean_exposure_while_solvent": 0.7490793422111663, "realized_annual_volatility_pct": 39.24007775782059, "trading_costs_quote_units": 15.492382884954141, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8413.882473190557, "turnover_quote_units": 25820.638141590196, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21800.014406358237, "return_pct": 118.00014406358237, "cagr_pct": 117.72941218556974, "max_drawdown_pct": 30.160442748151837, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 52.35986574651184, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11806.010808516961, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21800.014406358237, "return_pct": 118.00014406358237, "cagr_pct": 117.72941218556974, "max_drawdown_pct": 30.160442748151837, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 52.35986574651184, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11806.010808516961, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24094.550964448623, "return_pct": 140.9455096444862, "cagr_pct": 140.60788458851846, "max_drawdown_pct": 38.69833748279812, "mean_exposure_while_solvent": 1.2482500731604997, "realized_annual_volatility_pct": 65.51717753191303, "trading_costs_quote_units": 28.970212156331442, "borrowing_costs_quote_units": 818.9506006395426, "price_pnl_quote_units": 14942.471777244487, "turnover_quote_units": 48283.68692721912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24094.550964448623, "return_pct": 140.9455096444862, "cagr_pct": 140.60788458851846, "max_drawdown_pct": 38.69833748279812, "mean_exposure_while_solvent": 1.2482500731604997, "realized_annual_volatility_pct": 65.51717753191303, "trading_costs_quote_units": 28.970212156331442, "borrowing_costs_quote_units": 818.9506006395426, "price_pnl_quote_units": 14942.471777244487, "turnover_quote_units": 48283.68692721912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26148.480049056197, "return_pct": 161.48480049056198, "cagr_pct": 161.0843363293361, "max_drawdown_pct": 46.66519170176553, "mean_exposure_while_solvent": 1.4979214421087508, "realized_annual_volatility_pct": 78.71716176292928, "trading_costs_quote_units": 63.430452725418725, "borrowing_costs_quote_units": 1727.969672945291, "price_pnl_quote_units": 17939.880174726924, "turnover_quote_units": 105717.4212090312, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26148.480049056197, "return_pct": 161.48480049056198, "cagr_pct": 161.0843363293361, "max_drawdown_pct": 46.66519170176553, "mean_exposure_while_solvent": 1.4979214421087508, "realized_annual_volatility_pct": 78.71716176292928, "trading_costs_quote_units": 63.430452725418725, "borrowing_costs_quote_units": 1727.969672945291, "price_pnl_quote_units": 17939.880174726924, "turnover_quote_units": 105717.4212090312, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20916.586659968252, "return_pct": 109.1658665996825, "cagr_pct": 108.91988641815749, "max_drawdown_pct": 25.915724692591336, "mean_exposure_while_solvent": 0.8195705443644646, "realized_annual_volatility_pct": 42.63921584459304, "trading_costs_quote_units": 320.3142743395167, "borrowing_costs_quote_units": 9.185060285482844, "price_pnl_quote_units": 11246.08599459324, "turnover_quote_units": 106771.42477983888, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20916.586659968252, "return_pct": 109.1658665996825, "cagr_pct": 108.91988641815749, "max_drawdown_pct": 25.915724692591336, "mean_exposure_while_solvent": 0.8195705443644646, "realized_annual_volatility_pct": 42.63921584459304, "trading_costs_quote_units": 320.3142743395167, "borrowing_costs_quote_units": 9.185060285482844, "price_pnl_quote_units": 11246.08599459324, "turnover_quote_units": 106771.42477983888, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27177.064969311054, "return_pct": 171.77064969311053, "cagr_pct": 171.3377393080796, "max_drawdown_pct": 37.15868440874651, "mean_exposure_while_solvent": 1.2107829444319875, "realized_annual_volatility_pct": 62.962577485702575, "trading_costs_quote_units": 488.4735293072134, "borrowing_costs_quote_units": 186.79814289333262, "price_pnl_quote_units": 17852.33664151163, "turnover_quote_units": 162824.50976907107, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27177.064969311054, "return_pct": 171.77064969311053, "cagr_pct": 171.3377393080796, "max_drawdown_pct": 37.15868440874651, "mean_exposure_while_solvent": 1.2107829444319875, "realized_annual_volatility_pct": 62.962577485702575, "trading_costs_quote_units": 488.4735293072134, "borrowing_costs_quote_units": 186.79814289333262, "price_pnl_quote_units": 17852.33664151163, "turnover_quote_units": 162824.50976907107, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28132.934289613833, "return_pct": 181.32934289613831, "cagr_pct": 180.86572475025164, "max_drawdown_pct": 44.20498914870432, "mean_exposure_while_solvent": 1.4293907258930136, "realized_annual_volatility_pct": 74.70619333607218, "trading_costs_quote_units": 419.98330060462587, "borrowing_costs_quote_units": 385.9590465091112, "price_pnl_quote_units": 18938.876636727597, "turnover_quote_units": 139994.4335348753, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28132.934289613833, "return_pct": 181.32934289613831, "cagr_pct": 180.86572475025164, "max_drawdown_pct": 44.20498914870432, "mean_exposure_while_solvent": 1.4293907258930136, "realized_annual_volatility_pct": 74.70619333607218, "trading_costs_quote_units": 419.98330060462587, "borrowing_costs_quote_units": 385.9590465091112, "price_pnl_quote_units": 18938.876636727597, "turnover_quote_units": 139994.4335348753, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23989.404817870316, "return_pct": 139.89404817870317, "cagr_pct": 139.55956707192087, "max_drawdown_pct": 41.46889884296694, "mean_exposure_while_solvent": 1.2161160918036817, "realized_annual_volatility_pct": 62.671187620132386, "trading_costs_quote_units": 684.7105166088012, "borrowing_costs_quote_units": 195.3532781348925, "price_pnl_quote_units": 14869.468612614008, "turnover_quote_units": 228236.8388696004, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23989.404817870316, "return_pct": 139.89404817870317, "cagr_pct": 139.55956707192087, "max_drawdown_pct": 41.46889884296694, "mean_exposure_while_solvent": 1.2161160918036817, "realized_annual_volatility_pct": 62.671187620132386, "trading_costs_quote_units": 684.7105166088012, "borrowing_costs_quote_units": 195.3532781348925, "price_pnl_quote_units": 14869.468612614008, "turnover_quote_units": 228236.8388696004, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26823.983263662714, "return_pct": 168.23983263662714, "cagr_pct": 167.8181310012815, "max_drawdown_pct": 39.11875173262403, "mean_exposure_while_solvent": 1.2090350657690156, "realized_annual_volatility_pct": 63.970725012216846, "trading_costs_quote_units": 309.4775407768516, "borrowing_costs_quote_units": 178.38501884951077, "price_pnl_quote_units": 17311.845823289128, "turnover_quote_units": 103159.18025895055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26823.983263662714, "return_pct": 168.23983263662714, "cagr_pct": 167.8181310012815, "max_drawdown_pct": 39.11875173262403, "mean_exposure_while_solvent": 1.2090350657690156, "realized_annual_volatility_pct": 63.970725012216846, "trading_costs_quote_units": 309.4775407768516, "borrowing_costs_quote_units": 178.38501884951077, "price_pnl_quote_units": 17311.845823289128, "turnover_quote_units": 103159.18025895055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21888.584859614897, "return_pct": 118.88584859614899, "cagr_pct": 118.61260338365192, "max_drawdown_pct": 30.556704597631235, "mean_exposure_while_solvent": 0.9844854547348109, "realized_annual_volatility_pct": 51.51328979184691, "trading_costs_quote_units": 75.97199430766952, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11964.556853922557, "turnover_quote_units": 25323.99810255651, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21888.584859614897, "return_pct": 118.88584859614899, "cagr_pct": 118.61260338365192, "max_drawdown_pct": 30.556704597631235, "mean_exposure_while_solvent": 0.9844854547348109, "realized_annual_volatility_pct": 51.51328979184691, "trading_costs_quote_units": 75.97199430766952, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11964.556853922557, "turnover_quote_units": 25323.99810255651, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26823.983263662714, "return_pct": 168.23983263662714, "cagr_pct": 167.8181310012815, "max_drawdown_pct": 39.11875173262403, "mean_exposure_while_solvent": 1.2090350657690156, "realized_annual_volatility_pct": 63.970725012216846, "trading_costs_quote_units": 309.4775407768516, "borrowing_costs_quote_units": 178.38501884951077, "price_pnl_quote_units": 17311.845823289128, "turnover_quote_units": 103159.18025895055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26823.983263662714, "return_pct": 168.23983263662714, "cagr_pct": 167.8181310012815, "max_drawdown_pct": 39.11875173262403, "mean_exposure_while_solvent": 1.2090350657690156, "realized_annual_volatility_pct": 63.970725012216846, "trading_costs_quote_units": 309.4775407768516, "borrowing_costs_quote_units": 178.38501884951077, "price_pnl_quote_units": 17311.845823289128, "turnover_quote_units": 103159.18025895055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26823.983263662714, "return_pct": 168.23983263662714, "cagr_pct": 167.8181310012815, "max_drawdown_pct": 39.11875173262403, "mean_exposure_while_solvent": 1.2090350657690156, "realized_annual_volatility_pct": 63.970725012216846, "trading_costs_quote_units": 309.4775407768516, "borrowing_costs_quote_units": 178.38501884951077, "price_pnl_quote_units": 17311.845823289128, "turnover_quote_units": 103159.18025895055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26823.983263662714, "return_pct": 168.23983263662714, "cagr_pct": 167.8181310012815, "max_drawdown_pct": 39.11875173262403, "mean_exposure_while_solvent": 1.2090350657690156, "realized_annual_volatility_pct": 63.970725012216846, "trading_costs_quote_units": 309.4775407768516, "borrowing_costs_quote_units": 178.38501884951077, "price_pnl_quote_units": 17311.845823289128, "turnover_quote_units": 103159.18025895055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18398.788593251295, "return_pct": 83.98788593251294, "cagr_pct": 83.80910233878211, "max_drawdown_pct": 22.868938092054382, "mean_exposure_while_solvent": 0.7498254324991316, "realized_annual_volatility_pct": 39.25074236289581, "trading_costs_quote_units": 79.82156726970906, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8478.610160521015, "turnover_quote_units": 26607.18908990304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18398.788593251295, "return_pct": 83.98788593251294, "cagr_pct": 83.80910233878211, "max_drawdown_pct": 22.868938092054382, "mean_exposure_while_solvent": 0.7498254324991316, "realized_annual_volatility_pct": 39.25074236289581, "trading_costs_quote_units": 79.82156726970906, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8478.610160521015, "turnover_quote_units": 26607.18908990304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21901.80765869255, "return_pct": 119.01807658692549, "cagr_pct": 118.74445566599618, "max_drawdown_pct": 30.160442748151826, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 52.36294097848937, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11931.71792788496, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21901.80765869255, "return_pct": 119.01807658692549, "cagr_pct": 118.74445566599618, "max_drawdown_pct": 30.160442748151826, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 52.36294097848937, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11931.71792788496, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25034.068618466263, "return_pct": 150.34068618466262, "cagr_pct": 149.97464872190912, "max_drawdown_pct": 37.842928363011275, "mean_exposure_while_solvent": 1.2492155378593697, "realized_annual_volatility_pct": 65.50568672385329, "trading_costs_quote_units": 151.53640397841008, "borrowing_costs_quote_units": 209.36924804517665, "price_pnl_quote_units": 15394.974270489867, "turnover_quote_units": 50512.13465947005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25034.068618466263, "return_pct": 150.34068618466262, "cagr_pct": 149.97464872190912, "max_drawdown_pct": 37.842928363011275, "mean_exposure_while_solvent": 1.2492155378593697, "realized_annual_volatility_pct": 65.50568672385329, "trading_costs_quote_units": 151.53640397841008, "borrowing_costs_quote_units": 209.36924804517665, "price_pnl_quote_units": 15394.974270489867, "turnover_quote_units": 50512.13465947005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28050.065515934857, "return_pct": 180.50065515934855, "cagr_pct": 180.03971990438495, "max_drawdown_pct": 45.17298194405802, "mean_exposure_while_solvent": 1.4988545437471945, "realized_annual_volatility_pct": 78.68467633200206, "trading_costs_quote_units": 338.52105382373736, "borrowing_costs_quote_units": 448.99376869794287, "price_pnl_quote_units": 18837.580338456573, "turnover_quote_units": 112840.35127457902, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28050.065515934857, "return_pct": 180.50065515934855, "cagr_pct": 180.03971990438495, "max_drawdown_pct": 45.17298194405802, "mean_exposure_while_solvent": 1.4988545437471945, "realized_annual_volatility_pct": 78.68467633200206, "trading_costs_quote_units": 338.52105382373736, "borrowing_costs_quote_units": 448.99376869794287, "price_pnl_quote_units": 18837.580338456573, "turnover_quote_units": 112840.35127457902, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20903.996227427575, "return_pct": 109.03996227427575, "cagr_pct": 108.7943306191586, "max_drawdown_pct": 25.923492468533983, "mean_exposure_while_solvent": 0.8195713345855516, "realized_annual_volatility_pct": 42.639213074637986, "trading_costs_quote_units": 320.2505463307176, "borrowing_costs_quote_units": 18.36565289425763, "price_pnl_quote_units": 11242.612426652553, "turnover_quote_units": 106750.18211023929, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 20903.996227427575, "return_pct": 109.03996227427575, "cagr_pct": 108.7943306191586, "max_drawdown_pct": 25.923492468533983, "mean_exposure_while_solvent": 0.8195713345855516, "realized_annual_volatility_pct": 42.639213074637986, "trading_costs_quote_units": 320.2505463307176, "borrowing_costs_quote_units": 18.36565289425763, "price_pnl_quote_units": 11242.612426652553, "turnover_quote_units": 106750.18211023929, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26871.480695634345, "return_pct": 168.71480695634347, "cagr_pct": 168.2916017710885, "max_drawdown_pct": 37.407391485280215, "mean_exposure_while_solvent": 1.2108006738781547, "realized_annual_volatility_pct": 62.963413397236614, "trading_costs_quote_units": 485.608799448978, "borrowing_costs_quote_units": 371.26525561500716, "price_pnl_quote_units": 17728.354750698298, "turnover_quote_units": 161869.59981632585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26871.480695634345, "return_pct": 168.71480695634347, "cagr_pct": 168.2916017710885, "max_drawdown_pct": 37.407391485280215, "mean_exposure_while_solvent": 1.2108006738781547, "realized_annual_volatility_pct": 62.963413397236614, "trading_costs_quote_units": 485.608799448978, "borrowing_costs_quote_units": 371.26525561500716, "price_pnl_quote_units": 17728.354750698298, "turnover_quote_units": 161869.59981632585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27534.578199736523, "return_pct": 175.3457819973652, "cagr_pct": 174.90144789376848, "max_drawdown_pct": 44.66346762670162, "mean_exposure_while_solvent": 1.4294264526281615, "realized_annual_volatility_pct": 74.70881120215216, "trading_costs_quote_units": 415.50382802447893, "borrowing_costs_quote_units": 762.6440707536733, "price_pnl_quote_units": 18712.726098514617, "turnover_quote_units": 138501.27600815968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27534.578199736523, "return_pct": 175.3457819973652, "cagr_pct": 174.90144789376848, "max_drawdown_pct": 44.66346762670162, "mean_exposure_while_solvent": 1.4294264526281615, "realized_annual_volatility_pct": 74.70881120215216, "trading_costs_quote_units": 415.50382802447893, "borrowing_costs_quote_units": 762.6440707536733, "price_pnl_quote_units": 18712.726098514617, "turnover_quote_units": 138501.27600815968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23699.12807185199, "return_pct": 136.9912807185199, "cagr_pct": 136.66544097406853, "max_drawdown_pct": 41.727049596537015, "mean_exposure_while_solvent": 1.216135381011467, "realized_annual_volatility_pct": 62.67251537217725, "trading_costs_quote_units": 680.4532719639985, "borrowing_costs_quote_units": 388.1807370385322, "price_pnl_quote_units": 14767.762080854505, "turnover_quote_units": 226817.75732133302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23699.12807185199, "return_pct": 136.9912807185199, "cagr_pct": 136.66544097406853, "max_drawdown_pct": 41.727049596537015, "mean_exposure_while_solvent": 1.216135381011467, "realized_annual_volatility_pct": 62.67251537217725, "trading_costs_quote_units": 680.4532719639985, "borrowing_costs_quote_units": 388.1807370385322, "price_pnl_quote_units": 14767.762080854505, "turnover_quote_units": 226817.75732133302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26540.575517760833, "return_pct": 165.40575517760834, "cagr_pct": 164.99299705844348, "max_drawdown_pct": 39.32658038887429, "mean_exposure_while_solvent": 1.2090512554400301, "realized_annual_volatility_pct": 63.97167196916664, "trading_costs_quote_units": 307.8031647177974, "borrowing_costs_quote_units": 354.6125622780883, "price_pnl_quote_units": 17202.991244756697, "turnover_quote_units": 102601.05490593253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26540.575517760833, "return_pct": 165.40575517760834, "cagr_pct": 164.99299705844348, "max_drawdown_pct": 39.32658038887429, "mean_exposure_while_solvent": 1.2090512554400301, "realized_annual_volatility_pct": 63.97167196916664, "trading_costs_quote_units": 307.8031647177974, "borrowing_costs_quote_units": 354.6125622780883, "price_pnl_quote_units": 17202.991244756697, "turnover_quote_units": 102601.05490593253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21888.584859614897, "return_pct": 118.88584859614899, "cagr_pct": 118.61260338365192, "max_drawdown_pct": 30.556704597631235, "mean_exposure_while_solvent": 0.9844854547348109, "realized_annual_volatility_pct": 51.51328979184691, "trading_costs_quote_units": 75.97199430766952, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11964.556853922557, "turnover_quote_units": 25323.99810255651, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21888.584859614897, "return_pct": 118.88584859614899, "cagr_pct": 118.61260338365192, "max_drawdown_pct": 30.556704597631235, "mean_exposure_while_solvent": 0.9844854547348109, "realized_annual_volatility_pct": 51.51328979184691, "trading_costs_quote_units": 75.97199430766952, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11964.556853922557, "turnover_quote_units": 25323.99810255651, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26540.575517760833, "return_pct": 165.40575517760834, "cagr_pct": 164.99299705844348, "max_drawdown_pct": 39.32658038887429, "mean_exposure_while_solvent": 1.2090512554400301, "realized_annual_volatility_pct": 63.97167196916664, "trading_costs_quote_units": 307.8031647177974, "borrowing_costs_quote_units": 354.6125622780883, "price_pnl_quote_units": 17202.991244756697, "turnover_quote_units": 102601.05490593253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26540.575517760833, "return_pct": 165.40575517760834, "cagr_pct": 164.99299705844348, "max_drawdown_pct": 39.32658038887429, "mean_exposure_while_solvent": 1.2090512554400301, "realized_annual_volatility_pct": 63.97167196916664, "trading_costs_quote_units": 307.8031647177974, "borrowing_costs_quote_units": 354.6125622780883, "price_pnl_quote_units": 17202.991244756697, "turnover_quote_units": 102601.05490593253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26540.575517760833, "return_pct": 165.40575517760834, "cagr_pct": 164.99299705844348, "max_drawdown_pct": 39.32658038887429, "mean_exposure_while_solvent": 1.2090512554400301, "realized_annual_volatility_pct": 63.97167196916664, "trading_costs_quote_units": 307.8031647177974, "borrowing_costs_quote_units": 354.6125622780883, "price_pnl_quote_units": 17202.991244756697, "turnover_quote_units": 102601.05490593253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26540.575517760833, "return_pct": 165.40575517760834, "cagr_pct": 164.99299705844348, "max_drawdown_pct": 39.32658038887429, "mean_exposure_while_solvent": 1.2090512554400301, "realized_annual_volatility_pct": 63.97167196916664, "trading_costs_quote_units": 307.8031647177974, "borrowing_costs_quote_units": 354.6125622780883, "price_pnl_quote_units": 17202.991244756697, "turnover_quote_units": 102601.05490593253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18398.788593251295, "return_pct": 83.98788593251294, "cagr_pct": 83.80910233878211, "max_drawdown_pct": 22.868938092054382, "mean_exposure_while_solvent": 0.7498254324991316, "realized_annual_volatility_pct": 39.25074236289581, "trading_costs_quote_units": 79.82156726970906, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8478.610160521015, "turnover_quote_units": 26607.18908990304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18398.788593251295, "return_pct": 83.98788593251294, "cagr_pct": 83.80910233878211, "max_drawdown_pct": 22.868938092054382, "mean_exposure_while_solvent": 0.7498254324991316, "realized_annual_volatility_pct": 39.25074236289581, "trading_costs_quote_units": 79.82156726970906, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8478.610160521015, "turnover_quote_units": 26607.18908990304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21901.80765869255, "return_pct": 119.01807658692549, "cagr_pct": 118.74445566599618, "max_drawdown_pct": 30.160442748151826, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 52.36294097848937, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11931.71792788496, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21901.80765869255, "return_pct": 119.01807658692549, "cagr_pct": 118.74445566599618, "max_drawdown_pct": 30.160442748151826, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 52.36294097848937, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11931.71792788496, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24723.29532188872, "return_pct": 147.2329532188872, "cagr_pct": 146.8763770958621, "max_drawdown_pct": 38.15110690267617, "mean_exposure_while_solvent": 1.2492333237104376, "realized_annual_volatility_pct": 65.50707718647463, "trading_costs_quote_units": 150.75194822749893, "borrowing_costs_quote_units": 415.88537624918627, "price_pnl_quote_units": 15289.932646365443, "turnover_quote_units": 50250.6494091663, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24723.29532188872, "return_pct": 147.2329532188872, "cagr_pct": 146.8763770958621, "max_drawdown_pct": 38.15110690267617, "mean_exposure_while_solvent": 1.2492333237104376, "realized_annual_volatility_pct": 65.50707718647463, "trading_costs_quote_units": 150.75194822749893, "borrowing_costs_quote_units": 415.88537624918627, "price_pnl_quote_units": 15289.932646365443, "turnover_quote_units": 50250.6494091663, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27357.9767220169, "return_pct": 173.579767220169, "cagr_pct": 173.14108539362093, "max_drawdown_pct": 45.715932010587146, "mean_exposure_while_solvent": 1.4988972282150756, "realized_annual_volatility_pct": 78.68802869923739, "trading_costs_quote_units": 334.5480589773101, "borrowing_costs_quote_units": 885.6365759510381, "price_pnl_quote_units": 18578.16135694526, "turnover_quote_units": 111516.01965910335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27357.9767220169, "return_pct": 173.579767220169, "cagr_pct": 173.14108539362093, "max_drawdown_pct": 45.715932010587146, "mean_exposure_while_solvent": 1.4988972282150756, "realized_annual_volatility_pct": 78.68802869923739, "trading_costs_quote_units": 334.5480589773101, "borrowing_costs_quote_units": 885.6365759510381, "price_pnl_quote_units": 18578.16135694526, "turnover_quote_units": 111516.01965910335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20878.833038170713, "return_pct": 108.78833038170713, "cagr_pct": 108.54339492871125, "max_drawdown_pct": 25.93902841783604, "mean_exposure_while_solvent": 0.8195729152316349, "realized_annual_volatility_pct": 42.63920877970023, "trading_costs_quote_units": 320.12315582775284, "borrowing_costs_quote_units": 36.71344048599778, "price_pnl_quote_units": 11235.669634484475, "turnover_quote_units": 106707.71860925086, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 20878.833038170713, "return_pct": 108.78833038170713, "cagr_pct": 108.54339492871125, "max_drawdown_pct": 25.93902841783604, "mean_exposure_while_solvent": 0.8195729152316349, "realized_annual_volatility_pct": 42.63920877970023, "trading_costs_quote_units": 320.12315582775284, "borrowing_costs_quote_units": 36.71344048599778, "price_pnl_quote_units": 11235.669634484475, "turnover_quote_units": 106707.71860925086, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26270.414983372764, "return_pct": 162.70414983372766, "cagr_pct": 162.29987241087446, "max_drawdown_pct": 37.9019785846977, "mean_exposure_while_solvent": 1.2108361394436544, "realized_annual_volatility_pct": 62.96510560610524, "trading_costs_quote_units": 479.95505260182836, "borrowing_costs_quote_units": 733.3137945595352, "price_pnl_quote_units": 17483.68383053415, "turnover_quote_units": 159985.01753394256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26270.414983372764, "return_pct": 162.70414983372766, "cagr_pct": 162.29987241087446, "max_drawdown_pct": 37.9019785846977, "mean_exposure_while_solvent": 1.2108361394436544, "realized_annual_volatility_pct": 62.96510560610524, "trading_costs_quote_units": 479.95505260182836, "borrowing_costs_quote_units": 733.3137945595352, "price_pnl_quote_units": 17483.68383053415, "turnover_quote_units": 159985.01753394256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26375.448823159488, "return_pct": 163.75448823159488, "cagr_pct": 163.34691887990678, "max_drawdown_pct": 45.56939005880174, "mean_exposure_while_solvent": 1.429497920918274, "realized_annual_volatility_pct": 74.71405455126391, "trading_costs_quote_units": 406.7607333106627, "borrowing_costs_quote_units": 1489.0221275699216, "price_pnl_quote_units": 18271.231684040096, "turnover_quote_units": 135586.91110355433, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26375.448823159488, "return_pct": 163.75448823159488, "cagr_pct": 163.34691887990678, "max_drawdown_pct": 45.56939005880174, "mean_exposure_while_solvent": 1.429497920918274, "realized_annual_volatility_pct": 74.71405455126391, "trading_costs_quote_units": 406.7607333106627, "borrowing_costs_quote_units": 1489.0221275699216, "price_pnl_quote_units": 18271.231684040096, "turnover_quote_units": 135586.91110355433, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23128.905876042852, "return_pct": 131.2890587604285, "cagr_pct": 130.98002894384516, "max_drawdown_pct": 42.24006811288798, "mean_exposure_while_solvent": 1.2161739668429692, "realized_annual_volatility_pct": 62.67519181668219, "trading_costs_quote_units": 672.0604559705139, "borrowing_costs_quote_units": 766.3810410623441, "price_pnl_quote_units": 14567.3473730757, "turnover_quote_units": 224020.15199017126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23128.905876042852, "return_pct": 131.2890587604285, "cagr_pct": 130.98002894384516, "max_drawdown_pct": 42.24006811288798, "mean_exposure_while_solvent": 1.2161739668429692, "realized_annual_volatility_pct": 62.67519181668219, "trading_costs_quote_units": 672.0604559705139, "borrowing_costs_quote_units": 766.3810410623441, "price_pnl_quote_units": 14567.3473730757, "turnover_quote_units": 224020.15199017126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25982.57606152733, "return_pct": 159.82576061527328, "cagr_pct": 159.4304702336077, "max_drawdown_pct": 39.740209357043895, "mean_exposure_while_solvent": 1.2090836405483503, "realized_annual_volatility_pct": 63.97358073110985, "trading_costs_quote_units": 304.4946840620089, "borrowing_costs_quote_units": 700.6907787718791, "price_pnl_quote_units": 16987.761524361118, "turnover_quote_units": 101498.22802066948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25982.57606152733, "return_pct": 159.82576061527328, "cagr_pct": 159.4304702336077, "max_drawdown_pct": 39.740209357043895, "mean_exposure_while_solvent": 1.2090836405483503, "realized_annual_volatility_pct": 63.97358073110985, "trading_costs_quote_units": 304.4946840620089, "borrowing_costs_quote_units": 700.6907787718791, "price_pnl_quote_units": 16987.761524361118, "turnover_quote_units": 101498.22802066948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21888.584859614897, "return_pct": 118.88584859614899, "cagr_pct": 118.61260338365192, "max_drawdown_pct": 30.556704597631235, "mean_exposure_while_solvent": 0.9844854547348109, "realized_annual_volatility_pct": 51.51328979184691, "trading_costs_quote_units": 75.97199430766952, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11964.556853922557, "turnover_quote_units": 25323.99810255651, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21888.584859614897, "return_pct": 118.88584859614899, "cagr_pct": 118.61260338365192, "max_drawdown_pct": 30.556704597631235, "mean_exposure_while_solvent": 0.9844854547348109, "realized_annual_volatility_pct": 51.51328979184691, "trading_costs_quote_units": 75.97199430766952, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11964.556853922557, "turnover_quote_units": 25323.99810255651, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25982.57606152733, "return_pct": 159.82576061527328, "cagr_pct": 159.4304702336077, "max_drawdown_pct": 39.740209357043895, "mean_exposure_while_solvent": 1.2090836405483503, "realized_annual_volatility_pct": 63.97358073110985, "trading_costs_quote_units": 304.4946840620089, "borrowing_costs_quote_units": 700.6907787718791, "price_pnl_quote_units": 16987.761524361118, "turnover_quote_units": 101498.22802066948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25982.57606152733, "return_pct": 159.82576061527328, "cagr_pct": 159.4304702336077, "max_drawdown_pct": 39.740209357043895, "mean_exposure_while_solvent": 1.2090836405483503, "realized_annual_volatility_pct": 63.97358073110985, "trading_costs_quote_units": 304.4946840620089, "borrowing_costs_quote_units": 700.6907787718791, "price_pnl_quote_units": 16987.761524361118, "turnover_quote_units": 101498.22802066948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25982.57606152733, "return_pct": 159.82576061527328, "cagr_pct": 159.4304702336077, "max_drawdown_pct": 39.740209357043895, "mean_exposure_while_solvent": 1.2090836405483503, "realized_annual_volatility_pct": 63.97358073110985, "trading_costs_quote_units": 304.4946840620089, "borrowing_costs_quote_units": 700.6907787718791, "price_pnl_quote_units": 16987.761524361118, "turnover_quote_units": 101498.22802066948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25982.57606152733, "return_pct": 159.82576061527328, "cagr_pct": 159.4304702336077, "max_drawdown_pct": 39.740209357043895, "mean_exposure_while_solvent": 1.2090836405483503, "realized_annual_volatility_pct": 63.97358073110985, "trading_costs_quote_units": 304.4946840620089, "borrowing_costs_quote_units": 700.6907787718791, "price_pnl_quote_units": 16987.761524361118, "turnover_quote_units": 101498.22802066948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18398.788593251295, "return_pct": 83.98788593251294, "cagr_pct": 83.80910233878211, "max_drawdown_pct": 22.868938092054382, "mean_exposure_while_solvent": 0.7498254324991316, "realized_annual_volatility_pct": 39.25074236289581, "trading_costs_quote_units": 79.82156726970906, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8478.610160521015, "turnover_quote_units": 26607.18908990304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18398.788593251295, "return_pct": 83.98788593251294, "cagr_pct": 83.80910233878211, "max_drawdown_pct": 22.868938092054382, "mean_exposure_while_solvent": 0.7498254324991316, "realized_annual_volatility_pct": 39.25074236289581, "trading_costs_quote_units": 79.82156726970906, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8478.610160521015, "turnover_quote_units": 26607.18908990304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21901.80765869255, "return_pct": 119.01807658692549, "cagr_pct": 118.74445566599618, "max_drawdown_pct": 30.160442748151826, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 52.36294097848937, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11931.71792788496, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21901.80765869255, "return_pct": 119.01807658692549, "cagr_pct": 118.74445566599618, "max_drawdown_pct": 30.160442748151826, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 52.36294097848937, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11931.71792788496, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24113.11625641058, "return_pct": 141.1311625641058, "cagr_pct": 140.7929816332827, "max_drawdown_pct": 38.76303179139122, "mean_exposure_while_solvent": 1.2492689008878357, "realized_annual_volatility_pct": 65.50985911978877, "trading_costs_quote_units": 149.219017705387, "borrowing_costs_quote_units": 820.5044239307081, "price_pnl_quote_units": 15082.83969804664, "turnover_quote_units": 49739.67256846234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24113.11625641058, "return_pct": 141.1311625641058, "cagr_pct": 140.7929816332827, "max_drawdown_pct": 38.76303179139122, "mean_exposure_while_solvent": 1.2492689008878357, "realized_annual_volatility_pct": 65.50985911978877, "trading_costs_quote_units": 149.219017705387, "borrowing_costs_quote_units": 820.5044239307081, "price_pnl_quote_units": 15082.83969804664, "turnover_quote_units": 49739.67256846234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26024.18692941078, "return_pct": 160.2418692941078, "cagr_pct": 159.8452828393963, "max_drawdown_pct": 46.78606357026296, "mean_exposure_while_solvent": 1.4989826156513546, "realized_annual_volatility_pct": 78.69473647101579, "trading_costs_quote_units": 326.84444274443314, "borrowing_costs_quote_units": 1723.1452353255158, "price_pnl_quote_units": 18074.17660748076, "turnover_quote_units": 108948.14758147762, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26024.18692941078, "return_pct": 160.2418692941078, "cagr_pct": 159.8452828393963, "max_drawdown_pct": 46.78606357026296, "mean_exposure_while_solvent": 1.4989826156513546, "realized_annual_volatility_pct": 78.69473647101579, "trading_costs_quote_units": 326.84444274443314, "borrowing_costs_quote_units": 1723.1452353255158, "price_pnl_quote_units": 18074.17660748076, "turnover_quote_units": 108948.14758147762, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20988.472807255614, "return_pct": 109.88472807255611, "cagr_pct": 109.63675564370318, "max_drawdown_pct": 25.940267653390304, "mean_exposure_while_solvent": 0.8187888809059098, "realized_annual_volatility_pct": 42.798022792898884, "trading_costs_quote_units": 321.76818890648644, "borrowing_costs_quote_units": 9.208112797916575, "price_pnl_quote_units": 11319.449108960032, "turnover_quote_units": 107256.06296882879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 20988.472807255614, "return_pct": 109.88472807255611, "cagr_pct": 109.63675564370318, "max_drawdown_pct": 25.940267653390304, "mean_exposure_while_solvent": 0.8187888809059098, "realized_annual_volatility_pct": 42.798022792898884, "trading_costs_quote_units": 321.76818890648644, "borrowing_costs_quote_units": 9.208112797916575, "price_pnl_quote_units": 11319.449108960032, "turnover_quote_units": 107256.06296882879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27260.112142128077, "return_pct": 172.60112142128077, "cagr_pct": 172.16556403671427, "max_drawdown_pct": 37.44979513447885, "mean_exposure_while_solvent": 1.209709003406364, "realized_annual_volatility_pct": 63.21756612983857, "trading_costs_quote_units": 494.34420110560234, "borrowing_costs_quote_units": 187.03771036548716, "price_pnl_quote_units": 17941.494053599163, "turnover_quote_units": 164781.4003685343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27260.112142128077, "return_pct": 172.60112142128077, "cagr_pct": 172.16556403671427, "max_drawdown_pct": 37.44979513447885, "mean_exposure_while_solvent": 1.209709003406364, "realized_annual_volatility_pct": 63.21756612983857, "trading_costs_quote_units": 494.34420110560234, "borrowing_costs_quote_units": 187.03771036548716, "price_pnl_quote_units": 17941.494053599163, "turnover_quote_units": 164781.4003685343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27915.64525342951, "return_pct": 179.1564525342951, "cagr_pct": 178.69986087860536, "max_drawdown_pct": 44.49050586701454, "mean_exposure_while_solvent": 1.4282013252521089, "realized_annual_volatility_pct": 74.79276813804248, "trading_costs_quote_units": 410.3963201387013, "borrowing_costs_quote_units": 383.7407625057383, "price_pnl_quote_units": 18709.782336073953, "turnover_quote_units": 136798.77337956717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27915.64525342951, "return_pct": 179.1564525342951, "cagr_pct": 178.69986087860536, "max_drawdown_pct": 44.49050586701454, "mean_exposure_while_solvent": 1.4282013252521089, "realized_annual_volatility_pct": 74.79276813804248, "trading_costs_quote_units": 410.3963201387013, "borrowing_costs_quote_units": 383.7407625057383, "price_pnl_quote_units": 18709.782336073953, "turnover_quote_units": 136798.77337956717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24440.19646020612, "return_pct": 144.4019646020612, "cagr_pct": 144.05395325155595, "max_drawdown_pct": 41.630044862720595, "mean_exposure_while_solvent": 1.2151180664246362, "realized_annual_volatility_pct": 62.92001445340467, "trading_costs_quote_units": 697.4758978203321, "borrowing_costs_quote_units": 197.5181246580946, "price_pnl_quote_units": 15335.190482684571, "turnover_quote_units": 232491.96594011082, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24440.19646020612, "return_pct": 144.4019646020612, "cagr_pct": 144.05395325155595, "max_drawdown_pct": 41.630044862720595, "mean_exposure_while_solvent": 1.2151180664246362, "realized_annual_volatility_pct": 62.92001445340467, "trading_costs_quote_units": 697.4758978203321, "borrowing_costs_quote_units": 197.5181246580946, "price_pnl_quote_units": 15335.190482684571, "turnover_quote_units": 232491.96594011082, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26815.70436993471, "return_pct": 168.1570436993471, "cagr_pct": 167.735603998896, "max_drawdown_pct": 39.17904059930446, "mean_exposure_while_solvent": 1.208098753366042, "realized_annual_volatility_pct": 64.1331497338944, "trading_costs_quote_units": 305.40505620563926, "borrowing_costs_quote_units": 178.43115417567523, "price_pnl_quote_units": 17299.540580316032, "turnover_quote_units": 101801.6854018797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26815.70436993471, "return_pct": 168.1570436993471, "cagr_pct": 167.735603998896, "max_drawdown_pct": 39.17904059930446, "mean_exposure_while_solvent": 1.208098753366042, "realized_annual_volatility_pct": 64.1331497338944, "trading_costs_quote_units": 305.40505620563926, "borrowing_costs_quote_units": 178.43115417567523, "price_pnl_quote_units": 17299.540580316032, "turnover_quote_units": 101801.6854018797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21778.349316123677, "return_pct": 117.78349316123675, "cagr_pct": 117.51337519626514, "max_drawdown_pct": 30.466840344444577, "mean_exposure_while_solvent": 0.9835517201376855, "realized_annual_volatility_pct": 51.5047088878312, "trading_costs_quote_units": 75.9888058492497, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11854.33812197294, "turnover_quote_units": 25329.601949749896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21778.349316123677, "return_pct": 117.78349316123675, "cagr_pct": 117.51337519626514, "max_drawdown_pct": 30.466840344444577, "mean_exposure_while_solvent": 0.9835517201376855, "realized_annual_volatility_pct": 51.5047088878312, "trading_costs_quote_units": 75.9888058492497, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11854.33812197294, "turnover_quote_units": 25329.601949749896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26815.70436993471, "return_pct": 168.1570436993471, "cagr_pct": 167.735603998896, "max_drawdown_pct": 39.17904059930446, "mean_exposure_while_solvent": 1.208098753366042, "realized_annual_volatility_pct": 64.1331497338944, "trading_costs_quote_units": 305.40505620563926, "borrowing_costs_quote_units": 178.43115417567523, "price_pnl_quote_units": 17299.540580316032, "turnover_quote_units": 101801.6854018797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26815.70436993471, "return_pct": 168.1570436993471, "cagr_pct": 167.735603998896, "max_drawdown_pct": 39.17904059930446, "mean_exposure_while_solvent": 1.208098753366042, "realized_annual_volatility_pct": 64.1331497338944, "trading_costs_quote_units": 305.40505620563926, "borrowing_costs_quote_units": 178.43115417567523, "price_pnl_quote_units": 17299.540580316032, "turnover_quote_units": 101801.6854018797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26815.70436993471, "return_pct": 168.1570436993471, "cagr_pct": 167.735603998896, "max_drawdown_pct": 39.17904059930446, "mean_exposure_while_solvent": 1.208098753366042, "realized_annual_volatility_pct": 64.1331497338944, "trading_costs_quote_units": 305.40505620563926, "borrowing_costs_quote_units": 178.43115417567523, "price_pnl_quote_units": 17299.540580316032, "turnover_quote_units": 101801.6854018797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26815.70436993471, "return_pct": 168.1570436993471, "cagr_pct": 167.735603998896, "max_drawdown_pct": 39.17904059930446, "mean_exposure_while_solvent": 1.208098753366042, "realized_annual_volatility_pct": 64.1331497338944, "trading_costs_quote_units": 305.40505620563926, "borrowing_costs_quote_units": 178.43115417567523, "price_pnl_quote_units": 17299.540580316032, "turnover_quote_units": 101801.6854018797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18307.4798184154, "return_pct": 83.07479818415399, "cagr_pct": 82.89835277484414, "max_drawdown_pct": 22.81345343815303, "mean_exposure_while_solvent": 0.7490793422111663, "realized_annual_volatility_pct": 39.24171911760462, "trading_costs_quote_units": 77.242008020191, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8384.7218264356, "turnover_quote_units": 25747.336006730337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18307.4798184154, "return_pct": 83.07479818415399, "cagr_pct": 82.89835277484414, "max_drawdown_pct": 22.81345343815303, "mean_exposure_while_solvent": 0.7490793422111663, "realized_annual_volatility_pct": 39.24171911760462, "trading_costs_quote_units": 77.242008020191, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8384.7218264356, "turnover_quote_units": 25747.336006730337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21747.85086241481, "return_pct": 117.4785086241481, "cagr_pct": 117.20925429807619, "max_drawdown_pct": 30.160442748151826, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 52.3608493230412, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11777.76113160723, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21747.85086241481, "return_pct": 117.4785086241481, "cagr_pct": 117.20925429807619, "max_drawdown_pct": 30.160442748151826, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 52.3608493230412, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11777.76113160723, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24808.41993987692, "return_pct": 148.08419939876921, "cagr_pct": 147.72503784134193, "max_drawdown_pct": 37.91421574354394, "mean_exposure_while_solvent": 1.2481967611536906, "realized_annual_volatility_pct": 65.51698497805162, "trading_costs_quote_units": 146.4841932203529, "borrowing_costs_quote_units": 207.73063148836803, "price_pnl_quote_units": 15162.634764585688, "turnover_quote_units": 48828.06440678436, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24808.41993987692, "return_pct": 148.08419939876921, "cagr_pct": 147.72503784134193, "max_drawdown_pct": 37.91421574354394, "mean_exposure_while_solvent": 1.2481967611536906, "realized_annual_volatility_pct": 65.51698497805162, "trading_costs_quote_units": 146.4841932203529, "borrowing_costs_quote_units": 207.73063148836803, "price_pnl_quote_units": 15162.634764585688, "turnover_quote_units": 48828.06440678436, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27728.642704991176, "return_pct": 177.28642704991177, "cagr_pct": 176.83586099326018, "max_drawdown_pct": 45.33991610708037, "mean_exposure_while_solvent": 1.4977934539027002, "realized_annual_volatility_pct": 78.71563353246113, "trading_costs_quote_units": 325.84298493243926, "borrowing_costs_quote_units": 445.43772133072935, "price_pnl_quote_units": 18499.923411254425, "turnover_quote_units": 108614.32831081307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27728.642704991176, "return_pct": 177.28642704991177, "cagr_pct": 176.83586099326018, "max_drawdown_pct": 45.33991610708037, "mean_exposure_while_solvent": 1.4977934539027002, "realized_annual_volatility_pct": 78.71563353246113, "trading_costs_quote_units": 325.84298493243926, "borrowing_costs_quote_units": 445.43772133072935, "price_pnl_quote_units": 18499.923411254425, "turnover_quote_units": 108614.32831081307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20975.8419732655, "return_pct": 109.75841973265497, "cagr_pct": 109.51079763769033, "max_drawdown_pct": 25.948035965928064, "mean_exposure_while_solvent": 0.8187896683602477, "realized_annual_volatility_pct": 42.7979894510178, "trading_costs_quote_units": 321.703624462436, "borrowing_costs_quote_units": 18.411740125938014, "price_pnl_quote_units": 11315.957337853879, "turnover_quote_units": 107234.54148747874, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20975.8419732655, "return_pct": 109.75841973265497, "cagr_pct": 109.51079763769033, "max_drawdown_pct": 25.948035965928064, "mean_exposure_while_solvent": 0.8187896683602477, "realized_annual_volatility_pct": 42.7979894510178, "trading_costs_quote_units": 321.703624462436, "borrowing_costs_quote_units": 18.411740125938014, "price_pnl_quote_units": 11315.957337853879, "turnover_quote_units": 107234.54148747874, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26953.706761373152, "return_pct": 169.5370676137315, "cagr_pct": 169.11125637661738, "max_drawdown_pct": 37.69687086149184, "mean_exposure_while_solvent": 1.209726721363689, "realized_annual_volatility_pct": 63.21807994377547, "trading_costs_quote_units": 491.48367667002486, "borrowing_costs_quote_units": 371.73788994218364, "price_pnl_quote_units": 17816.928327985337, "turnover_quote_units": 163827.89222334154, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26953.706761373152, "return_pct": 169.5370676137315, "cagr_pct": 169.11125637661738, "max_drawdown_pct": 37.69687086149184, "mean_exposure_while_solvent": 1.209726721363689, "realized_annual_volatility_pct": 63.21807994377547, "trading_costs_quote_units": 491.48367667002486, "borrowing_costs_quote_units": 371.73788994218364, "price_pnl_quote_units": 17816.928327985337, "turnover_quote_units": 163827.89222334154, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27322.598612766487, "return_pct": 173.22598612766487, "cagr_pct": 172.78843443214075, "max_drawdown_pct": 44.94640666976909, "mean_exposure_while_solvent": 1.4282370087080234, "realized_annual_volatility_pct": 74.79480579339518, "trading_costs_quote_units": 405.9584650664635, "borrowing_costs_quote_units": 758.2806430570345, "price_pnl_quote_units": 18486.83772089, "turnover_quote_units": 135319.48835548788, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27322.598612766487, "return_pct": 173.22598612766487, "cagr_pct": 172.78843443214075, "max_drawdown_pct": 44.94640666976909, "mean_exposure_while_solvent": 1.4282370087080234, "realized_annual_volatility_pct": 74.79480579339518, "trading_costs_quote_units": 405.9584650664635, "borrowing_costs_quote_units": 758.2806430570345, "price_pnl_quote_units": 18486.83772089, "turnover_quote_units": 135319.48835548788, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24144.568896503853, "return_pct": 141.44568896503853, "cagr_pct": 141.10656577281713, "max_drawdown_pct": 41.88733453188978, "mean_exposure_while_solvent": 1.215137348176516, "realized_annual_volatility_pct": 62.92090557638274, "trading_costs_quote_units": 693.156629223012, "borrowing_costs_quote_units": 392.48017517131194, "price_pnl_quote_units": 15230.205700898145, "turnover_quote_units": 231052.20974100402, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24144.568896503853, "return_pct": 141.44568896503853, "cagr_pct": 141.10656577281713, "max_drawdown_pct": 41.88733453188978, "mean_exposure_while_solvent": 1.215137348176516, "realized_annual_volatility_pct": 62.92090557638274, "trading_costs_quote_units": 693.156629223012, "borrowing_costs_quote_units": 392.48017517131194, "price_pnl_quote_units": 15230.205700898145, "turnover_quote_units": 231052.20974100402, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26532.459091478377, "return_pct": 165.32459091478376, "cagr_pct": 164.9120882200988, "max_drawdown_pct": 39.38645814673697, "mean_exposure_while_solvent": 1.2081149429399403, "realized_annual_volatility_pct": 64.13374341669311, "trading_costs_quote_units": 303.80160086679336, "borrowing_costs_quote_units": 354.7030596700385, "price_pnl_quote_units": 17190.963752015225, "turnover_quote_units": 101267.20028893108, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26532.459091478377, "return_pct": 165.32459091478376, "cagr_pct": 164.9120882200988, "max_drawdown_pct": 39.38645814673697, "mean_exposure_while_solvent": 1.2081149429399403, "realized_annual_volatility_pct": 64.13374341669311, "trading_costs_quote_units": 303.80160086679336, "borrowing_costs_quote_units": 354.7030596700385, "price_pnl_quote_units": 17190.963752015225, "turnover_quote_units": 101267.20028893108, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21778.349316123677, "return_pct": 117.78349316123675, "cagr_pct": 117.51337519626514, "max_drawdown_pct": 30.466840344444577, "mean_exposure_while_solvent": 0.9835517201376855, "realized_annual_volatility_pct": 51.5047088878312, "trading_costs_quote_units": 75.9888058492497, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11854.33812197294, "turnover_quote_units": 25329.601949749896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21778.349316123677, "return_pct": 117.78349316123675, "cagr_pct": 117.51337519626514, "max_drawdown_pct": 30.466840344444577, "mean_exposure_while_solvent": 0.9835517201376855, "realized_annual_volatility_pct": 51.5047088878312, "trading_costs_quote_units": 75.9888058492497, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11854.33812197294, "turnover_quote_units": 25329.601949749896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26532.459091478377, "return_pct": 165.32459091478376, "cagr_pct": 164.9120882200988, "max_drawdown_pct": 39.38645814673697, "mean_exposure_while_solvent": 1.2081149429399403, "realized_annual_volatility_pct": 64.13374341669311, "trading_costs_quote_units": 303.80160086679336, "borrowing_costs_quote_units": 354.7030596700385, "price_pnl_quote_units": 17190.963752015225, "turnover_quote_units": 101267.20028893108, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26532.459091478377, "return_pct": 165.32459091478376, "cagr_pct": 164.9120882200988, "max_drawdown_pct": 39.38645814673697, "mean_exposure_while_solvent": 1.2081149429399403, "realized_annual_volatility_pct": 64.13374341669311, "trading_costs_quote_units": 303.80160086679336, "borrowing_costs_quote_units": 354.7030596700385, "price_pnl_quote_units": 17190.963752015225, "turnover_quote_units": 101267.20028893108, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26532.459091478377, "return_pct": 165.32459091478376, "cagr_pct": 164.9120882200988, "max_drawdown_pct": 39.38645814673697, "mean_exposure_while_solvent": 1.2081149429399403, "realized_annual_volatility_pct": 64.13374341669311, "trading_costs_quote_units": 303.80160086679336, "borrowing_costs_quote_units": 354.7030596700385, "price_pnl_quote_units": 17190.963752015225, "turnover_quote_units": 101267.20028893108, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26532.459091478377, "return_pct": 165.32459091478376, "cagr_pct": 164.9120882200988, "max_drawdown_pct": 39.38645814673697, "mean_exposure_while_solvent": 1.2081149429399403, "realized_annual_volatility_pct": 64.13374341669311, "trading_costs_quote_units": 303.80160086679336, "borrowing_costs_quote_units": 354.7030596700385, "price_pnl_quote_units": 17190.963752015225, "turnover_quote_units": 101267.20028893108, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18307.4798184154, "return_pct": 83.07479818415399, "cagr_pct": 82.89835277484414, "max_drawdown_pct": 22.81345343815303, "mean_exposure_while_solvent": 0.7490793422111663, "realized_annual_volatility_pct": 39.24171911760462, "trading_costs_quote_units": 77.242008020191, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8384.7218264356, "turnover_quote_units": 25747.336006730337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18307.4798184154, "return_pct": 83.07479818415399, "cagr_pct": 82.89835277484414, "max_drawdown_pct": 22.81345343815303, "mean_exposure_while_solvent": 0.7490793422111663, "realized_annual_volatility_pct": 39.24171911760462, "trading_costs_quote_units": 77.242008020191, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8384.7218264356, "turnover_quote_units": 25747.336006730337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21747.85086241481, "return_pct": 117.4785086241481, "cagr_pct": 117.20925429807619, "max_drawdown_pct": 30.160442748151826, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 52.3608493230412, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11777.76113160723, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21747.85086241481, "return_pct": 117.4785086241481, "cagr_pct": 117.20925429807619, "max_drawdown_pct": 30.160442748151826, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 52.3608493230412, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11777.76113160723, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24500.787636717276, "return_pct": 145.00787636717277, "cagr_pct": 144.65803627696218, "max_drawdown_pct": 38.222068805638145, "mean_exposure_while_solvent": 1.248214529999747, "realized_annual_volatility_pct": 65.5180837489747, "trading_costs_quote_units": 145.6693226181564, "borrowing_costs_quote_units": 412.6361741941003, "price_pnl_quote_units": 15059.093133529595, "turnover_quote_units": 48556.44087271878, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24500.787636717276, "return_pct": 145.00787636717277, "cagr_pct": 144.65803627696218, "max_drawdown_pct": 38.222068805638145, "mean_exposure_while_solvent": 1.248214529999747, "realized_annual_volatility_pct": 65.5180837489747, "trading_costs_quote_units": 145.6693226181564, "borrowing_costs_quote_units": 412.6361741941003, "price_pnl_quote_units": 15059.093133529595, "turnover_quote_units": 48556.44087271878, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27045.254726442086, "return_pct": 170.45254726442084, "cagr_pct": 170.02382983937858, "max_drawdown_pct": 45.88129287599572, "mean_exposure_while_solvent": 1.4978361104753584, "realized_annual_volatility_pct": 78.71829161864143, "trading_costs_quote_units": 321.8266965423997, "borrowing_costs_quote_units": 878.6518599865426, "price_pnl_quote_units": 18245.733282970992, "turnover_quote_units": 107275.56551413327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27045.254726442086, "return_pct": 170.45254726442084, "cagr_pct": 170.02382983937858, "max_drawdown_pct": 45.88129287599572, "mean_exposure_while_solvent": 1.4978361104753584, "realized_annual_volatility_pct": 78.71829161864143, "trading_costs_quote_units": 321.8266965423997, "borrowing_costs_quote_units": 878.6518599865426, "price_pnl_quote_units": 18245.733282970992, "turnover_quote_units": 107275.56551413327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20950.598033086775, "return_pct": 109.50598033086774, "cagr_pct": 109.25905804950382, "max_drawdown_pct": 25.96357298721408, "mean_exposure_while_solvent": 0.8187912434717697, "realized_annual_volatility_pct": 42.797924031358406, "trading_costs_quote_units": 321.57456219268886, "borrowing_costs_quote_units": 36.80554379619105, "price_pnl_quote_units": 11308.978139075649, "turnover_quote_units": 107191.52073089624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20950.598033086775, "return_pct": 109.50598033086774, "cagr_pct": 109.25905804950382, "max_drawdown_pct": 25.96357298721408, "mean_exposure_while_solvent": 0.8187912434717697, "realized_annual_volatility_pct": 42.797924031358406, "trading_costs_quote_units": 321.57456219268886, "borrowing_costs_quote_units": 36.80554379619105, "price_pnl_quote_units": 11308.978139075649, "turnover_quote_units": 107191.52073089624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26351.041591151887, "return_pct": 163.51041591151886, "cagr_pct": 163.10361211553763, "max_drawdown_pct": 38.1882197245655, "mean_exposure_while_solvent": 1.2097621639492073, "realized_annual_volatility_pct": 63.219126190417896, "trading_costs_quote_units": 485.83070987376544, "borrowing_costs_quote_units": 734.2339022813806, "price_pnl_quote_units": 17571.106203307045, "turnover_quote_units": 161943.5699579218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26351.041591151887, "return_pct": 163.51041591151886, "cagr_pct": 163.10361211553763, "max_drawdown_pct": 38.1882197245655, "mean_exposure_while_solvent": 1.2097621639492073, "realized_annual_volatility_pct": 63.219126190417896, "trading_costs_quote_units": 485.83070987376544, "borrowing_costs_quote_units": 734.2339022813806, "price_pnl_quote_units": 17571.106203307045, "turnover_quote_units": 161943.5699579218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26173.68359916137, "return_pct": 161.73683599161367, "cagr_pct": 161.33558438137135, "max_drawdown_pct": 45.84732778065565, "mean_exposure_while_solvent": 1.4283083904190517, "realized_annual_volatility_pct": 74.79888854492523, "trading_costs_quote_units": 397.3208558058399, "borrowing_costs_quote_units": 1480.5782369127928, "price_pnl_quote_units": 18051.582691880067, "turnover_quote_units": 132440.2852686133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26173.68359916137, "return_pct": 161.73683599161367, "cagr_pct": 161.33558438137135, "max_drawdown_pct": 45.84732778065565, "mean_exposure_while_solvent": 1.4283083904190517, "realized_annual_volatility_pct": 74.79888854492523, "trading_costs_quote_units": 397.3208558058399, "borrowing_costs_quote_units": 1480.5782369127928, "price_pnl_quote_units": 18051.582691880067, "turnover_quote_units": 132440.2852686133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23563.83981309242, "return_pct": 135.6383981309242, "cagr_pct": 135.31656656644432, "max_drawdown_pct": 42.39867893968599, "mean_exposure_while_solvent": 1.2151759190933105, "realized_annual_volatility_pct": 62.92270768919833, "trading_costs_quote_units": 684.6387212682489, "borrowing_costs_quote_units": 774.8601936728944, "price_pnl_quote_units": 15023.338728033576, "turnover_quote_units": 228212.90708941664, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23563.83981309242, "return_pct": 135.6383981309242, "cagr_pct": 135.31656656644432, "max_drawdown_pct": 42.39867893968599, "mean_exposure_while_solvent": 1.2151759190933105, "realized_annual_volatility_pct": 62.92270768919833, "trading_costs_quote_units": 684.6387212682489, "borrowing_costs_quote_units": 774.8601936728944, "price_pnl_quote_units": 15023.338728033576, "turnover_quote_units": 228212.90708941664, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25974.76363656767, "return_pct": 159.74763636567667, "cagr_pct": 159.35258920318495, "max_drawdown_pct": 39.79927132233635, "mean_exposure_while_solvent": 1.2081473278567394, "realized_annual_volatility_pct": 64.13494584348918, "trading_costs_quote_units": 300.6368512719261, "borrowing_costs_quote_units": 700.8643643200585, "price_pnl_quote_units": 16976.264852159675, "turnover_quote_units": 100212.2837573088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25974.76363656767, "return_pct": 159.74763636567667, "cagr_pct": 159.35258920318495, "max_drawdown_pct": 39.79927132233635, "mean_exposure_while_solvent": 1.2081473278567394, "realized_annual_volatility_pct": 64.13494584348918, "trading_costs_quote_units": 300.6368512719261, "borrowing_costs_quote_units": 700.8643643200585, "price_pnl_quote_units": 16976.264852159675, "turnover_quote_units": 100212.2837573088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21778.349316123677, "return_pct": 117.78349316123675, "cagr_pct": 117.51337519626514, "max_drawdown_pct": 30.466840344444577, "mean_exposure_while_solvent": 0.9835517201376855, "realized_annual_volatility_pct": 51.5047088878312, "trading_costs_quote_units": 75.9888058492497, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11854.33812197294, "turnover_quote_units": 25329.601949749896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21778.349316123677, "return_pct": 117.78349316123675, "cagr_pct": 117.51337519626514, "max_drawdown_pct": 30.466840344444577, "mean_exposure_while_solvent": 0.9835517201376855, "realized_annual_volatility_pct": 51.5047088878312, "trading_costs_quote_units": 75.9888058492497, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11854.33812197294, "turnover_quote_units": 25329.601949749896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 69, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25974.76363656767, "return_pct": 159.74763636567667, "cagr_pct": 159.35258920318495, "max_drawdown_pct": 39.79927132233635, "mean_exposure_while_solvent": 1.2081473278567394, "realized_annual_volatility_pct": 64.13494584348918, "trading_costs_quote_units": 300.6368512719261, "borrowing_costs_quote_units": 700.8643643200585, "price_pnl_quote_units": 16976.264852159675, "turnover_quote_units": 100212.2837573088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25974.76363656767, "return_pct": 159.74763636567667, "cagr_pct": 159.35258920318495, "max_drawdown_pct": 39.79927132233635, "mean_exposure_while_solvent": 1.2081473278567394, "realized_annual_volatility_pct": 64.13494584348918, "trading_costs_quote_units": 300.6368512719261, "borrowing_costs_quote_units": 700.8643643200585, "price_pnl_quote_units": 16976.264852159675, "turnover_quote_units": 100212.2837573088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25974.76363656767, "return_pct": 159.74763636567667, "cagr_pct": 159.35258920318495, "max_drawdown_pct": 39.79927132233635, "mean_exposure_while_solvent": 1.2081473278567394, "realized_annual_volatility_pct": 64.13494584348918, "trading_costs_quote_units": 300.6368512719261, "borrowing_costs_quote_units": 700.8643643200585, "price_pnl_quote_units": 16976.264852159675, "turnover_quote_units": 100212.2837573088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25974.76363656767, "return_pct": 159.74763636567667, "cagr_pct": 159.35258920318495, "max_drawdown_pct": 39.79927132233635, "mean_exposure_while_solvent": 1.2081473278567394, "realized_annual_volatility_pct": 64.13494584348918, "trading_costs_quote_units": 300.6368512719261, "borrowing_costs_quote_units": 700.8643643200585, "price_pnl_quote_units": 16976.264852159675, "turnover_quote_units": 100212.2837573088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 18307.4798184154, "return_pct": 83.07479818415399, "cagr_pct": 82.89835277484414, "max_drawdown_pct": 22.81345343815303, "mean_exposure_while_solvent": 0.7490793422111663, "realized_annual_volatility_pct": 39.24171911760462, "trading_costs_quote_units": 77.242008020191, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8384.7218264356, "turnover_quote_units": 25747.336006730337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 18307.4798184154, "return_pct": 83.07479818415399, "cagr_pct": 82.89835277484414, "max_drawdown_pct": 22.81345343815303, "mean_exposure_while_solvent": 0.7490793422111663, "realized_annual_volatility_pct": 39.24171911760462, "trading_costs_quote_units": 77.242008020191, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8384.7218264356, "turnover_quote_units": 25747.336006730337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21747.85086241481, "return_pct": 117.4785086241481, "cagr_pct": 117.20925429807619, "max_drawdown_pct": 30.160442748151826, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 52.3608493230412, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11777.76113160723, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21747.85086241481, "return_pct": 117.4785086241481, "cagr_pct": 117.20925429807619, "max_drawdown_pct": 30.160442748151826, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 52.3608493230412, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11777.76113160723, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23896.757908249077, "return_pct": 138.96757908249077, "cagr_pct": 138.635862117375, "max_drawdown_pct": 38.83337289894754, "mean_exposure_while_solvent": 1.2482500731604997, "realized_annual_volatility_pct": 65.52028178992056, "trading_costs_quote_units": 144.08687010557654, "borrowing_costs_quote_units": 814.1163985905793, "price_pnl_quote_units": 14854.96117694524, "turnover_quote_units": 48028.95670185881, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23896.757908249077, "return_pct": 138.96757908249077, "cagr_pct": 138.635862117375, "max_drawdown_pct": 38.83337289894754, "mean_exposure_while_solvent": 1.2482500731604997, "realized_annual_volatility_pct": 65.52028178992056, "trading_costs_quote_units": 144.08687010557654, "borrowing_costs_quote_units": 814.1163985905793, "price_pnl_quote_units": 14854.96117694524, "turnover_quote_units": 48028.95670185881, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25728.163583925914, "return_pct": 157.28163583925917, "cagr_pct": 156.8942466606988, "max_drawdown_pct": 46.94837512265717, "mean_exposure_while_solvent": 1.4979214421087508, "realized_annual_volatility_pct": 78.72360952123726, "trading_costs_quote_units": 314.07300731416615, "borrowing_costs_quote_units": 1709.6694408189094, "price_pnl_quote_units": 17751.906032059025, "turnover_quote_units": 104691.00243805534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25728.163583925914, "return_pct": 157.28163583925917, "cagr_pct": 156.8942466606988, "max_drawdown_pct": 46.94837512265717, "mean_exposure_while_solvent": 1.4979214421087508, "realized_annual_volatility_pct": 78.72360952123726, "trading_costs_quote_units": 314.07300731416615, "borrowing_costs_quote_units": 1709.6694408189094, "price_pnl_quote_units": 17751.906032059025, "turnover_quote_units": 104691.00243805534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21440.293512935987, "return_pct": 114.40293512935989, "cagr_pct": 114.14235187737103, "max_drawdown_pct": 25.91443019203249, "mean_exposure_while_solvent": 0.8268193289142086, "realized_annual_volatility_pct": 42.647404448310624, "trading_costs_quote_units": 65.3807958824545, "borrowing_costs_quote_units": 10.418823139676956, "price_pnl_quote_units": 11516.093131958112, "turnover_quote_units": 108967.99313742413, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21440.293512935987, "return_pct": 114.40293512935989, "cagr_pct": 114.14235187737103, "max_drawdown_pct": 25.91443019203249, "mean_exposure_while_solvent": 0.8268193289142086, "realized_annual_volatility_pct": 42.647404448310624, "trading_costs_quote_units": 65.3807958824545, "borrowing_costs_quote_units": 10.418823139676956, "price_pnl_quote_units": 11516.093131958112, "turnover_quote_units": 108967.99313742413, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28059.23875812718, "return_pct": 180.5923875812718, "cagr_pct": 180.1311555323168, "max_drawdown_pct": 36.56681520641983, "mean_exposure_while_solvent": 1.2194995133764206, "realized_annual_volatility_pct": 62.88306169239474, "trading_costs_quote_units": 99.32042452369288, "borrowing_costs_quote_units": 197.53203093000707, "price_pnl_quote_units": 18356.09121358084, "turnover_quote_units": 165534.04087282156, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28059.23875812718, "return_pct": 180.5923875812718, "cagr_pct": 180.1311555323168, "max_drawdown_pct": 36.56681520641983, "mean_exposure_while_solvent": 1.2194995133764206, "realized_annual_volatility_pct": 62.88306169239474, "trading_costs_quote_units": 99.32042452369288, "borrowing_costs_quote_units": 197.53203093000707, "price_pnl_quote_units": 18356.09121358084, "turnover_quote_units": 165534.04087282156, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28893.10112751901, "return_pct": 188.93101127519012, "cagr_pct": 188.44260300836484, "max_drawdown_pct": 43.685709505977535, "mean_exposure_while_solvent": 1.4341910237636968, "realized_annual_volatility_pct": 74.29936123381854, "trading_costs_quote_units": 84.15103601192149, "borrowing_costs_quote_units": 396.72631789513827, "price_pnl_quote_units": 19373.978481426093, "turnover_quote_units": 140251.7266865357, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28893.10112751901, "return_pct": 188.93101127519012, "cagr_pct": 188.44260300836484, "max_drawdown_pct": 43.685709505977535, "mean_exposure_while_solvent": 1.4341910237636968, "realized_annual_volatility_pct": 74.29936123381854, "trading_costs_quote_units": 84.15103601192149, "borrowing_costs_quote_units": 396.72631789513827, "price_pnl_quote_units": 19373.978481426093, "turnover_quote_units": 140251.7266865357, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24957.426068899204, "return_pct": 149.57426068899204, "cagr_pct": 149.2105622978245, "max_drawdown_pct": 41.20887254643861, "mean_exposure_while_solvent": 1.2241411074373247, "realized_annual_volatility_pct": 62.60322437045323, "trading_costs_quote_units": 139.3758884594862, "borrowing_costs_quote_units": 205.44082657971555, "price_pnl_quote_units": 15302.242783938455, "turnover_quote_units": 232293.14743247704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24957.426068899204, "return_pct": 149.57426068899204, "cagr_pct": 149.2105622978245, "max_drawdown_pct": 41.20887254643861, "mean_exposure_while_solvent": 1.2241411074373247, "realized_annual_volatility_pct": 62.60322437045323, "trading_costs_quote_units": 139.3758884594862, "borrowing_costs_quote_units": 205.44082657971555, "price_pnl_quote_units": 15302.242783938455, "turnover_quote_units": 232293.14743247704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27434.678294675963, "return_pct": 174.34678294675962, "cagr_pct": 173.90564844165007, "max_drawdown_pct": 38.97747335947599, "mean_exposure_while_solvent": 1.218896360742733, "realized_annual_volatility_pct": 63.93039194675817, "trading_costs_quote_units": 62.900424301850755, "borrowing_costs_quote_units": 189.22580224322914, "price_pnl_quote_units": 17686.804521221045, "turnover_quote_units": 104834.0405030845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27434.678294675963, "return_pct": 174.34678294675962, "cagr_pct": 173.90564844165007, "max_drawdown_pct": 38.97747335947599, "mean_exposure_while_solvent": 1.218896360742733, "realized_annual_volatility_pct": 63.93039194675817, "trading_costs_quote_units": 62.900424301850755, "borrowing_costs_quote_units": 189.22580224322914, "price_pnl_quote_units": 17686.804521221045, "turnover_quote_units": 104834.0405030845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22025.23458550246, "return_pct": 120.2523458550246, "cagr_pct": 119.97521180849434, "max_drawdown_pct": 30.40472910363311, "mean_exposure_while_solvent": 0.9855656254569883, "realized_annual_volatility_pct": 51.13030520003833, "trading_costs_quote_units": 14.35916005013439, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12039.593745552584, "turnover_quote_units": 23931.933416890646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22025.23458550246, "return_pct": 120.2523458550246, "cagr_pct": 119.97521180849434, "max_drawdown_pct": 30.40472910363311, "mean_exposure_while_solvent": 0.9855656254569883, "realized_annual_volatility_pct": 51.13030520003833, "trading_costs_quote_units": 14.35916005013439, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12039.593745552584, "turnover_quote_units": 23931.933416890646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27434.678294675963, "return_pct": 174.34678294675962, "cagr_pct": 173.90564844165007, "max_drawdown_pct": 38.97747335947599, "mean_exposure_while_solvent": 1.218896360742733, "realized_annual_volatility_pct": 63.93039194675817, "trading_costs_quote_units": 62.900424301850755, "borrowing_costs_quote_units": 189.22580224322914, "price_pnl_quote_units": 17686.804521221045, "turnover_quote_units": 104834.0405030845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27434.678294675963, "return_pct": 174.34678294675962, "cagr_pct": 173.90564844165007, "max_drawdown_pct": 38.97747335947599, "mean_exposure_while_solvent": 1.218896360742733, "realized_annual_volatility_pct": 63.93039194675817, "trading_costs_quote_units": 62.900424301850755, "borrowing_costs_quote_units": 189.22580224322914, "price_pnl_quote_units": 17686.804521221045, "turnover_quote_units": 104834.0405030845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27434.678294675963, "return_pct": 174.34678294675962, "cagr_pct": 173.90564844165007, "max_drawdown_pct": 38.97747335947599, "mean_exposure_while_solvent": 1.218896360742733, "realized_annual_volatility_pct": 63.93039194675817, "trading_costs_quote_units": 62.900424301850755, "borrowing_costs_quote_units": 189.22580224322914, "price_pnl_quote_units": 17686.804521221045, "turnover_quote_units": 104834.0405030845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27434.678294675963, "return_pct": 174.34678294675962, "cagr_pct": 173.90564844165007, "max_drawdown_pct": 38.97747335947599, "mean_exposure_while_solvent": 1.218896360742733, "realized_annual_volatility_pct": 63.93039194675817, "trading_costs_quote_units": 62.900424301850755, "borrowing_costs_quote_units": 189.22580224322914, "price_pnl_quote_units": 17686.804521221045, "turnover_quote_units": 104834.0405030845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18521.71002132693, "return_pct": 85.21710021326929, "cagr_pct": 85.03515754059686, "max_drawdown_pct": 22.639059883902448, "mean_exposure_while_solvent": 0.7498259337005607, "realized_annual_volatility_pct": 38.90598970719197, "trading_costs_quote_units": 15.930928297947268, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8537.640949624902, "turnover_quote_units": 26551.54716324545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18521.71002132693, "return_pct": 85.21710021326929, "cagr_pct": 85.03515754059686, "max_drawdown_pct": 22.639059883902448, "mean_exposure_while_solvent": 0.7498259337005607, "realized_annual_volatility_pct": 38.90598970719197, "trading_costs_quote_units": 15.930928297947268, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8537.640949624902, "turnover_quote_units": 26551.54716324545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22008.58412696269, "return_pct": 120.0858412696269, "cagr_pct": 119.80918179155378, "max_drawdown_pct": 30.006091405991388, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 51.90428099209944, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12014.580529121386, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22008.58412696269, "return_pct": 120.0858412696269, "cagr_pct": 119.80918179155378, "max_drawdown_pct": 30.006091405991388, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 51.90428099209944, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12014.580529121386, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25336.95448140781, "return_pct": 153.36954481407813, "cagr_pct": 152.99422711964806, "max_drawdown_pct": 37.5213612586469, "mean_exposure_while_solvent": 1.2492137975426003, "realized_annual_volatility_pct": 64.9312074047957, "trading_costs_quote_units": 30.32104452407809, "borrowing_costs_quote_units": 210.74109316102044, "price_pnl_quote_units": 15578.016619092932, "turnover_quote_units": 50535.07420679684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25336.95448140781, "return_pct": 153.36954481407813, "cagr_pct": 152.99422711964806, "max_drawdown_pct": 37.5213612586469, "mean_exposure_while_solvent": 1.2492137975426003, "realized_annual_volatility_pct": 64.9312074047957, "trading_costs_quote_units": 30.32104452407809, "borrowing_costs_quote_units": 210.74109316102044, "price_pnl_quote_units": 15578.016619092932, "turnover_quote_units": 50535.07420679684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28661.381320222892, "return_pct": 186.61381320222893, "cagr_pct": 186.13299571716385, "max_drawdown_pct": 44.672431911686594, "mean_exposure_while_solvent": 1.4988492793488444, "realized_annual_volatility_pct": 77.99320897178802, "trading_costs_quote_units": 68.02290994205545, "borrowing_costs_quote_units": 454.4089989990307, "price_pnl_quote_units": 19183.813229163916, "turnover_quote_units": 113371.51657009238, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28661.381320222892, "return_pct": 186.61381320222893, "cagr_pct": 186.13299571716385, "max_drawdown_pct": 44.672431911686594, "mean_exposure_while_solvent": 1.4988492793488444, "realized_annual_volatility_pct": 77.99320897178802, "trading_costs_quote_units": 68.02290994205545, "borrowing_costs_quote_units": 454.4089989990307, "price_pnl_quote_units": 19183.813229163916, "turnover_quote_units": 113371.51657009238, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21425.85058339581, "return_pct": 114.25850583395811, "cagr_pct": 113.99832805994996, "max_drawdown_pct": 25.924160924564077, "mean_exposure_while_solvent": 0.8268202181997787, "realized_annual_volatility_pct": 42.64740702631766, "trading_costs_quote_units": 65.3657249407532, "borrowing_costs_quote_units": 20.831798626207487, "price_pnl_quote_units": 11512.048106962791, "turnover_quote_units": 108942.87490125555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21425.85058339581, "return_pct": 114.25850583395811, "cagr_pct": 113.99832805994996, "max_drawdown_pct": 25.924160924564077, "mean_exposure_while_solvent": 0.8268202181997787, "realized_annual_volatility_pct": 42.64740702631766, "trading_costs_quote_units": 65.3657249407532, "borrowing_costs_quote_units": 20.831798626207487, "price_pnl_quote_units": 11512.048106962791, "turnover_quote_units": 108942.87490125555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27733.125869000625, "return_pct": 177.33125869000625, "cagr_pct": 176.88054841074927, "max_drawdown_pct": 36.826841128032875, "mean_exposure_while_solvent": 1.2195178842173509, "realized_annual_volatility_pct": 62.8839075282671, "trading_costs_quote_units": 98.71552177687252, "borrowing_costs_quote_units": 392.50110913401454, "price_pnl_quote_units": 18224.342499911494, "turnover_quote_units": 164525.8696281208, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27733.125869000625, "return_pct": 177.33125869000625, "cagr_pct": 176.88054841074927, "max_drawdown_pct": 36.826841128032875, "mean_exposure_while_solvent": 1.2195178842173509, "realized_annual_volatility_pct": 62.8839075282671, "trading_costs_quote_units": 98.71552177687252, "borrowing_costs_quote_units": 392.50110913401454, "price_pnl_quote_units": 18224.342499911494, "turnover_quote_units": 164525.8696281208, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28271.81437746346, "return_pct": 182.71814377463457, "cagr_pct": 182.25002066834347, "max_drawdown_pct": 44.15482887049536, "mean_exposure_while_solvent": 1.4342272229247512, "realized_annual_volatility_pct": 74.3019608394033, "trading_costs_quote_units": 83.24544162150173, "borrowing_costs_quote_units": 783.7847143554395, "price_pnl_quote_units": 19138.844533440337, "turnover_quote_units": 138742.4027025029, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28271.81437746346, "return_pct": 182.71814377463457, "cagr_pct": 182.25002066834347, "max_drawdown_pct": 44.15482887049536, "mean_exposure_while_solvent": 1.4342272229247512, "realized_annual_volatility_pct": 74.3019608394033, "trading_costs_quote_units": 83.24544162150173, "borrowing_costs_quote_units": 783.7847143554395, "price_pnl_quote_units": 19138.844533440337, "turnover_quote_units": 138742.4027025029, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24647.322528725246, "return_pct": 146.4732252872525, "cagr_pct": 146.11895270190152, "max_drawdown_pct": 41.47594327412819, "mean_exposure_while_solvent": 1.2241609587223694, "realized_annual_volatility_pct": 62.6045774587111, "trading_costs_quote_units": 138.47704014184538, "borrowing_costs_quote_units": 408.13749306644013, "price_pnl_quote_units": 15193.937061933519, "turnover_quote_units": 230795.06690307544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24647.322528725246, "return_pct": 146.4732252872525, "cagr_pct": 146.11895270190152, "max_drawdown_pct": 41.47594327412819, "mean_exposure_while_solvent": 1.2241609587223694, "realized_annual_volatility_pct": 62.6045774587111, "trading_costs_quote_units": 138.47704014184538, "borrowing_costs_quote_units": 408.13749306644013, "price_pnl_quote_units": 15193.937061933519, "turnover_quote_units": 230795.06690307544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27132.147585448012, "return_pct": 171.32147585448016, "cagr_pct": 170.88999546120624, "max_drawdown_pct": 39.197049260256236, "mean_exposure_while_solvent": 1.2189133405864259, "realized_annual_volatility_pct": 63.931378403691475, "trading_costs_quote_units": 62.54138840747898, "borrowing_costs_quote_units": 376.05746246442453, "price_pnl_quote_units": 17570.74643631989, "turnover_quote_units": 104235.64734579826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27132.147585448012, "return_pct": 171.32147585448016, "cagr_pct": 170.88999546120624, "max_drawdown_pct": 39.197049260256236, "mean_exposure_while_solvent": 1.2189133405864259, "realized_annual_volatility_pct": 63.931378403691475, "trading_costs_quote_units": 62.54138840747898, "borrowing_costs_quote_units": 376.05746246442453, "price_pnl_quote_units": 17570.74643631989, "turnover_quote_units": 104235.64734579826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22025.23458550246, "return_pct": 120.2523458550246, "cagr_pct": 119.97521180849434, "max_drawdown_pct": 30.40472910363311, "mean_exposure_while_solvent": 0.9855656254569883, "realized_annual_volatility_pct": 51.13030520003833, "trading_costs_quote_units": 14.35916005013439, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12039.593745552584, "turnover_quote_units": 23931.933416890646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22025.23458550246, "return_pct": 120.2523458550246, "cagr_pct": 119.97521180849434, "max_drawdown_pct": 30.40472910363311, "mean_exposure_while_solvent": 0.9855656254569883, "realized_annual_volatility_pct": 51.13030520003833, "trading_costs_quote_units": 14.35916005013439, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12039.593745552584, "turnover_quote_units": 23931.933416890646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27132.147585448012, "return_pct": 171.32147585448016, "cagr_pct": 170.88999546120624, "max_drawdown_pct": 39.197049260256236, "mean_exposure_while_solvent": 1.2189133405864259, "realized_annual_volatility_pct": 63.931378403691475, "trading_costs_quote_units": 62.54138840747898, "borrowing_costs_quote_units": 376.05746246442453, "price_pnl_quote_units": 17570.74643631989, "turnover_quote_units": 104235.64734579826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27132.147585448012, "return_pct": 171.32147585448016, "cagr_pct": 170.88999546120624, "max_drawdown_pct": 39.197049260256236, "mean_exposure_while_solvent": 1.2189133405864259, "realized_annual_volatility_pct": 63.931378403691475, "trading_costs_quote_units": 62.54138840747898, "borrowing_costs_quote_units": 376.05746246442453, "price_pnl_quote_units": 17570.74643631989, "turnover_quote_units": 104235.64734579826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27132.147585448012, "return_pct": 171.32147585448016, "cagr_pct": 170.88999546120624, "max_drawdown_pct": 39.197049260256236, "mean_exposure_while_solvent": 1.2189133405864259, "realized_annual_volatility_pct": 63.931378403691475, "trading_costs_quote_units": 62.54138840747898, "borrowing_costs_quote_units": 376.05746246442453, "price_pnl_quote_units": 17570.74643631989, "turnover_quote_units": 104235.64734579826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27132.147585448012, "return_pct": 171.32147585448016, "cagr_pct": 170.88999546120624, "max_drawdown_pct": 39.197049260256236, "mean_exposure_while_solvent": 1.2189133405864259, "realized_annual_volatility_pct": 63.931378403691475, "trading_costs_quote_units": 62.54138840747898, "borrowing_costs_quote_units": 376.05746246442453, "price_pnl_quote_units": 17570.74643631989, "turnover_quote_units": 104235.64734579826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18521.71002132693, "return_pct": 85.21710021326929, "cagr_pct": 85.03515754059686, "max_drawdown_pct": 22.639059883902448, "mean_exposure_while_solvent": 0.7498259337005607, "realized_annual_volatility_pct": 38.90598970719197, "trading_costs_quote_units": 15.930928297947268, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8537.640949624902, "turnover_quote_units": 26551.54716324545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18521.71002132693, "return_pct": 85.21710021326929, "cagr_pct": 85.03515754059686, "max_drawdown_pct": 22.639059883902448, "mean_exposure_while_solvent": 0.7498259337005607, "realized_annual_volatility_pct": 38.90598970719197, "trading_costs_quote_units": 15.930928297947268, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8537.640949624902, "turnover_quote_units": 26551.54716324545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22008.58412696269, "return_pct": 120.0858412696269, "cagr_pct": 119.80918179155378, "max_drawdown_pct": 30.006091405991388, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 51.90428099209944, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12014.580529121386, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22008.58412696269, "return_pct": 120.0858412696269, "cagr_pct": 119.80918179155378, "max_drawdown_pct": 30.006091405991388, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 51.90428099209944, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12014.580529121386, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25022.40715809111, "return_pct": 150.2240715809111, "cagr_pct": 149.8583902578242, "max_drawdown_pct": 37.83108861654703, "mean_exposure_while_solvent": 1.249231583388223, "realized_annual_volatility_pct": 64.93257427137812, "trading_costs_quote_units": 30.163432260609834, "borrowing_costs_quote_units": 418.60754152623366, "price_pnl_quote_units": 15471.178131877887, "turnover_quote_units": 50272.38710101645, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25022.40715809111, "return_pct": 150.2240715809111, "cagr_pct": 149.8583902578242, "max_drawdown_pct": 37.83108861654703, "mean_exposure_while_solvent": 1.249231583388223, "realized_annual_volatility_pct": 64.93257427137812, "trading_costs_quote_units": 30.163432260609834, "borrowing_costs_quote_units": 418.60754152623366, "price_pnl_quote_units": 15471.178131877887, "turnover_quote_units": 50272.38710101645, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27954.20123599399, "return_pct": 179.54201235993992, "cagr_pct": 179.08417587263847, "max_drawdown_pct": 45.22021876416016, "mean_exposure_while_solvent": 1.4988919634733127, "realized_annual_volatility_pct": 77.99650323056116, "trading_costs_quote_units": 67.22096612124396, "borrowing_costs_quote_units": 896.2906223826012, "price_pnl_quote_units": 18917.71282449789, "turnover_quote_units": 112034.94353540658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27954.20123599399, "return_pct": 179.54201235993992, "cagr_pct": 179.08417587263847, "max_drawdown_pct": 45.22021876416016, "mean_exposure_while_solvent": 1.4988919634733127, "realized_annual_volatility_pct": 77.99650323056116, "trading_costs_quote_units": 67.22096612124396, "borrowing_costs_quote_units": 896.2906223826012, "price_pnl_quote_units": 18917.71282449789, "turnover_quote_units": 112034.94353540658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21396.9880664733, "return_pct": 113.969880664733, "cagr_pct": 113.71051272747259, "max_drawdown_pct": 25.943622149474955, "mean_exposure_while_solvent": 0.8268219970036936, "realized_annual_volatility_pct": 42.64741363719386, "trading_costs_quote_units": 65.33560091607171, "borrowing_costs_quote_units": 41.6402154976105, "price_pnl_quote_units": 11503.963882886968, "turnover_quote_units": 108892.66819345279, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21396.9880664733, "return_pct": 113.969880664733, "cagr_pct": 113.71051272747259, "max_drawdown_pct": 25.943622149474955, "mean_exposure_while_solvent": 0.8268219970036936, "realized_annual_volatility_pct": 42.64741363719386, "trading_costs_quote_units": 65.33560091607171, "borrowing_costs_quote_units": 41.6402154976105, "price_pnl_quote_units": 11503.963882886968, "turnover_quote_units": 108892.66819345279, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27092.066512131856, "return_pct": 170.92066512131856, "cagr_pct": 170.49045975297443, "max_drawdown_pct": 37.34382724456909, "mean_exposure_while_solvent": 1.219554632843889, "realized_annual_volatility_pct": 62.885617935368565, "trading_costs_quote_units": 97.52175269296946, "borrowing_costs_quote_units": 774.8734804328382, "price_pnl_quote_units": 17964.4617452577, "turnover_quote_units": 162536.2544882825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27092.066512131856, "return_pct": 170.92066512131856, "cagr_pct": 170.49045975297443, "max_drawdown_pct": 37.34382724456909, "mean_exposure_while_solvent": 1.219554632843889, "realized_annual_volatility_pct": 62.885617935368565, "trading_costs_quote_units": 97.52175269296946, "borrowing_costs_quote_units": 774.8734804328382, "price_pnl_quote_units": 17964.4617452577, "turnover_quote_units": 162536.2544882825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27068.70938069342, "return_pct": 170.6870938069342, "cagr_pct": 170.25763102117088, "max_drawdown_pct": 45.081619078539084, "mean_exposure_while_solvent": 1.434299636311212, "realized_annual_volatility_pct": 74.30716690783802, "trading_costs_quote_units": 81.48040268007384, "borrowing_costs_quote_units": 1529.7744116311815, "price_pnl_quote_units": 18679.964195004715, "turnover_quote_units": 135800.6711334563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27068.70938069342, "return_pct": 170.6870938069342, "cagr_pct": 170.25763102117088, "max_drawdown_pct": 45.081619078539084, "mean_exposure_while_solvent": 1.434299636311212, "realized_annual_volatility_pct": 74.30716690783802, "trading_costs_quote_units": 81.48040268007384, "borrowing_costs_quote_units": 1529.7744116311815, "price_pnl_quote_units": 18679.964195004715, "turnover_quote_units": 135800.6711334563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24038.469855446565, "return_pct": 140.38469855446567, "cagr_pct": 140.04875127580158, "max_drawdown_pct": 42.00658297478326, "mean_exposure_while_solvent": 1.2242006689512102, "realized_annual_volatility_pct": 62.6073040695733, "trading_costs_quote_units": 136.70642791613173, "borrowing_costs_quote_units": 805.4360967769347, "price_pnl_quote_units": 14980.612380139635, "turnover_quote_units": 227844.04652688588, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24038.469855446565, "return_pct": 140.38469855446567, "cagr_pct": 140.04875127580158, "max_drawdown_pct": 42.00658297478326, "mean_exposure_while_solvent": 1.2242006689512102, "realized_annual_volatility_pct": 62.6073040695733, "trading_costs_quote_units": 136.70642791613173, "borrowing_costs_quote_units": 805.4360967769347, "price_pnl_quote_units": 14980.612380139635, "turnover_quote_units": 227844.04652688588, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26536.915509216928, "return_pct": 165.3691550921693, "cagr_pct": 164.95651215860389, "max_drawdown_pct": 39.633937279064156, "mean_exposure_while_solvent": 1.2189473063797491, "realized_annual_volatility_pct": 63.93336639157038, "trading_costs_quote_units": 61.83173618480306, "borrowing_costs_quote_units": 742.6492523889477, "price_pnl_quote_units": 17341.396497790633, "turnover_quote_units": 103052.89364133854, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26536.915509216928, "return_pct": 165.3691550921693, "cagr_pct": 164.95651215860389, "max_drawdown_pct": 39.633937279064156, "mean_exposure_while_solvent": 1.2189473063797491, "realized_annual_volatility_pct": 63.93336639157038, "trading_costs_quote_units": 61.83173618480306, "borrowing_costs_quote_units": 742.6492523889477, "price_pnl_quote_units": 17341.396497790633, "turnover_quote_units": 103052.89364133854, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22025.23458550246, "return_pct": 120.2523458550246, "cagr_pct": 119.97521180849434, "max_drawdown_pct": 30.40472910363311, "mean_exposure_while_solvent": 0.9855656254569883, "realized_annual_volatility_pct": 51.13030520003833, "trading_costs_quote_units": 14.35916005013439, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12039.593745552584, "turnover_quote_units": 23931.933416890646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22025.23458550246, "return_pct": 120.2523458550246, "cagr_pct": 119.97521180849434, "max_drawdown_pct": 30.40472910363311, "mean_exposure_while_solvent": 0.9855656254569883, "realized_annual_volatility_pct": 51.13030520003833, "trading_costs_quote_units": 14.35916005013439, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12039.593745552584, "turnover_quote_units": 23931.933416890646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26536.915509216928, "return_pct": 165.3691550921693, "cagr_pct": 164.95651215860389, "max_drawdown_pct": 39.633937279064156, "mean_exposure_while_solvent": 1.2189473063797491, "realized_annual_volatility_pct": 63.93336639157038, "trading_costs_quote_units": 61.83173618480306, "borrowing_costs_quote_units": 742.6492523889477, "price_pnl_quote_units": 17341.396497790633, "turnover_quote_units": 103052.89364133854, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26536.915509216928, "return_pct": 165.3691550921693, "cagr_pct": 164.95651215860389, "max_drawdown_pct": 39.633937279064156, "mean_exposure_while_solvent": 1.2189473063797491, "realized_annual_volatility_pct": 63.93336639157038, "trading_costs_quote_units": 61.83173618480306, "borrowing_costs_quote_units": 742.6492523889477, "price_pnl_quote_units": 17341.396497790633, "turnover_quote_units": 103052.89364133854, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26536.915509216928, "return_pct": 165.3691550921693, "cagr_pct": 164.95651215860389, "max_drawdown_pct": 39.633937279064156, "mean_exposure_while_solvent": 1.2189473063797491, "realized_annual_volatility_pct": 63.93336639157038, "trading_costs_quote_units": 61.83173618480306, "borrowing_costs_quote_units": 742.6492523889477, "price_pnl_quote_units": 17341.396497790633, "turnover_quote_units": 103052.89364133854, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26536.915509216928, "return_pct": 165.3691550921693, "cagr_pct": 164.95651215860389, "max_drawdown_pct": 39.633937279064156, "mean_exposure_while_solvent": 1.2189473063797491, "realized_annual_volatility_pct": 63.93336639157038, "trading_costs_quote_units": 61.83173618480306, "borrowing_costs_quote_units": 742.6492523889477, "price_pnl_quote_units": 17341.396497790633, "turnover_quote_units": 103052.89364133854, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18521.71002132693, "return_pct": 85.21710021326929, "cagr_pct": 85.03515754059686, "max_drawdown_pct": 22.639059883902448, "mean_exposure_while_solvent": 0.7498259337005607, "realized_annual_volatility_pct": 38.90598970719197, "trading_costs_quote_units": 15.930928297947268, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8537.640949624902, "turnover_quote_units": 26551.54716324545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18521.71002132693, "return_pct": 85.21710021326929, "cagr_pct": 85.03515754059686, "max_drawdown_pct": 22.639059883902448, "mean_exposure_while_solvent": 0.7498259337005607, "realized_annual_volatility_pct": 38.90598970719197, "trading_costs_quote_units": 15.930928297947268, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8537.640949624902, "turnover_quote_units": 26551.54716324545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22008.58412696269, "return_pct": 120.0858412696269, "cagr_pct": 119.80918179155378, "max_drawdown_pct": 30.006091405991388, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 51.90428099209944, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12014.580529121386, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22008.58412696269, "return_pct": 120.0858412696269, "cagr_pct": 119.80918179155378, "max_drawdown_pct": 30.006091405991388, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 51.90428099209944, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 12014.580529121386, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24404.83782356567, "return_pct": 144.0483782356567, "cagr_pct": 143.70143296298886, "max_drawdown_pct": 38.44608092753678, "mean_exposure_while_solvent": 1.2492671605547705, "realized_annual_volatility_pct": 64.93530871836334, "trading_costs_quote_units": 29.855601814435907, "borrowing_costs_quote_units": 825.8640977826261, "price_pnl_quote_units": 15260.557523162766, "turnover_quote_units": 49759.33635739311, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24404.83782356567, "return_pct": 144.0483782356567, "cagr_pct": 143.70143296298886, "max_drawdown_pct": 38.44608092753678, "mean_exposure_while_solvent": 1.2492671605547705, "realized_annual_volatility_pct": 64.93530871836334, "trading_costs_quote_units": 29.855601814435907, "borrowing_costs_quote_units": 825.8640977826261, "price_pnl_quote_units": 15260.557523162766, "turnover_quote_units": 49759.33635739311, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26591.37846414769, "return_pct": 165.91378464147687, "cagr_pct": 165.49942685432308, "max_drawdown_pct": 46.29986890372504, "mean_exposure_while_solvent": 1.4989773502226176, "realized_annual_volatility_pct": 78.00309405186843, "trading_costs_quote_units": 65.66641097553527, "borrowing_costs_quote_units": 1743.7687014608064, "price_pnl_quote_units": 18400.813576584038, "turnover_quote_units": 109444.01829255879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26591.37846414769, "return_pct": 165.91378464147687, "cagr_pct": 165.49942685432308, "max_drawdown_pct": 46.29986890372504, "mean_exposure_while_solvent": 1.4989773502226176, "realized_annual_volatility_pct": 78.00309405186843, "trading_costs_quote_units": 65.66641097553527, "borrowing_costs_quote_units": 1743.7687014608064, "price_pnl_quote_units": 18400.813576584038, "turnover_quote_units": 109444.01829255879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21533.209288204212, "return_pct": 115.33209288204213, "cagr_pct": 115.0688973719689, "max_drawdown_pct": 25.941649506298713, "mean_exposure_while_solvent": 0.8260247365670924, "realized_annual_volatility_pct": 42.814772679410694, "trading_costs_quote_units": 65.70378061977138, "borrowing_costs_quote_units": 10.45358615665803, "price_pnl_quote_units": 11609.366654980637, "turnover_quote_units": 109506.30103295227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21533.209288204212, "return_pct": 115.33209288204213, "cagr_pct": 115.0688973719689, "max_drawdown_pct": 25.941649506298713, "mean_exposure_while_solvent": 0.8260247365670924, "realized_annual_volatility_pct": 42.814772679410694, "trading_costs_quote_units": 65.70378061977138, "borrowing_costs_quote_units": 10.45358615665803, "price_pnl_quote_units": 11609.366654980637, "turnover_quote_units": 109506.30103295227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28185.41352892974, "return_pct": 181.8541352892974, "cagr_pct": 181.38881611180366, "max_drawdown_pct": 36.838995584386126, "mean_exposure_while_solvent": 1.218439842016336, "realized_annual_volatility_pct": 63.1493299348447, "trading_costs_quote_units": 100.82017499425585, "borrowing_costs_quote_units": 198.0540767780973, "price_pnl_quote_units": 18484.287780702096, "turnover_quote_units": 168033.62499042653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28185.41352892974, "return_pct": 181.8541352892974, "cagr_pct": 181.38881611180366, "max_drawdown_pct": 36.838995584386126, "mean_exposure_while_solvent": 1.218439842016336, "realized_annual_volatility_pct": 63.1493299348447, "trading_costs_quote_units": 100.82017499425585, "borrowing_costs_quote_units": 198.0540767780973, "price_pnl_quote_units": 18484.287780702096, "turnover_quote_units": 168033.62499042653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28658.702981082424, "return_pct": 186.58702981082422, "cagr_pct": 186.10629989039901, "max_drawdown_pct": 43.945809848138005, "mean_exposure_while_solvent": 1.433018870091291, "realized_annual_volatility_pct": 74.38319624414397, "trading_costs_quote_units": 82.8516978908722, "borrowing_costs_quote_units": 394.4725302543503, "price_pnl_quote_units": 19136.027209227643, "turnover_quote_units": 138086.16315145366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28658.702981082424, "return_pct": 186.58702981082422, "cagr_pct": 186.10629989039901, "max_drawdown_pct": 43.945809848138005, "mean_exposure_while_solvent": 1.433018870091291, "realized_annual_volatility_pct": 74.38319624414397, "trading_costs_quote_units": 82.8516978908722, "borrowing_costs_quote_units": 394.4725302543503, "price_pnl_quote_units": 19136.027209227643, "turnover_quote_units": 138086.16315145366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25481.202794548964, "return_pct": 154.81202794548966, "cagr_pct": 154.43227029809933, "max_drawdown_pct": 41.314840646490325, "mean_exposure_while_solvent": 1.2231500280323133, "realized_annual_volatility_pct": 62.85381374664133, "trading_costs_quote_units": 142.34044711632328, "borrowing_costs_quote_units": 208.06030946812854, "price_pnl_quote_units": 15831.603551133363, "turnover_quote_units": 237234.07852720568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25481.202794548964, "return_pct": 154.81202794548966, "cagr_pct": 154.43227029809933, "max_drawdown_pct": 41.314840646490325, "mean_exposure_while_solvent": 1.2231500280323133, "realized_annual_volatility_pct": 62.85381374664133, "trading_costs_quote_units": 142.34044711632328, "borrowing_costs_quote_units": 208.06030946812854, "price_pnl_quote_units": 15831.603551133363, "turnover_quote_units": 237234.07852720568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27447.187656357488, "return_pct": 174.47187656357488, "cagr_pct": 174.03034172432825, "max_drawdown_pct": 39.04221465262404, "mean_exposure_while_solvent": 1.2179727525401982, "realized_annual_volatility_pct": 64.1012960238688, "trading_costs_quote_units": 62.10912551655474, "borrowing_costs_quote_units": 189.39943359239103, "price_pnl_quote_units": 17698.69621546644, "turnover_quote_units": 103515.20919425787, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27447.187656357488, "return_pct": 174.47187656357488, "cagr_pct": 174.03034172432825, "max_drawdown_pct": 39.04221465262404, "mean_exposure_while_solvent": 1.2179727525401982, "realized_annual_volatility_pct": 64.1012960238688, "trading_costs_quote_units": 62.10912551655474, "borrowing_costs_quote_units": 189.39943359239103, "price_pnl_quote_units": 17698.69621546644, "turnover_quote_units": 103515.20919425787, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21935.535310690077, "return_pct": 119.35535310690075, "cagr_pct": 119.08077328451525, "max_drawdown_pct": 30.259596277389058, "mean_exposure_while_solvent": 0.9846312449128017, "realized_annual_volatility_pct": 51.12558275934474, "trading_costs_quote_units": 14.3611501602572, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11949.896460850327, "turnover_quote_units": 23935.250267095333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21935.535310690077, "return_pct": 119.35535310690075, "cagr_pct": 119.08077328451525, "max_drawdown_pct": 30.259596277389058, "mean_exposure_while_solvent": 0.9846312449128017, "realized_annual_volatility_pct": 51.12558275934474, "trading_costs_quote_units": 14.3611501602572, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11949.896460850327, "turnover_quote_units": 23935.250267095333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27447.187656357488, "return_pct": 174.47187656357488, "cagr_pct": 174.03034172432825, "max_drawdown_pct": 39.04221465262404, "mean_exposure_while_solvent": 1.2179727525401982, "realized_annual_volatility_pct": 64.1012960238688, "trading_costs_quote_units": 62.10912551655474, "borrowing_costs_quote_units": 189.39943359239103, "price_pnl_quote_units": 17698.69621546644, "turnover_quote_units": 103515.20919425787, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27447.187656357488, "return_pct": 174.47187656357488, "cagr_pct": 174.03034172432825, "max_drawdown_pct": 39.04221465262404, "mean_exposure_while_solvent": 1.2179727525401982, "realized_annual_volatility_pct": 64.1012960238688, "trading_costs_quote_units": 62.10912551655474, "borrowing_costs_quote_units": 189.39943359239103, "price_pnl_quote_units": 17698.69621546644, "turnover_quote_units": 103515.20919425787, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27447.187656357488, "return_pct": 174.47187656357488, "cagr_pct": 174.03034172432825, "max_drawdown_pct": 39.04221465262404, "mean_exposure_while_solvent": 1.2179727525401982, "realized_annual_volatility_pct": 64.1012960238688, "trading_costs_quote_units": 62.10912551655474, "borrowing_costs_quote_units": 189.39943359239103, "price_pnl_quote_units": 17698.69621546644, "turnover_quote_units": 103515.20919425787, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27447.187656357488, "return_pct": 174.47187656357488, "cagr_pct": 174.03034172432825, "max_drawdown_pct": 39.04221465262404, "mean_exposure_while_solvent": 1.2179727525401982, "realized_annual_volatility_pct": 64.1012960238688, "trading_costs_quote_units": 62.10912551655474, "borrowing_costs_quote_units": 189.39943359239103, "price_pnl_quote_units": 17698.69621546644, "turnover_quote_units": 103515.20919425787, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18431.700928039587, "return_pct": 84.31700928039587, "cagr_pct": 84.13738111691971, "max_drawdown_pct": 22.588310694544113, "mean_exposure_while_solvent": 0.749070986055657, "realized_annual_volatility_pct": 38.89553171758418, "trading_costs_quote_units": 15.425551692717764, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8447.1264797323, "turnover_quote_units": 25709.252821196304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18431.700928039587, "return_pct": 84.31700928039587, "cagr_pct": 84.13738111691971, "max_drawdown_pct": 22.588310694544113, "mean_exposure_while_solvent": 0.749070986055657, "realized_annual_volatility_pct": 38.89553171758418, "trading_costs_quote_units": 15.425551692717764, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8447.1264797323, "turnover_quote_units": 25709.252821196304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21859.09795284808, "return_pct": 118.59097952848079, "cagr_pct": 118.31857169010544, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 51.90222202926068, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11865.094355006779, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21859.09795284808, "return_pct": 118.59097952848079, "cagr_pct": 118.31857169010544, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 51.90222202926068, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11865.094355006779, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25108.339221685135, "return_pct": 151.08339221685134, "cagr_pct": 150.71508451370065, "max_drawdown_pct": 37.59927153876741, "mean_exposure_while_solvent": 1.24820971209036, "realized_annual_volatility_pct": 64.94391295326386, "trading_costs_quote_units": 29.330301963429516, "borrowing_costs_quote_units": 209.11230570624465, "price_pnl_quote_units": 15346.781829354812, "turnover_quote_units": 48883.83660571585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25108.339221685135, "return_pct": 151.08339221685134, "cagr_pct": 150.71508451370065, "max_drawdown_pct": 37.59927153876741, "mean_exposure_while_solvent": 1.24820971209036, "realized_annual_volatility_pct": 64.94391295326386, "trading_costs_quote_units": 29.330301963429516, "borrowing_costs_quote_units": 209.11230570624465, "price_pnl_quote_units": 15346.781829354812, "turnover_quote_units": 48883.83660571585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28322.71679062387, "return_pct": 183.22716790623866, "cagr_pct": 182.75739092094017, "max_drawdown_pct": 44.853432817763895, "mean_exposure_while_solvent": 1.4978233852044969, "realized_annual_volatility_pct": 78.0276207466362, "trading_costs_quote_units": 65.5160829123794, "borrowing_costs_quote_units": 450.71895867669673, "price_pnl_quote_units": 18838.951832213, "turnover_quote_units": 109193.47152063236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28322.71679062387, "return_pct": 183.22716790623866, "cagr_pct": 182.75739092094017, "max_drawdown_pct": 44.853432817763895, "mean_exposure_while_solvent": 1.4978233852044969, "realized_annual_volatility_pct": 78.0276207466362, "trading_costs_quote_units": 65.5160829123794, "borrowing_costs_quote_units": 450.71895867669673, "price_pnl_quote_units": 18838.951832213, "turnover_quote_units": 109193.47152063236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21518.706437026653, "return_pct": 115.18706437026651, "cagr_pct": 114.92427701766168, "max_drawdown_pct": 25.951380636707377, "mean_exposure_while_solvent": 0.8260256227696449, "realized_annual_volatility_pct": 42.814743555829814, "trading_costs_quote_units": 65.68859218375762, "borrowing_costs_quote_units": 20.901296656982467, "price_pnl_quote_units": 11605.296325867412, "turnover_quote_units": 109480.98697292933, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21518.706437026653, "return_pct": 115.18706437026651, "cagr_pct": 114.92427701766168, "max_drawdown_pct": 25.951380636707377, "mean_exposure_while_solvent": 0.8260256227696449, "realized_annual_volatility_pct": 42.814743555829814, "trading_costs_quote_units": 65.68859218375762, "borrowing_costs_quote_units": 20.901296656982467, "price_pnl_quote_units": 11605.296325867412, "turnover_quote_units": 109480.98697292933, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27857.973035337578, "return_pct": 178.57973035337577, "cagr_pct": 178.12499914237154, "max_drawdown_pct": 37.0974527224825, "mean_exposure_while_solvent": 1.2184582030055087, "realized_annual_volatility_pct": 63.1498589485531, "trading_costs_quote_units": 100.2176070455456, "borrowing_costs_quote_units": 393.5346595395707, "price_pnl_quote_units": 18351.72530192269, "turnover_quote_units": 167029.34507590928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27857.973035337578, "return_pct": 178.57973035337577, "cagr_pct": 178.12499914237154, "max_drawdown_pct": 37.0974527224825, "mean_exposure_while_solvent": 1.2184582030055087, "realized_annual_volatility_pct": 63.1498589485531, "trading_costs_quote_units": 100.2176070455456, "borrowing_costs_quote_units": 393.5346595395707, "price_pnl_quote_units": 18351.72530192269, "turnover_quote_units": 167029.34507590928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28043.034264964295, "return_pct": 180.43034264964297, "cagr_pct": 179.96963485372754, "max_drawdown_pct": 44.41265662905964, "mean_exposure_while_solvent": 1.433055026327157, "realized_annual_volatility_pct": 74.38523846255127, "trading_costs_quote_units": 81.94742089126258, "borrowing_costs_quote_units": 779.3517969796779, "price_pnl_quote_units": 18904.33348283527, "turnover_quote_units": 136579.0348187709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28043.034264964295, "return_pct": 180.43034264964297, "cagr_pct": 179.96963485372754, "max_drawdown_pct": 44.41265662905964, "mean_exposure_while_solvent": 1.433055026327157, "realized_annual_volatility_pct": 74.38523846255127, "trading_costs_quote_units": 81.94742089126258, "borrowing_costs_quote_units": 779.3517969796779, "price_pnl_quote_units": 18904.33348283527, "turnover_quote_units": 136579.0348187709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25164.69492060284, "return_pct": 151.64694920602838, "cagr_pct": 151.2769165390617, "max_drawdown_pct": 41.58135749745037, "mean_exposure_while_solvent": 1.2231698730741258, "realized_annual_volatility_pct": 62.85473227004205, "trading_costs_quote_units": 141.42848974875355, "borrowing_costs_quote_units": 413.33829081047503, "price_pnl_quote_units": 15719.461701162134, "turnover_quote_units": 235714.149581256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25164.69492060284, "return_pct": 151.64694920602838, "cagr_pct": 151.2769165390617, "max_drawdown_pct": 41.58135749745037, "mean_exposure_while_solvent": 1.2231698730741258, "realized_annual_volatility_pct": 62.85473227004205, "trading_costs_quote_units": 141.42848974875355, "borrowing_costs_quote_units": 413.33829081047503, "price_pnl_quote_units": 15719.461701162134, "turnover_quote_units": 235714.149581256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27144.645045921658, "return_pct": 171.44645045921658, "cagr_pct": 171.01457231484946, "max_drawdown_pct": 39.261332323991574, "mean_exposure_while_solvent": 1.2179897334599663, "realized_annual_volatility_pct": 64.10193332165765, "trading_costs_quote_units": 61.7643126465554, "borrowing_costs_quote_units": 376.40131132093336, "price_pnl_quote_units": 17582.810669889208, "turnover_quote_units": 102940.52107759233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27144.645045921658, "return_pct": 171.44645045921658, "cagr_pct": 171.01457231484946, "max_drawdown_pct": 39.261332323991574, "mean_exposure_while_solvent": 1.2179897334599663, "realized_annual_volatility_pct": 64.10193332165765, "trading_costs_quote_units": 61.7643126465554, "borrowing_costs_quote_units": 376.40131132093336, "price_pnl_quote_units": 17582.810669889208, "turnover_quote_units": 102940.52107759233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21935.535310690077, "return_pct": 119.35535310690075, "cagr_pct": 119.08077328451525, "max_drawdown_pct": 30.259596277389058, "mean_exposure_while_solvent": 0.9846312449128017, "realized_annual_volatility_pct": 51.12558275934474, "trading_costs_quote_units": 14.3611501602572, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11949.896460850327, "turnover_quote_units": 23935.250267095333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21935.535310690077, "return_pct": 119.35535310690075, "cagr_pct": 119.08077328451525, "max_drawdown_pct": 30.259596277389058, "mean_exposure_while_solvent": 0.9846312449128017, "realized_annual_volatility_pct": 51.12558275934474, "trading_costs_quote_units": 14.3611501602572, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11949.896460850327, "turnover_quote_units": 23935.250267095333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27144.645045921658, "return_pct": 171.44645045921658, "cagr_pct": 171.01457231484946, "max_drawdown_pct": 39.261332323991574, "mean_exposure_while_solvent": 1.2179897334599663, "realized_annual_volatility_pct": 64.10193332165765, "trading_costs_quote_units": 61.7643126465554, "borrowing_costs_quote_units": 376.40131132093336, "price_pnl_quote_units": 17582.810669889208, "turnover_quote_units": 102940.52107759233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27144.645045921658, "return_pct": 171.44645045921658, "cagr_pct": 171.01457231484946, "max_drawdown_pct": 39.261332323991574, "mean_exposure_while_solvent": 1.2179897334599663, "realized_annual_volatility_pct": 64.10193332165765, "trading_costs_quote_units": 61.7643126465554, "borrowing_costs_quote_units": 376.40131132093336, "price_pnl_quote_units": 17582.810669889208, "turnover_quote_units": 102940.52107759233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27144.645045921658, "return_pct": 171.44645045921658, "cagr_pct": 171.01457231484946, "max_drawdown_pct": 39.261332323991574, "mean_exposure_while_solvent": 1.2179897334599663, "realized_annual_volatility_pct": 64.10193332165765, "trading_costs_quote_units": 61.7643126465554, "borrowing_costs_quote_units": 376.40131132093336, "price_pnl_quote_units": 17582.810669889208, "turnover_quote_units": 102940.52107759233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27144.645045921658, "return_pct": 171.44645045921658, "cagr_pct": 171.01457231484946, "max_drawdown_pct": 39.261332323991574, "mean_exposure_while_solvent": 1.2179897334599663, "realized_annual_volatility_pct": 64.10193332165765, "trading_costs_quote_units": 61.7643126465554, "borrowing_costs_quote_units": 376.40131132093336, "price_pnl_quote_units": 17582.810669889208, "turnover_quote_units": 102940.52107759233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18431.700928039587, "return_pct": 84.31700928039587, "cagr_pct": 84.13738111691971, "max_drawdown_pct": 22.588310694544113, "mean_exposure_while_solvent": 0.749070986055657, "realized_annual_volatility_pct": 38.89553171758418, "trading_costs_quote_units": 15.425551692717764, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8447.1264797323, "turnover_quote_units": 25709.252821196304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18431.700928039587, "return_pct": 84.31700928039587, "cagr_pct": 84.13738111691971, "max_drawdown_pct": 22.588310694544113, "mean_exposure_while_solvent": 0.749070986055657, "realized_annual_volatility_pct": 38.89553171758418, "trading_costs_quote_units": 15.425551692717764, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8447.1264797323, "turnover_quote_units": 25709.252821196304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21859.09795284808, "return_pct": 118.59097952848079, "cagr_pct": 118.31857169010544, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 51.90222202926068, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11865.094355006779, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21859.09795284808, "return_pct": 118.59097952848079, "cagr_pct": 118.31857169010544, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 51.90222202926068, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11865.094355006779, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24796.918920736756, "return_pct": 147.96918920736758, "cagr_pct": 147.61037723452444, "max_drawdown_pct": 37.90871175038595, "mean_exposure_while_solvent": 1.2482274821010093, "realized_annual_volatility_pct": 64.94499922788924, "trading_costs_quote_units": 29.167927021745157, "borrowing_costs_quote_units": 415.37752032646137, "price_pnl_quote_units": 15241.46436808491, "turnover_quote_units": 48613.21170290865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24796.918920736756, "return_pct": 147.96918920736758, "cagr_pct": 147.61037723452444, "max_drawdown_pct": 37.90871175038595, "mean_exposure_while_solvent": 1.2482274821010093, "realized_annual_volatility_pct": 64.94499922788924, "trading_costs_quote_units": 29.167927021745157, "borrowing_costs_quote_units": 415.37752032646137, "price_pnl_quote_units": 15241.46436808491, "turnover_quote_units": 48613.21170290865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27624.5312800818, "return_pct": 176.245312800818, "cagr_pct": 175.79809274640238, "max_drawdown_pct": 45.399658481841584, "mean_exposure_while_solvent": 1.4978660452593358, "realized_annual_volatility_pct": 78.03024704385498, "trading_costs_quote_units": 64.7088055874664, "borrowing_costs_quote_units": 889.04089681043, "price_pnl_quote_units": 18578.28098247966, "turnover_quote_units": 107848.00931244402, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27624.5312800818, "return_pct": 176.245312800818, "cagr_pct": 175.79809274640238, "max_drawdown_pct": 45.399658481841584, "mean_exposure_while_solvent": 1.4978660452593358, "realized_annual_volatility_pct": 78.03024704385498, "trading_costs_quote_units": 64.7088055874664, "borrowing_costs_quote_units": 889.04089681043, "price_pnl_quote_units": 18578.28098247966, "turnover_quote_units": 107848.00931244402, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21489.724168734047, "return_pct": 114.89724168734048, "cagr_pct": 114.63526952443152, "max_drawdown_pct": 25.970842655626804, "mean_exposure_while_solvent": 0.826027395406305, "realized_annual_volatility_pct": 42.81468678527502, "trading_costs_quote_units": 65.65823346709422, "borrowing_costs_quote_units": 41.779099587375185, "price_pnl_quote_units": 11597.161501788503, "turnover_quote_units": 109430.38911182375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21489.724168734047, "return_pct": 114.89724168734048, "cagr_pct": 114.63526952443152, "max_drawdown_pct": 25.970842655626804, "mean_exposure_while_solvent": 0.826027395406305, "realized_annual_volatility_pct": 42.81468678527502, "trading_costs_quote_units": 65.65823346709422, "borrowing_costs_quote_units": 41.779099587375185, "price_pnl_quote_units": 11597.161501788503, "turnover_quote_units": 109430.38911182375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27214.295869469453, "return_pct": 172.14295869469453, "cagr_pct": 171.70886213067553, "max_drawdown_pct": 37.611325591368185, "mean_exposure_while_solvent": 1.218494931927336, "realized_annual_volatility_pct": 63.150935706870726, "trading_costs_quote_units": 99.03115731440309, "borrowing_costs_quote_units": 776.8989660917741, "price_pnl_quote_units": 18090.22599287565, "turnover_quote_units": 165051.92885733844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27214.295869469453, "return_pct": 172.14295869469453, "cagr_pct": 171.70886213067553, "max_drawdown_pct": 37.611325591368185, "mean_exposure_while_solvent": 1.218494931927336, "realized_annual_volatility_pct": 63.150935706870726, "trading_costs_quote_units": 99.03115731440309, "borrowing_costs_quote_units": 776.8989660917741, "price_pnl_quote_units": 18090.22599287565, "turnover_quote_units": 165051.92885733844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26850.77067851124, "return_pct": 168.5077067851124, "cagr_pct": 168.08515734781858, "max_drawdown_pct": 45.334966687883735, "mean_exposure_while_solvent": 1.4331273538419294, "realized_annual_volatility_pct": 74.38932936787799, "trading_costs_quote_units": 80.18929470553458, "borrowing_costs_quote_units": 1521.199096189339, "price_pnl_quote_units": 18452.15906940611, "turnover_quote_units": 133648.82450922427, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26850.77067851124, "return_pct": 168.5077067851124, "cagr_pct": 168.08515734781858, "max_drawdown_pct": 45.334966687883735, "mean_exposure_while_solvent": 1.4331273538419294, "realized_annual_volatility_pct": 74.38932936787799, "trading_costs_quote_units": 80.18929470553458, "borrowing_costs_quote_units": 1521.199096189339, "price_pnl_quote_units": 18452.15906940611, "turnover_quote_units": 133648.82450922427, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24543.265029726568, "return_pct": 145.4326502972657, "cagr_pct": 145.08152674993536, "max_drawdown_pct": 42.110897823809665, "mean_exposure_while_solvent": 1.223209570813891, "realized_annual_volatility_pct": 62.85658936993643, "trading_costs_quote_units": 139.63176243882342, "borrowing_costs_quote_units": 815.6868857982702, "price_pnl_quote_units": 15498.58367796364, "turnover_quote_units": 232719.6040647054, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24543.265029726568, "return_pct": 145.4326502972657, "cagr_pct": 145.08152674993536, "max_drawdown_pct": 42.110897823809665, "mean_exposure_while_solvent": 1.223209570813891, "realized_annual_volatility_pct": 62.85658936993643, "trading_costs_quote_units": 139.63176243882342, "borrowing_costs_quote_units": 815.6868857982702, "price_pnl_quote_units": 15498.58367796364, "turnover_quote_units": 232719.6040647054, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26549.377652468735, "return_pct": 165.49377652468732, "cagr_pct": 165.0807413571588, "max_drawdown_pct": 39.69731136007084, "mean_exposure_while_solvent": 1.2180237014090427, "realized_annual_volatility_pct": 64.1032226779438, "trading_costs_quote_units": 61.08711613496743, "borrowing_costs_quote_units": 743.3233006780061, "price_pnl_quote_units": 17353.78806928164, "turnover_quote_units": 101811.8602249458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26549.377652468735, "return_pct": 165.49377652468732, "cagr_pct": 165.0807413571588, "max_drawdown_pct": 39.69731136007084, "mean_exposure_while_solvent": 1.2180237014090427, "realized_annual_volatility_pct": 64.1032226779438, "trading_costs_quote_units": 61.08711613496743, "borrowing_costs_quote_units": 743.3233006780061, "price_pnl_quote_units": 17353.78806928164, "turnover_quote_units": 101811.8602249458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21935.535310690077, "return_pct": 119.35535310690075, "cagr_pct": 119.08077328451525, "max_drawdown_pct": 30.259596277389058, "mean_exposure_while_solvent": 0.9846312449128017, "realized_annual_volatility_pct": 51.12558275934474, "trading_costs_quote_units": 14.3611501602572, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11949.896460850327, "turnover_quote_units": 23935.250267095333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21935.535310690077, "return_pct": 119.35535310690075, "cagr_pct": 119.08077328451525, "max_drawdown_pct": 30.259596277389058, "mean_exposure_while_solvent": 0.9846312449128017, "realized_annual_volatility_pct": 51.12558275934474, "trading_costs_quote_units": 14.3611501602572, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11949.896460850327, "turnover_quote_units": 23935.250267095333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26549.377652468735, "return_pct": 165.49377652468732, "cagr_pct": 165.0807413571588, "max_drawdown_pct": 39.69731136007084, "mean_exposure_while_solvent": 1.2180237014090427, "realized_annual_volatility_pct": 64.1032226779438, "trading_costs_quote_units": 61.08711613496743, "borrowing_costs_quote_units": 743.3233006780061, "price_pnl_quote_units": 17353.78806928164, "turnover_quote_units": 101811.8602249458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26549.377652468735, "return_pct": 165.49377652468732, "cagr_pct": 165.0807413571588, "max_drawdown_pct": 39.69731136007084, "mean_exposure_while_solvent": 1.2180237014090427, "realized_annual_volatility_pct": 64.1032226779438, "trading_costs_quote_units": 61.08711613496743, "borrowing_costs_quote_units": 743.3233006780061, "price_pnl_quote_units": 17353.78806928164, "turnover_quote_units": 101811.8602249458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26549.377652468735, "return_pct": 165.49377652468732, "cagr_pct": 165.0807413571588, "max_drawdown_pct": 39.69731136007084, "mean_exposure_while_solvent": 1.2180237014090427, "realized_annual_volatility_pct": 64.1032226779438, "trading_costs_quote_units": 61.08711613496743, "borrowing_costs_quote_units": 743.3233006780061, "price_pnl_quote_units": 17353.78806928164, "turnover_quote_units": 101811.8602249458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26549.377652468735, "return_pct": 165.49377652468732, "cagr_pct": 165.0807413571588, "max_drawdown_pct": 39.69731136007084, "mean_exposure_while_solvent": 1.2180237014090427, "realized_annual_volatility_pct": 64.1032226779438, "trading_costs_quote_units": 61.08711613496743, "borrowing_costs_quote_units": 743.3233006780061, "price_pnl_quote_units": 17353.78806928164, "turnover_quote_units": 101811.8602249458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 18431.700928039587, "return_pct": 84.31700928039587, "cagr_pct": 84.13738111691971, "max_drawdown_pct": 22.588310694544113, "mean_exposure_while_solvent": 0.749070986055657, "realized_annual_volatility_pct": 38.89553171758418, "trading_costs_quote_units": 15.425551692717764, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8447.1264797323, "turnover_quote_units": 25709.252821196304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 18431.700928039587, "return_pct": 84.31700928039587, "cagr_pct": 84.13738111691971, "max_drawdown_pct": 22.588310694544113, "mean_exposure_while_solvent": 0.749070986055657, "realized_annual_volatility_pct": 38.89553171758418, "trading_costs_quote_units": 15.425551692717764, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8447.1264797323, "turnover_quote_units": 25709.252821196304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21859.09795284808, "return_pct": 118.59097952848079, "cagr_pct": 118.31857169010544, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 51.90222202926068, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11865.094355006779, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21859.09795284808, "return_pct": 118.59097952848079, "cagr_pct": 118.31857169010544, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 51.90222202926068, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11865.094355006779, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24185.480730277115, "return_pct": 141.85480730277112, "cagr_pct": 141.514457495126, "max_drawdown_pct": 38.52313567104345, "mean_exposure_while_solvent": 1.248263027591343, "realized_annual_volatility_pct": 64.94717216602444, "trading_costs_quote_units": 28.849853393732072, "borrowing_costs_quote_units": 819.5127042345121, "price_pnl_quote_units": 15033.843287905316, "turnover_quote_units": 48083.08898955349, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24185.480730277115, "return_pct": 141.85480730277112, "cagr_pct": 141.514457495126, "max_drawdown_pct": 38.52313567104345, "mean_exposure_while_solvent": 1.248263027591343, "realized_annual_volatility_pct": 64.94717216602444, "trading_costs_quote_units": 28.849853393732072, "borrowing_costs_quote_units": 819.5127042345121, "price_pnl_quote_units": 15033.843287905316, "turnover_quote_units": 48083.08898955349, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26279.001788540612, "return_pct": 162.79001788540612, "cagr_pct": 162.38547158850972, "max_drawdown_pct": 46.476231629523376, "mean_exposure_while_solvent": 1.4979513838588139, "realized_annual_volatility_pct": 78.03550108163151, "trading_costs_quote_units": 63.14290850582895, "borrowing_costs_quote_units": 1729.7753032090252, "price_pnl_quote_units": 18071.920000255428, "turnover_quote_units": 105238.1808430483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26279.001788540612, "return_pct": 162.79001788540612, "cagr_pct": 162.38547158850972, "max_drawdown_pct": 46.476231629523376, "mean_exposure_while_solvent": 1.4979513838588139, "realized_annual_volatility_pct": 78.03550108163151, "trading_costs_quote_units": 63.14290850582895, "borrowing_costs_quote_units": 1729.7753032090252, "price_pnl_quote_units": 18071.920000255428, "turnover_quote_units": 105238.1808430483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21058.94827899282, "return_pct": 110.58948278992817, "cagr_pct": 110.33955340845583, "max_drawdown_pct": 26.123286902143327, "mean_exposure_while_solvent": 0.8268193289142086, "realized_annual_volatility_pct": 42.65062887000031, "trading_costs_quote_units": 323.6657288368091, "borrowing_costs_quote_units": 10.27890526201698, "price_pnl_quote_units": 11392.892913091635, "turnover_quote_units": 107888.57627893618, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21058.94827899282, "return_pct": 110.58948278992817, "cagr_pct": 110.33955340845583, "max_drawdown_pct": 26.123286902143327, "mean_exposure_while_solvent": 0.8268193289142086, "realized_annual_volatility_pct": 42.65062887000031, "trading_costs_quote_units": 323.6657288368091, "borrowing_costs_quote_units": 10.27890526201698, "price_pnl_quote_units": 11392.892913091635, "turnover_quote_units": 107888.57627893618, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27404.698384904594, "return_pct": 174.04698384904594, "cagr_pct": 173.6068084148091, "max_drawdown_pct": 37.03486189686842, "mean_exposure_while_solvent": 1.2194995133764206, "realized_annual_volatility_pct": 62.8837074040792, "trading_costs_quote_units": 489.80013949396, "borrowing_costs_quote_units": 194.63774472367672, "price_pnl_quote_units": 18089.136269122213, "turnover_quote_units": 163266.7131646531, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27404.698384904594, "return_pct": 174.04698384904594, "cagr_pct": 173.6068084148091, "max_drawdown_pct": 37.03486189686842, "mean_exposure_while_solvent": 1.2194995133764206, "realized_annual_volatility_pct": 62.8837074040792, "trading_costs_quote_units": 489.80013949396, "borrowing_costs_quote_units": 194.63774472367672, "price_pnl_quote_units": 18089.136269122213, "turnover_quote_units": 163266.7131646531, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28326.47470057015, "return_pct": 183.2647470057015, "cagr_pct": 182.79484786384322, "max_drawdown_pct": 44.07186084425331, "mean_exposure_while_solvent": 1.4341910237636968, "realized_annual_volatility_pct": 74.30401660864213, "trading_costs_quote_units": 415.81676340082106, "borrowing_costs_quote_units": 391.6459824999146, "price_pnl_quote_units": 19133.937446470874, "turnover_quote_units": 138605.58780027364, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28326.47470057015, "return_pct": 183.2647470057015, "cagr_pct": 182.79484786384322, "max_drawdown_pct": 44.07186084425331, "mean_exposure_while_solvent": 1.4341910237636968, "realized_annual_volatility_pct": 74.30401660864213, "trading_costs_quote_units": 415.81676340082106, "borrowing_costs_quote_units": 391.6459824999146, "price_pnl_quote_units": 19133.937446470874, "turnover_quote_units": 138605.58780027364, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24137.71320893333, "return_pct": 141.37713208933334, "cagr_pct": 141.0382143360438, "max_drawdown_pct": 41.8133899554998, "mean_exposure_while_solvent": 1.2241411074373247, "realized_annual_volatility_pct": 62.60774753316538, "trading_costs_quote_units": 683.9553920269512, "borrowing_costs_quote_units": 201.4235149204524, "price_pnl_quote_units": 15023.092115880767, "turnover_quote_units": 227985.1306756502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24137.71320893333, "return_pct": 141.37713208933334, "cagr_pct": 141.0382143360438, "max_drawdown_pct": 41.8133899554998, "mean_exposure_while_solvent": 1.2241411074373247, "realized_annual_volatility_pct": 62.60774753316538, "trading_costs_quote_units": 683.9553920269512, "borrowing_costs_quote_units": 201.4235149204524, "price_pnl_quote_units": 15023.092115880767, "turnover_quote_units": 227985.1306756502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26995.960330799047, "return_pct": 169.95960330799048, "cagr_pct": 169.5324513454635, "max_drawdown_pct": 39.26909863340301, "mean_exposure_while_solvent": 1.2188963607427332, "realized_annual_volatility_pct": 63.93252194289989, "trading_costs_quote_units": 311.5334154519274, "borrowing_costs_quote_units": 187.22145510846798, "price_pnl_quote_units": 17494.71520135945, "turnover_quote_units": 103844.47181730914, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26995.960330799047, "return_pct": 169.95960330799048, "cagr_pct": 169.5324513454635, "max_drawdown_pct": 39.26909863340301, "mean_exposure_while_solvent": 1.2188963607427332, "realized_annual_volatility_pct": 63.93252194289989, "trading_costs_quote_units": 311.5334154519274, "borrowing_costs_quote_units": 187.22145510846798, "price_pnl_quote_units": 17494.71520135945, "turnover_quote_units": 103844.47181730914, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21923.181947616693, "return_pct": 119.23181947616692, "cagr_pct": 118.957590964561, "max_drawdown_pct": 30.489072817154238, "mean_exposure_while_solvent": 0.9855656254569883, "realized_annual_volatility_pct": 51.13266318364583, "trading_costs_quote_units": 71.57869131618675, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11994.76063893286, "turnover_quote_units": 23859.563772062254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21923.181947616693, "return_pct": 119.23181947616692, "cagr_pct": 118.957590964561, "max_drawdown_pct": 30.489072817154238, "mean_exposure_while_solvent": 0.9855656254569883, "realized_annual_volatility_pct": 51.13266318364583, "trading_costs_quote_units": 71.57869131618675, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11994.76063893286, "turnover_quote_units": 23859.563772062254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26995.960330799047, "return_pct": 169.95960330799048, "cagr_pct": 169.5324513454635, "max_drawdown_pct": 39.26909863340301, "mean_exposure_while_solvent": 1.2188963607427332, "realized_annual_volatility_pct": 63.93252194289989, "trading_costs_quote_units": 311.5334154519274, "borrowing_costs_quote_units": 187.22145510846798, "price_pnl_quote_units": 17494.71520135945, "turnover_quote_units": 103844.47181730914, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26995.960330799047, "return_pct": 169.95960330799048, "cagr_pct": 169.5324513454635, "max_drawdown_pct": 39.26909863340301, "mean_exposure_while_solvent": 1.2188963607427332, "realized_annual_volatility_pct": 63.93252194289989, "trading_costs_quote_units": 311.5334154519274, "borrowing_costs_quote_units": 187.22145510846798, "price_pnl_quote_units": 17494.71520135945, "turnover_quote_units": 103844.47181730914, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26995.960330799047, "return_pct": 169.95960330799048, "cagr_pct": 169.5324513454635, "max_drawdown_pct": 39.26909863340301, "mean_exposure_while_solvent": 1.2188963607427332, "realized_annual_volatility_pct": 63.93252194289989, "trading_costs_quote_units": 311.5334154519274, "borrowing_costs_quote_units": 187.22145510846798, "price_pnl_quote_units": 17494.71520135945, "turnover_quote_units": 103844.47181730914, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26995.960330799047, "return_pct": 169.95960330799048, "cagr_pct": 169.5324513454635, "max_drawdown_pct": 39.26909863340301, "mean_exposure_while_solvent": 1.2188963607427332, "realized_annual_volatility_pct": 63.93252194289989, "trading_costs_quote_units": 311.5334154519274, "borrowing_costs_quote_units": 187.22145510846798, "price_pnl_quote_units": 17494.71520135945, "turnover_quote_units": 103844.47181730914, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18428.135420305443, "return_pct": 84.28135420305442, "cagr_pct": 84.10181757993142, "max_drawdown_pct": 22.745020690804218, "mean_exposure_while_solvent": 0.7498259337005607, "realized_annual_volatility_pct": 38.907286676935335, "trading_costs_quote_units": 79.4240068138085, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8507.559427119233, "turnover_quote_units": 26474.66893793615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18428.135420305443, "return_pct": 84.28135420305442, "cagr_pct": 84.10181757993142, "max_drawdown_pct": 22.745020690804218, "mean_exposure_while_solvent": 0.7498259337005607, "realized_annual_volatility_pct": 38.907286676935335, "trading_costs_quote_units": 79.4240068138085, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8507.559427119233, "turnover_quote_units": 26474.66893793615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21955.921512900164, "return_pct": 119.55921512900164, "cagr_pct": 119.28405531229362, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 51.905275201639725, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11985.831782092591, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 21955.921512900164, "return_pct": 119.55921512900164, "cagr_pct": 119.28405531229362, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 51.905275201639725, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11985.831782092591, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25124.328708628458, "return_pct": 151.2432870862846, "cagr_pct": 150.87449017292977, "max_drawdown_pct": 37.66479777519154, "mean_exposure_while_solvent": 1.2492137975426003, "realized_annual_volatility_pct": 64.93373641779895, "trading_costs_quote_units": 150.78365827730664, "borrowing_costs_quote_units": 209.4627213509602, "price_pnl_quote_units": 15484.575088256737, "turnover_quote_units": 50261.21942576882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25124.328708628458, "return_pct": 151.2432870862846, "cagr_pct": 150.87449017292977, "max_drawdown_pct": 37.66479777519154, "mean_exposure_while_solvent": 1.2492137975426003, "realized_annual_volatility_pct": 64.93373641779895, "trading_costs_quote_units": 150.78365827730664, "borrowing_costs_quote_units": 209.4627213509602, "price_pnl_quote_units": 15484.575088256737, "turnover_quote_units": 50261.21942576882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28188.699041521788, "return_pct": 181.88699041521787, "cagr_pct": 181.42156469133832, "max_drawdown_pct": 44.97775672984389, "mean_exposure_while_solvent": 1.4988492793488444, "realized_annual_volatility_pct": 77.99826056728631, "trading_costs_quote_units": 336.6961329174739, "borrowing_costs_quote_units": 449.4013223147873, "price_pnl_quote_units": 18974.796496754007, "turnover_quote_units": 112232.04430582451, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28188.699041521788, "return_pct": 181.88699041521787, "cagr_pct": 181.42156469133832, "max_drawdown_pct": 44.97775672984389, "mean_exposure_while_solvent": 1.4988492793488444, "realized_annual_volatility_pct": 77.99826056728631, "trading_costs_quote_units": 336.6961329174739, "borrowing_costs_quote_units": 449.4013223147873, "price_pnl_quote_units": 18974.796496754007, "turnover_quote_units": 112232.04430582451, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21044.766401438785, "return_pct": 110.44766401438784, "cagr_pct": 110.19812873503324, "max_drawdown_pct": 26.13299426707044, "mean_exposure_while_solvent": 0.8268202181997787, "realized_annual_volatility_pct": 42.650632771828185, "trading_costs_quote_units": 323.5915905891218, "borrowing_costs_quote_units": 20.55205201627012, "price_pnl_quote_units": 11388.91004404416, "turnover_quote_units": 107863.86352970725, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21044.766401438785, "return_pct": 110.44766401438784, "cagr_pct": 110.19812873503324, "max_drawdown_pct": 26.13299426707044, "mean_exposure_while_solvent": 0.8268202181997787, "realized_annual_volatility_pct": 42.650632771828185, "trading_costs_quote_units": 323.5915905891218, "borrowing_costs_quote_units": 20.55205201627012, "price_pnl_quote_units": 11388.91004404416, "turnover_quote_units": 107863.86352970725, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27086.21450130491, "return_pct": 170.86214501304912, "cagr_pct": 170.4321257250657, "max_drawdown_pct": 37.29305605016629, "mean_exposure_while_solvent": 1.2195178842173509, "realized_annual_volatility_pct": 62.88457476969237, "trading_costs_quote_units": 486.83141245309605, "borrowing_costs_quote_units": 386.75751652917694, "price_pnl_quote_units": 17959.803430287193, "turnover_quote_units": 162277.1374843652, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27086.21450130491, "return_pct": 170.86214501304912, "cagr_pct": 170.4321257250657, "max_drawdown_pct": 37.29305605016629, "mean_exposure_while_solvent": 1.2195178842173509, "realized_annual_volatility_pct": 62.88457476969237, "trading_costs_quote_units": 486.83141245309605, "borrowing_costs_quote_units": 386.75751652917694, "price_pnl_quote_units": 17959.803430287193, "turnover_quote_units": 162277.1374843652, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27717.37647319129, "return_pct": 177.17376473191288, "cagr_pct": 176.7235610571189, "max_drawdown_pct": 44.5378330272392, "mean_exposure_while_solvent": 1.4342272229247512, "realized_annual_volatility_pct": 74.30664656609636, "trading_costs_quote_units": 411.36351579115063, "borrowing_costs_quote_units": 773.7710451846809, "price_pnl_quote_units": 18902.51103416708, "turnover_quote_units": 137121.17193038348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27717.37647319129, "return_pct": 177.17376473191288, "cagr_pct": 176.7235610571189, "max_drawdown_pct": 44.5378330272392, "mean_exposure_while_solvent": 1.4342272229247512, "realized_annual_volatility_pct": 74.30664656609636, "trading_costs_quote_units": 411.36351579115063, "borrowing_costs_quote_units": 773.7710451846809, "price_pnl_quote_units": 18902.51103416708, "turnover_quote_units": 137121.17193038348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23837.807722178244, "return_pct": 138.37807722178246, "cagr_pct": 138.04811607764555, "max_drawdown_pct": 42.07779289102482, "mean_exposure_while_solvent": 1.2241609587223694, "realized_annual_volatility_pct": 62.609122265321005, "trading_costs_quote_units": 679.5723063445785, "borrowing_costs_quote_units": 400.16824697864837, "price_pnl_quote_units": 14917.548275501478, "turnover_quote_units": 226524.1021148594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23837.807722178244, "return_pct": 138.37807722178246, "cagr_pct": 138.04811607764555, "max_drawdown_pct": 42.07779289102482, "mean_exposure_while_solvent": 1.2241609587223694, "realized_annual_volatility_pct": 62.609122265321005, "trading_costs_quote_units": 679.5723063445785, "borrowing_costs_quote_units": 400.16824697864837, "price_pnl_quote_units": 14917.548275501478, "turnover_quote_units": 226524.1021148594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26698.337980658467, "return_pct": 166.98337980658468, "cagr_pct": 166.56564907038705, "max_drawdown_pct": 39.487613919815466, "mean_exposure_while_solvent": 1.2189133405864259, "realized_annual_volatility_pct": 63.933531568303245, "trading_costs_quote_units": 309.7623271142082, "borrowing_costs_quote_units": 372.0791193156978, "price_pnl_quote_units": 17380.179427088337, "turnover_quote_units": 103254.10903806936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26698.337980658467, "return_pct": 166.98337980658468, "cagr_pct": 166.56564907038705, "max_drawdown_pct": 39.487613919815466, "mean_exposure_while_solvent": 1.2189133405864259, "realized_annual_volatility_pct": 63.933531568303245, "trading_costs_quote_units": 309.7623271142082, "borrowing_costs_quote_units": 372.0791193156978, "price_pnl_quote_units": 17380.179427088337, "turnover_quote_units": 103254.10903806936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21923.181947616693, "return_pct": 119.23181947616692, "cagr_pct": 118.957590964561, "max_drawdown_pct": 30.489072817154238, "mean_exposure_while_solvent": 0.9855656254569883, "realized_annual_volatility_pct": 51.13266318364583, "trading_costs_quote_units": 71.57869131618675, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11994.76063893286, "turnover_quote_units": 23859.563772062254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21923.181947616693, "return_pct": 119.23181947616692, "cagr_pct": 118.957590964561, "max_drawdown_pct": 30.489072817154238, "mean_exposure_while_solvent": 0.9855656254569883, "realized_annual_volatility_pct": 51.13266318364583, "trading_costs_quote_units": 71.57869131618675, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11994.76063893286, "turnover_quote_units": 23859.563772062254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26698.337980658467, "return_pct": 166.98337980658468, "cagr_pct": 166.56564907038705, "max_drawdown_pct": 39.487613919815466, "mean_exposure_while_solvent": 1.2189133405864259, "realized_annual_volatility_pct": 63.933531568303245, "trading_costs_quote_units": 309.7623271142082, "borrowing_costs_quote_units": 372.0791193156978, "price_pnl_quote_units": 17380.179427088337, "turnover_quote_units": 103254.10903806936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26698.337980658467, "return_pct": 166.98337980658468, "cagr_pct": 166.56564907038705, "max_drawdown_pct": 39.487613919815466, "mean_exposure_while_solvent": 1.2189133405864259, "realized_annual_volatility_pct": 63.933531568303245, "trading_costs_quote_units": 309.7623271142082, "borrowing_costs_quote_units": 372.0791193156978, "price_pnl_quote_units": 17380.179427088337, "turnover_quote_units": 103254.10903806936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26698.337980658467, "return_pct": 166.98337980658468, "cagr_pct": 166.56564907038705, "max_drawdown_pct": 39.487613919815466, "mean_exposure_while_solvent": 1.2189133405864259, "realized_annual_volatility_pct": 63.933531568303245, "trading_costs_quote_units": 309.7623271142082, "borrowing_costs_quote_units": 372.0791193156978, "price_pnl_quote_units": 17380.179427088337, "turnover_quote_units": 103254.10903806936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26698.337980658467, "return_pct": 166.98337980658468, "cagr_pct": 166.56564907038705, "max_drawdown_pct": 39.487613919815466, "mean_exposure_while_solvent": 1.2189133405864259, "realized_annual_volatility_pct": 63.933531568303245, "trading_costs_quote_units": 309.7623271142082, "borrowing_costs_quote_units": 372.0791193156978, "price_pnl_quote_units": 17380.179427088337, "turnover_quote_units": 103254.10903806936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18428.135420305443, "return_pct": 84.28135420305442, "cagr_pct": 84.10181757993142, "max_drawdown_pct": 22.745020690804218, "mean_exposure_while_solvent": 0.7498259337005607, "realized_annual_volatility_pct": 38.907286676935335, "trading_costs_quote_units": 79.4240068138085, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8507.559427119233, "turnover_quote_units": 26474.66893793615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18428.135420305443, "return_pct": 84.28135420305442, "cagr_pct": 84.10181757993142, "max_drawdown_pct": 22.745020690804218, "mean_exposure_while_solvent": 0.7498259337005607, "realized_annual_volatility_pct": 38.907286676935335, "trading_costs_quote_units": 79.4240068138085, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8507.559427119233, "turnover_quote_units": 26474.66893793615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21955.921512900164, "return_pct": 119.55921512900164, "cagr_pct": 119.28405531229362, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 51.905275201639725, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11985.831782092591, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21955.921512900164, "return_pct": 119.55921512900164, "cagr_pct": 119.28405531229362, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 51.905275201639725, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11985.831782092591, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24812.442851664542, "return_pct": 148.12442851664542, "cagr_pct": 147.7651446589182, "max_drawdown_pct": 37.97385394517679, "mean_exposure_while_solvent": 1.249231583388223, "realized_annual_volatility_pct": 64.93511684993747, "trading_costs_quote_units": 150.00352755768088, "borrowing_costs_quote_units": 416.07084291189676, "price_pnl_quote_units": 15378.517222134156, "turnover_quote_units": 50001.175852560285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24812.442851664542, "return_pct": 148.12442851664542, "cagr_pct": 147.7651446589182, "max_drawdown_pct": 37.97385394517679, "mean_exposure_while_solvent": 1.249231583388223, "realized_annual_volatility_pct": 64.93511684993747, "trading_costs_quote_units": 150.00352755768088, "borrowing_costs_quote_units": 416.07084291189676, "price_pnl_quote_units": 15378.517222134156, "turnover_quote_units": 50001.175852560285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27493.213008233397, "return_pct": 174.93213008233397, "cagr_pct": 174.4891215249245, "max_drawdown_pct": 45.52262752552484, "mean_exposure_while_solvent": 1.4988919634733127, "realized_annual_volatility_pct": 78.00158898296205, "trading_costs_quote_units": 332.74609531905605, "borrowing_costs_quote_units": 886.4385699575977, "price_pnl_quote_units": 18712.39767351003, "turnover_quote_units": 110915.36510635208, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27493.213008233397, "return_pct": 174.93213008233397, "cagr_pct": 174.4891215249245, "max_drawdown_pct": 45.52262752552484, "mean_exposure_while_solvent": 1.4988919634733127, "realized_annual_volatility_pct": 78.00158898296205, "trading_costs_quote_units": 332.74609531905605, "borrowing_costs_quote_units": 886.4385699575977, "price_pnl_quote_units": 18712.39767351003, "turnover_quote_units": 110915.36510635208, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21016.42555819115, "return_pct": 110.16425558191148, "cagr_pct": 109.91550741470255, "max_drawdown_pct": 26.152408755933433, "mean_exposure_while_solvent": 0.8268219970036936, "realized_annual_volatility_pct": 42.650642031340006, "trading_costs_quote_units": 323.4434017669859, "borrowing_costs_quote_units": 41.08107871387656, "price_pnl_quote_units": 11380.950038672003, "turnover_quote_units": 107814.46725566199, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21016.42555819115, "return_pct": 110.16425558191148, "cagr_pct": 109.91550741470255, "max_drawdown_pct": 26.152408755933433, "mean_exposure_while_solvent": 0.8268219970036936, "realized_annual_volatility_pct": 42.650642031340006, "trading_costs_quote_units": 323.4434017669859, "borrowing_costs_quote_units": 41.08107871387656, "price_pnl_quote_units": 11380.950038672003, "turnover_quote_units": 107814.46725566199, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26460.14118635808, "return_pct": 164.60141186358078, "cagr_pct": 164.1911832744282, "max_drawdown_pct": 37.80639919336502, "mean_exposure_while_solvent": 1.219554632843889, "realized_annual_volatility_pct": 62.886327872360425, "trading_costs_quote_units": 480.97241808021175, "borrowing_costs_quote_units": 763.5636100981374, "price_pnl_quote_units": 17704.677214536434, "turnover_quote_units": 160324.13936007067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26460.14118635808, "return_pct": 164.60141186358078, "cagr_pct": 164.1911832744282, "max_drawdown_pct": 37.80639919336502, "mean_exposure_while_solvent": 1.219554632843889, "realized_annual_volatility_pct": 62.886327872360425, "trading_costs_quote_units": 480.97241808021175, "borrowing_costs_quote_units": 763.5636100981374, "price_pnl_quote_units": 17704.677214536434, "turnover_quote_units": 160324.13936007067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26537.83424822663, "return_pct": 165.3783424822663, "cagr_pct": 164.96567063545064, "max_drawdown_pct": 45.45840398118893, "mean_exposure_while_solvent": 1.434299636311212, "realized_annual_volatility_pct": 74.31191413059618, "trading_costs_quote_units": 402.6833199676778, "borrowing_costs_quote_units": 1510.319386648552, "price_pnl_quote_units": 18450.836954842882, "turnover_quote_units": 134227.77332255937, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26537.83424822663, "return_pct": 165.3783424822663, "cagr_pct": 164.96567063545064, "max_drawdown_pct": 45.45840398118893, "mean_exposure_while_solvent": 1.434299636311212, "realized_annual_volatility_pct": 74.31191413059618, "trading_costs_quote_units": 402.6833199676778, "borrowing_costs_quote_units": 1510.319386648552, "price_pnl_quote_units": 18450.836954842882, "turnover_quote_units": 134227.77332255937, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23248.955073688154, "return_pct": 132.48955073688157, "cagr_pct": 132.17700030838557, "max_drawdown_pct": 42.60313095295495, "mean_exposure_while_solvent": 1.2242006689512102, "realized_annual_volatility_pct": 62.61189293956362, "trading_costs_quote_units": 670.9376602592276, "borrowing_costs_quote_units": 789.7553083726632, "price_pnl_quote_units": 14709.648042320074, "turnover_quote_units": 223645.88675307602, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23248.955073688154, "return_pct": 132.48955073688157, "cagr_pct": 132.17700030838557, "max_drawdown_pct": 42.60313095295495, "mean_exposure_while_solvent": 1.2242006689512102, "realized_annual_volatility_pct": 62.61189293956362, "trading_costs_quote_units": 670.9376602592276, "borrowing_costs_quote_units": 789.7553083726632, "price_pnl_quote_units": 14709.648042320074, "turnover_quote_units": 223645.88675307602, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26112.760834172812, "return_pct": 161.12760834172812, "cagr_pct": 160.7282595149706, "max_drawdown_pct": 39.922391776118985, "mean_exposure_while_solvent": 1.2189473063797491, "realized_annual_volatility_pct": 63.935565923719295, "trading_costs_quote_units": 306.2616076374548, "borrowing_costs_quote_units": 734.8124273708514, "price_pnl_quote_units": 17153.834869181115, "turnover_quote_units": 102087.20254581829, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26112.760834172812, "return_pct": 161.12760834172812, "cagr_pct": 160.7282595149706, "max_drawdown_pct": 39.922391776118985, "mean_exposure_while_solvent": 1.2189473063797491, "realized_annual_volatility_pct": 63.935565923719295, "trading_costs_quote_units": 306.2616076374548, "borrowing_costs_quote_units": 734.8124273708514, "price_pnl_quote_units": 17153.834869181115, "turnover_quote_units": 102087.20254581829, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21923.181947616693, "return_pct": 119.23181947616692, "cagr_pct": 118.957590964561, "max_drawdown_pct": 30.489072817154238, "mean_exposure_while_solvent": 0.9855656254569883, "realized_annual_volatility_pct": 51.13266318364583, "trading_costs_quote_units": 71.57869131618675, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11994.76063893286, "turnover_quote_units": 23859.563772062254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21923.181947616693, "return_pct": 119.23181947616692, "cagr_pct": 118.957590964561, "max_drawdown_pct": 30.489072817154238, "mean_exposure_while_solvent": 0.9855656254569883, "realized_annual_volatility_pct": 51.13266318364583, "trading_costs_quote_units": 71.57869131618675, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11994.76063893286, "turnover_quote_units": 23859.563772062254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26112.760834172812, "return_pct": 161.12760834172812, "cagr_pct": 160.7282595149706, "max_drawdown_pct": 39.922391776118985, "mean_exposure_while_solvent": 1.2189473063797491, "realized_annual_volatility_pct": 63.935565923719295, "trading_costs_quote_units": 306.2616076374548, "borrowing_costs_quote_units": 734.8124273708514, "price_pnl_quote_units": 17153.834869181115, "turnover_quote_units": 102087.20254581829, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26112.760834172812, "return_pct": 161.12760834172812, "cagr_pct": 160.7282595149706, "max_drawdown_pct": 39.922391776118985, "mean_exposure_while_solvent": 1.2189473063797491, "realized_annual_volatility_pct": 63.935565923719295, "trading_costs_quote_units": 306.2616076374548, "borrowing_costs_quote_units": 734.8124273708514, "price_pnl_quote_units": 17153.834869181115, "turnover_quote_units": 102087.20254581829, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26112.760834172812, "return_pct": 161.12760834172812, "cagr_pct": 160.7282595149706, "max_drawdown_pct": 39.922391776118985, "mean_exposure_while_solvent": 1.2189473063797491, "realized_annual_volatility_pct": 63.935565923719295, "trading_costs_quote_units": 306.2616076374548, "borrowing_costs_quote_units": 734.8124273708514, "price_pnl_quote_units": 17153.834869181115, "turnover_quote_units": 102087.20254581829, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26112.760834172812, "return_pct": 161.12760834172812, "cagr_pct": 160.7282595149706, "max_drawdown_pct": 39.922391776118985, "mean_exposure_while_solvent": 1.2189473063797491, "realized_annual_volatility_pct": 63.935565923719295, "trading_costs_quote_units": 306.2616076374548, "borrowing_costs_quote_units": 734.8124273708514, "price_pnl_quote_units": 17153.834869181115, "turnover_quote_units": 102087.20254581829, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18428.135420305443, "return_pct": 84.28135420305442, "cagr_pct": 84.10181757993142, "max_drawdown_pct": 22.745020690804218, "mean_exposure_while_solvent": 0.7498259337005607, "realized_annual_volatility_pct": 38.907286676935335, "trading_costs_quote_units": 79.4240068138085, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8507.559427119233, "turnover_quote_units": 26474.66893793615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18428.135420305443, "return_pct": 84.28135420305442, "cagr_pct": 84.10181757993142, "max_drawdown_pct": 22.745020690804218, "mean_exposure_while_solvent": 0.7498259337005607, "realized_annual_volatility_pct": 38.907286676935335, "trading_costs_quote_units": 79.4240068138085, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8507.559427119233, "turnover_quote_units": 26474.66893793615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21955.921512900164, "return_pct": 119.55921512900164, "cagr_pct": 119.28405531229362, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 51.905275201639725, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11985.831782092591, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21955.921512900164, "return_pct": 119.55921512900164, "cagr_pct": 119.28405531229362, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9995446265938069, "realized_annual_volatility_pct": 51.905275201639725, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11985.831782092591, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24200.075937708603, "return_pct": 142.00075937708604, "cagr_pct": 141.65997171071015, "max_drawdown_pct": 38.587512968662, "mean_exposure_while_solvent": 1.2492671605547705, "realized_annual_volatility_pct": 64.93787891328121, "trading_costs_quote_units": 148.4798314587854, "borrowing_costs_quote_units": 820.8694038560619, "price_pnl_quote_units": 15169.425173023517, "turnover_quote_units": 49493.27715292847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24200.075937708603, "return_pct": 142.00075937708604, "cagr_pct": 141.65997171071015, "max_drawdown_pct": 38.587512968662, "mean_exposure_while_solvent": 1.2492671605547705, "realized_annual_volatility_pct": 64.93787891328121, "trading_costs_quote_units": 148.4798314587854, "borrowing_costs_quote_units": 820.8694038560619, "price_pnl_quote_units": 15169.425173023517, "turnover_quote_units": 49493.27715292847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26152.86625994662, "return_pct": 161.52866259946617, "cagr_pct": 161.12806142507264, "max_drawdown_pct": 46.59652721095079, "mean_exposure_while_solvent": 1.4989773502226176, "realized_annual_volatility_pct": 78.00824930743894, "trading_costs_quote_units": 325.08838935491355, "borrowing_costs_quote_units": 1724.6976263140193, "price_pnl_quote_units": 18202.65227561559, "turnover_quote_units": 108362.79645163797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26152.86625994662, "return_pct": 161.52866259946617, "cagr_pct": 161.12806142507264, "max_drawdown_pct": 46.59652721095079, "mean_exposure_while_solvent": 1.4989773502226176, "realized_annual_volatility_pct": 78.00824930743894, "trading_costs_quote_units": 325.08838935491355, "borrowing_costs_quote_units": 1724.6976263140193, "price_pnl_quote_units": 18202.65227561559, "turnover_quote_units": 108362.79645163797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21150.29180530445, "return_pct": 111.50291805304451, "cagr_pct": 111.2504466792887, "max_drawdown_pct": 26.1492423870318, "mean_exposure_while_solvent": 0.8260247365670924, "realized_annual_volatility_pct": 42.81617377857151, "trading_costs_quote_units": 325.26409669204537, "borrowing_costs_quote_units": 10.313495668125311, "price_pnl_quote_units": 11485.869397664634, "turnover_quote_units": 108421.36556401536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21150.29180530445, "return_pct": 111.50291805304451, "cagr_pct": 111.2504466792887, "max_drawdown_pct": 26.1492423870318, "mean_exposure_while_solvent": 0.8260247365670924, "realized_annual_volatility_pct": 42.81617377857151, "trading_costs_quote_units": 325.26409669204537, "borrowing_costs_quote_units": 10.313495668125311, "price_pnl_quote_units": 11485.869397664634, "turnover_quote_units": 108421.36556401536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27518.95574003008, "return_pct": 175.1895574003008, "cagr_pct": 174.7457240340604, "max_drawdown_pct": 37.30776476474372, "mean_exposure_while_solvent": 1.218439842016336, "realized_annual_volatility_pct": 63.15259129752449, "trading_costs_quote_units": 497.1014139822107, "borrowing_costs_quote_units": 195.07997015332884, "price_pnl_quote_units": 18211.137124165558, "turnover_quote_units": 165700.4713274037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27518.95574003008, "return_pct": 175.1895574003008, "cagr_pct": 174.7457240340604, "max_drawdown_pct": 37.30776476474372, "mean_exposure_while_solvent": 1.218439842016336, "realized_annual_volatility_pct": 63.15259129752449, "trading_costs_quote_units": 497.1014139822107, "borrowing_costs_quote_units": 195.07997015332884, "price_pnl_quote_units": 18211.137124165558, "turnover_quote_units": 165700.4713274037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28104.157991773005, "return_pct": 181.04157991773008, "cagr_pct": 180.57889384975567, "max_drawdown_pct": 44.326330128920155, "mean_exposure_while_solvent": 1.433018870091291, "realized_annual_volatility_pct": 74.38968384353663, "trading_costs_quote_units": 409.4502299508474, "borrowing_costs_quote_units": 389.4690440668374, "price_pnl_quote_units": 18903.07726579065, "turnover_quote_units": 136483.40998361565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28104.157991773005, "return_pct": 181.04157991773008, "cagr_pct": 180.57889384975567, "max_drawdown_pct": 44.326330128920155, "mean_exposure_while_solvent": 1.433018870091291, "realized_annual_volatility_pct": 74.38968384353663, "trading_costs_quote_units": 409.4502299508474, "borrowing_costs_quote_units": 389.4690440668374, "price_pnl_quote_units": 18903.07726579065, "turnover_quote_units": 136483.40998361565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24639.315215934654, "return_pct": 146.39315215934653, "cagr_pct": 146.03912214354722, "max_drawdown_pct": 41.926006220322655, "mean_exposure_while_solvent": 1.223150028032313, "realized_annual_volatility_pct": 62.857454378166, "trading_costs_quote_units": 698.4358354608411, "borrowing_costs_quote_units": 203.94433717747953, "price_pnl_quote_units": 15541.695388573002, "turnover_quote_units": 232811.94515361352, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24639.315215934654, "return_pct": 146.39315215934653, "cagr_pct": 146.03912214354722, "max_drawdown_pct": 41.926006220322655, "mean_exposure_while_solvent": 1.223150028032313, "realized_annual_volatility_pct": 62.857454378166, "trading_costs_quote_units": 698.4358354608411, "borrowing_costs_quote_units": 203.94433717747953, "price_pnl_quote_units": 15541.695388573002, "turnover_quote_units": 232811.94515361352, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27013.111307094136, "return_pct": 170.13111307094135, "cagr_pct": 169.70341659992658, "max_drawdown_pct": 39.33113246400816, "mean_exposure_while_solvent": 1.2179727525401982, "realized_annual_volatility_pct": 64.10422004367503, "trading_costs_quote_units": 307.6469135743712, "borrowing_costs_quote_units": 187.40319175889252, "price_pnl_quote_units": 17508.1614124274, "turnover_quote_units": 102548.97119145704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27013.111307094136, "return_pct": 170.13111307094135, "cagr_pct": 169.70341659992658, "max_drawdown_pct": 39.33113246400816, "mean_exposure_while_solvent": 1.2179727525401982, "realized_annual_volatility_pct": 64.10422004367503, "trading_costs_quote_units": 307.6469135743712, "borrowing_costs_quote_units": 187.40319175889252, "price_pnl_quote_units": 17508.1614124274, "turnover_quote_units": 102548.97119145704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21833.63808919725, "return_pct": 118.3363808919725, "cagr_pct": 118.06469555831885, "max_drawdown_pct": 30.345008721811194, "mean_exposure_while_solvent": 0.9846312449128017, "realized_annual_volatility_pct": 51.12709742885594, "trading_costs_quote_units": 71.58841990465169, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11905.226509101904, "turnover_quote_units": 23862.806634883895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21833.63808919725, "return_pct": 118.3363808919725, "cagr_pct": 118.06469555831885, "max_drawdown_pct": 30.345008721811194, "mean_exposure_while_solvent": 0.9846312449128017, "realized_annual_volatility_pct": 51.12709742885594, "trading_costs_quote_units": 71.58841990465169, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11905.226509101904, "turnover_quote_units": 23862.806634883895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27013.111307094136, "return_pct": 170.13111307094135, "cagr_pct": 169.70341659992658, "max_drawdown_pct": 39.33113246400816, "mean_exposure_while_solvent": 1.2179727525401982, "realized_annual_volatility_pct": 64.10422004367503, "trading_costs_quote_units": 307.6469135743712, "borrowing_costs_quote_units": 187.40319175889252, "price_pnl_quote_units": 17508.1614124274, "turnover_quote_units": 102548.97119145704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27013.111307094136, "return_pct": 170.13111307094135, "cagr_pct": 169.70341659992658, "max_drawdown_pct": 39.33113246400816, "mean_exposure_while_solvent": 1.2179727525401982, "realized_annual_volatility_pct": 64.10422004367503, "trading_costs_quote_units": 307.6469135743712, "borrowing_costs_quote_units": 187.40319175889252, "price_pnl_quote_units": 17508.1614124274, "turnover_quote_units": 102548.97119145704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27013.111307094136, "return_pct": 170.13111307094135, "cagr_pct": 169.70341659992658, "max_drawdown_pct": 39.33113246400816, "mean_exposure_while_solvent": 1.2179727525401982, "realized_annual_volatility_pct": 64.10422004367503, "trading_costs_quote_units": 307.6469135743712, "borrowing_costs_quote_units": 187.40319175889252, "price_pnl_quote_units": 17508.1614124274, "turnover_quote_units": 102548.97119145704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27013.111307094136, "return_pct": 170.13111307094135, "cagr_pct": 169.70341659992658, "max_drawdown_pct": 39.33113246400816, "mean_exposure_while_solvent": 1.2179727525401982, "realized_annual_volatility_pct": 64.10422004367503, "trading_costs_quote_units": 307.6469135743712, "borrowing_costs_quote_units": 187.40319175889252, "price_pnl_quote_units": 17508.1614124274, "turnover_quote_units": 102548.97119145704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18340.979157232272, "return_pct": 83.40979157232272, "cagr_pct": 83.2324891698281, "max_drawdown_pct": 22.689175140484117, "mean_exposure_while_solvent": 0.749070986055657, "realized_annual_volatility_pct": 38.89714103598526, "trading_costs_quote_units": 76.90962705550152, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8417.888784287763, "turnover_quote_units": 25636.54235183382, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18340.979157232272, "return_pct": 83.40979157232272, "cagr_pct": 83.2324891698281, "max_drawdown_pct": 22.689175140484117, "mean_exposure_while_solvent": 0.749070986055657, "realized_annual_volatility_pct": 38.89714103598526, "trading_costs_quote_units": 76.90962705550152, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8417.888784287763, "turnover_quote_units": 25636.54235183382, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21806.79303252222, "return_pct": 118.0679303252222, "cagr_pct": 117.79700629427299, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 51.90321484673014, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11836.70330171462, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21806.79303252222, "return_pct": 118.0679303252222, "cagr_pct": 117.79700629427299, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 51.90321484673014, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11836.70330171462, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24902.826466333914, "return_pct": 149.02826466333914, "cagr_pct": 148.66623032853283, "max_drawdown_pct": 37.73609115798037, "mean_exposure_while_solvent": 1.24820971209036, "realized_annual_volatility_pct": 64.9469289417953, "trading_costs_quote_units": 145.8688128069132, "borrowing_costs_quote_units": 207.8768450066965, "price_pnl_quote_units": 15256.57212414748, "turnover_quote_units": 48622.93760230442, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24902.826466333914, "return_pct": 149.02826466333914, "cagr_pct": 148.66623032853283, "max_drawdown_pct": 37.73609115798037, "mean_exposure_while_solvent": 1.24820971209036, "realized_annual_volatility_pct": 64.9469289417953, "trading_costs_quote_units": 145.8688128069132, "borrowing_costs_quote_units": 207.8768450066965, "price_pnl_quote_units": 15256.57212414748, "turnover_quote_units": 48622.93760230442, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27869.15197208406, "return_pct": 178.6915197208406, "cagr_pct": 178.2364280373185, "max_drawdown_pct": 45.144820550645136, "mean_exposure_while_solvent": 1.4978233852044969, "realized_annual_volatility_pct": 78.03383780868936, "trading_costs_quote_units": 324.3537735113205, "borrowing_costs_quote_units": 445.92275133508065, "price_pnl_quote_units": 18639.428496930468, "turnover_quote_units": 108117.9245037736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27869.15197208406, "return_pct": 178.6915197208406, "cagr_pct": 178.2364280373185, "max_drawdown_pct": 45.144820550645136, "mean_exposure_while_solvent": 1.4978233852044969, "realized_annual_volatility_pct": 78.03383780868936, "trading_costs_quote_units": 324.3537735113205, "borrowing_costs_quote_units": 445.92275133508065, "price_pnl_quote_units": 18639.428496930468, "turnover_quote_units": 108117.9245037736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21136.05070996697, "return_pct": 111.36050709966972, "cagr_pct": 111.1084324537491, "max_drawdown_pct": 26.15895154737369, "mean_exposure_while_solvent": 0.8260256227696449, "realized_annual_volatility_pct": 42.816145130678926, "trading_costs_quote_units": 325.1893783300832, "borrowing_costs_quote_units": 20.621204721495147, "price_pnl_quote_units": 11481.861293018548, "turnover_quote_units": 108396.45944336106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21136.05070996697, "return_pct": 111.36050709966972, "cagr_pct": 111.1084324537491, "max_drawdown_pct": 26.15895154737369, "mean_exposure_while_solvent": 0.8260256227696449, "realized_annual_volatility_pct": 42.816145130678926, "trading_costs_quote_units": 325.1893783300832, "borrowing_costs_quote_units": 20.621204721495147, "price_pnl_quote_units": 11481.861293018548, "turnover_quote_units": 108396.45944336106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27199.253332323, "return_pct": 171.99253332323002, "cagr_pct": 171.55891611298975, "max_drawdown_pct": 37.56435754628006, "mean_exposure_while_solvent": 1.2184582030055087, "realized_annual_volatility_pct": 63.15313539498369, "trading_costs_quote_units": 494.1448213537084, "borrowing_costs_quote_units": 387.6323630276809, "price_pnl_quote_units": 18081.030516704388, "turnover_quote_units": 164714.94045123606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27199.253332323, "return_pct": 171.99253332323002, "cagr_pct": 171.55891611298975, "max_drawdown_pct": 37.56435754628006, "mean_exposure_while_solvent": 1.2184582030055087, "realized_annual_volatility_pct": 63.15313539498369, "trading_costs_quote_units": 494.1448213537084, "borrowing_costs_quote_units": 387.6323630276809, "price_pnl_quote_units": 18081.030516704388, "turnover_quote_units": 164714.94045123606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27500.511138576567, "return_pct": 175.00511138576567, "cagr_pct": 174.56186903183664, "max_drawdown_pct": 44.78999137464488, "mean_exposure_while_solvent": 1.433055026327157, "realized_annual_volatility_pct": 74.39174749411734, "trading_costs_quote_units": 405.0033657811377, "borrowing_costs_quote_units": 769.4901053530448, "price_pnl_quote_units": 18675.004609710744, "turnover_quote_units": 135001.12192704587, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27500.511138576567, "return_pct": 175.00511138576567, "cagr_pct": 174.56186903183664, "max_drawdown_pct": 44.78999137464488, "mean_exposure_while_solvent": 1.433055026327157, "realized_annual_volatility_pct": 74.39174749411734, "trading_costs_quote_units": 405.0033657811377, "borrowing_costs_quote_units": 769.4901053530448, "price_pnl_quote_units": 18675.004609710744, "turnover_quote_units": 135001.12192704587, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24333.279165983568, "return_pct": 143.33279165983566, "cagr_pct": 142.9880014178198, "max_drawdown_pct": 42.189770925177875, "mean_exposure_while_solvent": 1.2231698730741258, "realized_annual_volatility_pct": 62.85837936141097, "trading_costs_quote_units": 693.989408781407, "borrowing_costs_quote_units": 405.1735117622024, "price_pnl_quote_units": 15432.442086527213, "turnover_quote_units": 231329.8029271356, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24333.279165983568, "return_pct": 143.33279165983566, "cagr_pct": 142.9880014178198, "max_drawdown_pct": 42.189770925177875, "mean_exposure_while_solvent": 1.2231698730741258, "realized_annual_volatility_pct": 62.85837936141097, "trading_costs_quote_units": 693.989408781407, "borrowing_costs_quote_units": 405.1735117622024, "price_pnl_quote_units": 15432.442086527213, "turnover_quote_units": 231329.8029271356, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26715.405264115543, "return_pct": 167.1540526411554, "cagr_pct": 166.73578306042117, "max_drawdown_pct": 39.54921340450511, "mean_exposure_while_solvent": 1.2179897334599663, "realized_annual_volatility_pct": 64.10486581717433, "trading_costs_quote_units": 305.9458459403253, "borrowing_costs_quote_units": 372.43909758718263, "price_pnl_quote_units": 17393.790207643076, "turnover_quote_units": 101981.94864677502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26715.405264115543, "return_pct": 167.1540526411554, "cagr_pct": 166.73578306042117, "max_drawdown_pct": 39.54921340450511, "mean_exposure_while_solvent": 1.2179897334599663, "realized_annual_volatility_pct": 64.10486581717433, "trading_costs_quote_units": 305.9458459403253, "borrowing_costs_quote_units": 372.43909758718263, "price_pnl_quote_units": 17393.790207643076, "turnover_quote_units": 101981.94864677502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21833.63808919725, "return_pct": 118.3363808919725, "cagr_pct": 118.06469555831885, "max_drawdown_pct": 30.345008721811194, "mean_exposure_while_solvent": 0.9846312449128017, "realized_annual_volatility_pct": 51.12709742885594, "trading_costs_quote_units": 71.58841990465169, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11905.226509101904, "turnover_quote_units": 23862.806634883895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21833.63808919725, "return_pct": 118.3363808919725, "cagr_pct": 118.06469555831885, "max_drawdown_pct": 30.345008721811194, "mean_exposure_while_solvent": 0.9846312449128017, "realized_annual_volatility_pct": 51.12709742885594, "trading_costs_quote_units": 71.58841990465169, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11905.226509101904, "turnover_quote_units": 23862.806634883895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26715.405264115543, "return_pct": 167.1540526411554, "cagr_pct": 166.73578306042117, "max_drawdown_pct": 39.54921340450511, "mean_exposure_while_solvent": 1.2179897334599663, "realized_annual_volatility_pct": 64.10486581717433, "trading_costs_quote_units": 305.9458459403253, "borrowing_costs_quote_units": 372.43909758718263, "price_pnl_quote_units": 17393.790207643076, "turnover_quote_units": 101981.94864677502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26715.405264115543, "return_pct": 167.1540526411554, "cagr_pct": 166.73578306042117, "max_drawdown_pct": 39.54921340450511, "mean_exposure_while_solvent": 1.2179897334599663, "realized_annual_volatility_pct": 64.10486581717433, "trading_costs_quote_units": 305.9458459403253, "borrowing_costs_quote_units": 372.43909758718263, "price_pnl_quote_units": 17393.790207643076, "turnover_quote_units": 101981.94864677502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26715.405264115543, "return_pct": 167.1540526411554, "cagr_pct": 166.73578306042117, "max_drawdown_pct": 39.54921340450511, "mean_exposure_while_solvent": 1.2179897334599663, "realized_annual_volatility_pct": 64.10486581717433, "trading_costs_quote_units": 305.9458459403253, "borrowing_costs_quote_units": 372.43909758718263, "price_pnl_quote_units": 17393.790207643076, "turnover_quote_units": 101981.94864677502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26715.405264115543, "return_pct": 167.1540526411554, "cagr_pct": 166.73578306042117, "max_drawdown_pct": 39.54921340450511, "mean_exposure_while_solvent": 1.2179897334599663, "realized_annual_volatility_pct": 64.10486581717433, "trading_costs_quote_units": 305.9458459403253, "borrowing_costs_quote_units": 372.43909758718263, "price_pnl_quote_units": 17393.790207643076, "turnover_quote_units": 101981.94864677502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18340.979157232272, "return_pct": 83.40979157232272, "cagr_pct": 83.2324891698281, "max_drawdown_pct": 22.689175140484117, "mean_exposure_while_solvent": 0.749070986055657, "realized_annual_volatility_pct": 38.89714103598526, "trading_costs_quote_units": 76.90962705550152, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8417.888784287763, "turnover_quote_units": 25636.54235183382, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18340.979157232272, "return_pct": 83.40979157232272, "cagr_pct": 83.2324891698281, "max_drawdown_pct": 22.689175140484117, "mean_exposure_while_solvent": 0.749070986055657, "realized_annual_volatility_pct": 38.89714103598526, "trading_costs_quote_units": 76.90962705550152, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8417.888784287763, "turnover_quote_units": 25636.54235183382, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21806.79303252222, "return_pct": 118.0679303252222, "cagr_pct": 117.79700629427299, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 51.90321484673014, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11836.70330171462, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21806.79303252222, "return_pct": 118.0679303252222, "cagr_pct": 117.79700629427299, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 51.90321484673014, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11836.70330171462, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24594.016834466343, "return_pct": 145.94016834466342, "cagr_pct": 145.587509796154, "max_drawdown_pct": 38.04482784240165, "mean_exposure_while_solvent": 1.2482274821010093, "realized_annual_volatility_pct": 64.9480273652848, "trading_costs_quote_units": 145.06498824570028, "borrowing_costs_quote_units": 412.92624020517894, "price_pnl_quote_units": 15152.008062917172, "turnover_quote_units": 48354.99608190007, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24594.016834466343, "return_pct": 145.94016834466342, "cagr_pct": 145.587509796154, "max_drawdown_pct": 38.04482784240165, "mean_exposure_while_solvent": 1.2482274821010093, "realized_annual_volatility_pct": 64.9480273652848, "trading_costs_quote_units": 145.06498824570028, "borrowing_costs_quote_units": 412.92624020517894, "price_pnl_quote_units": 15152.008062917172, "turnover_quote_units": 48354.99608190007, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27182.28522379924, "return_pct": 171.8228522379924, "cagr_pct": 171.38977558414163, "max_drawdown_pct": 45.68812953686449, "mean_exposure_while_solvent": 1.4978660452593358, "realized_annual_volatility_pct": 78.03649507691792, "trading_costs_quote_units": 320.3766011316728, "borrowing_costs_quote_units": 879.6060591502815, "price_pnl_quote_units": 18382.267884081077, "turnover_quote_units": 106792.20037722433, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27182.28522379924, "return_pct": 171.8228522379924, "cagr_pct": 171.38977558414163, "max_drawdown_pct": 45.68812953686449, "mean_exposure_while_solvent": 1.4978660452593358, "realized_annual_volatility_pct": 78.03649507691792, "trading_costs_quote_units": 320.3766011316728, "borrowing_costs_quote_units": 879.6060591502815, "price_pnl_quote_units": 18382.267884081077, "turnover_quote_units": 106792.20037722433, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21107.5915226598, "return_pct": 111.07591522659801, "cagr_pct": 110.82463293830722, "max_drawdown_pct": 26.178369624769427, "mean_exposure_while_solvent": 0.826027395406305, "realized_annual_volatility_pct": 42.81608931208745, "trading_costs_quote_units": 325.04003074561155, "borrowing_costs_quote_units": 41.21927173788342, "price_pnl_quote_units": 11473.850825143294, "turnover_quote_units": 108346.67691520382, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21107.5915226598, "return_pct": 111.07591522659801, "cagr_pct": 110.82463293830722, "max_drawdown_pct": 26.178369624769427, "mean_exposure_while_solvent": 0.826027395406305, "realized_annual_volatility_pct": 42.81608931208745, "trading_costs_quote_units": 325.04003074561155, "borrowing_costs_quote_units": 41.21927173788342, "price_pnl_quote_units": 11473.850825143294, "turnover_quote_units": 108346.67691520382, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26570.764934865714, "return_pct": 165.70764934865716, "cagr_pct": 165.2939408203124, "max_drawdown_pct": 38.07452300254137, "mean_exposure_while_solvent": 1.218494931927336, "realized_annual_volatility_pct": 63.15424267332192, "trading_costs_quote_units": 488.3230374295716, "borrowing_costs_quote_units": 765.2755428865881, "price_pnl_quote_units": 17824.363515181925, "turnover_quote_units": 162774.3458098573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26570.764934865714, "return_pct": 165.70764934865716, "cagr_pct": 165.2939408203124, "max_drawdown_pct": 38.07452300254137, "mean_exposure_while_solvent": 1.218494931927336, "realized_annual_volatility_pct": 63.15424267332192, "trading_costs_quote_units": 488.3230374295716, "borrowing_costs_quote_units": 765.2755428865881, "price_pnl_quote_units": 17824.363515181925, "turnover_quote_units": 162774.3458098573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26331.47761560801, "return_pct": 163.31477615608011, "cagr_pct": 162.90858574308538, "max_drawdown_pct": 45.706033528617276, "mean_exposure_while_solvent": 1.4331273538419294, "realized_annual_volatility_pct": 74.39588194689047, "trading_costs_quote_units": 396.3570016799735, "borrowing_costs_quote_units": 1502.0416576216344, "price_pnl_quote_units": 18229.87627490959, "turnover_quote_units": 132119.00055999117, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26331.47761560801, "return_pct": 163.31477615608011, "cagr_pct": 162.90858574308538, "max_drawdown_pct": 45.706033528617276, "mean_exposure_while_solvent": 1.4331273538419294, "realized_annual_volatility_pct": 74.39588194689047, "trading_costs_quote_units": 396.3570016799735, "borrowing_costs_quote_units": 1502.0416576216344, "price_pnl_quote_units": 18229.87627490959, "turnover_quote_units": 132119.00055999117, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23732.38941831859, "return_pct": 137.3238941831859, "cagr_pct": 136.99706712301665, "max_drawdown_pct": 42.713842733140275, "mean_exposure_while_solvent": 1.223209570813891, "realized_annual_volatility_pct": 62.86024971740968, "trading_costs_quote_units": 685.2285732715155, "borrowing_costs_quote_units": 799.622217409475, "price_pnl_quote_units": 15217.240208999596, "turnover_quote_units": 228409.52442383856, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23732.38941831859, "return_pct": 137.3238941831859, "cagr_pct": 136.99706712301665, "max_drawdown_pct": 42.713842733140275, "mean_exposure_while_solvent": 1.223209570813891, "realized_annual_volatility_pct": 62.86024971740968, "trading_costs_quote_units": 685.2285732715155, "borrowing_costs_quote_units": 799.622217409475, "price_pnl_quote_units": 15217.240208999596, "turnover_quote_units": 228409.52442383856, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26129.621686187515, "return_pct": 161.29621686187514, "cagr_pct": 160.89634165079008, "max_drawdown_pct": 39.9831296473939, "mean_exposure_while_solvent": 1.2180237014090427, "realized_annual_volatility_pct": 64.10617223373596, "trading_costs_quote_units": 302.6048553700851, "borrowing_costs_quote_units": 735.5180274646556, "price_pnl_quote_units": 17167.744569022285, "turnover_quote_units": 100868.28512336165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26129.621686187515, "return_pct": 161.29621686187514, "cagr_pct": 160.89634165079008, "max_drawdown_pct": 39.9831296473939, "mean_exposure_while_solvent": 1.2180237014090427, "realized_annual_volatility_pct": 64.10617223373596, "trading_costs_quote_units": 302.6048553700851, "borrowing_costs_quote_units": 735.5180274646556, "price_pnl_quote_units": 17167.744569022285, "turnover_quote_units": 100868.28512336165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21833.63808919725, "return_pct": 118.3363808919725, "cagr_pct": 118.06469555831885, "max_drawdown_pct": 30.345008721811194, "mean_exposure_while_solvent": 0.9846312449128017, "realized_annual_volatility_pct": 51.12709742885594, "trading_costs_quote_units": 71.58841990465169, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11905.226509101904, "turnover_quote_units": 23862.806634883895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21833.63808919725, "return_pct": 118.3363808919725, "cagr_pct": 118.06469555831885, "max_drawdown_pct": 30.345008721811194, "mean_exposure_while_solvent": 0.9846312449128017, "realized_annual_volatility_pct": 51.12709742885594, "trading_costs_quote_units": 71.58841990465169, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11905.226509101904, "turnover_quote_units": 23862.806634883895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 65, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26129.621686187515, "return_pct": 161.29621686187514, "cagr_pct": 160.89634165079008, "max_drawdown_pct": 39.9831296473939, "mean_exposure_while_solvent": 1.2180237014090427, "realized_annual_volatility_pct": 64.10617223373596, "trading_costs_quote_units": 302.6048553700851, "borrowing_costs_quote_units": 735.5180274646556, "price_pnl_quote_units": 17167.744569022285, "turnover_quote_units": 100868.28512336165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26129.621686187515, "return_pct": 161.29621686187514, "cagr_pct": 160.89634165079008, "max_drawdown_pct": 39.9831296473939, "mean_exposure_while_solvent": 1.2180237014090427, "realized_annual_volatility_pct": 64.10617223373596, "trading_costs_quote_units": 302.6048553700851, "borrowing_costs_quote_units": 735.5180274646556, "price_pnl_quote_units": 17167.744569022285, "turnover_quote_units": 100868.28512336165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26129.621686187515, "return_pct": 161.29621686187514, "cagr_pct": 160.89634165079008, "max_drawdown_pct": 39.9831296473939, "mean_exposure_while_solvent": 1.2180237014090427, "realized_annual_volatility_pct": 64.10617223373596, "trading_costs_quote_units": 302.6048553700851, "borrowing_costs_quote_units": 735.5180274646556, "price_pnl_quote_units": 17167.744569022285, "turnover_quote_units": 100868.28512336165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26129.621686187515, "return_pct": 161.29621686187514, "cagr_pct": 160.89634165079008, "max_drawdown_pct": 39.9831296473939, "mean_exposure_while_solvent": 1.2180237014090427, "realized_annual_volatility_pct": 64.10617223373596, "trading_costs_quote_units": 302.6048553700851, "borrowing_costs_quote_units": 735.5180274646556, "price_pnl_quote_units": 17167.744569022285, "turnover_quote_units": 100868.28512336165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 18340.979157232272, "return_pct": 83.40979157232272, "cagr_pct": 83.2324891698281, "max_drawdown_pct": 22.689175140484117, "mean_exposure_while_solvent": 0.749070986055657, "realized_annual_volatility_pct": 38.89714103598526, "trading_costs_quote_units": 76.90962705550152, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8417.888784287763, "turnover_quote_units": 25636.54235183382, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 18340.979157232272, "return_pct": 83.40979157232272, "cagr_pct": 83.2324891698281, "max_drawdown_pct": 22.689175140484117, "mean_exposure_while_solvent": 0.749070986055657, "realized_annual_volatility_pct": 38.89714103598526, "trading_costs_quote_units": 76.90962705550152, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 8417.888784287763, "turnover_quote_units": 25636.54235183382, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21806.79303252222, "return_pct": 118.0679303252222, "cagr_pct": 117.79700629427299, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 51.90321484673014, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11836.70330171462, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21806.79303252222, "return_pct": 118.0679303252222, "cagr_pct": 117.79700629427299, "max_drawdown_pct": 30.0060914059914, "mean_exposure_while_solvent": 0.9986338797814208, "realized_annual_volatility_pct": 51.90321484673014, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 11836.70330171462, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23987.689237051643, "return_pct": 139.87689237051643, "cagr_pct": 139.54246250023738, "max_drawdown_pct": 38.65786701688072, "mean_exposure_while_solvent": 1.248263027591343, "realized_annual_volatility_pct": 64.95022482107778, "trading_costs_quote_units": 143.4903607858638, "borrowing_costs_quote_units": 814.6874510456374, "price_pnl_quote_units": 14945.867048883201, "turnover_quote_units": 47830.12026195458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23987.689237051643, "return_pct": 139.87689237051643, "cagr_pct": 139.54246250023738, "max_drawdown_pct": 38.65786701688072, "mean_exposure_while_solvent": 1.248263027591343, "realized_annual_volatility_pct": 64.95022482107778, "trading_costs_quote_units": 143.4903607858638, "borrowing_costs_quote_units": 814.6874510456374, "price_pnl_quote_units": 14945.867048883201, "turnover_quote_units": 47830.12026195458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25858.525662400614, "return_pct": 158.58525662400615, "cagr_pct": 158.19382380494167, "max_drawdown_pct": 46.7589796191898, "mean_exposure_while_solvent": 1.4979513838588139, "realized_annual_volatility_pct": 78.04181161317186, "trading_costs_quote_units": 312.66144927638436, "borrowing_costs_quote_units": 1711.517340229537, "price_pnl_quote_units": 17882.70445190661, "turnover_quote_units": 104220.48309212818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25858.525662400614, "return_pct": 158.58525662400615, "cagr_pct": 158.19382380494167, "max_drawdown_pct": 46.7589796191898, "mean_exposure_while_solvent": 1.4979513838588139, "realized_annual_volatility_pct": 78.04181161317186, "trading_costs_quote_units": 312.66144927638436, "borrowing_costs_quote_units": 1711.517340229537, "price_pnl_quote_units": 17882.70445190661, "turnover_quote_units": 104220.48309212818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9115.14084908609, "return_pct": -8.848591509139093, "cagr_pct": -8.858235833164725, "max_drawdown_pct": 36.10615406009128, "mean_exposure_while_solvent": 0.9817893427498606, "realized_annual_volatility_pct": 41.07975940109155, "trading_costs_quote_units": 49.57507725411028, "borrowing_costs_quote_units": 65.74151234464051, "price_pnl_quote_units": -769.5425613151672, "turnover_quote_units": 82625.1287568505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8869.380876303736, "return_pct": -11.306191236962636, "cagr_pct": -11.318343775672817, "max_drawdown_pct": 38.46675532375413, "mean_exposure_while_solvent": 0.9911773163527893, "realized_annual_volatility_pct": 41.61963734131553, "trading_costs_quote_units": 48.27944047980059, "borrowing_costs_quote_units": 65.74151234464051, "price_pnl_quote_units": -1016.5981708718308, "turnover_quote_units": 80465.73413300097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 2.4575997278235437 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8432.957510074379, "return_pct": -15.670424899256208, "cagr_pct": -15.686838247225108, "max_drawdown_pct": 44.729459524570295, "mean_exposure_while_solvent": 1.3062275209107415, "realized_annual_volatility_pct": 56.024177327923766, "trading_costs_quote_units": 44.03057333768633, "borrowing_costs_quote_units": 179.99029079825593, "price_pnl_quote_units": -1343.0216257897202, "turnover_quote_units": 73384.28889614386, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9175.482750797728, "return_pct": -8.245172492022723, "cagr_pct": -8.254189306446506, "max_drawdown_pct": 38.804212157579855, "mean_exposure_while_solvent": 1.2789272680553831, "realized_annual_volatility_pct": 54.659400506636146, "trading_costs_quote_units": 43.9591722470249, "borrowing_costs_quote_units": 166.53332146181376, "price_pnl_quote_units": -614.0247554934668, "turnover_quote_units": 73265.28707837482, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -7.425252407233485 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8267.979647559405, "return_pct": -17.320203524405954, "cagr_pct": -17.3381610037413, "max_drawdown_pct": 47.76030564349003, "mean_exposure_while_solvent": 1.4655012090754624, "realized_annual_volatility_pct": 65.12494177574645, "trading_costs_quote_units": 39.94480491295699, "borrowing_costs_quote_units": 255.5464499480053, "price_pnl_quote_units": -1436.5290975796113, "turnover_quote_units": 66574.67485492828, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9393.513006847232, "return_pct": -6.064869931527683, "cagr_pct": -6.071581799583986, "max_drawdown_pct": 42.869922082074886, "mean_exposure_while_solvent": 1.4240312815744247, "realized_annual_volatility_pct": 63.146431609376705, "trading_costs_quote_units": 44.065267078754765, "borrowing_costs_quote_units": 236.89508743155776, "price_pnl_quote_units": -325.5266386424402, "turnover_quote_units": 73442.11179792455, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.255333592878271 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8337.24145760712, "return_pct": -16.627585423928792, "cagr_pct": -16.644899178705934, "max_drawdown_pct": 43.877665761047425, "mean_exposure_while_solvent": 1.333255814524416, "realized_annual_volatility_pct": 56.4724327883887, "trading_costs_quote_units": 63.872903748771975, "borrowing_costs_quote_units": 194.19231806609466, "price_pnl_quote_units": -1404.6933205780101, "turnover_quote_units": 106454.83958128649, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8663.161669455902, "return_pct": -13.36838330544099, "cagr_pct": -13.38258052061072, "max_drawdown_pct": 41.68372629586399, "mean_exposure_while_solvent": 1.3183800247726039, "realized_annual_volatility_pct": 55.8921050394859, "trading_costs_quote_units": 64.68204601507574, "borrowing_costs_quote_units": 186.66070817067728, "price_pnl_quote_units": -1085.4955763583346, "turnover_quote_units": 107803.41002512616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -3.259202118487803 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8218.037668438374, "return_pct": -17.819623315616262, "cagr_pct": -17.83804084719301, "max_drawdown_pct": 46.77268852439595, "mean_exposure_while_solvent": 1.303478893900634, "realized_annual_volatility_pct": 55.89274240011635, "trading_costs_quote_units": 32.43313743281997, "borrowing_costs_quote_units": 176.06962036976043, "price_pnl_quote_units": -1573.4595737590544, "turnover_quote_units": 54055.22905469994, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9287.55184486432, "return_pct": -7.124481551356798, "cagr_pct": -7.132320917753712, "max_drawdown_pct": 38.64504793770699, "mean_exposure_while_solvent": 1.2442358707417895, "realized_annual_volatility_pct": 52.86075189497902, "trading_costs_quote_units": 32.781444483752765, "borrowing_costs_quote_units": 147.62954271734773, "price_pnl_quote_units": -532.037167934581, "turnover_quote_units": 54635.74080625458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.695141764259464 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9340.947084857, "return_pct": -6.590529151430003, "cagr_pct": -6.597802074143945, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9913336631543913, "realized_annual_volatility_pct": 44.15682270231324, "trading_costs_quote_units": 8.220178303014944, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -650.8327368399836, "turnover_quote_units": 13700.297171691578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9340.947084857, "return_pct": -6.590529151430003, "cagr_pct": -6.597802074143945, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9913336631543913, "realized_annual_volatility_pct": 44.15682270231324, "trading_costs_quote_units": 8.220178303014944, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -650.8327368399836, "turnover_quote_units": 13700.297171691578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8218.037668438374, "return_pct": -17.819623315616262, "cagr_pct": -17.83804084719301, "max_drawdown_pct": 46.77268852439595, "mean_exposure_while_solvent": 1.303478893900634, "realized_annual_volatility_pct": 55.89274240011635, "trading_costs_quote_units": 32.43313743281997, "borrowing_costs_quote_units": 176.06962036976043, "price_pnl_quote_units": -1573.4595737590544, "turnover_quote_units": 54055.22905469994, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9287.55184486432, "return_pct": -7.124481551356798, "cagr_pct": -7.132320917753712, "max_drawdown_pct": 38.64504793770699, "mean_exposure_while_solvent": 1.2442358707417895, "realized_annual_volatility_pct": 52.86075189497902, "trading_costs_quote_units": 32.781444483752765, "borrowing_costs_quote_units": 147.62954271734773, "price_pnl_quote_units": -532.037167934581, "turnover_quote_units": 54635.74080625458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.695141764259464 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8218.037668438374, "return_pct": -17.819623315616262, "cagr_pct": -17.83804084719301, "max_drawdown_pct": 46.77268852439595, "mean_exposure_while_solvent": 1.303478893900634, "realized_annual_volatility_pct": 55.89274240011635, "trading_costs_quote_units": 32.43313743281997, "borrowing_costs_quote_units": 176.06962036976043, "price_pnl_quote_units": -1573.4595737590544, "turnover_quote_units": 54055.22905469994, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9287.55184486432, "return_pct": -7.124481551356798, "cagr_pct": -7.132320917753712, "max_drawdown_pct": 38.64504793770699, "mean_exposure_while_solvent": 1.2442358707417895, "realized_annual_volatility_pct": 52.86075189497902, "trading_costs_quote_units": 32.781444483752765, "borrowing_costs_quote_units": 147.62954271734773, "price_pnl_quote_units": -532.037167934581, "turnover_quote_units": 54635.74080625458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.695141764259464 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9667.250380889795, "return_pct": -3.327496191102053, "cagr_pct": -3.3312324260784627, "max_drawdown_pct": 26.981760328112582, "mean_exposure_while_solvent": 0.7496311357583844, "realized_annual_volatility_pct": 33.38311736904915, "trading_costs_quote_units": 11.308500913311375, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -321.4411181968828, "turnover_quote_units": 18847.50152218565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9667.250380889795, "return_pct": -3.327496191102053, "cagr_pct": -3.3312324260784627, "max_drawdown_pct": 26.981760328112582, "mean_exposure_while_solvent": 0.7496311357583844, "realized_annual_volatility_pct": 33.38311736904915, "trading_costs_quote_units": 11.308500913311375, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -321.4411181968828, "turnover_quote_units": 18847.50152218565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9354.573009442262, "return_pct": -6.454269905577381, "cagr_pct": -6.461397717931254, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9995431703974418, "realized_annual_volatility_pct": 44.51319819933993, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -639.4305883990288, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9354.573009442262, "return_pct": -6.454269905577381, "cagr_pct": -6.461397717931254, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9995431703974418, "realized_annual_volatility_pct": 44.51319819933993, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -639.4305883990288, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8823.94116225742, "return_pct": -11.760588377425796, "cagr_pct": -11.773196207197014, "max_drawdown_pct": 41.43838403117136, "mean_exposure_while_solvent": 1.2495229018991587, "realized_annual_volatility_pct": 55.65354264176311, "trading_costs_quote_units": 18.878761150495677, "borrowing_costs_quote_units": 135.61382058623917, "price_pnl_quote_units": -1021.5662560058483, "turnover_quote_units": 31464.60191749276, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8823.94116225742, "return_pct": -11.760588377425796, "cagr_pct": -11.773196207197014, "max_drawdown_pct": 41.43838403117136, "mean_exposure_while_solvent": 1.2495229018991587, "realized_annual_volatility_pct": 55.65354264176311, "trading_costs_quote_units": 18.878761150495677, "borrowing_costs_quote_units": 135.61382058623917, "price_pnl_quote_units": -1021.5662560058483, "turnover_quote_units": 31464.60191749276, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8225.747613975189, "return_pct": -17.742523860248117, "cagr_pct": -17.76087059578597, "max_drawdown_pct": 47.76030564348998, "mean_exposure_while_solvent": 1.4995791297337795, "realized_annual_volatility_pct": 66.80705681448768, "trading_costs_quote_units": 36.041657202344595, "borrowing_costs_quote_units": 269.57228696236194, "price_pnl_quote_units": -1468.6384418600976, "turnover_quote_units": 60069.42867057431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8225.747613975189, "return_pct": -17.742523860248117, "cagr_pct": -17.76087059578597, "max_drawdown_pct": 47.76030564348998, "mean_exposure_while_solvent": 1.4995791297337795, "realized_annual_volatility_pct": 66.80705681448768, "trading_costs_quote_units": 36.041657202344595, "borrowing_costs_quote_units": 269.57228696236194, "price_pnl_quote_units": -1468.6384418600976, "turnover_quote_units": 60069.42867057431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9064.666934808807, "return_pct": -9.353330651911929, "cagr_pct": -9.36349635958864, "max_drawdown_pct": 36.139325825699764, "mean_exposure_while_solvent": 0.9817976036752534, "realized_annual_volatility_pct": 41.08023929379787, "trading_costs_quote_units": 49.47279513134989, "borrowing_costs_quote_units": 131.12416024633603, "price_pnl_quote_units": -754.7361098135053, "turnover_quote_units": 82454.65855224991, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8820.267826110114, "return_pct": -11.797321738898859, "cagr_pct": -11.809966257612322, "max_drawdown_pct": 38.4987015360928, "mean_exposure_while_solvent": 0.991185577278182, "realized_annual_volatility_pct": 41.62009429363589, "trading_costs_quote_units": 48.18433277821087, "borrowing_costs_quote_units": 131.12416024633603, "price_pnl_quote_units": -1000.4236808653387, "turnover_quote_units": 80307.2212970181, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 2.44399108698693 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8301.268242608385, "return_pct": -16.98731757391615, "cagr_pct": -17.00496649093128, "max_drawdown_pct": 44.86876003360478, "mean_exposure_while_solvent": 1.306253216875245, "realized_annual_volatility_pct": 56.025741518884644, "trading_costs_quote_units": 43.80097876972888, "borrowing_costs_quote_units": 357.1934256697989, "price_pnl_quote_units": -1297.7373529520844, "turnover_quote_units": 73001.63128288146, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9044.577925924608, "return_pct": -9.554220740753916, "cagr_pct": -9.564593070245467, "max_drawdown_pct": 38.882645310292574, "mean_exposure_while_solvent": 1.278950865443485, "realized_annual_volatility_pct": 54.66050548207653, "trading_costs_quote_units": 43.73693894356323, "borrowing_costs_quote_units": 330.6749243919105, "price_pnl_quote_units": -581.0102107399147, "turnover_quote_units": 72894.89823927199, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -7.433096833162235 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8077.657183861549, "return_pct": -19.223428161384504, "cagr_pct": -19.243120189945955, "max_drawdown_pct": 47.92567417920011, "mean_exposure_while_solvent": 1.4655405876497747, "realized_annual_volatility_pct": 65.12752132897023, "trading_costs_quote_units": 39.6448469662086, "borrowing_costs_quote_units": 505.1927863781586, "price_pnl_quote_units": -1377.5051827940956, "turnover_quote_units": 66074.74494368098, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9196.397329230182, "return_pct": -8.036026707698184, "cagr_pct": -8.044824966235211, "max_drawdown_pct": 43.09588899628886, "mean_exposure_while_solvent": 1.4240670810565816, "realized_annual_volatility_pct": 63.14836021083609, "trading_costs_quote_units": 43.691293555436495, "borrowing_costs_quote_units": 468.6985562477926, "price_pnl_quote_units": -291.212820966603, "turnover_quote_units": 72818.82259239418, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.18740145368632 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8192.21218898892, "return_pct": -18.077878110110802, "cagr_pct": -18.096532179567397, "max_drawdown_pct": 44.00337181489306, "mean_exposure_while_solvent": 1.333284931452526, "realized_annual_volatility_pct": 56.47428800518257, "trading_costs_quote_units": 63.435473677462376, "borrowing_costs_quote_units": 384.9787571505927, "price_pnl_quote_units": -1359.3735801830203, "turnover_quote_units": 105725.78946243745, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8518.82014748986, "return_pct": -14.811798525101405, "cagr_pct": -14.827393586313992, "max_drawdown_pct": 41.77089248054961, "mean_exposure_while_solvent": 1.318407948146514, "realized_annual_volatility_pct": 55.89375694724884, "trading_costs_quote_units": 64.24103225556595, "borrowing_costs_quote_units": 370.1667382321283, "price_pnl_quote_units": -1046.7720820224397, "turnover_quote_units": 107068.38709260993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -3.266079585009397 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8092.685594648068, "return_pct": -19.07314405351932, "cagr_pct": -19.092700965489385, "max_drawdown_pct": 46.93739140937589, "mean_exposure_while_solvent": 1.3035039936277417, "realized_annual_volatility_pct": 55.8944209427837, "trading_costs_quote_units": 32.28884427389914, "borrowing_costs_quote_units": 349.5280909978233, "price_pnl_quote_units": -1525.4974700802134, "turnover_quote_units": 53814.74045649859, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9173.090164515534, "return_pct": -8.269098354844662, "cagr_pct": -8.278140136910393, "max_drawdown_pct": 38.72701868008582, "mean_exposure_while_solvent": 1.2442562290465453, "realized_annual_volatility_pct": 52.86155656666101, "trading_costs_quote_units": 32.63136160178057, "borrowing_costs_quote_units": 293.42000354789224, "price_pnl_quote_units": -500.85847033479916, "turnover_quote_units": 54385.60266963431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.80404569867466 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9340.947084857, "return_pct": -6.590529151430003, "cagr_pct": -6.597802074143945, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9913336631543913, "realized_annual_volatility_pct": 44.15682270231324, "trading_costs_quote_units": 8.220178303014944, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -650.8327368399836, "turnover_quote_units": 13700.297171691578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9340.947084857, "return_pct": -6.590529151430003, "cagr_pct": -6.597802074143945, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9913336631543913, "realized_annual_volatility_pct": 44.15682270231324, "trading_costs_quote_units": 8.220178303014944, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -650.8327368399836, "turnover_quote_units": 13700.297171691578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8092.685594648068, "return_pct": -19.07314405351932, "cagr_pct": -19.092700965489385, "max_drawdown_pct": 46.93739140937589, "mean_exposure_while_solvent": 1.3035039936277417, "realized_annual_volatility_pct": 55.8944209427837, "trading_costs_quote_units": 32.28884427389914, "borrowing_costs_quote_units": 349.5280909978233, "price_pnl_quote_units": -1525.4974700802134, "turnover_quote_units": 53814.74045649859, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9173.090164515534, "return_pct": -8.269098354844662, "cagr_pct": -8.278140136910393, "max_drawdown_pct": 38.72701868008582, "mean_exposure_while_solvent": 1.2442562290465453, "realized_annual_volatility_pct": 52.86155656666101, "trading_costs_quote_units": 32.63136160178057, "borrowing_costs_quote_units": 293.42000354789224, "price_pnl_quote_units": -500.85847033479916, "turnover_quote_units": 54385.60266963431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.80404569867466 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8092.685594648068, "return_pct": -19.07314405351932, "cagr_pct": -19.092700965489385, "max_drawdown_pct": 46.93739140937589, "mean_exposure_while_solvent": 1.3035039936277417, "realized_annual_volatility_pct": 55.8944209427837, "trading_costs_quote_units": 32.28884427389914, "borrowing_costs_quote_units": 349.5280909978233, "price_pnl_quote_units": -1525.4974700802134, "turnover_quote_units": 53814.74045649859, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9173.090164515534, "return_pct": -8.269098354844662, "cagr_pct": -8.278140136910393, "max_drawdown_pct": 38.72701868008582, "mean_exposure_while_solvent": 1.2442562290465453, "realized_annual_volatility_pct": 52.86155656666101, "trading_costs_quote_units": 32.63136160178057, "borrowing_costs_quote_units": 293.42000354789224, "price_pnl_quote_units": -500.85847033479916, "turnover_quote_units": 54385.60266963431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.80404569867466 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9667.250380889795, "return_pct": -3.327496191102053, "cagr_pct": -3.3312324260784627, "max_drawdown_pct": 26.981760328112582, "mean_exposure_while_solvent": 0.7496311357583844, "realized_annual_volatility_pct": 33.38311736904915, "trading_costs_quote_units": 11.308500913311375, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -321.4411181968828, "turnover_quote_units": 18847.50152218565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9667.250380889795, "return_pct": -3.327496191102053, "cagr_pct": -3.3312324260784627, "max_drawdown_pct": 26.981760328112582, "mean_exposure_while_solvent": 0.7496311357583844, "realized_annual_volatility_pct": 33.38311736904915, "trading_costs_quote_units": 11.308500913311375, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -321.4411181968828, "turnover_quote_units": 18847.50152218565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9354.573009442262, "return_pct": -6.454269905577381, "cagr_pct": -6.461397717931254, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9995431703974418, "realized_annual_volatility_pct": 44.51319819933993, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -639.4305883990288, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9354.573009442262, "return_pct": -6.454269905577381, "cagr_pct": -6.461397717931254, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9995431703974418, "realized_annual_volatility_pct": 44.51319819933993, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -639.4305883990288, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8714.400346669872, "return_pct": -12.855996533301273, "cagr_pct": -12.869690902015051, "max_drawdown_pct": 41.53090888478152, "mean_exposure_while_solvent": 1.2495407203772941, "realized_annual_volatility_pct": 55.65470223862376, "trading_costs_quote_units": 18.81290270874526, "borrowing_costs_quote_units": 269.5323580277512, "price_pnl_quote_units": -997.2543925936459, "turnover_quote_units": 31354.837847908806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8714.400346669872, "return_pct": -12.855996533301273, "cagr_pct": -12.869690902015051, "max_drawdown_pct": 41.53090888478152, "mean_exposure_while_solvent": 1.2495407203772941, "realized_annual_volatility_pct": 55.65470223862376, "trading_costs_quote_units": 18.81290270874526, "borrowing_costs_quote_units": 269.5323580277512, "price_pnl_quote_units": -997.2543925936459, "turnover_quote_units": 31354.837847908806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8022.70766344088, "return_pct": -19.7729233655912, "cagr_pct": -19.79310670593833, "max_drawdown_pct": 47.925674179200115, "mean_exposure_while_solvent": 1.4996219181891395, "realized_annual_volatility_pct": 66.8098475840902, "trading_costs_quote_units": 35.72707315819643, "borrowing_costs_quote_units": 532.4190092438275, "price_pnl_quote_units": -1409.146254157063, "turnover_quote_units": 59545.12193032744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8022.70766344088, "return_pct": -19.7729233655912, "cagr_pct": -19.79310670593833, "max_drawdown_pct": 47.925674179200115, "mean_exposure_while_solvent": 1.4996219181891395, "realized_annual_volatility_pct": 66.8098475840902, "trading_costs_quote_units": 35.72707315819643, "borrowing_costs_quote_units": 532.4190092438275, "price_pnl_quote_units": -1409.146254157063, "turnover_quote_units": 59545.12193032744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8964.532786997532, "return_pct": -10.354672130024678, "cagr_pct": -10.365862672176227, "max_drawdown_pct": 36.20563448531146, "mean_exposure_while_solvent": 0.981814128340911, "realized_annual_volatility_pct": 41.08121720769435, "trading_costs_quote_units": 49.26948957982533, "borrowing_costs_quote_units": 260.8203726481301, "price_pnl_quote_units": -725.3773507744953, "turnover_quote_units": 82115.81596637552, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8722.833468225086, "return_pct": -12.771665317749136, "cagr_pct": -12.785276594825262, "max_drawdown_pct": 38.56256037751984, "mean_exposure_while_solvent": 0.9912021019438396, "realized_annual_volatility_pct": 41.62102608538276, "trading_costs_quote_units": 47.99526041149564, "borrowing_costs_quote_units": 260.8203726481301, "price_pnl_quote_units": -968.350898715275, "turnover_quote_units": 79992.10068582608, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 2.416993187724458 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8043.959743087635, "return_pct": -19.56040256912366, "cagr_pct": -19.580396400062924, "max_drawdown_pct": 45.146380239964635, "mean_exposure_while_solvent": 1.306304619192762, "realized_annual_volatility_pct": 56.02889275656933, "trading_costs_quote_units": 43.35137928971462, "borrowing_costs_quote_units": 703.4041370851478, "price_pnl_quote_units": -1209.2847405374998, "turnover_quote_units": 72252.29881619105, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8788.276769247841, "return_pct": -12.117232307521586, "cagr_pct": -12.130195609765279, "max_drawdown_pct": 39.039253126106985, "mean_exposure_while_solvent": 1.2789980698595058, "realized_annual_volatility_pct": 54.66274325647612, "trading_costs_quote_units": 43.301491442388624, "borrowing_costs_quote_units": 651.91454967555, "price_pnl_quote_units": -516.5071896341992, "turnover_quote_units": 72169.15240398105, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -7.443170261602074 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7709.955887859185, "return_pct": -22.900441121408143, "cagr_pct": -22.923338000386824, "max_drawdown_pct": 48.25493269540403, "mean_exposure_while_solvent": 1.4656193615631339, "realized_annual_volatility_pct": 65.1326855590393, "trading_costs_quote_units": 39.059745360403795, "borrowing_costs_quote_units": 987.3080323125206, "price_pnl_quote_units": -1263.676334467905, "turnover_quote_units": 65099.575600672986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8814.38535128965, "return_pct": -11.856146487103503, "cagr_pct": -11.86884972300056, "max_drawdown_pct": 43.5452620917731, "mean_exposure_while_solvent": 1.424138695216612, "realized_annual_volatility_pct": 63.15223130488927, "trading_costs_quote_units": 42.96205681489835, "borrowing_costs_quote_units": 917.4497778870547, "price_pnl_quote_units": -225.2028140084202, "turnover_quote_units": 71603.42802483062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.04429463430464 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7909.60348078489, "return_pct": -20.903965192151098, "cagr_pct": -20.925146239517556, "max_drawdown_pct": 44.25400346472544, "mean_exposure_while_solvent": 1.3333431773441147, "realized_annual_volatility_pct": 56.47802070513399, "trading_costs_quote_units": 62.57953595049917, "borrowing_costs_quote_units": 756.5623246847883, "price_pnl_quote_units": -1271.2546585798093, "turnover_quote_units": 104299.22658416521, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8237.237120445388, "return_pct": -17.627628795546112, "cagr_pct": -17.645869876235636, "max_drawdown_pct": 41.94487838838966, "mean_exposure_while_solvent": 1.318463806467503, "realized_annual_volatility_pct": 55.897085817828206, "trading_costs_quote_units": 63.377661871554324, "borrowing_costs_quote_units": 727.9183207798161, "price_pnl_quote_units": -971.4668969032264, "turnover_quote_units": 105629.43645259054, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -3.276336396604986 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7847.625309830895, "return_pct": -21.523746901691045, "cagr_pct": -21.545466842436795, "max_drawdown_pct": 47.26535923608319, "mean_exposure_while_solvent": 1.3035542032326592, "realized_annual_volatility_pct": 55.89780196756398, "trading_costs_quote_units": 32.00454710861689, "borrowing_costs_quote_units": 688.7615285878464, "price_pnl_quote_units": -1431.6086144726182, "turnover_quote_units": 53340.91184769479, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8948.322918160247, "return_pct": -10.516770818397525, "cagr_pct": -10.528126063500755, "max_drawdown_pct": 38.890677169166274, "mean_exposure_while_solvent": 1.2442969539637023, "realized_annual_volatility_pct": 52.86319699858034, "trading_costs_quote_units": 32.33577138061611, "borrowing_costs_quote_units": 579.5715592181951, "price_pnl_quote_units": -439.7697512409263, "turnover_quote_units": 53892.95230102682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.00697608329352 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9340.947084857, "return_pct": -6.590529151430003, "cagr_pct": -6.597802074143945, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9913336631543913, "realized_annual_volatility_pct": 44.15682270231324, "trading_costs_quote_units": 8.220178303014944, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -650.8327368399836, "turnover_quote_units": 13700.297171691578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9340.947084857, "return_pct": -6.590529151430003, "cagr_pct": -6.597802074143945, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9913336631543913, "realized_annual_volatility_pct": 44.15682270231324, "trading_costs_quote_units": 8.220178303014944, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -650.8327368399836, "turnover_quote_units": 13700.297171691578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7847.625309830895, "return_pct": -21.523746901691045, "cagr_pct": -21.545466842436795, "max_drawdown_pct": 47.26535923608319, "mean_exposure_while_solvent": 1.3035542032326592, "realized_annual_volatility_pct": 55.89780196756398, "trading_costs_quote_units": 32.00454710861689, "borrowing_costs_quote_units": 688.7615285878464, "price_pnl_quote_units": -1431.6086144726182, "turnover_quote_units": 53340.91184769479, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8948.322918160247, "return_pct": -10.516770818397525, "cagr_pct": -10.528126063500755, "max_drawdown_pct": 38.890677169166274, "mean_exposure_while_solvent": 1.2442969539637023, "realized_annual_volatility_pct": 52.86319699858034, "trading_costs_quote_units": 32.33577138061611, "borrowing_costs_quote_units": 579.5715592181951, "price_pnl_quote_units": -439.7697512409263, "turnover_quote_units": 53892.95230102682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.00697608329352 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7847.625309830895, "return_pct": -21.523746901691045, "cagr_pct": -21.545466842436795, "max_drawdown_pct": 47.26535923608319, "mean_exposure_while_solvent": 1.3035542032326592, "realized_annual_volatility_pct": 55.89780196756398, "trading_costs_quote_units": 32.00454710861689, "borrowing_costs_quote_units": 688.7615285878464, "price_pnl_quote_units": -1431.6086144726182, "turnover_quote_units": 53340.91184769479, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8948.322918160247, "return_pct": -10.516770818397525, "cagr_pct": -10.528126063500755, "max_drawdown_pct": 38.890677169166274, "mean_exposure_while_solvent": 1.2442969539637023, "realized_annual_volatility_pct": 52.86319699858034, "trading_costs_quote_units": 32.33577138061611, "borrowing_costs_quote_units": 579.5715592181951, "price_pnl_quote_units": -439.7697512409263, "turnover_quote_units": 53892.95230102682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.00697608329352 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9667.250380889795, "return_pct": -3.327496191102053, "cagr_pct": -3.3312324260784627, "max_drawdown_pct": 26.981760328112582, "mean_exposure_while_solvent": 0.7496311357583844, "realized_annual_volatility_pct": 33.38311736904915, "trading_costs_quote_units": 11.308500913311375, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -321.4411181968828, "turnover_quote_units": 18847.50152218565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9667.250380889795, "return_pct": -3.327496191102053, "cagr_pct": -3.3312324260784627, "max_drawdown_pct": 26.981760328112582, "mean_exposure_while_solvent": 0.7496311357583844, "realized_annual_volatility_pct": 33.38311736904915, "trading_costs_quote_units": 11.308500913311375, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -321.4411181968828, "turnover_quote_units": 18847.50152218565, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9354.573009442262, "return_pct": -6.454269905577381, "cagr_pct": -6.461397717931254, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9995431703974418, "realized_annual_volatility_pct": 44.51319819933993, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -639.4305883990288, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9354.573009442262, "return_pct": -6.454269905577381, "cagr_pct": -6.461397717931254, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9995431703974418, "realized_annual_volatility_pct": 44.51319819933993, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -639.4305883990288, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8499.33281981523, "return_pct": -15.006671801847693, "cagr_pct": -15.022453452356652, "max_drawdown_pct": 41.71556132895857, "mean_exposure_while_solvent": 1.2495763628232295, "realized_annual_volatility_pct": 55.657021785626604, "trading_costs_quote_units": 18.684253590447174, "borrowing_costs_quote_units": 532.364938083962, "price_pnl_quote_units": -949.6179885103747, "turnover_quote_units": 31140.422650745295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8499.33281981523, "return_pct": -15.006671801847693, "cagr_pct": -15.022453452356652, "max_drawdown_pct": 41.71556132895857, "mean_exposure_while_solvent": 1.2495763628232295, "realized_annual_volatility_pct": 55.657021785626604, "trading_costs_quote_units": 18.684253590447174, "borrowing_costs_quote_units": 532.364938083962, "price_pnl_quote_units": -949.6179885103747, "turnover_quote_units": 31140.422650745295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7631.431907138438, "return_pct": -23.685680928615614, "cagr_pct": -23.70923655793685, "max_drawdown_pct": 48.254932695404065, "mean_exposure_while_solvent": 1.4997075136691438, "realized_annual_volatility_pct": 66.81543046225832, "trading_costs_quote_units": 35.11624120341733, "borrowing_costs_quote_units": 1038.5800549964054, "price_pnl_quote_units": -1294.8717966617567, "turnover_quote_units": 58527.06867236215, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7631.431907138438, "return_pct": -23.685680928615614, "cagr_pct": -23.70923655793685, "max_drawdown_pct": 48.254932695404065, "mean_exposure_while_solvent": 1.4997075136691438, "realized_annual_volatility_pct": 66.81543046225832, "trading_costs_quote_units": 35.11624120341733, "borrowing_costs_quote_units": 1038.5800549964054, "price_pnl_quote_units": -1294.8717966617567, "turnover_quote_units": 58527.06867236215, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9101.146584786016, "return_pct": -8.988534152139838, "cagr_pct": -8.998323354525473, "max_drawdown_pct": 36.19663064265585, "mean_exposure_while_solvent": 0.9810045848389539, "realized_annual_volatility_pct": 41.07466041545739, "trading_costs_quote_units": 48.36925980231081, "borrowing_costs_quote_units": 65.45044010488328, "price_pnl_quote_units": -785.0337153067934, "turnover_quote_units": 80615.4330038514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8833.572977644311, "return_pct": -11.664270223556883, "cagr_pct": -11.676781768647782, "max_drawdown_pct": 38.65646617746366, "mean_exposure_while_solvent": 0.9903771367917767, "realized_annual_volatility_pct": 41.60994806242153, "trading_costs_quote_units": 47.008367678810814, "borrowing_costs_quote_units": 65.45044010488328, "price_pnl_quote_units": -1053.968214571991, "turnover_quote_units": 78347.27946468476, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 2.6757360714170453 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8338.160275754502, "return_pct": -16.618397242454975, "cagr_pct": -16.635702413337523, "max_drawdown_pct": 44.89221092337904, "mean_exposure_while_solvent": 1.3051627812084825, "realized_annual_volatility_pct": 56.0499521910961, "trading_costs_quote_units": 42.98253125400985, "borrowing_costs_quote_units": 177.92315485257905, "price_pnl_quote_units": -1440.9340381389102, "turnover_quote_units": 71637.55209001651, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9164.517106444177, "return_pct": -8.354828935558235, "cagr_pct": -8.363960122486658, "max_drawdown_pct": 38.482266138192024, "mean_exposure_while_solvent": 1.2778344534327344, "realized_annual_volatility_pct": 54.69333998795641, "trading_costs_quote_units": 43.02261594186065, "borrowing_costs_quote_units": 164.74972513611934, "price_pnl_quote_units": -627.7105524778508, "turnover_quote_units": 71704.35990310108, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -8.26356830689674 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8187.33802933472, "return_pct": -18.126619706652804, "cagr_pct": -18.14531831466491, "max_drawdown_pct": 47.959246879785965, "mean_exposure_while_solvent": 1.4643577479731278, "realized_annual_volatility_pct": 65.244012753778, "trading_costs_quote_units": 39.062431089518036, "borrowing_costs_quote_units": 253.30854109955, "price_pnl_quote_units": -1520.2909984762114, "turnover_quote_units": 65104.05181586328, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9442.855306529753, "return_pct": -5.5714469347024735, "cagr_pct": -5.5776290945394065, "max_drawdown_pct": 42.82439205690739, "mean_exposure_while_solvent": 1.4229056754404927, "realized_annual_volatility_pct": 63.2783666564679, "trading_costs_quote_units": 43.04393921086965, "borrowing_costs_quote_units": 235.20084858017427, "price_pnl_quote_units": -278.8999056791969, "turnover_quote_units": 71739.89868478272, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -12.55517277195033 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8275.866283318295, "return_pct": -17.24133716681705, "cagr_pct": -17.259221680740566, "max_drawdown_pct": 44.578627247350944, "mean_exposure_while_solvent": 1.3319757907594016, "realized_annual_volatility_pct": 56.692871176307335, "trading_costs_quote_units": 62.5921182152228, "borrowing_costs_quote_units": 193.91670077583996, "price_pnl_quote_units": -1467.6248976906563, "turnover_quote_units": 104320.19702537135, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8644.016443405591, "return_pct": -13.55983556594409, "cagr_pct": -13.57421978065656, "max_drawdown_pct": 42.1132192099745, "mean_exposure_while_solvent": 1.317089561900826, "realized_annual_volatility_pct": 56.113294475612655, "trading_costs_quote_units": 63.34031106599375, "borrowing_costs_quote_units": 186.51326937650083, "price_pnl_quote_units": -1106.129976151917, "turnover_quote_units": 105567.18510998963, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -3.681501600872961 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8154.128752831142, "return_pct": -18.458712471688578, "cagr_pct": -18.477713651820633, "max_drawdown_pct": 47.07566170335329, "mean_exposure_while_solvent": 1.3024421323909947, "realized_annual_volatility_pct": 55.94539370708647, "trading_costs_quote_units": 31.83865405205117, "borrowing_costs_quote_units": 175.29409964542327, "price_pnl_quote_units": -1638.7384934713884, "turnover_quote_units": 53064.42342008536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9350.26485909809, "return_pct": -6.497351409019103, "cagr_pct": -6.504525125906474, "max_drawdown_pct": 38.1651401914319, "mean_exposure_while_solvent": 1.2431394325286937, "realized_annual_volatility_pct": 52.91210049065354, "trading_costs_quote_units": 32.087132583058875, "borrowing_costs_quote_units": 147.06752302962292, "price_pnl_quote_units": -470.580485289232, "turnover_quote_units": 53478.554305098194, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.961361062669475 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9300.173934399285, "return_pct": -6.998260656007149, "cagr_pct": -7.005966436911727, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.990407246915333, "realized_annual_volatility_pct": 44.152157494194064, "trading_costs_quote_units": 8.253131454615886, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -691.5729341460932, "turnover_quote_units": 13755.219091026482, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9300.173934399285, "return_pct": -6.998260656007149, "cagr_pct": -7.005966436911727, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.990407246915333, "realized_annual_volatility_pct": 44.152157494194064, "trading_costs_quote_units": 8.253131454615886, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -691.5729341460932, "turnover_quote_units": 13755.219091026482, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8154.128752831142, "return_pct": -18.458712471688578, "cagr_pct": -18.477713651820633, "max_drawdown_pct": 47.07566170335329, "mean_exposure_while_solvent": 1.3024421323909947, "realized_annual_volatility_pct": 55.94539370708647, "trading_costs_quote_units": 31.83865405205117, "borrowing_costs_quote_units": 175.29409964542327, "price_pnl_quote_units": -1638.7384934713884, "turnover_quote_units": 53064.42342008536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9350.26485909809, "return_pct": -6.497351409019103, "cagr_pct": -6.504525125906474, "max_drawdown_pct": 38.1651401914319, "mean_exposure_while_solvent": 1.2431394325286937, "realized_annual_volatility_pct": 52.91210049065354, "trading_costs_quote_units": 32.087132583058875, "borrowing_costs_quote_units": 147.06752302962292, "price_pnl_quote_units": -470.580485289232, "turnover_quote_units": 53478.554305098194, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.961361062669475 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8154.128752831142, "return_pct": -18.458712471688578, "cagr_pct": -18.477713651820633, "max_drawdown_pct": 47.07566170335329, "mean_exposure_while_solvent": 1.3024421323909947, "realized_annual_volatility_pct": 55.94539370708647, "trading_costs_quote_units": 31.83865405205117, "borrowing_costs_quote_units": 175.29409964542327, "price_pnl_quote_units": -1638.7384934713884, "turnover_quote_units": 53064.42342008536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9350.26485909809, "return_pct": -6.497351409019103, "cagr_pct": -6.504525125906474, "max_drawdown_pct": 38.1651401914319, "mean_exposure_while_solvent": 1.2431394325286937, "realized_annual_volatility_pct": 52.91210049065354, "trading_costs_quote_units": 32.087132583058875, "borrowing_costs_quote_units": 147.06752302962292, "price_pnl_quote_units": -470.580485289232, "turnover_quote_units": 53478.554305098194, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.961361062669475 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9616.209163650896, "return_pct": -3.8379083634910383, "cagr_pct": -3.842206234524575, "max_drawdown_pct": 26.918488248456285, "mean_exposure_while_solvent": 0.7488699918331259, "realized_annual_volatility_pct": 33.3415774428439, "trading_costs_quote_units": 11.148949985249267, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -372.64188636385336, "turnover_quote_units": 18581.583308748744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9616.209163650896, "return_pct": -3.8379083634910383, "cagr_pct": -3.842206234524575, "max_drawdown_pct": 26.918488248456285, "mean_exposure_while_solvent": 0.7488699918331259, "realized_annual_volatility_pct": 33.3415774428439, "trading_costs_quote_units": 11.148949985249267, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -372.64188636385336, "turnover_quote_units": 18581.583308748744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9280.46833252925, "return_pct": -7.195316674707497, "cagr_pct": -7.203230923340807, "max_drawdown_pct": 34.48529519004313, "mean_exposure_while_solvent": 0.9986295111923252, "realized_annual_volatility_pct": 44.50029469794336, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -713.5352653120484, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9280.46833252925, "return_pct": -7.195316674707497, "cagr_pct": -7.203230923340807, "max_drawdown_pct": 34.48529519004313, "mean_exposure_while_solvent": 0.9986295111923252, "realized_annual_volatility_pct": 44.50029469794336, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -713.5352653120484, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8726.298681529637, "return_pct": -12.737013184703628, "cagr_pct": -12.75059029197271, "max_drawdown_pct": 41.52895886131, "mean_exposure_while_solvent": 1.2485215143234354, "realized_annual_volatility_pct": 55.69039501245447, "trading_costs_quote_units": 18.563168940904724, "borrowing_costs_quote_units": 134.18434200562777, "price_pnl_quote_units": -1120.9538075238345, "turnover_quote_units": 30938.6149015079, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8726.298681529637, "return_pct": -12.737013184703628, "cagr_pct": -12.75059029197271, "max_drawdown_pct": 41.52895886131, "mean_exposure_while_solvent": 1.2485215143234354, "realized_annual_volatility_pct": 55.69039501245447, "trading_costs_quote_units": 18.563168940904724, "borrowing_costs_quote_units": 134.18434200562777, "price_pnl_quote_units": -1120.9538075238345, "turnover_quote_units": 30938.6149015079, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8103.895522126601, "return_pct": -18.961044778733992, "cagr_pct": -18.980500697354056, "max_drawdown_pct": 47.95924687978591, "mean_exposure_while_solvent": 1.4985639300082345, "realized_annual_volatility_pct": 66.91699466938958, "trading_costs_quote_units": 35.23577235388253, "borrowing_costs_quote_units": 266.1057520418541, "price_pnl_quote_units": -1594.7629534776788, "turnover_quote_units": 58726.2872564708, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8103.895522126601, "return_pct": -18.961044778733992, "cagr_pct": -18.980500697354056, "max_drawdown_pct": 47.95924687978591, "mean_exposure_while_solvent": 1.4985639300082345, "realized_annual_volatility_pct": 66.91699466938958, "trading_costs_quote_units": 35.23577235388253, "borrowing_costs_quote_units": 266.1057520418541, "price_pnl_quote_units": -1594.7629534776788, "turnover_quote_units": 58726.2872564708, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9050.764266824743, "return_pct": -9.492357331752576, "cagr_pct": -9.502666087074186, "max_drawdown_pct": 36.23121111592986, "mean_exposure_while_solvent": 0.9810128550784664, "realized_annual_volatility_pct": 41.07500862296759, "trading_costs_quote_units": 48.26594376182287, "borrowing_costs_quote_units": 130.5432364992592, "price_pnl_quote_units": -770.4265529141625, "turnover_quote_units": 80443.23960303812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8784.671899263953, "return_pct": -12.153281007360473, "cagr_pct": -12.166280147934051, "max_drawdown_pct": 38.689713456616026, "mean_exposure_while_solvent": 0.9903854070312892, "realized_annual_volatility_pct": 41.6102735414575, "trading_costs_quote_units": 46.91258529345506, "borrowing_costs_quote_units": 130.5432364992592, "price_pnl_quote_units": -1037.872278943318, "turnover_quote_units": 78187.64215575845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 2.660923675607897 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8208.054618278944, "return_pct": -17.919453817210563, "cagr_pct": -17.937962894594577, "max_drawdown_pct": 45.03178780097936, "mean_exposure_while_solvent": 1.3051884669158669, "realized_annual_volatility_pct": 56.05127333623098, "trading_costs_quote_units": 42.75492068300751, "borrowing_costs_quote_units": 353.0931424412784, "price_pnl_quote_units": -1396.0973185967712, "turnover_quote_units": 71258.2011383459, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9033.90214111282, "return_pct": -9.660978588871805, "cagr_pct": -9.671460514685693, "max_drawdown_pct": 38.562439466481116, "mean_exposure_while_solvent": 1.2778580411687797, "realized_annual_volatility_pct": 54.6941796037795, "trading_costs_quote_units": 42.798447363852624, "borrowing_costs_quote_units": 327.13333171731466, "price_pnl_quote_units": -596.166079806017, "turnover_quote_units": 71330.74560642107, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -8.258475228338758 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7999.055113417117, "return_pct": -20.009448865828826, "cagr_pct": -20.029842364366345, "max_drawdown_pct": 48.12417918042319, "mean_exposure_while_solvent": 1.4643970974969127, "realized_annual_volatility_pct": 65.24603482756247, "trading_costs_quote_units": 38.76670855276508, "borrowing_costs_quote_units": 500.77076525737533, "price_pnl_quote_units": -1461.407412772761, "turnover_quote_units": 64611.18092127512, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9244.947104968182, "return_pct": -7.5505289503181805, "cagr_pct": -7.558817772889967, "max_drawdown_pct": 43.05063692804772, "mean_exposure_while_solvent": 1.422941457740726, "realized_annual_volatility_pct": 63.27971069965008, "trading_costs_quote_units": 42.67670862129438, "borrowing_costs_quote_units": 465.3410611973719, "price_pnl_quote_units": -247.03512521317788, "turnover_quote_units": 71127.84770215725, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -12.458919915510645 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8132.077535752971, "return_pct": -18.679224642470295, "cagr_pct": -18.698425879084326, "max_drawdown_pct": 44.703922271970896, "mean_exposure_while_solvent": 1.332004858678779, "realized_annual_volatility_pct": 56.694430089405635, "trading_costs_quote_units": 62.160231608826145, "borrowing_costs_quote_units": 384.4377625508753, "price_pnl_quote_units": -1421.3244700873113, "turnover_quote_units": 103600.38601471028, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8500.183621050364, "return_pct": -14.998163789496354, "cagr_pct": -15.013937304319677, "max_drawdown_pct": 42.200893665163534, "mean_exposure_while_solvent": 1.3171174373967944, "realized_annual_volatility_pct": 56.11463575873299, "trading_costs_quote_units": 62.905530914730875, "borrowing_costs_quote_units": 369.8776836507981, "price_pnl_quote_units": -1067.0331643840834, "turnover_quote_units": 104842.5515245515, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -3.681060852973941 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8029.854445081106, "return_pct": -19.70145554918894, "cagr_pct": -19.72157523186437, "max_drawdown_pct": 47.239951867188914, "mean_exposure_while_solvent": 1.3024672239038653, "realized_annual_volatility_pct": 55.94680523288933, "trading_costs_quote_units": 31.68210075703264, "borrowing_costs_quote_units": 347.99175187355416, "price_pnl_quote_units": -1590.4717022882842, "turnover_quote_units": 52803.50126172103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9235.175994767536, "return_pct": -7.64824005232464, "cagr_pct": -7.6566316385766715, "max_drawdown_pct": 38.24904589139534, "mean_exposure_while_solvent": 1.24315978408202, "realized_annual_volatility_pct": 52.912641510689895, "trading_costs_quote_units": 31.928182740367703, "borrowing_costs_quote_units": 292.304092086723, "price_pnl_quote_units": -440.591730405352, "turnover_quote_units": 53213.637900612775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -12.053215496864299 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9300.173934399285, "return_pct": -6.998260656007149, "cagr_pct": -7.005966436911727, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.990407246915333, "realized_annual_volatility_pct": 44.152157494194064, "trading_costs_quote_units": 8.253131454615886, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -691.5729341460932, "turnover_quote_units": 13755.219091026482, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9300.173934399285, "return_pct": -6.998260656007149, "cagr_pct": -7.005966436911727, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.990407246915333, "realized_annual_volatility_pct": 44.152157494194064, "trading_costs_quote_units": 8.253131454615886, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -691.5729341460932, "turnover_quote_units": 13755.219091026482, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8029.854445081106, "return_pct": -19.70145554918894, "cagr_pct": -19.72157523186437, "max_drawdown_pct": 47.239951867188914, "mean_exposure_while_solvent": 1.3024672239038653, "realized_annual_volatility_pct": 55.94680523288933, "trading_costs_quote_units": 31.68210075703264, "borrowing_costs_quote_units": 347.99175187355416, "price_pnl_quote_units": -1590.4717022882842, "turnover_quote_units": 52803.50126172103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9235.175994767536, "return_pct": -7.64824005232464, "cagr_pct": -7.6566316385766715, "max_drawdown_pct": 38.24904589139534, "mean_exposure_while_solvent": 1.24315978408202, "realized_annual_volatility_pct": 52.912641510689895, "trading_costs_quote_units": 31.928182740367703, "borrowing_costs_quote_units": 292.304092086723, "price_pnl_quote_units": -440.591730405352, "turnover_quote_units": 53213.637900612775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -12.053215496864299 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8029.854445081106, "return_pct": -19.70145554918894, "cagr_pct": -19.72157523186437, "max_drawdown_pct": 47.239951867188914, "mean_exposure_while_solvent": 1.3024672239038653, "realized_annual_volatility_pct": 55.94680523288933, "trading_costs_quote_units": 31.68210075703264, "borrowing_costs_quote_units": 347.99175187355416, "price_pnl_quote_units": -1590.4717022882842, "turnover_quote_units": 52803.50126172103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9235.175994767536, "return_pct": -7.64824005232464, "cagr_pct": -7.6566316385766715, "max_drawdown_pct": 38.24904589139534, "mean_exposure_while_solvent": 1.24315978408202, "realized_annual_volatility_pct": 52.912641510689895, "trading_costs_quote_units": 31.928182740367703, "borrowing_costs_quote_units": 292.304092086723, "price_pnl_quote_units": -440.591730405352, "turnover_quote_units": 53213.637900612775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -12.053215496864299 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9616.209163650896, "return_pct": -3.8379083634910383, "cagr_pct": -3.842206234524575, "max_drawdown_pct": 26.918488248456285, "mean_exposure_while_solvent": 0.7488699918331259, "realized_annual_volatility_pct": 33.3415774428439, "trading_costs_quote_units": 11.148949985249267, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -372.64188636385336, "turnover_quote_units": 18581.583308748744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9616.209163650896, "return_pct": -3.8379083634910383, "cagr_pct": -3.842206234524575, "max_drawdown_pct": 26.918488248456285, "mean_exposure_while_solvent": 0.7488699918331259, "realized_annual_volatility_pct": 33.3415774428439, "trading_costs_quote_units": 11.148949985249267, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -372.64188636385336, "turnover_quote_units": 18581.583308748744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9280.46833252925, "return_pct": -7.195316674707497, "cagr_pct": -7.203230923340807, "max_drawdown_pct": 34.48529519004313, "mean_exposure_while_solvent": 0.9986295111923252, "realized_annual_volatility_pct": 44.50029469794336, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -713.5352653120484, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9280.46833252925, "return_pct": -7.195316674707497, "cagr_pct": -7.203230923340807, "max_drawdown_pct": 34.48529519004313, "mean_exposure_while_solvent": 0.9986295111923252, "realized_annual_volatility_pct": 44.50029469794336, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -713.5352653120484, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8618.068890528973, "return_pct": -13.819311094710262, "cagr_pct": -13.83394797626775, "max_drawdown_pct": 41.62142308291807, "mean_exposure_while_solvent": 1.2485393228175896, "realized_annual_volatility_pct": 55.691301420448134, "trading_costs_quote_units": 18.494822612938748, "borrowing_costs_quote_units": 266.69298658512037, "price_pnl_quote_units": -1096.743300272964, "turnover_quote_units": 30824.704354897876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8618.068890528973, "return_pct": -13.819311094710262, "cagr_pct": -13.83394797626775, "max_drawdown_pct": 41.62142308291807, "mean_exposure_while_solvent": 1.2485393228175896, "realized_annual_volatility_pct": 55.691301420448134, "trading_costs_quote_units": 18.494822612938748, "borrowing_costs_quote_units": 266.69298658512037, "price_pnl_quote_units": -1096.743300272964, "turnover_quote_units": 30824.704354897876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7904.042786847589, "return_pct": -20.959572131524105, "cagr_pct": -20.98080175584935, "max_drawdown_pct": 48.124179180423155, "mean_exposure_while_solvent": 1.498606708367902, "realized_annual_volatility_pct": 66.91918531300905, "trading_costs_quote_units": 34.92240812085629, "borrowing_costs_quote_units": 525.578383008103, "price_pnl_quote_units": -1535.45642202348, "turnover_quote_units": 58204.01353476051, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7904.042786847589, "return_pct": -20.959572131524105, "cagr_pct": -20.98080175584935, "max_drawdown_pct": 48.124179180423155, "mean_exposure_while_solvent": 1.498606708367902, "realized_annual_volatility_pct": 66.91918531300905, "trading_costs_quote_units": 34.92240812085629, "borrowing_costs_quote_units": 525.578383008103, "price_pnl_quote_units": -1535.45642202348, "turnover_quote_units": 58204.01353476051, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8950.810952284479, "return_pct": -10.491890477155208, "cagr_pct": -10.503220463985453, "max_drawdown_pct": 36.30033339895606, "mean_exposure_while_solvent": 0.9810293983788141, "realized_annual_volatility_pct": 41.07572291970156, "trading_costs_quote_units": 48.06140803474764, "borrowing_costs_quote_units": 259.6633829136165, "price_pnl_quote_units": -741.4642567671589, "turnover_quote_units": 80102.34672457931, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8687.65721104601, "return_pct": -13.123427889539908, "cagr_pct": -13.137385141181007, "max_drawdown_pct": 38.756170842008295, "mean_exposure_while_solvent": 0.9904019503316368, "realized_annual_volatility_pct": 41.61094214358198, "trading_costs_quote_units": 46.72299555996523, "borrowing_costs_quote_units": 259.6633829136165, "price_pnl_quote_units": -1005.9564104804108, "turnover_quote_units": 77871.65926660855, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 2.6315374123847004 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7953.832405955109, "return_pct": -20.46167594044891, "cagr_pct": -20.48246902532285, "max_drawdown_pct": 45.30995394425531, "mean_exposure_while_solvent": 1.3052398487188088, "realized_annual_volatility_pct": 56.05393819999765, "trading_costs_quote_units": 42.314332368824054, "borrowing_costs_quote_units": 695.3371922530077, "price_pnl_quote_units": -1308.516069423087, "turnover_quote_units": 70523.88728137349, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8778.159375830777, "return_pct": -12.218406241692225, "cagr_pct": -12.231470084569656, "max_drawdown_pct": 38.72251671312469, "mean_exposure_while_solvent": 1.2779052262815824, "realized_annual_volatility_pct": 54.69588636419375, "trading_costs_quote_units": 42.36442821247208, "borrowing_costs_quote_units": 644.9321859576826, "price_pnl_quote_units": -534.5440099990967, "turnover_quote_units": 70607.38035412016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -8.243269698756684 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7635.279066990027, "return_pct": -23.647209330099727, "cagr_pct": -23.67073289935932, "max_drawdown_pct": 48.45256788160251, "mean_exposure_while_solvent": 1.464475813294275, "realized_annual_volatility_pct": 65.25008359546486, "trading_costs_quote_units": 38.1951568385701, "borrowing_costs_quote_units": 978.6736817983627, "price_pnl_quote_units": -1347.8520943730637, "turnover_quote_units": 63658.5947309502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8861.381036669532, "return_pct": -11.386189633304678, "cagr_pct": -11.398422521206784, "max_drawdown_pct": 43.50055943830809, "mean_exposure_while_solvent": 1.423013037532865, "realized_annual_volatility_pct": 63.28241199732424, "trading_costs_quote_units": 41.9658829488947, "borrowing_costs_quote_units": 910.8560978329577, "price_pnl_quote_units": -185.79698254863396, "turnover_quote_units": 69943.13824815785, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -12.26101969679505 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7851.873925613863, "return_pct": -21.481260743861363, "cagr_pct": -21.50294392148729, "max_drawdown_pct": 44.953726775152184, "mean_exposure_while_solvent": 1.3320630065241397, "realized_annual_volatility_pct": 56.69756976554757, "trading_costs_quote_units": 61.320714707543104, "borrowing_costs_quote_units": 755.5200143341137, "price_pnl_quote_units": -1331.2853453444636, "turnover_quote_units": 102201.19117923843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8219.580137499437, "return_pct": -17.80419862500563, "cagr_pct": -17.822601999581327, "max_drawdown_pct": 42.37588907708385, "mean_exposure_while_solvent": 1.3171731999343348, "realized_annual_volatility_pct": 56.11734292198951, "trading_costs_quote_units": 62.05993506529976, "borrowing_costs_quote_units": 727.3626850746607, "price_pnl_quote_units": -990.9972423605893, "turnover_quote_units": 103433.22510883279, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -3.6770621188557335 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7786.892355212038, "return_pct": -22.13107644787963, "cagr_pct": -22.15331902759209, "max_drawdown_pct": 47.56709339754074, "mean_exposure_while_solvent": 1.3025174170790674, "realized_annual_volatility_pct": 55.949651882757365, "trading_costs_quote_units": 31.38050156232632, "borrowing_costs_quote_units": 685.7463651309039, "price_pnl_quote_units": -1495.980778094713, "turnover_quote_units": 52300.835937210526, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9009.167021010482, "return_pct": -9.908329789895177, "cagr_pct": -9.91906508896424, "max_drawdown_pct": 38.416562328791294, "mean_exposure_while_solvent": 1.2432004954994538, "realized_annual_volatility_pct": 52.91375428188023, "trading_costs_quote_units": 31.621865252353523, "borrowing_costs_quote_units": 577.3716018988675, "price_pnl_quote_units": -381.8395118382696, "turnover_quote_units": 52703.10875392254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -12.222746657984452 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9300.173934399285, "return_pct": -6.998260656007149, "cagr_pct": -7.005966436911727, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.990407246915333, "realized_annual_volatility_pct": 44.152157494194064, "trading_costs_quote_units": 8.253131454615886, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -691.5729341460932, "turnover_quote_units": 13755.219091026482, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9300.173934399285, "return_pct": -6.998260656007149, "cagr_pct": -7.005966436911727, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.990407246915333, "realized_annual_volatility_pct": 44.152157494194064, "trading_costs_quote_units": 8.253131454615886, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -691.5729341460932, "turnover_quote_units": 13755.219091026482, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7786.892355212038, "return_pct": -22.13107644787963, "cagr_pct": -22.15331902759209, "max_drawdown_pct": 47.56709339754074, "mean_exposure_while_solvent": 1.3025174170790674, "realized_annual_volatility_pct": 55.949651882757365, "trading_costs_quote_units": 31.38050156232632, "borrowing_costs_quote_units": 685.7463651309039, "price_pnl_quote_units": -1495.980778094713, "turnover_quote_units": 52300.835937210526, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9009.167021010482, "return_pct": -9.908329789895177, "cagr_pct": -9.91906508896424, "max_drawdown_pct": 38.416562328791294, "mean_exposure_while_solvent": 1.2432004954994538, "realized_annual_volatility_pct": 52.91375428188023, "trading_costs_quote_units": 31.621865252353523, "borrowing_costs_quote_units": 577.3716018988675, "price_pnl_quote_units": -381.8395118382696, "turnover_quote_units": 52703.10875392254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -12.222746657984452 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7786.892355212038, "return_pct": -22.13107644787963, "cagr_pct": -22.15331902759209, "max_drawdown_pct": 47.56709339754074, "mean_exposure_while_solvent": 1.3025174170790674, "realized_annual_volatility_pct": 55.949651882757365, "trading_costs_quote_units": 31.38050156232632, "borrowing_costs_quote_units": 685.7463651309039, "price_pnl_quote_units": -1495.980778094713, "turnover_quote_units": 52300.835937210526, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9009.167021010482, "return_pct": -9.908329789895177, "cagr_pct": -9.91906508896424, "max_drawdown_pct": 38.416562328791294, "mean_exposure_while_solvent": 1.2432004954994538, "realized_annual_volatility_pct": 52.91375428188023, "trading_costs_quote_units": 31.621865252353523, "borrowing_costs_quote_units": 577.3716018988675, "price_pnl_quote_units": -381.8395118382696, "turnover_quote_units": 52703.10875392254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -12.222746657984452 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9616.209163650896, "return_pct": -3.8379083634910383, "cagr_pct": -3.842206234524575, "max_drawdown_pct": 26.918488248456285, "mean_exposure_while_solvent": 0.7488699918331259, "realized_annual_volatility_pct": 33.3415774428439, "trading_costs_quote_units": 11.148949985249267, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -372.64188636385336, "turnover_quote_units": 18581.583308748744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9616.209163650896, "return_pct": -3.8379083634910383, "cagr_pct": -3.842206234524575, "max_drawdown_pct": 26.918488248456285, "mean_exposure_while_solvent": 0.7488699918331259, "realized_annual_volatility_pct": 33.3415774428439, "trading_costs_quote_units": 11.148949985249267, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -372.64188636385336, "turnover_quote_units": 18581.583308748744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9280.46833252925, "return_pct": -7.195316674707497, "cagr_pct": -7.203230923340807, "max_drawdown_pct": 34.48529519004313, "mean_exposure_while_solvent": 0.9986295111923252, "realized_annual_volatility_pct": 44.50029469794336, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -713.5352653120484, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9280.46833252925, "return_pct": -7.195316674707497, "cagr_pct": -7.203230923340807, "max_drawdown_pct": 34.48529519004313, "mean_exposure_while_solvent": 0.9986295111923252, "realized_annual_volatility_pct": 44.50029469794336, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -713.5352653120484, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8405.570751759169, "return_pct": -15.944292482408306, "cagr_pct": -15.96096473386534, "max_drawdown_pct": 41.80595438870193, "mean_exposure_while_solvent": 1.2485749452915773, "realized_annual_volatility_pct": 55.69311436068932, "trading_costs_quote_units": 18.36301997330844, "borrowing_costs_quote_units": 526.7634865986985, "price_pnl_quote_units": -1049.3027416687978, "turnover_quote_units": 30605.033288847397, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8405.570751759169, "return_pct": -15.944292482408306, "cagr_pct": -15.96096473386534, "max_drawdown_pct": 41.80595438870193, "mean_exposure_while_solvent": 1.2485749452915773, "realized_annual_volatility_pct": 55.69311436068932, "trading_costs_quote_units": 18.36301997330844, "borrowing_costs_quote_units": 526.7634865986985, "price_pnl_quote_units": -1049.3027416687978, "turnover_quote_units": 30605.033288847397, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7518.893925739885, "return_pct": -24.811060742601143, "cagr_pct": -24.8355443443494, "max_drawdown_pct": 48.45256788160258, "mean_exposure_while_solvent": 1.4986922836544276, "realized_annual_volatility_pct": 66.9235673074616, "trading_costs_quote_units": 34.318586701602186, "borrowing_costs_quote_units": 1025.2588995185758, "price_pnl_quote_units": -1421.5285880399456, "turnover_quote_units": 57197.644502670395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7518.893925739885, "return_pct": -24.811060742601143, "cagr_pct": -24.8355443443494, "max_drawdown_pct": 48.45256788160258, "mean_exposure_while_solvent": 1.4986922836544276, "realized_annual_volatility_pct": 66.9235673074616, "trading_costs_quote_units": 34.318586701602186, "borrowing_costs_quote_units": 1025.2588995185758, "price_pnl_quote_units": -1421.5285880399456, "turnover_quote_units": 57197.644502670395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8949.042850224154, "return_pct": -10.509571497758463, "cagr_pct": -10.520919434996596, "max_drawdown_pct": 36.27170585251215, "mean_exposure_while_solvent": 0.9817893427498606, "realized_annual_volatility_pct": 41.08464665990448, "trading_costs_quote_units": 245.54484430576636, "borrowing_costs_quote_units": 64.97708953387279, "price_pnl_quote_units": -740.435215936211, "turnover_quote_units": 81848.28143525544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8711.524918855648, "return_pct": -12.884750811443524, "cagr_pct": -12.89847349045444, "max_drawdown_pct": 38.577442228565396, "mean_exposure_while_solvent": 0.9911773163527893, "realized_annual_volatility_pct": 41.625485476573374, "trading_costs_quote_units": 239.1808188542748, "borrowing_costs_quote_units": 64.97708953387279, "price_pnl_quote_units": -984.3171727562064, "turnover_quote_units": 79726.9396180915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 2.375179313685061 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8289.303723195086, "return_pct": -17.10696276804914, "cagr_pct": -17.124722763894386, "max_drawdown_pct": 44.86630585055098, "mean_exposure_while_solvent": 1.3062275209107415, "realized_annual_volatility_pct": 56.02382680445712, "trading_costs_quote_units": 218.21503507759812, "borrowing_costs_quote_units": 177.9481232991313, "price_pnl_quote_units": -1314.5331184282045, "turnover_quote_units": 72738.34502586599, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9021.394976982858, "return_pct": -9.786050230171417, "cagr_pct": -9.79666036954634, "max_drawdown_pct": 38.915012015900174, "mean_exposure_while_solvent": 1.2789272680553831, "realized_annual_volatility_pct": 54.66191358279475, "trading_costs_quote_units": 217.86403827936692, "borrowing_costs_quote_units": 164.68361439259095, "price_pnl_quote_units": -596.0573703451987, "turnover_quote_units": 72621.3460931223, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -7.320912537877723 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8140.487583011301, "return_pct": -18.59512416988699, "cagr_pct": -18.614249188093286, "max_drawdown_pct": 47.83982294873129, "mean_exposure_while_solvent": 1.4655012090754624, "realized_annual_volatility_pct": 65.1319259933688, "trading_costs_quote_units": 198.09422300916654, "borrowing_costs_quote_units": 252.829037725653, "price_pnl_quote_units": -1408.5891562539143, "turnover_quote_units": 66031.40766972218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9236.260966227932, "return_pct": -7.637390337720684, "cagr_pct": -7.645770519057447, "max_drawdown_pct": 43.12687097924572, "mean_exposure_while_solvent": 1.4240312815744247, "realized_annual_volatility_pct": 63.156080084812075, "trading_costs_quote_units": 218.36394153934214, "borrowing_costs_quote_units": 234.3990542870605, "price_pnl_quote_units": -310.9760379457006, "turnover_quote_units": 72787.98051311407, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.957733832166305 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8123.767006025484, "return_pct": -18.762329939745158, "cagr_pct": -18.781606395197517, "max_drawdown_pct": 44.13350667420368, "mean_exposure_while_solvent": 1.333255814524416, "realized_annual_volatility_pct": 56.47418043891137, "trading_costs_quote_units": 315.20815639855795, "borrowing_costs_quote_units": 191.13430602165985, "price_pnl_quote_units": -1369.8905315543063, "turnover_quote_units": 105069.38546618601, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8440.028115676823, "return_pct": -15.59971884323177, "cagr_pct": -15.616065183250058, "max_drawdown_pct": 41.95860442030587, "mean_exposure_while_solvent": 1.3183800247726039, "realized_annual_volatility_pct": 55.896060375290176, "trading_costs_quote_units": 319.15369777483664, "borrowing_costs_quote_units": 183.75057736605612, "price_pnl_quote_units": -1057.0676091822938, "turnover_quote_units": 106384.56592494561, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -3.1626110965133876 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8116.738074184668, "return_pct": -18.832619258153315, "cagr_pct": -18.851959256811885, "max_drawdown_pct": 46.86732926024375, "mean_exposure_while_solvent": 1.303478893900634, "realized_annual_volatility_pct": 55.894797776070305, "trading_costs_quote_units": 161.10741268474965, "borrowing_costs_quote_units": 174.5672322621869, "price_pnl_quote_units": -1547.587280868391, "turnover_quote_units": 53702.47089491653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9174.97621149384, "return_pct": -8.250237885061596, "cagr_pct": -8.259259986030843, "max_drawdown_pct": 38.753485752216335, "mean_exposure_while_solvent": 1.2442358707417895, "realized_annual_volatility_pct": 52.86395379228994, "trading_costs_quote_units": 162.82586788110717, "borrowing_costs_quote_units": 146.43977155271494, "price_pnl_quote_units": -515.7581490723319, "turnover_quote_units": 54275.28929370235, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.58238137309172 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9309.42455284114, "return_pct": -6.90575447158861, "cagr_pct": -6.9133622244780435, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9913336631543913, "realized_annual_volatility_pct": 44.15857771275791, "trading_costs_quote_units": 40.997210461736145, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -649.5782366971207, "turnover_quote_units": 13665.73682057872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9309.42455284114, "return_pct": -6.90575447158861, "cagr_pct": -6.9133622244780435, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9913336631543913, "realized_annual_volatility_pct": 44.15857771275791, "trading_costs_quote_units": 40.997210461736145, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -649.5782366971207, "turnover_quote_units": 13665.73682057872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8116.738074184668, "return_pct": -18.832619258153315, "cagr_pct": -18.851959256811885, "max_drawdown_pct": 46.86732926024375, "mean_exposure_while_solvent": 1.303478893900634, "realized_annual_volatility_pct": 55.894797776070305, "trading_costs_quote_units": 161.10741268474965, "borrowing_costs_quote_units": 174.5672322621869, "price_pnl_quote_units": -1547.587280868391, "turnover_quote_units": 53702.47089491653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9174.97621149384, "return_pct": -8.250237885061596, "cagr_pct": -8.259259986030843, "max_drawdown_pct": 38.753485752216335, "mean_exposure_while_solvent": 1.2442358707417895, "realized_annual_volatility_pct": 52.86395379228994, "trading_costs_quote_units": 162.82586788110717, "borrowing_costs_quote_units": 146.43977155271494, "price_pnl_quote_units": -515.7581490723319, "turnover_quote_units": 54275.28929370235, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.58238137309172 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8116.738074184668, "return_pct": -18.832619258153315, "cagr_pct": -18.851959256811885, "max_drawdown_pct": 46.86732926024375, "mean_exposure_while_solvent": 1.303478893900634, "realized_annual_volatility_pct": 55.894797776070305, "trading_costs_quote_units": 161.10741268474965, "borrowing_costs_quote_units": 174.5672322621869, "price_pnl_quote_units": -1547.587280868391, "turnover_quote_units": 53702.47089491653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9174.97621149384, "return_pct": -8.250237885061596, "cagr_pct": -8.259259986030843, "max_drawdown_pct": 38.753485752216335, "mean_exposure_while_solvent": 1.2442358707417895, "realized_annual_volatility_pct": 52.86395379228994, "trading_costs_quote_units": 162.82586788110717, "borrowing_costs_quote_units": 146.43977155271494, "price_pnl_quote_units": -515.7581490723319, "turnover_quote_units": 54275.28929370235, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.58238137309172 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9624.922977815788, "return_pct": -3.7507702218421257, "cagr_pct": -3.7549724285458432, "max_drawdown_pct": 27.00894475262271, "mean_exposure_while_solvent": 0.7496311357583844, "realized_annual_volatility_pct": 33.384991300577546, "trading_costs_quote_units": 56.396260292017914, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -318.68076189218783, "turnover_quote_units": 18798.75343067264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9624.922977815788, "return_pct": -3.7507702218421257, "cagr_pct": -3.7549724285458432, "max_drawdown_pct": 27.00894475262271, "mean_exposure_while_solvent": 0.7496311357583844, "realized_annual_volatility_pct": 33.384991300577546, "trading_costs_quote_units": 56.396260292017914, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -318.68076189218783, "turnover_quote_units": 18798.75343067264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9332.189185690853, "return_pct": -6.678108143091466, "cagr_pct": -6.68547421379596, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9995431703974418, "realized_annual_volatility_pct": 44.51415092367464, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -637.9005451167192, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9332.189185690853, "return_pct": -6.678108143091466, "cagr_pct": -6.68547421379596, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9995431703974418, "realized_annual_volatility_pct": 44.51415092367464, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -637.9005451167192, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8759.587066348377, "return_pct": -12.404129336516235, "cagr_pct": -12.417377392875766, "max_drawdown_pct": 41.475312060121794, "mean_exposure_while_solvent": 1.2495229018991587, "realized_annual_volatility_pct": 55.65681924370971, "trading_costs_quote_units": 93.9918313064197, "borrowing_costs_quote_units": 134.89451274610184, "price_pnl_quote_units": -1011.5265895990836, "turnover_quote_units": 31330.610435473187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8759.587066348377, "return_pct": -12.404129336516235, "cagr_pct": -12.417377392875766, "max_drawdown_pct": 41.475312060121794, "mean_exposure_while_solvent": 1.2495229018991587, "realized_annual_volatility_pct": 55.65681924370971, "trading_costs_quote_units": 93.9918313064197, "borrowing_costs_quote_units": 134.89451274610184, "price_pnl_quote_units": -1011.5265895990836, "turnover_quote_units": 31330.610435473187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8111.491865581838, "return_pct": -18.88508134418162, "cagr_pct": -18.904468724463193, "max_drawdown_pct": 47.8398229487313, "mean_exposure_while_solvent": 1.4995791297337795, "realized_annual_volatility_pct": 66.81370597606045, "trading_costs_quote_units": 178.8717335762153, "borrowing_costs_quote_units": 267.11503815924453, "price_pnl_quote_units": -1442.5213626826844, "turnover_quote_units": 59623.91119207173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8111.491865581838, "return_pct": -18.88508134418162, "cagr_pct": -18.904468724463193, "max_drawdown_pct": 47.8398229487313, "mean_exposure_while_solvent": 1.4995791297337795, "realized_annual_volatility_pct": 66.81370597606045, "trading_costs_quote_units": 178.8717335762153, "borrowing_costs_quote_units": 267.11503815924453, "price_pnl_quote_units": -1442.5213626826844, "turnover_quote_units": 59623.91119207173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8899.484369554646, "return_pct": -11.005156304453545, "cagr_pct": -11.017005749552796, "max_drawdown_pct": 36.30486406440584, "mean_exposure_while_solvent": 0.9817976036752534, "realized_annual_volatility_pct": 41.08513635430489, "trading_costs_quote_units": 245.04129534195934, "borrowing_costs_quote_units": 129.59996473542625, "price_pnl_quote_units": -725.8743703679648, "turnover_quote_units": 81680.43178065315, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8663.281777491964, "return_pct": -13.367182225080365, "cagr_pct": -13.381378265576124, "max_drawdown_pct": 38.609400752057695, "mean_exposure_while_solvent": 0.991185577278182, "realized_annual_volatility_pct": 41.62595235819694, "trading_costs_quote_units": 238.71251292568346, "borrowing_costs_quote_units": 129.59996473542625, "price_pnl_quote_units": -968.4057448469215, "turnover_quote_units": 79570.83764189444, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 2.36202592062682 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8159.839236987123, "return_pct": -18.40160763012877, "cagr_pct": -18.420556891521827, "max_drawdown_pct": 45.005386129033184, "mean_exposure_while_solvent": 1.306253216875245, "realized_annual_volatility_pct": 56.02539883448338, "trading_costs_quote_units": 217.08450830843677, "borrowing_costs_quote_units": 353.14418943178316, "price_pnl_quote_units": -1269.9320652726692, "turnover_quote_units": 72361.50276947883, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8892.675691973278, "return_pct": -11.073243080267225, "cagr_pct": -11.08516117977924, "max_drawdown_pct": 38.993404357795036, "mean_exposure_while_solvent": 1.278950865443485, "realized_annual_volatility_pct": 54.663026419898195, "trading_costs_quote_units": 216.76959336253478, "borrowing_costs_quote_units": 327.0049548724416, "price_pnl_quote_units": -563.54975979176, "turnover_quote_units": 72256.5311208449, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -7.3283645498615435 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7953.095894916822, "return_pct": -20.469041050831784, "cagr_pct": -20.48984061921462, "max_drawdown_pct": 48.00511860682843, "mean_exposure_while_solvent": 1.4655405876497747, "realized_annual_volatility_pct": 65.1345341341896, "trading_costs_quote_units": 196.61591888316542, "borrowing_costs_quote_units": 499.8309498991721, "price_pnl_quote_units": -1350.4572363008485, "turnover_quote_units": 65538.63962772176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9042.45693732315, "return_pct": -9.5754306267685, "cagr_pct": -9.585824741546766, "max_drawdown_pct": 43.35188979403689, "mean_exposure_while_solvent": 1.4240670810565816, "realized_annual_volatility_pct": 63.158037189863435, "trading_costs_quote_units": 216.52134100786787, "borrowing_costs_quote_units": 463.7697017076167, "price_pnl_quote_units": -277.2520199613758, "turnover_quote_units": 72173.78033595596, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.893610424063285 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7982.434122698433, "return_pct": -20.17565877301567, "cagr_pct": -20.19619947462235, "max_drawdown_pct": 44.25876807507391, "mean_exposure_while_solvent": 1.333284931452526, "realized_annual_volatility_pct": 56.47603758534835, "trading_costs_quote_units": 313.06575774079755, "borrowing_costs_quote_units": 378.9231115043913, "price_pnl_quote_units": -1325.5770080563848, "turnover_quote_units": 104355.2525802659, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8299.388097432375, "return_pct": -17.00611902567626, "cagr_pct": -17.0237854110575, "max_drawdown_pct": 42.04548266067458, "mean_exposure_while_solvent": 1.318407948146514, "realized_annual_volatility_pct": 55.89771290703044, "trading_costs_quote_units": 316.99381591220197, "borrowing_costs_quote_units": 364.4018695141893, "price_pnl_quote_units": -1019.2162171412443, "turnover_quote_units": 105664.60530406739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -3.1695397473394102 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7992.89926537974, "return_pct": -20.071007346202595, "cagr_pct": -20.091455409809956, "max_drawdown_pct": 47.031956755209194, "mean_exposure_while_solvent": 1.3035039936277417, "realized_annual_volatility_pct": 55.896488695554645, "trading_costs_quote_units": 160.39494931707657, "borrowing_costs_quote_units": 346.5484637082046, "price_pnl_quote_units": -1500.157321594929, "turnover_quote_units": 53464.98310569221, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9061.904041525839, "return_pct": -9.38095958474161, "cagr_pct": -9.391153739862931, "max_drawdown_pct": 38.83538305830639, "mean_exposure_while_solvent": 1.2442562290465453, "realized_annual_volatility_pct": 52.86477375904636, "trading_costs_quote_units": 162.08451008819964, "borrowing_costs_quote_units": 291.0571965977446, "price_pnl_quote_units": -484.9542517881697, "turnover_quote_units": 54028.170029399866, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.690047761460985 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9309.42455284114, "return_pct": -6.90575447158861, "cagr_pct": -6.9133622244780435, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9913336631543913, "realized_annual_volatility_pct": 44.15857771275791, "trading_costs_quote_units": 40.997210461736145, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -649.5782366971207, "turnover_quote_units": 13665.73682057872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9309.42455284114, "return_pct": -6.90575447158861, "cagr_pct": -6.9133622244780435, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9913336631543913, "realized_annual_volatility_pct": 44.15857771275791, "trading_costs_quote_units": 40.997210461736145, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -649.5782366971207, "turnover_quote_units": 13665.73682057872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7992.89926537974, "return_pct": -20.071007346202595, "cagr_pct": -20.091455409809956, "max_drawdown_pct": 47.031956755209194, "mean_exposure_while_solvent": 1.3035039936277417, "realized_annual_volatility_pct": 55.896488695554645, "trading_costs_quote_units": 160.39494931707657, "borrowing_costs_quote_units": 346.5484637082046, "price_pnl_quote_units": -1500.157321594929, "turnover_quote_units": 53464.98310569221, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9061.904041525839, "return_pct": -9.38095958474161, "cagr_pct": -9.391153739862931, "max_drawdown_pct": 38.83538305830639, "mean_exposure_while_solvent": 1.2442562290465453, "realized_annual_volatility_pct": 52.86477375904636, "trading_costs_quote_units": 162.08451008819964, "borrowing_costs_quote_units": 291.0571965977446, "price_pnl_quote_units": -484.9542517881697, "turnover_quote_units": 54028.170029399866, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.690047761460985 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7992.89926537974, "return_pct": -20.071007346202595, "cagr_pct": -20.091455409809956, "max_drawdown_pct": 47.031956755209194, "mean_exposure_while_solvent": 1.3035039936277417, "realized_annual_volatility_pct": 55.896488695554645, "trading_costs_quote_units": 160.39494931707657, "borrowing_costs_quote_units": 346.5484637082046, "price_pnl_quote_units": -1500.157321594929, "turnover_quote_units": 53464.98310569221, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9061.904041525839, "return_pct": -9.38095958474161, "cagr_pct": -9.391153739862931, "max_drawdown_pct": 38.83538305830639, "mean_exposure_while_solvent": 1.2442562290465453, "realized_annual_volatility_pct": 52.86477375904636, "trading_costs_quote_units": 162.08451008819964, "borrowing_costs_quote_units": 291.0571965977446, "price_pnl_quote_units": -484.9542517881697, "turnover_quote_units": 54028.170029399866, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.690047761460985 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9624.922977815788, "return_pct": -3.7507702218421257, "cagr_pct": -3.7549724285458432, "max_drawdown_pct": 27.00894475262271, "mean_exposure_while_solvent": 0.7496311357583844, "realized_annual_volatility_pct": 33.384991300577546, "trading_costs_quote_units": 56.396260292017914, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -318.68076189218783, "turnover_quote_units": 18798.75343067264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9624.922977815788, "return_pct": -3.7507702218421257, "cagr_pct": -3.7549724285458432, "max_drawdown_pct": 27.00894475262271, "mean_exposure_while_solvent": 0.7496311357583844, "realized_annual_volatility_pct": 33.384991300577546, "trading_costs_quote_units": 56.396260292017914, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -318.68076189218783, "turnover_quote_units": 18798.75343067264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9332.189185690853, "return_pct": -6.678108143091466, "cagr_pct": -6.68547421379596, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9995431703974418, "realized_annual_volatility_pct": 44.51415092367464, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -637.9005451167192, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9332.189185690853, "return_pct": -6.678108143091466, "cagr_pct": -6.68547421379596, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9995431703974418, "realized_annual_volatility_pct": 44.51415092367464, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -637.9005451167192, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8650.834075915616, "return_pct": -13.491659240843834, "cagr_pct": -13.505976920368143, "max_drawdown_pct": 41.56785941523072, "mean_exposure_while_solvent": 1.2495407203772941, "realized_annual_volatility_pct": 55.65798905011036, "trading_costs_quote_units": 93.66589946522386, "borrowing_costs_quote_units": 268.10370475688643, "price_pnl_quote_units": -987.3963198622847, "turnover_quote_units": 31221.966488407943, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8650.834075915616, "return_pct": -13.491659240843834, "cagr_pct": -13.505976920368143, "max_drawdown_pct": 41.56785941523072, "mean_exposure_while_solvent": 1.2495407203772941, "realized_annual_volatility_pct": 55.65798905011036, "trading_costs_quote_units": 93.66589946522386, "borrowing_costs_quote_units": 268.10370475688643, "price_pnl_quote_units": -987.3963198622847, "turnover_quote_units": 31221.966488407943, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7911.241526829732, "return_pct": -20.88758473170268, "cagr_pct": -20.908751460949034, "max_drawdown_pct": 48.00511860682841, "mean_exposure_while_solvent": 1.4996219181891395, "realized_annual_volatility_pct": 66.81652318966685, "trading_costs_quote_units": 177.31912318838678, "borrowing_costs_quote_units": 527.5751482959661, "price_pnl_quote_units": -1383.8642016859078, "turnover_quote_units": 59106.374396129024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7911.241526829732, "return_pct": -20.88758473170268, "cagr_pct": -20.908751460949034, "max_drawdown_pct": 48.00511860682841, "mean_exposure_while_solvent": 1.4996219181891395, "realized_annual_volatility_pct": 66.81652318966685, "trading_costs_quote_units": 177.31912318838678, "borrowing_costs_quote_units": 527.5751482959661, "price_pnl_quote_units": -1383.8642016859078, "turnover_quote_units": 59106.374396129024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8801.166401101418, "return_pct": -11.98833598898582, "cagr_pct": -12.001171008877826, "max_drawdown_pct": 36.37114552827748, "mean_exposure_while_solvent": 0.981814128340911, "realized_annual_volatility_pct": 41.086133893465785, "trading_costs_quote_units": 244.04038628085019, "borrowing_costs_quote_units": 257.79048037105525, "price_pnl_quote_units": -697.0027322466962, "turnover_quote_units": 81346.79542694998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8567.573281456536, "return_pct": -14.324267185434636, "cagr_pct": -14.339393210338525, "max_drawdown_pct": 38.67328410400197, "mean_exposure_while_solvent": 0.9912021019438396, "realized_annual_volatility_pct": 41.62690402990371, "trading_costs_quote_units": 237.78152173892653, "borrowing_costs_quote_units": 257.79048037105525, "price_pnl_quote_units": -936.8547164335029, "turnover_quote_units": 79260.5072463088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 2.335931196448815 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7906.872578842942, "return_pct": -20.93127421157058, "cagr_pct": -20.952479121061916, "max_drawdown_pct": 45.28256651462533, "mean_exposure_while_solvent": 1.306304619192762, "realized_annual_volatility_pct": 56.0285655128316, "trading_costs_quote_units": 214.87059846094218, "borrowing_costs_quote_units": 695.4434656164732, "price_pnl_quote_units": -1182.8133570796401, "turnover_quote_units": 71623.53282031402, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8640.647599661417, "return_pct": -13.593524003385827, "cagr_pct": -13.607941072900228, "max_drawdown_pct": 39.14993032053488, "mean_exposure_while_solvent": 1.2789980698595058, "realized_annual_volatility_pct": 54.665279676181655, "trading_costs_quote_units": 214.62505175641348, "borrowing_costs_quote_units": 644.6903243065503, "price_pnl_quote_units": -500.0370242756082, "turnover_quote_units": 71541.68391880453, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -7.3377502081847545 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7591.05004075819, "return_pct": -24.089499592418097, "cagr_pct": -24.113390401752575, "max_drawdown_pct": 48.334230365999744, "mean_exposure_while_solvent": 1.4656193615631339, "realized_annual_volatility_pct": 65.1397552270345, "trading_costs_quote_units": 193.73213936448064, "borrowing_costs_quote_units": 976.8689097088163, "price_pnl_quote_units": -1238.3489101685193, "turnover_quote_units": 64577.379788160244, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8666.854171169154, "return_pct": -13.331458288308461, "cagr_pct": -13.345619381574952, "max_drawdown_pct": 43.799381258546624, "mean_exposure_while_solvent": 1.424138695216612, "realized_annual_volatility_pct": 63.161964970403695, "trading_costs_quote_units": 212.92814271348098, "borrowing_costs_quote_units": 907.8388480587563, "price_pnl_quote_units": -212.3788380586144, "turnover_quote_units": 70976.04757116042, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.758041304109636 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7707.023312203327, "return_pct": -22.929766877966728, "cagr_pct": -22.952688523700598, "max_drawdown_pct": 44.50851234766095, "mean_exposure_while_solvent": 1.3333431773441147, "realized_annual_volatility_pct": 56.47977390855877, "trading_costs_quote_units": 308.8734478901256, "borrowing_costs_quote_units": 744.6879153830074, "price_pnl_quote_units": -1239.4153245235318, "turnover_quote_units": 102957.81596337512, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8025.020687175339, "return_pct": -19.74979312824661, "cagr_pct": -19.769955874036636, "max_drawdown_pct": 42.21889329606236, "mean_exposure_while_solvent": 1.318463806467503, "realized_annual_volatility_pct": 55.90104278345252, "trading_costs_quote_units": 312.76524411787136, "borrowing_costs_quote_units": 716.6060408075849, "price_pnl_quote_units": -945.6080278992067, "turnover_quote_units": 104255.08137262375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -3.1799737497201193 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7750.797129249613, "return_pct": -22.492028707503863, "cagr_pct": -22.51457934306086, "max_drawdown_pct": 47.35977248978711, "mean_exposure_while_solvent": 1.3035542032326592, "realized_annual_volatility_pct": 55.89989444949849, "trading_costs_quote_units": 158.99114846837927, "borrowing_costs_quote_units": 682.9012208035006, "price_pnl_quote_units": -1407.3105014785122, "turnover_quote_units": 52997.04948945967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8839.86336117489, "return_pct": -11.6013663882511, "cagr_pct": -11.613814986549526, "max_drawdown_pct": 38.99889465898173, "mean_exposure_while_solvent": 1.2442969539637023, "realized_annual_volatility_pct": 52.86644474207477, "trading_costs_quote_units": 160.62435977582427, "borrowing_costs_quote_units": 574.9119310126374, "price_pnl_quote_units": -424.6003480366413, "turnover_quote_units": 53541.45325860805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.890662319252764 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9309.42455284114, "return_pct": -6.90575447158861, "cagr_pct": -6.9133622244780435, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9913336631543913, "realized_annual_volatility_pct": 44.15857771275791, "trading_costs_quote_units": 40.997210461736145, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -649.5782366971207, "turnover_quote_units": 13665.73682057872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9309.42455284114, "return_pct": -6.90575447158861, "cagr_pct": -6.9133622244780435, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9913336631543913, "realized_annual_volatility_pct": 44.15857771275791, "trading_costs_quote_units": 40.997210461736145, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -649.5782366971207, "turnover_quote_units": 13665.73682057872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7750.797129249613, "return_pct": -22.492028707503863, "cagr_pct": -22.51457934306086, "max_drawdown_pct": 47.35977248978711, "mean_exposure_while_solvent": 1.3035542032326592, "realized_annual_volatility_pct": 55.89989444949849, "trading_costs_quote_units": 158.99114846837927, "borrowing_costs_quote_units": 682.9012208035006, "price_pnl_quote_units": -1407.3105014785122, "turnover_quote_units": 52997.04948945967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8839.86336117489, "return_pct": -11.6013663882511, "cagr_pct": -11.613814986549526, "max_drawdown_pct": 38.99889465898173, "mean_exposure_while_solvent": 1.2442969539637023, "realized_annual_volatility_pct": 52.86644474207477, "trading_costs_quote_units": 160.62435977582427, "borrowing_costs_quote_units": 574.9119310126374, "price_pnl_quote_units": -424.6003480366413, "turnover_quote_units": 53541.45325860805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.890662319252764 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7750.797129249613, "return_pct": -22.492028707503863, "cagr_pct": -22.51457934306086, "max_drawdown_pct": 47.35977248978711, "mean_exposure_while_solvent": 1.3035542032326592, "realized_annual_volatility_pct": 55.89989444949849, "trading_costs_quote_units": 158.99114846837927, "borrowing_costs_quote_units": 682.9012208035006, "price_pnl_quote_units": -1407.3105014785122, "turnover_quote_units": 52997.04948945967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8839.86336117489, "return_pct": -11.6013663882511, "cagr_pct": -11.613814986549526, "max_drawdown_pct": 38.99889465898173, "mean_exposure_while_solvent": 1.2442969539637023, "realized_annual_volatility_pct": 52.86644474207477, "trading_costs_quote_units": 160.62435977582427, "borrowing_costs_quote_units": 574.9119310126374, "price_pnl_quote_units": -424.6003480366413, "turnover_quote_units": 53541.45325860805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -10.890662319252764 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9624.922977815788, "return_pct": -3.7507702218421257, "cagr_pct": -3.7549724285458432, "max_drawdown_pct": 27.00894475262271, "mean_exposure_while_solvent": 0.7496311357583844, "realized_annual_volatility_pct": 33.384991300577546, "trading_costs_quote_units": 56.396260292017914, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -318.68076189218783, "turnover_quote_units": 18798.75343067264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9624.922977815788, "return_pct": -3.7507702218421257, "cagr_pct": -3.7549724285458432, "max_drawdown_pct": 27.00894475262271, "mean_exposure_while_solvent": 0.7496311357583844, "realized_annual_volatility_pct": 33.384991300577546, "trading_costs_quote_units": 56.396260292017914, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -318.68076189218783, "turnover_quote_units": 18798.75343067264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9332.189185690853, "return_pct": -6.678108143091466, "cagr_pct": -6.68547421379596, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9995431703974418, "realized_annual_volatility_pct": 44.51415092367464, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -637.9005451167192, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9332.189185690853, "return_pct": -6.678108143091466, "cagr_pct": -6.68547421379596, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9995431703974418, "realized_annual_volatility_pct": 44.51415092367464, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -637.9005451167192, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8437.308428805427, "return_pct": -15.626915711945733, "cagr_pct": -15.643287834384548, "max_drawdown_pct": 41.752556392352446, "mean_exposure_while_solvent": 1.2495763628232295, "realized_annual_volatility_pct": 55.66032858565468, "trading_costs_quote_units": 93.02921642286545, "borrowing_costs_quote_units": 529.5467759284451, "price_pnl_quote_units": -940.1155788432685, "turnover_quote_units": 31009.738807621827, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8437.308428805427, "return_pct": -15.626915711945733, "cagr_pct": -15.643287834384548, "max_drawdown_pct": 41.752556392352446, "mean_exposure_while_solvent": 1.2495763628232295, "realized_annual_volatility_pct": 55.66032858565468, "trading_costs_quote_units": 93.02921642286545, "borrowing_costs_quote_units": 529.5467759284451, "price_pnl_quote_units": -940.1155788432685, "turnover_quote_units": 31009.738807621827, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7525.332453016319, "return_pct": -24.74667546983681, "cagr_pct": -24.771106496911322, "max_drawdown_pct": 48.334230365999666, "mean_exposure_while_solvent": 1.4997075136691438, "realized_annual_volatility_pct": 66.82215795098459, "trading_costs_quote_units": 174.30421603120496, "borrowing_costs_quote_units": 1029.1667831191291, "price_pnl_quote_units": -1271.196547833341, "turnover_quote_units": 58101.40534373508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7525.332453016319, "return_pct": -24.74667546983681, "cagr_pct": -24.771106496911322, "max_drawdown_pct": 48.334230365999666, "mean_exposure_while_solvent": 1.4997075136691438, "realized_annual_volatility_pct": 66.82215795098459, "trading_costs_quote_units": 174.30421603120496, "borrowing_costs_quote_units": 1029.1667831191291, "price_pnl_quote_units": -1271.196547833341, "turnover_quote_units": 58101.40534373508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8938.027809695392, "return_pct": -10.619721903046086, "cagr_pct": -10.631181578965647, "max_drawdown_pct": 36.362407030135635, "mean_exposure_while_solvent": 0.981004584838954, "realized_annual_volatility_pct": 41.07049651414218, "trading_costs_quote_units": 239.6099003060571, "borrowing_costs_quote_units": 64.70076100552356, "price_pnl_quote_units": -757.6615289930041, "turnover_quote_units": 79869.96676868577, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8679.280938167823, "return_pct": -13.207190618321762, "cagr_pct": -13.221230014658216, "max_drawdown_pct": 38.765977885737826, "mean_exposure_while_solvent": 0.9903771367917767, "realized_annual_volatility_pct": 41.60509003871794, "trading_costs_quote_units": 232.9233588641867, "borrowing_costs_quote_units": 64.70076100552356, "price_pnl_quote_units": -1023.0949419624392, "turnover_quote_units": 77641.11962139557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 2.5874687152756763 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8197.752438680644, "return_pct": -18.022475613193567, "cagr_pct": -18.041079017316708, "max_drawdown_pct": 45.03213525247223, "mean_exposure_while_solvent": 1.3051627812084825, "realized_annual_volatility_pct": 56.04662418532412, "trading_costs_quote_units": 213.04675941208743, "borrowing_costs_quote_units": 175.92084706245714, "price_pnl_quote_units": -1413.2799548447817, "turnover_quote_units": 71015.58647069582, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9012.436947902792, "return_pct": -9.875630520972079, "cagr_pct": -9.886332369158747, "max_drawdown_pct": 38.59592936822103, "mean_exposure_while_solvent": 1.2778344534327344, "realized_annual_volatility_pct": 54.68707414089082, "trading_costs_quote_units": 213.2445777031491, "borrowing_costs_quote_units": 162.93375858937586, "price_pnl_quote_units": -611.3847158046572, "turnover_quote_units": 71081.52590104968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -8.146845092221488 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8062.663336169291, "return_pct": -19.37336663830709, "cagr_pct": -19.393193154200777, "max_drawdown_pct": 48.04563149546299, "mean_exposure_while_solvent": 1.4643577479731278, "realized_annual_volatility_pct": 65.24267471341913, "trading_costs_quote_units": 193.7424779974818, "borrowing_costs_quote_units": 250.64108654362084, "price_pnl_quote_units": -1492.9530992896143, "turnover_quote_units": 64580.82599916051, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9287.644096818913, "return_pct": -7.123559031810878, "cagr_pct": -7.131397422573219, "max_drawdown_pct": 43.08161257645826, "mean_exposure_while_solvent": 1.4229056754404925, "realized_annual_volatility_pct": 63.272099463802725, "trading_costs_quote_units": 213.33325756428707, "borrowing_costs_quote_units": 232.746477684559, "price_pnl_quote_units": -266.2761679322589, "turnover_quote_units": 71111.08585476229, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -12.249807606496212 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8067.332969698601, "return_pct": -19.326670303013994, "cagr_pct": -19.346454968772704, "max_drawdown_pct": 44.833304377532336, "mean_exposure_while_solvent": 1.3319757907594016, "realized_annual_volatility_pct": 56.686502164662656, "trading_costs_quote_units": 308.96332303064173, "borrowing_costs_quote_units": 190.913749597033, "price_pnl_quote_units": -1432.7899576737136, "turnover_quote_units": 102987.77434354727, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8425.511694862958, "return_pct": -15.744883051370417, "cagr_pct": -15.761366889880746, "max_drawdown_pct": 42.38397734667796, "mean_exposure_while_solvent": 1.317089561900826, "realized_annual_volatility_pct": 56.1047352253153, "trading_costs_quote_units": 312.61534531944767, "borrowing_costs_quote_units": 183.65372644137656, "price_pnl_quote_units": -1078.219233376208, "turnover_quote_units": 104205.11510648242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -3.5817872516435774 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8054.618356413526, "return_pct": -19.453816435864734, "cagr_pct": -19.47371497986095, "max_drawdown_pct": 47.17810364122775, "mean_exposure_while_solvent": 1.3024421323909947, "realized_annual_volatility_pct": 55.945064070710295, "trading_costs_quote_units": 158.1664353121551, "borrowing_costs_quote_units": 173.81607794767814, "price_pnl_quote_units": -1613.3991303266268, "turnover_quote_units": 52722.14510405163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9238.920508465944, "return_pct": -7.610794915340557, "cagr_pct": -7.619147134153131, "max_drawdown_pct": 38.27660910635339, "mean_exposure_while_solvent": 1.2431394325286937, "realized_annual_volatility_pct": 52.90610503245359, "trading_costs_quote_units": 159.39184138761934, "borrowing_costs_quote_units": 145.89721056591847, "price_pnl_quote_units": -455.790439580504, "turnover_quote_units": 53130.61379587303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.843021520524177 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9268.673792614793, "return_pct": -7.313262073852078, "cagr_pct": -7.321300869437028, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.990407246915333, "realized_annual_volatility_pct": 44.15188049993349, "trading_costs_quote_units": 41.161467989993625, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -690.164739395215, "turnover_quote_units": 13720.489329997876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9268.673792614793, "return_pct": -7.313262073852078, "cagr_pct": -7.321300869437028, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.990407246915333, "realized_annual_volatility_pct": 44.15188049993349, "trading_costs_quote_units": 41.161467989993625, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -690.164739395215, "turnover_quote_units": 13720.489329997876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8054.618356413526, "return_pct": -19.453816435864734, "cagr_pct": -19.47371497986095, "max_drawdown_pct": 47.17810364122775, "mean_exposure_while_solvent": 1.3024421323909947, "realized_annual_volatility_pct": 55.945064070710295, "trading_costs_quote_units": 158.1664353121551, "borrowing_costs_quote_units": 173.81607794767814, "price_pnl_quote_units": -1613.3991303266268, "turnover_quote_units": 52722.14510405163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9238.920508465944, "return_pct": -7.610794915340557, "cagr_pct": -7.619147134153131, "max_drawdown_pct": 38.27660910635339, "mean_exposure_while_solvent": 1.2431394325286937, "realized_annual_volatility_pct": 52.90610503245359, "trading_costs_quote_units": 159.39184138761934, "borrowing_costs_quote_units": 145.89721056591847, "price_pnl_quote_units": -455.790439580504, "turnover_quote_units": 53130.61379587303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.843021520524177 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8054.618356413526, "return_pct": -19.453816435864734, "cagr_pct": -19.47371497986095, "max_drawdown_pct": 47.17810364122775, "mean_exposure_while_solvent": 1.3024421323909947, "realized_annual_volatility_pct": 55.945064070710295, "trading_costs_quote_units": 158.1664353121551, "borrowing_costs_quote_units": 173.81607794767814, "price_pnl_quote_units": -1613.3991303266268, "turnover_quote_units": 52722.14510405163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9238.920508465944, "return_pct": -7.610794915340557, "cagr_pct": -7.619147134153131, "max_drawdown_pct": 38.27660910635339, "mean_exposure_while_solvent": 1.2431394325286937, "realized_annual_volatility_pct": 52.90610503245359, "trading_costs_quote_units": 159.39184138761934, "borrowing_costs_quote_units": 145.89721056591847, "price_pnl_quote_units": -455.790439580504, "turnover_quote_units": 53130.61379587303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.843021520524177 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9574.510802738097, "return_pct": -4.254891972619024, "cagr_pct": -4.259646376684621, "max_drawdown_pct": 26.947838715426776, "mean_exposure_while_solvent": 0.7488699918331259, "realized_annual_volatility_pct": 33.34173463697048, "trading_costs_quote_units": 55.60179207463712, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -369.8874051872798, "turnover_quote_units": 18533.930691545695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9574.510802738097, "return_pct": -4.254891972619024, "cagr_pct": -4.259646376684621, "max_drawdown_pct": 26.947838715426776, "mean_exposure_while_solvent": 0.7488699918331259, "realized_annual_volatility_pct": 33.34173463697048, "trading_costs_quote_units": 55.60179207463712, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -369.8874051872798, "turnover_quote_units": 18533.930691545695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9258.261828044635, "return_pct": -7.417381719553651, "cagr_pct": -7.425530319899655, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9986295111923252, "realized_annual_volatility_pct": 44.501245735853615, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -711.8279027629451, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9258.261828044635, "return_pct": -7.417381719553651, "cagr_pct": -7.425530319899655, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9986295111923252, "realized_annual_volatility_pct": 44.501245735853615, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -711.8279027629451, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8663.225955101349, "return_pct": -13.36774044898652, "cagr_pct": -13.381937035435707, "max_drawdown_pct": 41.56901189170108, "mean_exposure_while_solvent": 1.2485215143234354, "realized_annual_volatility_pct": 55.690669653518455, "trading_costs_quote_units": 92.42439938217134, "borrowing_costs_quote_units": 133.4752579009168, "price_pnl_quote_units": -1110.8743876155534, "turnover_quote_units": 30808.133127390432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8663.225955101349, "return_pct": -13.36774044898652, "cagr_pct": -13.381937035435707, "max_drawdown_pct": 41.56901189170108, "mean_exposure_while_solvent": 1.2485215143234354, "realized_annual_volatility_pct": 55.690669653518455, "trading_costs_quote_units": 92.42439938217134, "borrowing_costs_quote_units": 133.4752579009168, "price_pnl_quote_units": -1110.8743876155534, "turnover_quote_units": 30808.133127390432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7992.524415666032, "return_pct": -20.074755843339677, "cagr_pct": -20.09520722784246, "max_drawdown_pct": 48.045631495462956, "mean_exposure_while_solvent": 1.4985639300082345, "realized_annual_volatility_pct": 66.91627502528779, "trading_costs_quote_units": 174.89115281441275, "borrowing_costs_quote_units": 263.6919454957723, "price_pnl_quote_units": -1568.8924860237707, "turnover_quote_units": 58297.050938137516, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7992.524415666032, "return_pct": -20.074755843339677, "cagr_pct": -20.09520722784246, "max_drawdown_pct": 48.045631495462956, "mean_exposure_while_solvent": 1.4985639300082345, "realized_annual_volatility_pct": 66.91627502528779, "trading_costs_quote_units": 174.89115281441275, "borrowing_costs_quote_units": 263.6919454957723, "price_pnl_quote_units": -1568.8924860237707, "turnover_quote_units": 58297.050938137516, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8888.55658968083, "return_pct": -11.114434103191705, "cagr_pct": -11.12639370820391, "max_drawdown_pct": 36.39698195476225, "mean_exposure_while_solvent": 0.9810128550784664, "realized_annual_volatility_pct": 41.070842157062685, "trading_costs_quote_units": 239.10122378150166, "borrowing_costs_quote_units": 129.04851465607004, "price_pnl_quote_units": -743.29367188157, "turnover_quote_units": 79700.40792716718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8631.241859972686, "return_pct": -13.68758140027314, "cagr_pct": -13.702090120189188, "max_drawdown_pct": 38.79924692688756, "mean_exposure_while_solvent": 0.9903854070312892, "realized_annual_volatility_pct": 41.60541327634931, "trading_costs_quote_units": 232.45169177502925, "borrowing_costs_quote_units": 129.04851465607004, "price_pnl_quote_units": -1007.2579335961861, "turnover_quote_units": 77483.89725834299, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 2.5731472970814355 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8069.833770566531, "return_pct": -19.301662294334687, "cagr_pct": -19.321424534739755, "max_drawdown_pct": 45.171503436539886, "mean_exposure_while_solvent": 1.3051884669158669, "realized_annual_volatility_pct": 56.0479454148362, "trading_costs_quote_units": 211.92593717856658, "borrowing_costs_quote_units": 349.12288212216146, "price_pnl_quote_units": -1369.1174101327697, "turnover_quote_units": 70641.97905952236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8884.000275176428, "return_pct": -11.15999724823572, "cagr_pct": -11.172002738829322, "max_drawdown_pct": 38.67602673174102, "mean_exposure_while_solvent": 1.2778580411687797, "realized_annual_volatility_pct": 54.68791267932779, "trading_costs_quote_units": 212.14056150660556, "borrowing_costs_quote_units": 323.530242277712, "price_pnl_quote_units": -580.3289210392884, "turnover_quote_units": 70713.52050220195, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -8.141665046098966 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7877.25302333128, "return_pct": -21.2274697666872, "cagr_pct": -21.248932793061797, "max_drawdown_pct": 48.21044474303788, "mean_exposure_while_solvent": 1.4643970974969127, "realized_annual_volatility_pct": 65.24470488877768, "trading_costs_quote_units": 192.28490425327226, "borrowing_costs_quote_units": 495.50676366339127, "price_pnl_quote_units": -1434.955308752064, "turnover_quote_units": 64094.96808442413, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9093.0119842366, "return_pct": -9.069880157634003, "cagr_pct": -9.07975346202714, "max_drawdown_pct": 43.30690296276487, "mean_exposure_while_solvent": 1.422941457740726, "realized_annual_volatility_pct": 63.27344647952721, "trading_costs_quote_units": 211.52366334518126, "borrowing_costs_quote_units": 460.4937661078314, "price_pnl_quote_units": -234.97058631038618, "turnover_quote_units": 70507.88778172711, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -12.157589609053197 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7927.165583850177, "return_pct": -20.728344161498224, "cagr_pct": -20.749371497039768, "max_drawdown_pct": 44.95817802537103, "mean_exposure_while_solvent": 1.332004858678779, "realized_annual_volatility_pct": 56.688064202028585, "trading_costs_quote_units": 306.84755193855904, "borrowing_costs_quote_units": 378.4907439483004, "price_pnl_quote_units": -1387.4961202629518, "turnover_quote_units": 102282.51731285294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8285.314492734553, "return_pct": -17.146855072654464, "cagr_pct": -17.164652060723228, "max_drawdown_pct": 42.4713915094715, "mean_exposure_while_solvent": 1.3171174373967944, "realized_annual_volatility_pct": 56.10607733492693, "trading_costs_quote_units": 310.48542145981054, "borrowing_costs_quote_units": 364.2126362138719, "price_pnl_quote_units": -1039.9874495917459, "turnover_quote_units": 103495.1404866034, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -3.5814890888437603 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7931.8706742064605, "return_pct": -20.681293257935394, "cagr_pct": -20.702279336724843, "max_drawdown_pct": 47.34224238605164, "mean_exposure_while_solvent": 1.3024672239038653, "realized_annual_volatility_pct": 55.946481260385795, "trading_costs_quote_units": 157.39334414626865, "borrowing_costs_quote_units": 345.06107039895016, "price_pnl_quote_units": -1565.6749112483026, "turnover_quote_units": 52464.44804875621, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9125.243427432039, "return_pct": -8.747565725679618, "cagr_pct": -8.757105308097751, "max_drawdown_pct": 38.36040580408488, "mean_exposure_while_solvent": 1.24315978408202, "realized_annual_volatility_pct": 52.90664792217116, "trading_costs_quote_units": 158.60662301267004, "borrowing_costs_quote_units": 289.9802861127321, "price_pnl_quote_units": -426.1696634425374, "turnover_quote_units": 52868.874337556656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.933727532255777 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9268.673792614793, "return_pct": -7.313262073852078, "cagr_pct": -7.321300869437028, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.990407246915333, "realized_annual_volatility_pct": 44.15188049993349, "trading_costs_quote_units": 41.161467989993625, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -690.164739395215, "turnover_quote_units": 13720.489329997876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9268.673792614793, "return_pct": -7.313262073852078, "cagr_pct": -7.321300869437028, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.990407246915333, "realized_annual_volatility_pct": 44.15188049993349, "trading_costs_quote_units": 41.161467989993625, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -690.164739395215, "turnover_quote_units": 13720.489329997876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7931.8706742064605, "return_pct": -20.681293257935394, "cagr_pct": -20.702279336724843, "max_drawdown_pct": 47.34224238605164, "mean_exposure_while_solvent": 1.3024672239038653, "realized_annual_volatility_pct": 55.946481260385795, "trading_costs_quote_units": 157.39334414626865, "borrowing_costs_quote_units": 345.06107039895016, "price_pnl_quote_units": -1565.6749112483026, "turnover_quote_units": 52464.44804875621, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9125.243427432039, "return_pct": -8.747565725679618, "cagr_pct": -8.757105308097751, "max_drawdown_pct": 38.36040580408488, "mean_exposure_while_solvent": 1.24315978408202, "realized_annual_volatility_pct": 52.90664792217116, "trading_costs_quote_units": 158.60662301267004, "borrowing_costs_quote_units": 289.9802861127321, "price_pnl_quote_units": -426.1696634425374, "turnover_quote_units": 52868.874337556656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.933727532255777 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7931.8706742064605, "return_pct": -20.681293257935394, "cagr_pct": -20.702279336724843, "max_drawdown_pct": 47.34224238605164, "mean_exposure_while_solvent": 1.3024672239038653, "realized_annual_volatility_pct": 55.946481260385795, "trading_costs_quote_units": 157.39334414626865, "borrowing_costs_quote_units": 345.06107039895016, "price_pnl_quote_units": -1565.6749112483026, "turnover_quote_units": 52464.44804875621, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9125.243427432039, "return_pct": -8.747565725679618, "cagr_pct": -8.757105308097751, "max_drawdown_pct": 38.36040580408488, "mean_exposure_while_solvent": 1.24315978408202, "realized_annual_volatility_pct": 52.90664792217116, "trading_costs_quote_units": 158.60662301267004, "borrowing_costs_quote_units": 289.9802861127321, "price_pnl_quote_units": -426.1696634425374, "turnover_quote_units": 52868.874337556656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.933727532255777 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9574.510802738097, "return_pct": -4.254891972619024, "cagr_pct": -4.259646376684621, "max_drawdown_pct": 26.947838715426776, "mean_exposure_while_solvent": 0.7488699918331259, "realized_annual_volatility_pct": 33.34173463697048, "trading_costs_quote_units": 55.60179207463712, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -369.8874051872798, "turnover_quote_units": 18533.930691545695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9574.510802738097, "return_pct": -4.254891972619024, "cagr_pct": -4.259646376684621, "max_drawdown_pct": 26.947838715426776, "mean_exposure_while_solvent": 0.7488699918331259, "realized_annual_volatility_pct": 33.34173463697048, "trading_costs_quote_units": 55.60179207463712, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -369.8874051872798, "turnover_quote_units": 18533.930691545695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9258.261828044635, "return_pct": -7.417381719553651, "cagr_pct": -7.425530319899655, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9986295111923252, "realized_annual_volatility_pct": 44.501245735853615, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -711.8279027629451, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9258.261828044635, "return_pct": -7.417381719553651, "cagr_pct": -7.425530319899655, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9986295111923252, "realized_annual_volatility_pct": 44.501245735853615, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -711.8279027629451, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8555.783280099884, "return_pct": -14.442167199001155, "cagr_pct": -14.457406942681839, "max_drawdown_pct": 41.66148219313048, "mean_exposure_while_solvent": 1.2485393228175896, "realized_annual_volatility_pct": 55.69158415593688, "trading_costs_quote_units": 92.08611431828847, "borrowing_costs_quote_units": 265.2847876277916, "price_pnl_quote_units": -1086.8458179540385, "turnover_quote_units": 30695.371439429455, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8555.783280099884, "return_pct": -14.442167199001155, "cagr_pct": -14.457406942681839, "max_drawdown_pct": 41.66148219313048, "mean_exposure_while_solvent": 1.2485393228175896, "realized_annual_volatility_pct": 55.69158415593688, "trading_costs_quote_units": 92.08611431828847, "borrowing_costs_quote_units": 265.2847876277916, "price_pnl_quote_units": -1086.8458179540385, "turnover_quote_units": 30695.371439429455, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7795.422652928213, "return_pct": -22.045773470717865, "cagr_pct": -22.067942968609877, "max_drawdown_pct": 48.210444743037804, "mean_exposure_while_solvent": 1.498606708367902, "realized_annual_volatility_pct": 66.91848621400874, "trading_costs_quote_units": 173.3446344293754, "borrowing_costs_quote_units": 520.8206567865276, "price_pnl_quote_units": -1510.412055855868, "turnover_quote_units": 57781.544809791754, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7795.422652928213, "return_pct": -22.045773470717865, "cagr_pct": -22.067942968609877, "max_drawdown_pct": 48.210444743037804, "mean_exposure_while_solvent": 1.498606708367902, "realized_annual_volatility_pct": 66.91848621400874, "trading_costs_quote_units": 173.3446344293754, "borrowing_costs_quote_units": 520.8206567865276, "price_pnl_quote_units": -1510.412055855868, "turnover_quote_units": 57781.544809791754, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8790.408089288416, "return_pct": -12.095919107115838, "cagr_pct": -12.108861212584673, "max_drawdown_pct": 36.46609301986944, "mean_exposure_while_solvent": 0.9810293983788141, "realized_annual_volatility_pct": 41.07155145762132, "trading_costs_quote_units": 238.09417333664845, "borrowing_costs_quote_units": 256.6923662932816, "price_pnl_quote_units": -714.8053710816341, "turnover_quote_units": 79364.72444554955, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8535.934659469061, "return_pct": -14.64065340530939, "cagr_pct": -14.656084176360604, "max_drawdown_pct": 38.865747689905405, "mean_exposure_while_solvent": 0.9904019503316368, "realized_annual_volatility_pct": 41.60607752639595, "trading_costs_quote_units": 231.5180662544775, "borrowing_costs_quote_units": 256.6923662932816, "price_pnl_quote_units": -975.8549079831615, "turnover_quote_units": 77172.6887514926, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 2.5447342981935517 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7819.866639962928, "return_pct": -21.80133360037072, "cagr_pct": -21.823293088176946, "max_drawdown_pct": 45.44925259324888, "mean_exposure_while_solvent": 1.3052398487188088, "realized_annual_volatility_pct": 56.050610288582206, "trading_costs_quote_units": 209.75626183455984, "borrowing_costs_quote_units": 687.5309439443795, "price_pnl_quote_units": -1282.8461542581192, "turnover_quote_units": 69918.75394485322, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8632.501811342168, "return_pct": -13.674981886578319, "cagr_pct": -13.689478336205072, "max_drawdown_pct": 38.83595203972652, "mean_exposure_while_solvent": 1.2779052262815824, "realized_annual_volatility_pct": 54.68961713756427, "trading_costs_quote_units": 210.0029597217508, "borrowing_costs_quote_units": 637.8388310965175, "price_pnl_quote_units": -519.6563978395563, "turnover_quote_units": 70000.98657391692, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -8.126351713792403 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7519.008980330635, "return_pct": -24.80991019669365, "cagr_pct": -24.834392859500774, "max_drawdown_pct": 48.53859497281749, "mean_exposure_while_solvent": 1.464475813294275, "realized_annual_volatility_pct": 65.24876974343061, "trading_costs_quote_units": 189.46763540560428, "borrowing_costs_quote_units": 968.4214869831372, "price_pnl_quote_units": -1323.1018972805891, "turnover_quote_units": 63155.87846853472, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8715.77336330598, "return_pct": -12.842266366940203, "cagr_pct": -12.855947213662178, "max_drawdown_pct": 43.75492660548903, "mean_exposure_while_solvent": 1.423013037532865, "realized_annual_volatility_pct": 63.27615361555213, "trading_costs_quote_units": 208.02074613864735, "borrowing_costs_quote_units": 901.4008708789249, "price_pnl_quote_units": -174.80501967641175, "turnover_quote_units": 69340.24871288253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 336, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -11.967643829753447 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7654.000203928609, "return_pct": -23.459997960713906, "cagr_pct": -23.483365202524542, "max_drawdown_pct": 45.20714140645076, "mean_exposure_while_solvent": 1.3320630065241397, "realized_annual_volatility_pct": 56.69120980712646, "trading_costs_quote_units": 302.7345762661144, "borrowing_costs_quote_units": 743.8563524766464, "price_pnl_quote_units": -1299.4088673286326, "turnover_quote_units": 100911.52542203815, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8011.783998527324, "return_pct": -19.882160014726757, "cagr_pct": -19.902440513476876, "max_drawdown_pct": 42.64586673409725, "mean_exposure_while_solvent": 1.3171731999343348, "realized_annual_volatility_pct": 56.108785831909294, "trading_costs_quote_units": 306.342710009511, "borrowing_costs_quote_units": 716.2441354804366, "price_pnl_quote_units": -965.6291559827357, "turnover_quote_units": 102114.23666983696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 352, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -3.5778379459871488 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7691.874653258827, "return_pct": -23.081253467411734, "cagr_pct": -23.104302846306023, "max_drawdown_pct": 47.66908089169758, "mean_exposure_while_solvent": 1.3025174170790674, "realized_annual_volatility_pct": 55.949339074386806, "trading_costs_quote_units": 155.9039589068519, "borrowing_costs_quote_units": 679.9837933688705, "price_pnl_quote_units": -1472.2375944654518, "turnover_quote_units": 51967.98630228397, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8901.984424988808, "return_pct": -10.98015575011192, "cagr_pct": -10.991979971277907, "max_drawdown_pct": 38.52770445983521, "mean_exposure_while_solvent": 1.2432004954994538, "realized_annual_volatility_pct": 52.90776426651301, "trading_costs_quote_units": 157.0933746380672, "borrowing_costs_quote_units": 572.7895620347924, "price_pnl_quote_units": -368.1326383383312, "turnover_quote_units": 52364.45821268907, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -12.101097717299815 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9268.673792614793, "return_pct": -7.313262073852078, "cagr_pct": -7.321300869437028, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.990407246915333, "realized_annual_volatility_pct": 44.15188049993349, "trading_costs_quote_units": 41.161467989993625, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -690.164739395215, "turnover_quote_units": 13720.489329997876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9268.673792614793, "return_pct": -7.313262073852078, "cagr_pct": -7.321300869437028, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.990407246915333, "realized_annual_volatility_pct": 44.15188049993349, "trading_costs_quote_units": 41.161467989993625, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -690.164739395215, "turnover_quote_units": 13720.489329997876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7691.874653258827, "return_pct": -23.081253467411734, "cagr_pct": -23.104302846306023, "max_drawdown_pct": 47.66908089169758, "mean_exposure_while_solvent": 1.3025174170790674, "realized_annual_volatility_pct": 55.949339074386806, "trading_costs_quote_units": 155.9039589068519, "borrowing_costs_quote_units": 679.9837933688705, "price_pnl_quote_units": -1472.2375944654518, "turnover_quote_units": 51967.98630228397, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8901.984424988808, "return_pct": -10.98015575011192, "cagr_pct": -10.991979971277907, "max_drawdown_pct": 38.52770445983521, "mean_exposure_while_solvent": 1.2432004954994538, "realized_annual_volatility_pct": 52.90776426651301, "trading_costs_quote_units": 157.0933746380672, "borrowing_costs_quote_units": 572.7895620347924, "price_pnl_quote_units": -368.1326383383312, "turnover_quote_units": 52364.45821268907, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -12.101097717299815 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7691.874653258827, "return_pct": -23.081253467411734, "cagr_pct": -23.104302846306023, "max_drawdown_pct": 47.66908089169758, "mean_exposure_while_solvent": 1.3025174170790674, "realized_annual_volatility_pct": 55.949339074386806, "trading_costs_quote_units": 155.9039589068519, "borrowing_costs_quote_units": 679.9837933688705, "price_pnl_quote_units": -1472.2375944654518, "turnover_quote_units": 51967.98630228397, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8901.984424988808, "return_pct": -10.98015575011192, "cagr_pct": -10.991979971277907, "max_drawdown_pct": 38.52770445983521, "mean_exposure_while_solvent": 1.2432004954994538, "realized_annual_volatility_pct": 52.90776426651301, "trading_costs_quote_units": 157.0933746380672, "borrowing_costs_quote_units": 572.7895620347924, "price_pnl_quote_units": -368.1326383383312, "turnover_quote_units": 52364.45821268907, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 306, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -12.101097717299815 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9574.510802738097, "return_pct": -4.254891972619024, "cagr_pct": -4.259646376684621, "max_drawdown_pct": 26.947838715426776, "mean_exposure_while_solvent": 0.7488699918331259, "realized_annual_volatility_pct": 33.34173463697048, "trading_costs_quote_units": 55.60179207463712, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -369.8874051872798, "turnover_quote_units": 18533.930691545695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9574.510802738097, "return_pct": -4.254891972619024, "cagr_pct": -4.259646376684621, "max_drawdown_pct": 26.947838715426776, "mean_exposure_while_solvent": 0.7488699918331259, "realized_annual_volatility_pct": 33.34173463697048, "trading_costs_quote_units": 55.60179207463712, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -369.8874051872798, "turnover_quote_units": 18533.930691545695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9258.261828044635, "return_pct": -7.417381719553651, "cagr_pct": -7.425530319899655, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9986295111923252, "realized_annual_volatility_pct": 44.501245735853615, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -711.8279027629451, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9258.261828044635, "return_pct": -7.417381719553651, "cagr_pct": -7.425530319899655, "max_drawdown_pct": 34.48529519004314, "mean_exposure_while_solvent": 0.9986295111923252, "realized_annual_volatility_pct": 44.501245735853615, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -711.8279027629451, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8344.821228456047, "return_pct": -16.551787715439538, "cagr_pct": -16.569030622958707, "max_drawdown_pct": 41.84602531171341, "mean_exposure_while_solvent": 1.2485749452915773, "realized_annual_volatility_pct": 55.69341309701908, "trading_costs_quote_units": 91.43377524172132, "borrowing_costs_quote_units": 523.9861529520822, "price_pnl_quote_units": -1039.7588433501628, "turnover_quote_units": 30477.92508057385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8344.821228456047, "return_pct": -16.551787715439538, "cagr_pct": -16.569030622958707, "max_drawdown_pct": 41.84602531171341, "mean_exposure_while_solvent": 1.2485749452915773, "realized_annual_volatility_pct": 55.69341309701908, "trading_costs_quote_units": 91.43377524172132, "borrowing_costs_quote_units": 523.9861529520822, "price_pnl_quote_units": -1039.7588433501628, "turnover_quote_units": 30477.92508057385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7415.55551099269, "return_pct": -25.844444890073103, "cagr_pct": -25.869763655917833, "max_drawdown_pct": 48.53859497281745, "mean_exposure_while_solvent": 1.4986922836544276, "realized_annual_volatility_pct": 66.92290887069554, "trading_costs_quote_units": 170.36448263669047, "borrowing_costs_quote_units": 1016.0144455481936, "price_pnl_quote_units": -1398.0655608224497, "turnover_quote_units": 56788.16087889676, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7415.55551099269, "return_pct": -25.844444890073103, "cagr_pct": -25.869763655917833, "max_drawdown_pct": 48.53859497281745, "mean_exposure_while_solvent": 1.4986922836544276, "realized_annual_volatility_pct": 66.92290887069554, "trading_costs_quote_units": 170.36448263669047, "borrowing_costs_quote_units": 1016.0144455481936, "price_pnl_quote_units": -1398.0655608224497, "turnover_quote_units": 56788.16087889676, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9095.260124641509, "return_pct": -9.047398753584911, "cagr_pct": -9.057248823220274, "max_drawdown_pct": 36.18642192837341, "mean_exposure_while_solvent": 0.9876103759569796, "realized_annual_volatility_pct": 41.105867701851864, "trading_costs_quote_units": 49.55318220536521, "borrowing_costs_quote_units": 67.12935516814353, "price_pnl_quote_units": -788.0573379849782, "turnover_quote_units": 82588.63700894205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9095.260124641509, "return_pct": -9.047398753584911, "cagr_pct": -9.057248823220274, "max_drawdown_pct": 36.18642192837341, "mean_exposure_while_solvent": 0.9876103759569796, "realized_annual_volatility_pct": 41.105867701851864, "trading_costs_quote_units": 49.55318220536521, "borrowing_costs_quote_units": 67.12935516814353, "price_pnl_quote_units": -788.0573379849782, "turnover_quote_units": 82588.63700894205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8415.899745582075, "return_pct": -15.84100254417925, "cagr_pct": -15.857577269078657, "max_drawdown_pct": 44.76417087331935, "mean_exposure_while_solvent": 1.311232751159073, "realized_annual_volatility_pct": 55.9663478489764, "trading_costs_quote_units": 44.45466584581331, "borrowing_costs_quote_units": 181.53682190534582, "price_pnl_quote_units": -1358.1087666667847, "turnover_quote_units": 74091.10974302226, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8415.899745582075, "return_pct": -15.84100254417925, "cagr_pct": -15.857577269078657, "max_drawdown_pct": 44.76417087331935, "mean_exposure_while_solvent": 1.311232751159073, "realized_annual_volatility_pct": 55.9663478489764, "trading_costs_quote_units": 44.45466584581331, "borrowing_costs_quote_units": 181.53682190534582, "price_pnl_quote_units": -1358.1087666667847, "turnover_quote_units": 74091.10974302226, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8278.801784218076, "return_pct": -17.21198215781924, "cagr_pct": -17.229839491191964, "max_drawdown_pct": 47.61928646772834, "mean_exposure_while_solvent": 1.4689312829313819, "realized_annual_volatility_pct": 64.83182569855346, "trading_costs_quote_units": 38.9582312540264, "borrowing_costs_quote_units": 256.7471031756783, "price_pnl_quote_units": -1425.4928813521797, "turnover_quote_units": 64930.38542337731, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8278.801784218076, "return_pct": -17.21198215781924, "cagr_pct": -17.229839491191964, "max_drawdown_pct": 47.61928646772834, "mean_exposure_while_solvent": 1.4689312829313819, "realized_annual_volatility_pct": 64.83182569855346, "trading_costs_quote_units": 38.9582312540264, "borrowing_costs_quote_units": 256.7471031756783, "price_pnl_quote_units": -1425.4928813521797, "turnover_quote_units": 64930.38542337731, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8354.291505531126, "return_pct": -16.457084944688738, "cagr_pct": -16.47423922401458, "max_drawdown_pct": 43.795934836945584, "mean_exposure_while_solvent": 1.3370101586945868, "realized_annual_volatility_pct": 56.31999961929319, "trading_costs_quote_units": 63.93783477633681, "borrowing_costs_quote_units": 195.46198692770142, "price_pnl_quote_units": -1386.3086727648597, "turnover_quote_units": 106563.05796056139, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8354.291505531126, "return_pct": -16.457084944688738, "cagr_pct": -16.47423922401458, "max_drawdown_pct": 43.795934836945584, "mean_exposure_while_solvent": 1.3370101586945868, "realized_annual_volatility_pct": 56.31999961929319, "trading_costs_quote_units": 63.93783477633681, "borrowing_costs_quote_units": 195.46198692770142, "price_pnl_quote_units": -1386.3086727648597, "turnover_quote_units": 106563.05796056139, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8213.359024823303, "return_pct": -17.866409751766966, "cagr_pct": -17.884870204356215, "max_drawdown_pct": 46.67263124318557, "mean_exposure_while_solvent": 1.3090841048744801, "realized_annual_volatility_pct": 55.82721713931886, "trading_costs_quote_units": 32.62104822744549, "borrowing_costs_quote_units": 177.9796251663891, "price_pnl_quote_units": -1576.0403017828778, "turnover_quote_units": 54368.41371240917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8213.359024823303, "return_pct": -17.866409751766966, "cagr_pct": -17.884870204356215, "max_drawdown_pct": 46.67263124318557, "mean_exposure_while_solvent": 1.3090841048744801, "realized_annual_volatility_pct": 55.82721713931886, "trading_costs_quote_units": 32.62104822744549, "borrowing_costs_quote_units": 177.9796251663891, "price_pnl_quote_units": -1576.0403017828778, "turnover_quote_units": 54368.41371240917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9336.358649856702, "return_pct": -6.636413501432981, "cagr_pct": -6.64373523791808, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9920199586890243, "realized_annual_volatility_pct": 43.88051719448932, "trading_costs_quote_units": 8.141024415432636, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -655.5003257278596, "turnover_quote_units": 13568.37402572106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9336.358649856702, "return_pct": -6.636413501432981, "cagr_pct": -6.64373523791808, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9920199586890243, "realized_annual_volatility_pct": 43.88051719448932, "trading_costs_quote_units": 8.141024415432636, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -655.5003257278596, "turnover_quote_units": 13568.37402572106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8213.359024823303, "return_pct": -17.866409751766966, "cagr_pct": -17.884870204356215, "max_drawdown_pct": 46.67263124318557, "mean_exposure_while_solvent": 1.3090841048744801, "realized_annual_volatility_pct": 55.82721713931886, "trading_costs_quote_units": 32.62104822744549, "borrowing_costs_quote_units": 177.9796251663891, "price_pnl_quote_units": -1576.0403017828778, "turnover_quote_units": 54368.41371240917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8213.359024823303, "return_pct": -17.866409751766966, "cagr_pct": -17.884870204356215, "max_drawdown_pct": 46.67263124318557, "mean_exposure_while_solvent": 1.3090841048744801, "realized_annual_volatility_pct": 55.82721713931886, "trading_costs_quote_units": 32.62104822744549, "borrowing_costs_quote_units": 177.9796251663891, "price_pnl_quote_units": -1576.0403017828778, "turnover_quote_units": 54368.41371240917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8213.359024823303, "return_pct": -17.866409751766966, "cagr_pct": -17.884870204356215, "max_drawdown_pct": 46.67263124318557, "mean_exposure_while_solvent": 1.3090841048744801, "realized_annual_volatility_pct": 55.82721713931886, "trading_costs_quote_units": 32.62104822744549, "borrowing_costs_quote_units": 177.9796251663891, "price_pnl_quote_units": -1576.0403017828778, "turnover_quote_units": 54368.41371240917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8213.359024823303, "return_pct": -17.866409751766966, "cagr_pct": -17.884870204356215, "max_drawdown_pct": 46.67263124318557, "mean_exposure_while_solvent": 1.3090841048744801, "realized_annual_volatility_pct": 55.82721713931886, "trading_costs_quote_units": 32.62104822744549, "borrowing_costs_quote_units": 177.9796251663891, "price_pnl_quote_units": -1576.0403017828778, "turnover_quote_units": 54368.41371240917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9662.664906946466, "return_pct": -3.373350930535346, "cagr_pct": -3.377137748346766, "max_drawdown_pct": 26.8839307905931, "mean_exposure_while_solvent": 0.7496317082954693, "realized_annual_volatility_pct": 33.14122132687572, "trading_costs_quote_units": 11.271841737767856, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -326.0632513157676, "turnover_quote_units": 18786.40289627976, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9662.664906946466, "return_pct": -3.373350930535346, "cagr_pct": -3.377137748346766, "max_drawdown_pct": 26.8839307905931, "mean_exposure_while_solvent": 0.7496317082954693, "realized_annual_volatility_pct": 33.14122132687572, "trading_costs_quote_units": 11.271841737767856, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -326.0632513157676, "turnover_quote_units": 18786.40289627976, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9350.109848142696, "return_pct": -6.498901518573041, "cagr_pct": -6.506076886722112, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 44.19129499781344, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -643.8937496985969, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9350.109848142696, "return_pct": -6.498901518573041, "cagr_pct": -6.506076886722112, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 44.19129499781344, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -643.8937496985969, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8820.454113758076, "return_pct": -11.795458862419238, "cagr_pct": -11.808101520929792, "max_drawdown_pct": 41.30696696911278, "mean_exposure_while_solvent": 1.2495219790101881, "realized_annual_volatility_pct": 55.25181769777745, "trading_costs_quote_units": 18.808133848705783, "borrowing_costs_quote_units": 135.25128964231487, "price_pnl_quote_units": -1025.4864627509362, "turnover_quote_units": 31346.889747842994, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8820.454113758076, "return_pct": -11.795458862419238, "cagr_pct": -11.808101520929792, "max_drawdown_pct": 41.30696696911278, "mean_exposure_while_solvent": 1.2495219790101881, "realized_annual_volatility_pct": 55.25181769777745, "trading_costs_quote_units": 18.808133848705783, "borrowing_costs_quote_units": 135.25128964231487, "price_pnl_quote_units": -1025.4864627509362, "turnover_quote_units": 31346.889747842994, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8223.824962970863, "return_pct": -17.761750370291374, "cagr_pct": -17.780114768172925, "max_drawdown_pct": 47.619286467728294, "mean_exposure_while_solvent": 1.4995760093129413, "realized_annual_volatility_pct": 66.32563437383982, "trading_costs_quote_units": 35.86395670200579, "borrowing_costs_quote_units": 268.7532305013649, "price_pnl_quote_units": -1471.557849825734, "turnover_quote_units": 59773.26117000971, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8223.824962970863, "return_pct": -17.761750370291374, "cagr_pct": -17.780114768172925, "max_drawdown_pct": 47.619286467728294, "mean_exposure_while_solvent": 1.4995760093129413, "realized_annual_volatility_pct": 66.32563437383982, "trading_costs_quote_units": 35.86395670200579, "borrowing_costs_quote_units": 268.7532305013649, "price_pnl_quote_units": -1471.557849825734, "turnover_quote_units": 59773.26117000971, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9043.74709935668, "return_pct": -9.562529006433195, "cagr_pct": -9.572909870261988, "max_drawdown_pct": 36.219712358004905, "mean_exposure_while_solvent": 0.9876188641403713, "realized_annual_volatility_pct": 41.10637091530005, "trading_costs_quote_units": 49.45060220412008, "borrowing_costs_quote_units": 133.88382055290722, "price_pnl_quote_units": -772.9184778863009, "turnover_quote_units": 82417.67034020007, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9043.74709935668, "return_pct": -9.562529006433195, "cagr_pct": -9.572909870261988, "max_drawdown_pct": 36.219712358004905, "mean_exposure_while_solvent": 0.9876188641403713, "realized_annual_volatility_pct": 41.10637091530005, "trading_costs_quote_units": 49.45060220412008, "borrowing_costs_quote_units": 133.88382055290722, "price_pnl_quote_units": -772.9184778863009, "turnover_quote_units": 82417.67034020007, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8282.703354445239, "return_pct": -17.172966455547613, "cagr_pct": -17.19078764487165, "max_drawdown_pct": 44.90450331561722, "mean_exposure_while_solvent": 1.3112587880603852, "realized_annual_volatility_pct": 55.96794041593095, "trading_costs_quote_units": 44.21463394874881, "borrowing_costs_quote_units": 360.2222781230888, "price_pnl_quote_units": -1312.859733482931, "turnover_quote_units": 73691.05658124799, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8282.703354445239, "return_pct": -17.172966455547613, "cagr_pct": -17.19078764487165, "max_drawdown_pct": 44.90450331561722, "mean_exposure_while_solvent": 1.3112587880603852, "realized_annual_volatility_pct": 55.96794041593095, "trading_costs_quote_units": 44.21463394874881, "borrowing_costs_quote_units": 360.2222781230888, "price_pnl_quote_units": -1312.859733482931, "turnover_quote_units": 73691.05658124799, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8086.848658888075, "return_pct": -19.13151341111925, "cagr_pct": -19.151122839406664, "max_drawdown_pct": 47.78509211776192, "mean_exposure_while_solvent": 1.4689710183056375, "realized_annual_volatility_pct": 64.83440396494849, "trading_costs_quote_units": 38.65793878291119, "borrowing_costs_quote_units": 507.51862956068544, "price_pnl_quote_units": -1366.9747727683248, "turnover_quote_units": 64429.897971518636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8086.848658888075, "return_pct": -19.13151341111925, "cagr_pct": -19.151122839406664, "max_drawdown_pct": 47.78509211776192, "mean_exposure_while_solvent": 1.4689710183056375, "realized_annual_volatility_pct": 64.83440396494849, "trading_costs_quote_units": 38.65793878291119, "borrowing_costs_quote_units": 507.51862956068544, "price_pnl_quote_units": -1366.9747727683248, "turnover_quote_units": 64429.897971518636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8207.7814467227, "return_pct": -17.922185532773007, "cagr_pct": -17.940697113223873, "max_drawdown_pct": 43.92280049730968, "mean_exposure_while_solvent": 1.3370395201220837, "realized_annual_volatility_pct": 56.32185634528529, "trading_costs_quote_units": 63.49364495342873, "borrowing_costs_quote_units": 387.4669697302474, "price_pnl_quote_units": -1341.2579385936476, "turnover_quote_units": 105822.74158904783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8207.7814467227, "return_pct": -17.922185532773007, "cagr_pct": -17.940697113223873, "max_drawdown_pct": 43.92280049730968, "mean_exposure_while_solvent": 1.3370395201220837, "realized_annual_volatility_pct": 56.32185634528529, "trading_costs_quote_units": 63.49364495342873, "borrowing_costs_quote_units": 387.4669697302474, "price_pnl_quote_units": -1341.2579385936476, "turnover_quote_units": 105822.74158904783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8086.218667317322, "return_pct": -19.13781332682678, "cagr_pct": -19.157428420421322, "max_drawdown_pct": 46.83783451441703, "mean_exposure_while_solvent": 1.3091095794963878, "realized_annual_volatility_pct": 55.82891360826115, "trading_costs_quote_units": 32.47204563514084, "borrowing_costs_quote_units": 353.27665338801154, "price_pnl_quote_units": -1528.0326336595224, "turnover_quote_units": 54120.076058568084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8086.218667317322, "return_pct": -19.13781332682678, "cagr_pct": -19.157428420421322, "max_drawdown_pct": 46.83783451441703, "mean_exposure_while_solvent": 1.3091095794963878, "realized_annual_volatility_pct": 55.82891360826115, "trading_costs_quote_units": 32.47204563514084, "borrowing_costs_quote_units": 353.27665338801154, "price_pnl_quote_units": -1528.0326336595224, "turnover_quote_units": 54120.076058568084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9336.358649856702, "return_pct": -6.636413501432981, "cagr_pct": -6.64373523791808, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9920199586890243, "realized_annual_volatility_pct": 43.88051719448932, "trading_costs_quote_units": 8.141024415432636, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -655.5003257278596, "turnover_quote_units": 13568.37402572106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9336.358649856702, "return_pct": -6.636413501432981, "cagr_pct": -6.64373523791808, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9920199586890243, "realized_annual_volatility_pct": 43.88051719448932, "trading_costs_quote_units": 8.141024415432636, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -655.5003257278596, "turnover_quote_units": 13568.37402572106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8086.218667317322, "return_pct": -19.13781332682678, "cagr_pct": -19.157428420421322, "max_drawdown_pct": 46.83783451441703, "mean_exposure_while_solvent": 1.3091095794963878, "realized_annual_volatility_pct": 55.82891360826115, "trading_costs_quote_units": 32.47204563514084, "borrowing_costs_quote_units": 353.27665338801154, "price_pnl_quote_units": -1528.0326336595224, "turnover_quote_units": 54120.076058568084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8086.218667317322, "return_pct": -19.13781332682678, "cagr_pct": -19.157428420421322, "max_drawdown_pct": 46.83783451441703, "mean_exposure_while_solvent": 1.3091095794963878, "realized_annual_volatility_pct": 55.82891360826115, "trading_costs_quote_units": 32.47204563514084, "borrowing_costs_quote_units": 353.27665338801154, "price_pnl_quote_units": -1528.0326336595224, "turnover_quote_units": 54120.076058568084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8086.218667317322, "return_pct": -19.13781332682678, "cagr_pct": -19.157428420421322, "max_drawdown_pct": 46.83783451441703, "mean_exposure_while_solvent": 1.3091095794963878, "realized_annual_volatility_pct": 55.82891360826115, "trading_costs_quote_units": 32.47204563514084, "borrowing_costs_quote_units": 353.27665338801154, "price_pnl_quote_units": -1528.0326336595224, "turnover_quote_units": 54120.076058568084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8086.218667317322, "return_pct": -19.13781332682678, "cagr_pct": -19.157428420421322, "max_drawdown_pct": 46.83783451441703, "mean_exposure_while_solvent": 1.3091095794963878, "realized_annual_volatility_pct": 55.82891360826115, "trading_costs_quote_units": 32.47204563514084, "borrowing_costs_quote_units": 353.27665338801154, "price_pnl_quote_units": -1528.0326336595224, "turnover_quote_units": 54120.076058568084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9662.664906946466, "return_pct": -3.373350930535346, "cagr_pct": -3.377137748346766, "max_drawdown_pct": 26.8839307905931, "mean_exposure_while_solvent": 0.7496317082954693, "realized_annual_volatility_pct": 33.14122132687572, "trading_costs_quote_units": 11.271841737767856, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -326.0632513157676, "turnover_quote_units": 18786.40289627976, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9662.664906946466, "return_pct": -3.373350930535346, "cagr_pct": -3.377137748346766, "max_drawdown_pct": 26.8839307905931, "mean_exposure_while_solvent": 0.7496317082954693, "realized_annual_volatility_pct": 33.14122132687572, "trading_costs_quote_units": 11.271841737767856, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -326.0632513157676, "turnover_quote_units": 18786.40289627976, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9350.109848142696, "return_pct": -6.498901518573041, "cagr_pct": -6.506076886722112, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 44.19129499781344, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -643.8937496985969, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9350.109848142696, "return_pct": -6.498901518573041, "cagr_pct": -6.506076886722112, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 44.19129499781344, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -643.8937496985969, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8710.956749874165, "return_pct": -12.890432501258342, "cagr_pct": -12.904160772947174, "max_drawdown_pct": 41.39969513117367, "mean_exposure_while_solvent": 1.2495398022802828, "realized_annual_volatility_pct": 55.25297121747974, "trading_costs_quote_units": 18.742576686741824, "borrowing_costs_quote_units": 268.81182972556144, "price_pnl_quote_units": -1001.4888437134965, "turnover_quote_units": 31237.627811236387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8710.956749874165, "return_pct": -12.890432501258342, "cagr_pct": -12.904160772947174, "max_drawdown_pct": 41.39969513117367, "mean_exposure_while_solvent": 1.2495398022802828, "realized_annual_volatility_pct": 55.25297121747974, "trading_costs_quote_units": 18.742576686741824, "borrowing_costs_quote_units": 268.81182972556144, "price_pnl_quote_units": -1001.4888437134965, "turnover_quote_units": 31237.627811236387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8020.833093254485, "return_pct": -19.791669067455153, "cagr_pct": -19.811869092891648, "max_drawdown_pct": 47.785092117761884, "mean_exposure_while_solvent": 1.4996188090138964, "realized_annual_volatility_pct": 66.3284106393961, "trading_costs_quote_units": 35.55091801152893, "borrowing_costs_quote_units": 530.8011777515471, "price_pnl_quote_units": -1412.8148109824326, "turnover_quote_units": 59251.530019214886, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8020.833093254485, "return_pct": -19.791669067455153, "cagr_pct": -19.811869092891648, "max_drawdown_pct": 47.785092117761884, "mean_exposure_while_solvent": 1.4996188090138964, "realized_annual_volatility_pct": 66.3284106393961, "trading_costs_quote_units": 35.55091801152893, "borrowing_costs_quote_units": 530.8011777515471, "price_pnl_quote_units": -1412.8148109824326, "turnover_quote_units": 59251.530019214886, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8941.570484392645, "return_pct": -10.584295156073553, "cagr_pct": -10.595718911342896, "max_drawdown_pct": 36.28625805752351, "mean_exposure_while_solvent": 0.9876358434279974, "realized_annual_volatility_pct": 41.10739622568625, "trading_costs_quote_units": 49.24718545072819, "borrowing_costs_quote_units": 266.27611182742936, "price_pnl_quote_units": -742.9062183292024, "turnover_quote_units": 82078.64241788028, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8941.570484392645, "return_pct": -10.584295156073553, "cagr_pct": -10.595718911342896, "max_drawdown_pct": 36.28625805752351, "mean_exposure_while_solvent": 0.9876358434279974, "realized_annual_volatility_pct": 41.10739622568625, "trading_costs_quote_units": 49.24718545072819, "borrowing_costs_quote_units": 266.27611182742936, "price_pnl_quote_units": -742.9062183292024, "turnover_quote_units": 82078.64241788028, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8022.5333292382, "return_pct": -19.774666707617993, "cagr_pct": -19.794851599882286, "max_drawdown_pct": 45.1841717301258, "mean_exposure_while_solvent": 1.311310872375466, "realized_annual_volatility_pct": 55.97114766224334, "trading_costs_quote_units": 43.74497936723683, "borrowing_costs_quote_units": 709.2112137680169, "price_pnl_quote_units": -1224.5104776265396, "turnover_quote_units": 72908.2989453948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8022.5333292382, "return_pct": -19.774666707617993, "cagr_pct": -19.794851599882286, "max_drawdown_pct": 45.1841717301258, "mean_exposure_while_solvent": 1.311310872375466, "realized_annual_volatility_pct": 55.97114766224334, "trading_costs_quote_units": 43.74497936723683, "borrowing_costs_quote_units": 709.2112137680169, "price_pnl_quote_units": -1224.5104776265396, "turnover_quote_units": 72908.2989453948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7716.089115870505, "return_pct": -22.83910884129494, "cagr_pct": -22.86195388153892, "max_drawdown_pct": 48.11522112147097, "mean_exposure_while_solvent": 1.4690505060117418, "realized_annual_volatility_pct": 64.83956538880075, "trading_costs_quote_units": 38.075279103314, "borrowing_costs_quote_units": 991.6687071861754, "price_pnl_quote_units": -1254.1668978399637, "turnover_quote_units": 63458.79850552331, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7716.089115870505, "return_pct": -22.83910884129494, "cagr_pct": -22.86195388153892, "max_drawdown_pct": 48.11522112147097, "mean_exposure_while_solvent": 1.4690505060117418, "realized_annual_volatility_pct": 64.83956538880075, "trading_costs_quote_units": 38.075279103314, "borrowing_costs_quote_units": 991.6687071861754, "price_pnl_quote_units": -1254.1668978399637, "turnover_quote_units": 63458.79850552331, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7922.348652816478, "return_pct": -20.776513471835223, "cagr_pct": -20.79758301173826, "max_drawdown_pct": 44.175737689876534, "mean_exposure_while_solvent": 1.337098255115478, "realized_annual_volatility_pct": 56.32559172734841, "trading_costs_quote_units": 62.624863672350656, "borrowing_costs_quote_units": 761.3396438708759, "price_pnl_quote_units": -1253.686839640276, "turnover_quote_units": 104374.77278725132, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7922.348652816478, "return_pct": -20.776513471835223, "cagr_pct": -20.79758301173826, "max_drawdown_pct": 44.175737689876534, "mean_exposure_while_solvent": 1.337098255115478, "realized_annual_volatility_pct": 56.32559172734841, "trading_costs_quote_units": 62.624863672350656, "borrowing_costs_quote_units": 761.3396438708759, "price_pnl_quote_units": -1253.686839640276, "turnover_quote_units": 104374.77278725132, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7837.748038149161, "return_pct": -21.622519618508385, "cagr_pct": -21.644324925292906, "max_drawdown_pct": 47.16679708315845, "mean_exposure_while_solvent": 1.3091605390311902, "realized_annual_volatility_pct": 55.83232977813194, "trading_costs_quote_units": 32.17839806514592, "borrowing_costs_quote_units": 695.9794222502117, "price_pnl_quote_units": -1434.0941415354566, "turnover_quote_units": 53630.6634419099, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7837.748038149161, "return_pct": -21.622519618508385, "cagr_pct": -21.644324925292906, "max_drawdown_pct": 47.16679708315845, "mean_exposure_while_solvent": 1.3091605390311902, "realized_annual_volatility_pct": 55.83232977813194, "trading_costs_quote_units": 32.17839806514592, "borrowing_costs_quote_units": 695.9794222502117, "price_pnl_quote_units": -1434.0941415354566, "turnover_quote_units": 53630.6634419099, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9336.358649856702, "return_pct": -6.636413501432981, "cagr_pct": -6.64373523791808, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9920199586890243, "realized_annual_volatility_pct": 43.88051719448932, "trading_costs_quote_units": 8.141024415432636, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -655.5003257278596, "turnover_quote_units": 13568.37402572106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9336.358649856702, "return_pct": -6.636413501432981, "cagr_pct": -6.64373523791808, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9920199586890243, "realized_annual_volatility_pct": 43.88051719448932, "trading_costs_quote_units": 8.141024415432636, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -655.5003257278596, "turnover_quote_units": 13568.37402572106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7837.748038149161, "return_pct": -21.622519618508385, "cagr_pct": -21.644324925292906, "max_drawdown_pct": 47.16679708315845, "mean_exposure_while_solvent": 1.3091605390311902, "realized_annual_volatility_pct": 55.83232977813194, "trading_costs_quote_units": 32.17839806514592, "borrowing_costs_quote_units": 695.9794222502117, "price_pnl_quote_units": -1434.0941415354566, "turnover_quote_units": 53630.6634419099, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7837.748038149161, "return_pct": -21.622519618508385, "cagr_pct": -21.644324925292906, "max_drawdown_pct": 47.16679708315845, "mean_exposure_while_solvent": 1.3091605390311902, "realized_annual_volatility_pct": 55.83232977813194, "trading_costs_quote_units": 32.17839806514592, "borrowing_costs_quote_units": 695.9794222502117, "price_pnl_quote_units": -1434.0941415354566, "turnover_quote_units": 53630.6634419099, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7837.748038149161, "return_pct": -21.622519618508385, "cagr_pct": -21.644324925292906, "max_drawdown_pct": 47.16679708315845, "mean_exposure_while_solvent": 1.3091605390311902, "realized_annual_volatility_pct": 55.83232977813194, "trading_costs_quote_units": 32.17839806514592, "borrowing_costs_quote_units": 695.9794222502117, "price_pnl_quote_units": -1434.0941415354566, "turnover_quote_units": 53630.6634419099, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7837.748038149161, "return_pct": -21.622519618508385, "cagr_pct": -21.644324925292906, "max_drawdown_pct": 47.16679708315845, "mean_exposure_while_solvent": 1.3091605390311902, "realized_annual_volatility_pct": 55.83232977813194, "trading_costs_quote_units": 32.17839806514592, "borrowing_costs_quote_units": 695.9794222502117, "price_pnl_quote_units": -1434.0941415354566, "turnover_quote_units": 53630.6634419099, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9662.664906946466, "return_pct": -3.373350930535346, "cagr_pct": -3.377137748346766, "max_drawdown_pct": 26.8839307905931, "mean_exposure_while_solvent": 0.7496317082954693, "realized_annual_volatility_pct": 33.14122132687572, "trading_costs_quote_units": 11.271841737767856, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -326.0632513157676, "turnover_quote_units": 18786.40289627976, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9662.664906946466, "return_pct": -3.373350930535346, "cagr_pct": -3.377137748346766, "max_drawdown_pct": 26.8839307905931, "mean_exposure_while_solvent": 0.7496317082954693, "realized_annual_volatility_pct": 33.14122132687572, "trading_costs_quote_units": 11.271841737767856, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -326.0632513157676, "turnover_quote_units": 18786.40289627976, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9350.109848142696, "return_pct": -6.498901518573041, "cagr_pct": -6.506076886722112, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 44.19129499781344, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -643.8937496985969, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9350.109848142696, "return_pct": -6.498901518573041, "cagr_pct": -6.506076886722112, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 44.19129499781344, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -643.8937496985969, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8495.974575050572, "return_pct": -15.040254249494279, "cagr_pct": -15.056068003312687, "max_drawdown_pct": 41.58475338490296, "mean_exposure_while_solvent": 1.2495754543124904, "realized_annual_volatility_pct": 55.25527860949491, "trading_costs_quote_units": 18.614531578838797, "borrowing_costs_quote_units": 530.9418287243363, "price_pnl_quote_units": -954.4690646462344, "turnover_quote_units": 31024.219298064654, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8495.974575050572, "return_pct": -15.040254249494279, "cagr_pct": -15.056068003312687, "max_drawdown_pct": 41.58475338490296, "mean_exposure_while_solvent": 1.2495754543124904, "realized_annual_volatility_pct": 55.25527860949491, "trading_costs_quote_units": 18.614531578838797, "borrowing_costs_quote_units": 530.9418287243363, "price_pnl_quote_units": -954.4690646462344, "turnover_quote_units": 31024.219298064654, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7629.6500513128385, "return_pct": -23.703499486871614, "cagr_pct": -23.727069957664114, "max_drawdown_pct": 48.11522112147097, "mean_exposure_while_solvent": 1.4997044269922906, "realized_annual_volatility_pct": 66.33396450723164, "trading_costs_quote_units": 34.943112527370246, "borrowing_costs_quote_units": 1035.4237441483422, "price_pnl_quote_units": -1299.9830920114305, "turnover_quote_units": 58238.52087895046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7629.6500513128385, "return_pct": -23.703499486871614, "cagr_pct": -23.727069957664114, "max_drawdown_pct": 48.11522112147097, "mean_exposure_while_solvent": 1.4997044269922906, "realized_annual_volatility_pct": 66.33396450723164, "trading_costs_quote_units": 34.943112527370246, "borrowing_costs_quote_units": 1035.4237441483422, "price_pnl_quote_units": -1299.9830920114305, "turnover_quote_units": 58238.52087895046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9082.040415632055, "return_pct": -9.179595843679456, "cagr_pct": -9.189582449132127, "max_drawdown_pct": 36.248766736531955, "mean_exposure_while_solvent": 0.9868320443935368, "realized_annual_volatility_pct": 41.10278763095746, "trading_costs_quote_units": 48.37570731252039, "borrowing_costs_quote_units": 66.82418378610748, "price_pnl_quote_units": -802.759693269333, "turnover_quote_units": 80626.17885420058, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9082.040415632055, "return_pct": -9.179595843679456, "cagr_pct": -9.189582449132127, "max_drawdown_pct": 36.248766736531955, "mean_exposure_while_solvent": 0.9868320443935368, "realized_annual_volatility_pct": 41.10278763095746, "trading_costs_quote_units": 48.37570731252039, "borrowing_costs_quote_units": 66.82418378610748, "price_pnl_quote_units": -802.759693269333, "turnover_quote_units": 80626.17885420058, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8325.395244331261, "return_pct": -16.746047556687394, "cagr_pct": -16.763471878884047, "max_drawdown_pct": 44.88101532467365, "mean_exposure_while_solvent": 1.31018057947068, "realized_annual_volatility_pct": 55.98979757033044, "trading_costs_quote_units": 43.345004317619804, "borrowing_costs_quote_units": 179.43989654336815, "price_pnl_quote_units": -1451.819854807747, "turnover_quote_units": 72241.67386269961, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8325.395244331261, "return_pct": -16.746047556687394, "cagr_pct": -16.763471878884047, "max_drawdown_pct": 44.88101532467365, "mean_exposure_while_solvent": 1.31018057947068, "realized_annual_volatility_pct": 55.98979757033044, "trading_costs_quote_units": 43.345004317619804, "borrowing_costs_quote_units": 179.43989654336815, "price_pnl_quote_units": -1451.819854807747, "turnover_quote_units": 72241.67386269961, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8194.215183153085, "return_pct": -18.05784816846916, "cagr_pct": -18.076483925576163, "max_drawdown_pct": 47.817192042664104, "mean_exposure_while_solvent": 1.4678134513691097, "realized_annual_volatility_pct": 64.95266750861856, "trading_costs_quote_units": 38.25041197708769, "borrowing_costs_quote_units": 254.41209306591512, "price_pnl_quote_units": -1513.1223118038988, "turnover_quote_units": 63750.686628479496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8194.215183153085, "return_pct": -18.05784816846916, "cagr_pct": -18.076483925576163, "max_drawdown_pct": 47.817192042664104, "mean_exposure_while_solvent": 1.4678134513691097, "realized_annual_volatility_pct": 64.95266750861856, "trading_costs_quote_units": 38.25041197708769, "borrowing_costs_quote_units": 254.41209306591512, "price_pnl_quote_units": -1513.1223118038988, "turnover_quote_units": 63750.686628479496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8292.714171601763, "return_pct": -17.072858283982374, "cagr_pct": -17.090586637261715, "max_drawdown_pct": 44.50303289283008, "mean_exposure_while_solvent": 1.335745042234887, "realized_annual_volatility_pct": 56.546729898666925, "trading_costs_quote_units": 62.67871031377243, "borrowing_costs_quote_units": 195.21059440140223, "price_pnl_quote_units": -1449.3965236830466, "turnover_quote_units": 104464.5171896206, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8292.714171601763, "return_pct": -17.072858283982374, "cagr_pct": -17.090586637261715, "max_drawdown_pct": 44.50303289283008, "mean_exposure_while_solvent": 1.335745042234887, "realized_annual_volatility_pct": 56.546729898666925, "trading_costs_quote_units": 62.67871031377243, "borrowing_costs_quote_units": 195.21059440140223, "price_pnl_quote_units": -1449.3965236830466, "turnover_quote_units": 104464.5171896206, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8151.795963103165, "return_pct": -18.482040368968345, "cagr_pct": -18.501062745272947, "max_drawdown_pct": 46.968888565012676, "mean_exposure_while_solvent": 1.3080624368813831, "realized_annual_volatility_pct": 55.8838913833115, "trading_costs_quote_units": 32.01836438379508, "borrowing_costs_quote_units": 177.18667490396405, "price_pnl_quote_units": -1638.9989976090585, "turnover_quote_units": 53363.94063965847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8151.795963103165, "return_pct": -18.482040368968345, "cagr_pct": -18.501062745272947, "max_drawdown_pct": 46.968888565012676, "mean_exposure_while_solvent": 1.3080624368813831, "realized_annual_volatility_pct": 55.8838913833115, "trading_costs_quote_units": 32.01836438379508, "borrowing_costs_quote_units": 177.18667490396405, "price_pnl_quote_units": -1638.9989976090585, "turnover_quote_units": 53363.94063965847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9296.089420759487, "return_pct": -7.039105792405131, "cagr_pct": -7.046854823079938, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9910958296345229, "realized_annual_volatility_pct": 43.87541261318208, "trading_costs_quote_units": 8.170281881080108, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -695.7402973594336, "turnover_quote_units": 13617.136468466846, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9296.089420759487, "return_pct": -7.039105792405131, "cagr_pct": -7.046854823079938, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9910958296345229, "realized_annual_volatility_pct": 43.87541261318208, "trading_costs_quote_units": 8.170281881080108, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -695.7402973594336, "turnover_quote_units": 13617.136468466846, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8151.795963103165, "return_pct": -18.482040368968345, "cagr_pct": -18.501062745272947, "max_drawdown_pct": 46.968888565012676, "mean_exposure_while_solvent": 1.3080624368813831, "realized_annual_volatility_pct": 55.8838913833115, "trading_costs_quote_units": 32.01836438379508, "borrowing_costs_quote_units": 177.18667490396405, "price_pnl_quote_units": -1638.9989976090585, "turnover_quote_units": 53363.94063965847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8151.795963103165, "return_pct": -18.482040368968345, "cagr_pct": -18.501062745272947, "max_drawdown_pct": 46.968888565012676, "mean_exposure_while_solvent": 1.3080624368813831, "realized_annual_volatility_pct": 55.8838913833115, "trading_costs_quote_units": 32.01836438379508, "borrowing_costs_quote_units": 177.18667490396405, "price_pnl_quote_units": -1638.9989976090585, "turnover_quote_units": 53363.94063965847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8151.795963103165, "return_pct": -18.482040368968345, "cagr_pct": -18.501062745272947, "max_drawdown_pct": 46.968888565012676, "mean_exposure_while_solvent": 1.3080624368813831, "realized_annual_volatility_pct": 55.8838913833115, "trading_costs_quote_units": 32.01836438379508, "borrowing_costs_quote_units": 177.18667490396405, "price_pnl_quote_units": -1638.9989976090585, "turnover_quote_units": 53363.94063965847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8151.795963103165, "return_pct": -18.482040368968345, "cagr_pct": -18.501062745272947, "max_drawdown_pct": 46.968888565012676, "mean_exposure_while_solvent": 1.3080624368813831, "realized_annual_volatility_pct": 55.8838913833115, "trading_costs_quote_units": 32.01836438379508, "borrowing_costs_quote_units": 177.18667490396405, "price_pnl_quote_units": -1638.9989976090585, "turnover_quote_units": 53363.94063965847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9611.868568646032, "return_pct": -3.8813143135396744, "cagr_pct": -3.8856598039760852, "max_drawdown_pct": 26.821051023972686, "mean_exposure_while_solvent": 0.7488669268981974, "realized_annual_volatility_pct": 33.09943211378705, "trading_costs_quote_units": 11.114048749149546, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -377.0173826048114, "turnover_quote_units": 18523.41458191592, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9611.868568646032, "return_pct": -3.8813143135396744, "cagr_pct": -3.8856598039760852, "max_drawdown_pct": 26.821051023972686, "mean_exposure_while_solvent": 0.7488669268981974, "realized_annual_volatility_pct": 33.09943211378705, "trading_costs_quote_units": 11.114048749149546, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -377.0173826048114, "turnover_quote_units": 18523.41458191592, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9275.964785427472, "return_pct": -7.240352145725282, "cagr_pct": -7.248313970758737, "max_drawdown_pct": 34.367970352794956, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 44.17794839272634, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -718.0388124138167, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9275.964785427472, "return_pct": -7.240352145725282, "cagr_pct": -7.248313970758737, "max_drawdown_pct": 34.367970352794956, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 44.17794839272634, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -718.0388124138167, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8722.346875044714, "return_pct": -12.776531249552859, "cagr_pct": -12.79014732357154, "max_drawdown_pct": 41.397020366154294, "mean_exposure_while_solvent": 1.2485276974965573, "realized_annual_volatility_pct": 55.28798670324149, "trading_costs_quote_units": 18.495582487128036, "borrowing_costs_quote_units": 133.82205404554065, "price_pnl_quote_units": -1125.3354884225978, "turnover_quote_units": 30825.970811880037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8722.346875044714, "return_pct": -12.776531249552859, "cagr_pct": -12.79014732357154, "max_drawdown_pct": 41.397020366154294, "mean_exposure_while_solvent": 1.2485276974965573, "realized_annual_volatility_pct": 55.28798670324149, "trading_costs_quote_units": 18.495582487128036, "borrowing_costs_quote_units": 133.82205404554065, "price_pnl_quote_units": -1125.3354884225978, "turnover_quote_units": 30825.970811880037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8100.989684277786, "return_pct": -18.990103157222137, "cagr_pct": -19.00958527237096, "max_drawdown_pct": 47.817192042664125, "mean_exposure_while_solvent": 1.4985772436116083, "realized_annual_volatility_pct": 66.43459449616233, "trading_costs_quote_units": 35.06543637601484, "borrowing_costs_quote_units": 265.2755639151415, "price_pnl_quote_units": -1598.6693154310572, "turnover_quote_units": 58442.39396002469, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8100.989684277786, "return_pct": -18.990103157222137, "cagr_pct": -19.00958527237096, "max_drawdown_pct": 47.817192042664125, "mean_exposure_while_solvent": 1.4985772436116083, "realized_annual_volatility_pct": 66.43459449616233, "trading_costs_quote_units": 35.06543637601484, "borrowing_costs_quote_units": 265.2755639151415, "price_pnl_quote_units": -1598.6693154310572, "turnover_quote_units": 58442.39396002469, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9030.614948576129, "return_pct": -9.693850514238711, "cagr_pct": -9.704366156940834, "max_drawdown_pct": 36.28348115937181, "mean_exposure_while_solvent": 0.9868405429687958, "realized_annual_volatility_pct": 41.10316095763678, "trading_costs_quote_units": 48.27329757999618, "borrowing_costs_quote_units": 133.2747982453311, "price_pnl_quote_units": -787.8369555985428, "turnover_quote_units": 80455.4959666603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9030.614948576129, "return_pct": -9.693850514238711, "cagr_pct": -9.704366156940834, "max_drawdown_pct": 36.28348115937181, "mean_exposure_while_solvent": 0.9868405429687958, "realized_annual_volatility_pct": 41.10316095763678, "trading_costs_quote_units": 48.27329757999618, "borrowing_costs_quote_units": 133.2747982453311, "price_pnl_quote_units": -787.8369555985428, "turnover_quote_units": 80455.4959666603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8193.736612804858, "return_pct": -18.062633871951416, "cagr_pct": -18.08127400489088, "max_drawdown_pct": 45.02163555184578, "mean_exposure_while_solvent": 1.3102065957716937, "realized_annual_volatility_pct": 55.991141526093266, "trading_costs_quote_units": 43.107130934797446, "borrowing_costs_quote_units": 356.0633713968955, "price_pnl_quote_units": -1407.0928848634576, "turnover_quote_units": 71845.21822466236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8193.736612804858, "return_pct": -18.062633871951416, "cagr_pct": -18.08127400489088, "max_drawdown_pct": 45.02163555184578, "mean_exposure_while_solvent": 1.3102065957716937, "realized_annual_volatility_pct": 55.991141526093266, "trading_costs_quote_units": 43.107130934797446, "borrowing_costs_quote_units": 356.0633713968955, "price_pnl_quote_units": -1407.0928848634576, "turnover_quote_units": 71845.21822466236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8004.408310271937, "return_pct": -19.955916897280634, "cagr_pct": -19.976262901377734, "max_drawdown_pct": 47.98256481999255, "mean_exposure_while_solvent": 1.4678531457070272, "realized_annual_volatility_pct": 64.9546886439999, "trading_costs_quote_units": 37.95177714348115, "borrowing_costs_quote_units": 502.90537347389306, "price_pnl_quote_units": -1454.7345391106776, "turnover_quote_units": 63252.961905801916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8004.408310271937, "return_pct": -19.955916897280634, "cagr_pct": -19.976262901377734, "max_drawdown_pct": 47.98256481999255, "mean_exposure_while_solvent": 1.4678531457070272, "realized_annual_volatility_pct": 64.9546886439999, "trading_costs_quote_units": 37.95177714348115, "borrowing_costs_quote_units": 502.90537347389306, "price_pnl_quote_units": -1454.7345391106776, "turnover_quote_units": 63252.961905801916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8147.457066054956, "return_pct": -18.52542933945044, "cagr_pct": -18.544491119503316, "max_drawdown_pct": 44.62944989953731, "mean_exposure_while_solvent": 1.3357743505309865, "realized_annual_volatility_pct": 56.548289761413514, "trading_costs_quote_units": 62.24044634250148, "borrowing_costs_quote_units": 386.9740920094237, "price_pnl_quote_units": -1403.3283955931176, "turnover_quote_units": 103734.07723750257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8147.457066054956, "return_pct": -18.52542933945044, "cagr_pct": -18.544491119503316, "max_drawdown_pct": 44.62944989953731, "mean_exposure_while_solvent": 1.3357743505309865, "realized_annual_volatility_pct": 56.548289761413514, "trading_costs_quote_units": 62.24044634250148, "borrowing_costs_quote_units": 386.9740920094237, "price_pnl_quote_units": -1403.3283955931176, "turnover_quote_units": 103734.07723750257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8025.713779238653, "return_pct": -19.742862207613467, "cagr_pct": -19.763018780809436, "max_drawdown_pct": 47.1336901795875, "mean_exposure_while_solvent": 1.3080878893904293, "realized_annual_volatility_pct": 55.88531442135524, "trading_costs_quote_units": 31.8578464886433, "borrowing_costs_quote_units": 351.7058785420768, "price_pnl_quote_units": -1590.7224957306341, "turnover_quote_units": 53096.41081440552, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8025.713779238653, "return_pct": -19.742862207613467, "cagr_pct": -19.763018780809436, "max_drawdown_pct": 47.1336901795875, "mean_exposure_while_solvent": 1.3080878893904293, "realized_annual_volatility_pct": 55.88531442135524, "trading_costs_quote_units": 31.8578464886433, "borrowing_costs_quote_units": 351.7058785420768, "price_pnl_quote_units": -1590.7224957306341, "turnover_quote_units": 53096.41081440552, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9296.089420759487, "return_pct": -7.039105792405131, "cagr_pct": -7.046854823079938, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9910958296345229, "realized_annual_volatility_pct": 43.87541261318208, "trading_costs_quote_units": 8.170281881080108, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -695.7402973594336, "turnover_quote_units": 13617.136468466846, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9296.089420759487, "return_pct": -7.039105792405131, "cagr_pct": -7.046854823079938, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9910958296345229, "realized_annual_volatility_pct": 43.87541261318208, "trading_costs_quote_units": 8.170281881080108, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -695.7402973594336, "turnover_quote_units": 13617.136468466846, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8025.713779238653, "return_pct": -19.742862207613467, "cagr_pct": -19.763018780809436, "max_drawdown_pct": 47.1336901795875, "mean_exposure_while_solvent": 1.3080878893904293, "realized_annual_volatility_pct": 55.88531442135524, "trading_costs_quote_units": 31.8578464886433, "borrowing_costs_quote_units": 351.7058785420768, "price_pnl_quote_units": -1590.7224957306341, "turnover_quote_units": 53096.41081440552, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8025.713779238653, "return_pct": -19.742862207613467, "cagr_pct": -19.763018780809436, "max_drawdown_pct": 47.1336901795875, "mean_exposure_while_solvent": 1.3080878893904293, "realized_annual_volatility_pct": 55.88531442135524, "trading_costs_quote_units": 31.8578464886433, "borrowing_costs_quote_units": 351.7058785420768, "price_pnl_quote_units": -1590.7224957306341, "turnover_quote_units": 53096.41081440552, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8025.713779238653, "return_pct": -19.742862207613467, "cagr_pct": -19.763018780809436, "max_drawdown_pct": 47.1336901795875, "mean_exposure_while_solvent": 1.3080878893904293, "realized_annual_volatility_pct": 55.88531442135524, "trading_costs_quote_units": 31.8578464886433, "borrowing_costs_quote_units": 351.7058785420768, "price_pnl_quote_units": -1590.7224957306341, "turnover_quote_units": 53096.41081440552, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8025.713779238653, "return_pct": -19.742862207613467, "cagr_pct": -19.763018780809436, "max_drawdown_pct": 47.1336901795875, "mean_exposure_while_solvent": 1.3080878893904293, "realized_annual_volatility_pct": 55.88531442135524, "trading_costs_quote_units": 31.8578464886433, "borrowing_costs_quote_units": 351.7058785420768, "price_pnl_quote_units": -1590.7224957306341, "turnover_quote_units": 53096.41081440552, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9611.868568646032, "return_pct": -3.8813143135396744, "cagr_pct": -3.8856598039760852, "max_drawdown_pct": 26.821051023972686, "mean_exposure_while_solvent": 0.7488669268981974, "realized_annual_volatility_pct": 33.09943211378705, "trading_costs_quote_units": 11.114048749149546, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -377.0173826048114, "turnover_quote_units": 18523.41458191592, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9611.868568646032, "return_pct": -3.8813143135396744, "cagr_pct": -3.8856598039760852, "max_drawdown_pct": 26.821051023972686, "mean_exposure_while_solvent": 0.7488669268981974, "realized_annual_volatility_pct": 33.09943211378705, "trading_costs_quote_units": 11.114048749149546, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -377.0173826048114, "turnover_quote_units": 18523.41458191592, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9275.964785427472, "return_pct": -7.240352145725282, "cagr_pct": -7.248313970758737, "max_drawdown_pct": 34.367970352794956, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 44.17794839272634, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -718.0388124138167, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9275.964785427472, "return_pct": -7.240352145725282, "cagr_pct": -7.248313970758737, "max_drawdown_pct": 34.367970352794956, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 44.17794839272634, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -718.0388124138167, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8614.166125013438, "return_pct": -13.858338749865617, "cagr_pct": -13.87301355778375, "max_drawdown_pct": 41.48968874685253, "mean_exposure_while_solvent": 1.248545504873751, "realized_annual_volatility_pct": 55.28889012975331, "trading_costs_quote_units": 18.427629940386414, "borrowing_costs_quote_units": 265.9729524969131, "price_pnl_quote_units": -1101.4332925492513, "turnover_quote_units": 30712.71656731067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8614.166125013438, "return_pct": -13.858338749865617, "cagr_pct": -13.87301355778375, "max_drawdown_pct": 41.48968874685253, "mean_exposure_while_solvent": 1.248545504873751, "realized_annual_volatility_pct": 55.28889012975331, "trading_costs_quote_units": 18.427629940386414, "borrowing_costs_quote_units": 265.9729524969131, "price_pnl_quote_units": -1101.4332925492513, "turnover_quote_units": 30712.71656731067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7901.208871197759, "return_pct": -20.98791128802241, "cagr_pct": -21.009165651590745, "max_drawdown_pct": 47.98256481999253, "mean_exposure_while_solvent": 1.4986200195526898, "realized_annual_volatility_pct": 66.43677790547758, "trading_costs_quote_units": 34.75390681630067, "borrowing_costs_quote_units": 523.9387247779016, "price_pnl_quote_units": -1540.098497208043, "turnover_quote_units": 57923.17802716776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7901.208871197759, "return_pct": -20.98791128802241, "cagr_pct": -21.009165651590745, "max_drawdown_pct": 47.98256481999253, "mean_exposure_while_solvent": 1.4986200195526898, "realized_annual_volatility_pct": 66.43677790547758, "trading_costs_quote_units": 34.75390681630067, "borrowing_costs_quote_units": 523.9387247779016, "price_pnl_quote_units": -1540.098497208043, "turnover_quote_units": 57923.17802716776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8928.61203938748, "return_pct": -10.713879606125188, "cagr_pct": -10.725434674401939, "max_drawdown_pct": 36.35287101530419, "mean_exposure_while_solvent": 0.9868575430472468, "realized_annual_volatility_pct": 41.10392623735555, "trading_costs_quote_units": 48.069873029690726, "borrowing_costs_quote_units": 265.0633260146021, "price_pnl_quote_units": -758.2547615682155, "turnover_quote_units": 80116.45504948446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8928.61203938748, "return_pct": -10.713879606125188, "cagr_pct": -10.725434674401939, "max_drawdown_pct": 36.35287101530419, "mean_exposure_while_solvent": 0.9868575430472468, "realized_annual_volatility_pct": 41.10392623735555, "trading_costs_quote_units": 48.069873029690726, "borrowing_costs_quote_units": 265.0633260146021, "price_pnl_quote_units": -758.2547615682155, "turnover_quote_units": 80116.45504948446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7936.565188359207, "return_pct": -20.63434811640793, "cagr_pct": -20.65529299938729, "max_drawdown_pct": 45.30187341948536, "mean_exposure_while_solvent": 1.3102586388803972, "realized_annual_volatility_pct": 55.99385123302365, "trading_costs_quote_units": 42.64226160110313, "borrowing_costs_quote_units": 701.0309146887764, "price_pnl_quote_units": -1319.7616353509084, "turnover_quote_units": 71070.43600183856, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7936.565188359207, "return_pct": -20.63434811640793, "cagr_pct": -20.65529299938729, "max_drawdown_pct": 45.30187341948536, "mean_exposure_while_solvent": 1.3102586388803972, "realized_annual_volatility_pct": 55.99385123302365, "trading_costs_quote_units": 42.64226160110313, "borrowing_costs_quote_units": 701.0309146887764, "price_pnl_quote_units": -1319.7616353509084, "turnover_quote_units": 71070.43600183856, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7637.78338807341, "return_pct": -23.62216611926591, "cagr_pct": -23.645668807018506, "max_drawdown_pct": 48.31183070222818, "mean_exposure_while_solvent": 1.4679325513183124, "realized_annual_volatility_pct": 64.95873527294225, "trading_costs_quote_units": 37.37102549911138, "borrowing_costs_quote_units": 982.6637231382286, "price_pnl_quote_units": -1342.1818632892844, "turnover_quote_units": 62285.04249851893, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7637.78338807341, "return_pct": -23.62216611926591, "cagr_pct": -23.645668807018506, "max_drawdown_pct": 48.31183070222818, "mean_exposure_while_solvent": 1.4679325513183124, "realized_annual_volatility_pct": 64.95873527294225, "trading_costs_quote_units": 37.37102549911138, "borrowing_costs_quote_units": 982.6637231382286, "price_pnl_quote_units": -1342.1818632892844, "turnover_quote_units": 62285.04249851893, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7864.455797681987, "return_pct": -21.355442023180128, "cagr_pct": -21.377016176235593, "max_drawdown_pct": 44.88148497811786, "mean_exposure_while_solvent": 1.3358329792316563, "realized_annual_volatility_pct": 56.55143092967598, "trading_costs_quote_units": 61.38446304425937, "borrowing_costs_quote_units": 760.3923838351516, "price_pnl_quote_units": -1313.7673554385829, "turnover_quote_units": 102307.43840709899, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7864.455797681987, "return_pct": -21.355442023180128, "cagr_pct": -21.377016176235593, "max_drawdown_pct": 44.88148497811786, "mean_exposure_while_solvent": 1.3358329792316563, "realized_annual_volatility_pct": 56.55143092967598, "trading_costs_quote_units": 61.38446304425937, "borrowing_costs_quote_units": 760.3923838351516, "price_pnl_quote_units": -1313.7673554385829, "turnover_quote_units": 102307.43840709899, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7779.304806867964, "return_pct": -22.20695193132036, "cagr_pct": -22.229259426258523, "max_drawdown_pct": 47.46184856628825, "mean_exposure_while_solvent": 1.3081388046896458, "realized_annual_volatility_pct": 55.88818333184368, "trading_costs_quote_units": 31.54410392402164, "borrowing_costs_quote_units": 692.8971836176624, "price_pnl_quote_units": -1496.253905590329, "turnover_quote_units": 52573.50654003603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7779.304806867964, "return_pct": -22.20695193132036, "cagr_pct": -22.229259426258523, "max_drawdown_pct": 47.46184856628825, "mean_exposure_while_solvent": 1.3081388046896458, "realized_annual_volatility_pct": 55.88818333184368, "trading_costs_quote_units": 31.54410392402164, "borrowing_costs_quote_units": 692.8971836176624, "price_pnl_quote_units": -1496.253905590329, "turnover_quote_units": 52573.50654003603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9296.089420759487, "return_pct": -7.039105792405131, "cagr_pct": -7.046854823079938, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9910958296345229, "realized_annual_volatility_pct": 43.87541261318208, "trading_costs_quote_units": 8.170281881080108, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -695.7402973594336, "turnover_quote_units": 13617.136468466846, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9296.089420759487, "return_pct": -7.039105792405131, "cagr_pct": -7.046854823079938, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9910958296345229, "realized_annual_volatility_pct": 43.87541261318208, "trading_costs_quote_units": 8.170281881080108, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -695.7402973594336, "turnover_quote_units": 13617.136468466846, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7779.304806867964, "return_pct": -22.20695193132036, "cagr_pct": -22.229259426258523, "max_drawdown_pct": 47.46184856628825, "mean_exposure_while_solvent": 1.3081388046896458, "realized_annual_volatility_pct": 55.88818333184368, "trading_costs_quote_units": 31.54410392402164, "borrowing_costs_quote_units": 692.8971836176624, "price_pnl_quote_units": -1496.253905590329, "turnover_quote_units": 52573.50654003603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7779.304806867964, "return_pct": -22.20695193132036, "cagr_pct": -22.229259426258523, "max_drawdown_pct": 47.46184856628825, "mean_exposure_while_solvent": 1.3081388046896458, "realized_annual_volatility_pct": 55.88818333184368, "trading_costs_quote_units": 31.54410392402164, "borrowing_costs_quote_units": 692.8971836176624, "price_pnl_quote_units": -1496.253905590329, "turnover_quote_units": 52573.50654003603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7779.304806867964, "return_pct": -22.20695193132036, "cagr_pct": -22.229259426258523, "max_drawdown_pct": 47.46184856628825, "mean_exposure_while_solvent": 1.3081388046896458, "realized_annual_volatility_pct": 55.88818333184368, "trading_costs_quote_units": 31.54410392402164, "borrowing_costs_quote_units": 692.8971836176624, "price_pnl_quote_units": -1496.253905590329, "turnover_quote_units": 52573.50654003603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7779.304806867964, "return_pct": -22.20695193132036, "cagr_pct": -22.229259426258523, "max_drawdown_pct": 47.46184856628825, "mean_exposure_while_solvent": 1.3081388046896458, "realized_annual_volatility_pct": 55.88818333184368, "trading_costs_quote_units": 31.54410392402164, "borrowing_costs_quote_units": 692.8971836176624, "price_pnl_quote_units": -1496.253905590329, "turnover_quote_units": 52573.50654003603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9611.868568646032, "return_pct": -3.8813143135396744, "cagr_pct": -3.8856598039760852, "max_drawdown_pct": 26.821051023972686, "mean_exposure_while_solvent": 0.7488669268981974, "realized_annual_volatility_pct": 33.09943211378705, "trading_costs_quote_units": 11.114048749149546, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -377.0173826048114, "turnover_quote_units": 18523.41458191592, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9611.868568646032, "return_pct": -3.8813143135396744, "cagr_pct": -3.8856598039760852, "max_drawdown_pct": 26.821051023972686, "mean_exposure_while_solvent": 0.7488669268981974, "realized_annual_volatility_pct": 33.09943211378705, "trading_costs_quote_units": 11.114048749149546, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -377.0173826048114, "turnover_quote_units": 18523.41458191592, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9275.964785427472, "return_pct": -7.240352145725282, "cagr_pct": -7.248313970758737, "max_drawdown_pct": 34.367970352794956, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 44.17794839272634, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -718.0388124138167, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9275.964785427472, "return_pct": -7.240352145725282, "cagr_pct": -7.248313970758737, "max_drawdown_pct": 34.367970352794956, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 44.17794839272634, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -718.0388124138167, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8401.76485489387, "return_pct": -15.982351451061295, "cagr_pct": -15.999059601297875, "max_drawdown_pct": 41.674627559440665, "mean_exposure_while_solvent": 1.2485811251137207, "realized_annual_volatility_pct": 55.29069699674709, "trading_costs_quote_units": 18.29561550059126, "borrowing_costs_quote_units": 525.3413730853316, "price_pnl_quote_units": -1054.5981565201846, "turnover_quote_units": 30492.69250098544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8401.76485489387, "return_pct": -15.982351451061295, "cagr_pct": -15.999059601297875, "max_drawdown_pct": 41.674627559440665, "mean_exposure_while_solvent": 1.2485811251137207, "realized_annual_volatility_pct": 55.29069699674709, "trading_costs_quote_units": 18.29561550059126, "borrowing_costs_quote_units": 525.3413730853316, "price_pnl_quote_units": -1054.5981565201846, "turnover_quote_units": 30492.69250098544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7516.199850737827, "return_pct": -24.838001492621732, "cagr_pct": -24.862507074509253, "max_drawdown_pct": 48.31183070222823, "mean_exposure_while_solvent": 1.4987055900007478, "realized_annual_volatility_pct": 66.44114516719685, "trading_costs_quote_units": 34.15133250187454, "borrowing_costs_quote_units": 1022.060518157377, "price_pnl_quote_units": -1427.5882986029105, "turnover_quote_units": 56918.88750312427, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7516.199850737827, "return_pct": -24.838001492621732, "cagr_pct": -24.862507074509253, "max_drawdown_pct": 48.31183070222823, "mean_exposure_while_solvent": 1.4987055900007478, "realized_annual_volatility_pct": 66.44114516719685, "trading_costs_quote_units": 34.15133250187454, "borrowing_costs_quote_units": 1022.060518157377, "price_pnl_quote_units": -1427.5882986029105, "turnover_quote_units": 56918.88750312427, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8928.947501595856, "return_pct": -10.710524984041436, "cagr_pct": -10.722076655657645, "max_drawdown_pct": 36.35513744031663, "mean_exposure_while_solvent": 0.9876103759569796, "realized_annual_volatility_pct": 41.110908896504945, "trading_costs_quote_units": 245.4320296041249, "borrowing_costs_quote_units": 66.34500687064552, "price_pnl_quote_units": -759.275461929377, "turnover_quote_units": 81810.67653470815, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8928.947501595856, "return_pct": -10.710524984041436, "cagr_pct": -10.722076655657645, "max_drawdown_pct": 36.35513744031663, "mean_exposure_while_solvent": 0.9876103759569796, "realized_annual_volatility_pct": 41.110908896504945, "trading_costs_quote_units": 245.4320296041249, "borrowing_costs_quote_units": 66.34500687064552, "price_pnl_quote_units": -759.275461929377, "turnover_quote_units": 81810.67653470815, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8270.443230974692, "return_pct": -17.295567690253087, "cagr_pct": -17.313502386290907, "max_drawdown_pct": 44.90562828759921, "mean_exposure_while_solvent": 1.311232751159073, "realized_annual_volatility_pct": 55.96613185107646, "trading_costs_quote_units": 220.29398244597985, "borrowing_costs_quote_units": 179.467603044256, "price_pnl_quote_units": -1329.7951835350573, "turnover_quote_units": 73431.32748199331, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8270.443230974692, "return_pct": -17.295567690253087, "cagr_pct": -17.313502386290907, "max_drawdown_pct": 44.90562828759921, "mean_exposure_while_solvent": 1.311232751159073, "realized_annual_volatility_pct": 55.96613185107646, "trading_costs_quote_units": 220.29398244597985, "borrowing_costs_quote_units": 179.467603044256, "price_pnl_quote_units": -1329.7951835350573, "turnover_quote_units": 73431.32748199331, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8153.872864946724, "return_pct": -18.46127135053276, "cagr_pct": -18.48027485608352, "max_drawdown_pct": 47.69900692916915, "mean_exposure_while_solvent": 1.4689312829313819, "realized_annual_volatility_pct": 64.83910111769, "trading_costs_quote_units": 193.2314506875105, "borrowing_costs_quote_units": 254.10127959003026, "price_pnl_quote_units": -1398.7944047757403, "turnover_quote_units": 64410.483562503505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8153.872864946724, "return_pct": -18.46127135053276, "cagr_pct": -18.48027485608352, "max_drawdown_pct": 47.69900692916915, "mean_exposure_while_solvent": 1.4689312829313819, "realized_annual_volatility_pct": 64.83910111769, "trading_costs_quote_units": 193.2314506875105, "borrowing_costs_quote_units": 254.10127959003026, "price_pnl_quote_units": -1398.7944047757403, "turnover_quote_units": 64410.483562503505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8140.052567396582, "return_pct": -18.599474326034183, "cagr_pct": -18.618603289127975, "max_drawdown_pct": 44.05265044506379, "mean_exposure_while_solvent": 1.3370101586945868, "realized_annual_volatility_pct": 56.32164571628957, "trading_costs_quote_units": 315.52280759597033, "borrowing_costs_quote_units": 192.38944450105984, "price_pnl_quote_units": -1352.035180506367, "turnover_quote_units": 105174.26919865682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8140.052567396582, "return_pct": -18.599474326034183, "cagr_pct": -18.618603289127975, "max_drawdown_pct": 44.05265044506379, "mean_exposure_while_solvent": 1.3370101586945868, "realized_annual_volatility_pct": 56.32164571628957, "trading_costs_quote_units": 315.52280759597033, "borrowing_costs_quote_units": 192.38944450105984, "price_pnl_quote_units": -1352.035180506367, "turnover_quote_units": 105174.26919865682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8111.24308629449, "return_pct": -18.887569137055095, "cagr_pct": -18.906958763246983, "max_drawdown_pct": 46.767149389844256, "mean_exposure_while_solvent": 1.3090841048744801, "realized_annual_volatility_pct": 55.82919431079251, "trading_costs_quote_units": 162.03259776510737, "borrowing_costs_quote_units": 176.4525292754325, "price_pnl_quote_units": -1550.2717866649766, "turnover_quote_units": 54010.86592170252, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8111.24308629449, "return_pct": -18.887569137055095, "cagr_pct": -18.906958763246983, "max_drawdown_pct": 46.767149389844256, "mean_exposure_while_solvent": 1.3090841048744801, "realized_annual_volatility_pct": 55.82919431079251, "trading_costs_quote_units": 162.03259776510737, "borrowing_costs_quote_units": 176.4525292754325, "price_pnl_quote_units": -1550.2717866649766, "turnover_quote_units": 54010.86592170252, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9305.163533498628, "return_pct": -6.948364665013729, "cagr_pct": -6.956017584623375, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9920199586890243, "realized_annual_volatility_pct": 43.88211932574812, "trading_costs_quote_units": 40.60276340255963, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -654.2337030988152, "turnover_quote_units": 13534.254467519879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9305.163533498628, "return_pct": -6.948364665013729, "cagr_pct": -6.956017584623375, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9920199586890243, "realized_annual_volatility_pct": 43.88211932574812, "trading_costs_quote_units": 40.60276340255963, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -654.2337030988152, "turnover_quote_units": 13534.254467519879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8111.24308629449, "return_pct": -18.887569137055095, "cagr_pct": -18.906958763246983, "max_drawdown_pct": 46.767149389844256, "mean_exposure_while_solvent": 1.3090841048744801, "realized_annual_volatility_pct": 55.82919431079251, "trading_costs_quote_units": 162.03259776510737, "borrowing_costs_quote_units": 176.4525292754325, "price_pnl_quote_units": -1550.2717866649766, "turnover_quote_units": 54010.86592170252, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8111.24308629449, "return_pct": -18.887569137055095, "cagr_pct": -18.906958763246983, "max_drawdown_pct": 46.767149389844256, "mean_exposure_while_solvent": 1.3090841048744801, "realized_annual_volatility_pct": 55.82919431079251, "trading_costs_quote_units": 162.03259776510737, "borrowing_costs_quote_units": 176.4525292754325, "price_pnl_quote_units": -1550.2717866649766, "turnover_quote_units": 54010.86592170252, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8111.24308629449, "return_pct": -18.887569137055095, "cagr_pct": -18.906958763246983, "max_drawdown_pct": 46.767149389844256, "mean_exposure_while_solvent": 1.3090841048744801, "realized_annual_volatility_pct": 55.82919431079251, "trading_costs_quote_units": 162.03259776510737, "borrowing_costs_quote_units": 176.4525292754325, "price_pnl_quote_units": -1550.2717866649766, "turnover_quote_units": 54010.86592170252, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8111.24308629449, "return_pct": -18.887569137055095, "cagr_pct": -18.906958763246983, "max_drawdown_pct": 46.767149389844256, "mean_exposure_while_solvent": 1.3090841048744801, "realized_annual_volatility_pct": 55.82919431079251, "trading_costs_quote_units": 162.03259776510737, "borrowing_costs_quote_units": 176.4525292754325, "price_pnl_quote_units": -1550.2717866649766, "turnover_quote_units": 54010.86592170252, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9620.45100735376, "return_pct": -3.795489926462392, "cagr_pct": -3.799741239822505, "max_drawdown_pct": 26.911148473876178, "mean_exposure_while_solvent": 0.7496317082954693, "realized_annual_volatility_pct": 33.143095241594004, "trading_costs_quote_units": 56.213689568507455, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -323.3353030777353, "turnover_quote_units": 18737.896522835825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9620.45100735376, "return_pct": -3.795489926462392, "cagr_pct": -3.799741239822505, "max_drawdown_pct": 26.911148473876178, "mean_exposure_while_solvent": 0.7496317082954693, "realized_annual_volatility_pct": 33.143095241594004, "trading_costs_quote_units": 56.213689568507455, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -323.3353030777353, "turnover_quote_units": 18737.896522835825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9327.736703939763, "return_pct": -6.72263296060237, "cagr_pct": -6.730046351357588, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 44.1922541268662, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -642.3530268678131, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9327.736703939763, "return_pct": -6.72263296060237, "cagr_pct": -6.730046351357588, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 44.1922541268662, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -642.3530268678131, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8756.264978291372, "return_pct": -12.437350217086273, "cagr_pct": -12.450631176861673, "max_drawdown_pct": 41.34397273415114, "mean_exposure_while_solvent": 1.2495219790101881, "realized_annual_volatility_pct": 55.25509697744057, "trading_costs_quote_units": 93.64099055659136, "borrowing_costs_quote_units": 134.53552162276915, "price_pnl_quote_units": -1015.5585095292628, "turnover_quote_units": 31213.663518863825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8756.264978291372, "return_pct": -12.437350217086273, "cagr_pct": -12.450631176861673, "max_drawdown_pct": 41.34397273415114, "mean_exposure_while_solvent": 1.2495219790101881, "realized_annual_volatility_pct": 55.25509697744057, "trading_costs_quote_units": 93.64099055659136, "borrowing_costs_quote_units": 134.53552162276915, "price_pnl_quote_units": -1015.5585095292628, "turnover_quote_units": 31213.663518863825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8109.905403378218, "return_pct": -18.90094596621782, "cagr_pct": -18.920347667144178, "max_drawdown_pct": 47.69900692916911, "mean_exposure_while_solvent": 1.4995760093129413, "realized_annual_volatility_pct": 66.33228261043153, "trading_costs_quote_units": 177.9936264142799, "borrowing_costs_quote_units": 266.3110646375283, "price_pnl_quote_units": -1445.7899055699852, "turnover_quote_units": 59331.208804759895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8109.905403378218, "return_pct": -18.90094596621782, "cagr_pct": -18.920347667144178, "max_drawdown_pct": 47.69900692916911, "mean_exposure_while_solvent": 1.4995760093129413, "realized_annual_volatility_pct": 66.33228261043153, "trading_costs_quote_units": 177.9936264142799, "borrowing_costs_quote_units": 266.3110646375283, "price_pnl_quote_units": -1445.7899055699852, "turnover_quote_units": 59331.208804759895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8878.367707139805, "return_pct": -11.21632292860195, "cagr_pct": -11.228385106548492, "max_drawdown_pct": 36.38841332590085, "mean_exposure_while_solvent": 0.9876188641403713, "realized_annual_volatility_pct": 41.11142207485665, "trading_costs_quote_units": 244.9270333564715, "borrowing_costs_quote_units": 132.31998249408235, "price_pnl_quote_units": -744.3852770096438, "turnover_quote_units": 81642.34445215715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8878.367707139805, "return_pct": -11.21632292860195, "cagr_pct": -11.228385106548492, "max_drawdown_pct": 36.38841332590085, "mean_exposure_while_solvent": 0.9876188641403713, "realized_annual_volatility_pct": 41.11142207485665, "trading_costs_quote_units": 244.9270333564715, "borrowing_costs_quote_units": 132.31998249408235, "price_pnl_quote_units": -744.3852770096438, "turnover_quote_units": 81642.34445215715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8139.5340107623215, "return_pct": -18.604659892376784, "cagr_pct": -18.6237935575927, "max_drawdown_pct": 45.04571843234862, "mean_exposure_while_solvent": 1.3112587880603852, "realized_annual_volatility_pct": 55.967732276852686, "trading_costs_quote_units": 219.1121449018399, "borrowing_costs_quote_units": 356.12005328918866, "price_pnl_quote_units": -1285.2337910466258, "turnover_quote_units": 73037.38163394672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8139.5340107623215, "return_pct": -18.604659892376784, "cagr_pct": -18.6237935575927, "max_drawdown_pct": 45.04571843234862, "mean_exposure_while_solvent": 1.3112587880603852, "realized_annual_volatility_pct": 55.967732276852686, "trading_costs_quote_units": 219.1121449018399, "borrowing_costs_quote_units": 356.12005328918866, "price_pnl_quote_units": -1285.2337910466258, "turnover_quote_units": 73037.38163394672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7964.809496452713, "return_pct": -20.35190503547287, "cagr_pct": -20.372601396630714, "max_drawdown_pct": 47.86473955198248, "mean_exposure_while_solvent": 1.4689710183056375, "realized_annual_volatility_pct": 64.84170748445379, "trading_costs_quote_units": 191.75105921097844, "borrowing_costs_quote_units": 502.29870261110625, "price_pnl_quote_units": -1341.1407417251887, "turnover_quote_units": 63917.01973699277, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7964.809496452713, "return_pct": -20.35190503547287, "cagr_pct": -20.372601396630714, "max_drawdown_pct": 47.86473955198248, "mean_exposure_while_solvent": 1.4689710183056375, "realized_annual_volatility_pct": 64.84170748445379, "trading_costs_quote_units": 191.75105921097844, "borrowing_costs_quote_units": 502.29870261110625, "price_pnl_quote_units": -1341.1407417251887, "turnover_quote_units": 63917.01973699277, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7997.284047064568, "return_pct": -20.02715952935432, "cagr_pct": -20.047568732068918, "max_drawdown_pct": 44.17906320684847, "mean_exposure_while_solvent": 1.3370395201220837, "realized_annual_volatility_pct": 56.323505159130974, "trading_costs_quote_units": 313.347277078079, "borrowing_costs_quote_units": 381.383215230624, "price_pnl_quote_units": -1307.9854606267036, "turnover_quote_units": 104449.09235935968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7997.284047064568, "return_pct": -20.02715952935432, "cagr_pct": -20.047568732068918, "max_drawdown_pct": 44.17906320684847, "mean_exposure_while_solvent": 1.3370395201220837, "realized_annual_volatility_pct": 56.323505159130974, "trading_costs_quote_units": 313.347277078079, "borrowing_costs_quote_units": 381.383215230624, "price_pnl_quote_units": -1307.9854606267036, "turnover_quote_units": 104449.09235935968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7985.652019153278, "return_pct": -20.143479808467212, "cagr_pct": -20.163992041771643, "max_drawdown_pct": 46.932278605239894, "mean_exposure_while_solvent": 1.3091095794963878, "realized_annual_volatility_pct": 55.830904858053465, "trading_costs_quote_units": 161.29688750131848, "borrowing_costs_quote_units": 350.24857658025786, "price_pnl_quote_units": -1502.8025167651215, "turnover_quote_units": 53765.62916710614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7985.652019153278, "return_pct": -20.143479808467212, "cagr_pct": -20.163992041771643, "max_drawdown_pct": 46.932278605239894, "mean_exposure_while_solvent": 1.3091095794963878, "realized_annual_volatility_pct": 55.830904858053465, "trading_costs_quote_units": 161.29688750131848, "borrowing_costs_quote_units": 350.24857658025786, "price_pnl_quote_units": -1502.8025167651215, "turnover_quote_units": 53765.62916710614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9305.163533498628, "return_pct": -6.948364665013729, "cagr_pct": -6.956017584623375, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9920199586890243, "realized_annual_volatility_pct": 43.88211932574812, "trading_costs_quote_units": 40.60276340255963, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -654.2337030988152, "turnover_quote_units": 13534.254467519879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9305.163533498628, "return_pct": -6.948364665013729, "cagr_pct": -6.956017584623375, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9920199586890243, "realized_annual_volatility_pct": 43.88211932574812, "trading_costs_quote_units": 40.60276340255963, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -654.2337030988152, "turnover_quote_units": 13534.254467519879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7985.652019153278, "return_pct": -20.143479808467212, "cagr_pct": -20.163992041771643, "max_drawdown_pct": 46.932278605239894, "mean_exposure_while_solvent": 1.3091095794963878, "realized_annual_volatility_pct": 55.830904858053465, "trading_costs_quote_units": 161.29688750131848, "borrowing_costs_quote_units": 350.24857658025786, "price_pnl_quote_units": -1502.8025167651215, "turnover_quote_units": 53765.62916710614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7985.652019153278, "return_pct": -20.143479808467212, "cagr_pct": -20.163992041771643, "max_drawdown_pct": 46.932278605239894, "mean_exposure_while_solvent": 1.3091095794963878, "realized_annual_volatility_pct": 55.830904858053465, "trading_costs_quote_units": 161.29688750131848, "borrowing_costs_quote_units": 350.24857658025786, "price_pnl_quote_units": -1502.8025167651215, "turnover_quote_units": 53765.62916710614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7985.652019153278, "return_pct": -20.143479808467212, "cagr_pct": -20.163992041771643, "max_drawdown_pct": 46.932278605239894, "mean_exposure_while_solvent": 1.3091095794963878, "realized_annual_volatility_pct": 55.830904858053465, "trading_costs_quote_units": 161.29688750131848, "borrowing_costs_quote_units": 350.24857658025786, "price_pnl_quote_units": -1502.8025167651215, "turnover_quote_units": 53765.62916710614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7985.652019153278, "return_pct": -20.143479808467212, "cagr_pct": -20.163992041771643, "max_drawdown_pct": 46.932278605239894, "mean_exposure_while_solvent": 1.3091095794963878, "realized_annual_volatility_pct": 55.830904858053465, "trading_costs_quote_units": 161.29688750131848, "borrowing_costs_quote_units": 350.24857658025786, "price_pnl_quote_units": -1502.8025167651215, "turnover_quote_units": 53765.62916710614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9620.45100735376, "return_pct": -3.795489926462392, "cagr_pct": -3.799741239822505, "max_drawdown_pct": 26.911148473876178, "mean_exposure_while_solvent": 0.7496317082954693, "realized_annual_volatility_pct": 33.143095241594004, "trading_costs_quote_units": 56.213689568507455, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -323.3353030777353, "turnover_quote_units": 18737.896522835825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9620.45100735376, "return_pct": -3.795489926462392, "cagr_pct": -3.799741239822505, "max_drawdown_pct": 26.911148473876178, "mean_exposure_while_solvent": 0.7496317082954693, "realized_annual_volatility_pct": 33.143095241594004, "trading_costs_quote_units": 56.213689568507455, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -323.3353030777353, "turnover_quote_units": 18737.896522835825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9327.736703939763, "return_pct": -6.72263296060237, "cagr_pct": -6.730046351357588, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 44.1922541268662, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -642.3530268678131, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9327.736703939763, "return_pct": -6.72263296060237, "cagr_pct": -6.730046351357588, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 44.1922541268662, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -642.3530268678131, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8647.553422940144, "return_pct": -13.52446577059856, "cagr_pct": -13.538815474605487, "max_drawdown_pct": 41.436723457893834, "mean_exposure_while_solvent": 1.2495398022802828, "realized_annual_volatility_pct": 55.25626095938151, "trading_costs_quote_units": 93.316549015003, "borrowing_costs_quote_units": 267.3902065355698, "price_pnl_quote_units": -991.739821509302, "turnover_quote_units": 31105.516338334335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8647.553422940144, "return_pct": -13.52446577059856, "cagr_pct": -13.538815474605487, "max_drawdown_pct": 41.436723457893834, "mean_exposure_while_solvent": 1.2495398022802828, "realized_annual_volatility_pct": 55.25626095938151, "trading_costs_quote_units": 93.316549015003, "borrowing_costs_quote_units": 267.3902065355698, "price_pnl_quote_units": -991.739821509302, "turnover_quote_units": 31105.516338334335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7909.6949267692435, "return_pct": -20.90305073230756, "cagr_pct": -20.924230980449114, "max_drawdown_pct": 47.864739551982424, "mean_exposure_while_solvent": 1.4996188090138964, "realized_annual_volatility_pct": 66.3350859342856, "trading_costs_quote_units": 176.44860823372812, "borrowing_costs_quote_units": 525.9870521570421, "price_pnl_quote_units": -1387.8694128399698, "turnover_quote_units": 58816.202744576054, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7909.6949267692435, "return_pct": -20.90305073230756, "cagr_pct": -20.924230980449114, "max_drawdown_pct": 47.864739551982424, "mean_exposure_while_solvent": 1.4996188090138964, "realized_annual_volatility_pct": 66.3350859342856, "trading_costs_quote_units": 176.44860823372812, "borrowing_costs_quote_units": 525.9870521570421, "price_pnl_quote_units": -1387.8694128399698, "turnover_quote_units": 58816.202744576054, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8778.041053829253, "return_pct": -12.21958946170747, "cagr_pct": -12.232654479610192, "max_drawdown_pct": 36.45492984852123, "mean_exposure_while_solvent": 0.9876358434279974, "realized_annual_volatility_pct": 41.11246719249853, "trading_costs_quote_units": 243.9256103415045, "borrowing_costs_quote_units": 263.1677579517299, "price_pnl_quote_units": -714.8655778775136, "turnover_quote_units": 81308.53678050151, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8778.041053829253, "return_pct": -12.21958946170747, "cagr_pct": -12.232654479610192, "max_drawdown_pct": 36.45492984852123, "mean_exposure_while_solvent": 0.9876358434279974, "realized_annual_volatility_pct": 41.11246719249853, "trading_costs_quote_units": 243.9256103415045, "borrowing_costs_quote_units": 263.1677579517299, "price_pnl_quote_units": -714.8655778775136, "turnover_quote_units": 81308.53678050151, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7883.825473334484, "return_pct": -21.161745266655164, "cagr_pct": -21.183151127756148, "max_drawdown_pct": 45.324903109295164, "mean_exposure_while_solvent": 1.311310872375466, "realized_annual_volatility_pct": 55.97095492861954, "trading_costs_quote_units": 216.79963921820925, "borrowing_costs_quote_units": 701.148925414102, "price_pnl_quote_units": -1198.2259620332322, "turnover_quote_units": 72266.54640606977, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7883.825473334484, "return_pct": -21.161745266655164, "cagr_pct": -21.183151127756148, "max_drawdown_pct": 45.324903109295164, "mean_exposure_while_solvent": 1.311310872375466, "realized_annual_volatility_pct": 55.97095492861954, "trading_costs_quote_units": 216.79963921820925, "borrowing_costs_quote_units": 701.148925414102, "price_pnl_quote_units": -1198.2259620332322, "turnover_quote_units": 72266.54640606977, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7599.6157700641925, "return_pct": -24.00384229935808, "cagr_pct": -24.027662215647204, "max_drawdown_pct": 48.194721495995594, "mean_exposure_while_solvent": 1.4690505060117418, "realized_annual_volatility_pct": 64.8469249474331, "trading_costs_quote_units": 188.87845450363167, "borrowing_costs_quote_units": 981.5077860648028, "price_pnl_quote_units": -1229.9979893673417, "turnover_quote_units": 62959.484834543975, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7599.6157700641925, "return_pct": -24.00384229935808, "cagr_pct": -24.027662215647204, "max_drawdown_pct": 48.194721495995594, "mean_exposure_while_solvent": 1.4690505060117418, "realized_annual_volatility_pct": 64.8469249474331, "trading_costs_quote_units": 188.87845450363167, "borrowing_costs_quote_units": 981.5077860648028, "price_pnl_quote_units": -1229.9979893673417, "turnover_quote_units": 62959.484834543975, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7719.134860671321, "return_pct": -22.808651393286794, "cagr_pct": -22.831470669842314, "max_drawdown_pct": 44.43109660966502, "mean_exposure_while_solvent": 1.337098255115478, "realized_annual_volatility_pct": 56.32724565338414, "trading_costs_quote_units": 309.0920057527298, "borrowing_costs_quote_units": 749.412729165141, "price_pnl_quote_units": -1222.3604044108042, "turnover_quote_units": 103030.66858424332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7719.134860671321, "return_pct": -22.808651393286794, "cagr_pct": -22.831470669842314, "max_drawdown_pct": 44.43109660966502, "mean_exposure_while_solvent": 1.337098255115478, "realized_annual_volatility_pct": 56.32724565338414, "trading_costs_quote_units": 309.0920057527298, "borrowing_costs_quote_units": 749.412729165141, "price_pnl_quote_units": -1222.3604044108042, "turnover_quote_units": 103030.66858424332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7740.209499252495, "return_pct": -22.59790500747505, "cagr_pct": -22.620545639437967, "max_drawdown_pct": 47.261091725007766, "mean_exposure_while_solvent": 1.3091605390311902, "realized_annual_volatility_pct": 55.83434912625883, "trading_costs_quote_units": 159.84692924422782, "borrowing_costs_quote_units": 690.0261085201557, "price_pnl_quote_units": -1409.917462983131, "turnover_quote_units": 53282.309748075946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7740.209499252495, "return_pct": -22.59790500747505, "cagr_pct": -22.620545639437967, "max_drawdown_pct": 47.261091725007766, "mean_exposure_while_solvent": 1.3091605390311902, "realized_annual_volatility_pct": 55.83434912625883, "trading_costs_quote_units": 159.84692924422782, "borrowing_costs_quote_units": 690.0261085201557, "price_pnl_quote_units": -1409.917462983131, "turnover_quote_units": 53282.309748075946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9305.163533498628, "return_pct": -6.948364665013729, "cagr_pct": -6.956017584623375, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9920199586890243, "realized_annual_volatility_pct": 43.88211932574812, "trading_costs_quote_units": 40.60276340255963, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -654.2337030988152, "turnover_quote_units": 13534.254467519879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9305.163533498628, "return_pct": -6.948364665013729, "cagr_pct": -6.956017584623375, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9920199586890243, "realized_annual_volatility_pct": 43.88211932574812, "trading_costs_quote_units": 40.60276340255963, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -654.2337030988152, "turnover_quote_units": 13534.254467519879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7740.209499252495, "return_pct": -22.59790500747505, "cagr_pct": -22.620545639437967, "max_drawdown_pct": 47.261091725007766, "mean_exposure_while_solvent": 1.3091605390311902, "realized_annual_volatility_pct": 55.83434912625883, "trading_costs_quote_units": 159.84692924422782, "borrowing_costs_quote_units": 690.0261085201557, "price_pnl_quote_units": -1409.917462983131, "turnover_quote_units": 53282.309748075946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7740.209499252495, "return_pct": -22.59790500747505, "cagr_pct": -22.620545639437967, "max_drawdown_pct": 47.261091725007766, "mean_exposure_while_solvent": 1.3091605390311902, "realized_annual_volatility_pct": 55.83434912625883, "trading_costs_quote_units": 159.84692924422782, "borrowing_costs_quote_units": 690.0261085201557, "price_pnl_quote_units": -1409.917462983131, "turnover_quote_units": 53282.309748075946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7740.209499252495, "return_pct": -22.59790500747505, "cagr_pct": -22.620545639437967, "max_drawdown_pct": 47.261091725007766, "mean_exposure_while_solvent": 1.3091605390311902, "realized_annual_volatility_pct": 55.83434912625883, "trading_costs_quote_units": 159.84692924422782, "borrowing_costs_quote_units": 690.0261085201557, "price_pnl_quote_units": -1409.917462983131, "turnover_quote_units": 53282.309748075946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7740.209499252495, "return_pct": -22.59790500747505, "cagr_pct": -22.620545639437967, "max_drawdown_pct": 47.261091725007766, "mean_exposure_while_solvent": 1.3091605390311902, "realized_annual_volatility_pct": 55.83434912625883, "trading_costs_quote_units": 159.84692924422782, "borrowing_costs_quote_units": 690.0261085201557, "price_pnl_quote_units": -1409.917462983131, "turnover_quote_units": 53282.309748075946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9620.45100735376, "return_pct": -3.795489926462392, "cagr_pct": -3.799741239822505, "max_drawdown_pct": 26.911148473876178, "mean_exposure_while_solvent": 0.7496317082954693, "realized_annual_volatility_pct": 33.143095241594004, "trading_costs_quote_units": 56.213689568507455, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -323.3353030777353, "turnover_quote_units": 18737.896522835825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9620.45100735376, "return_pct": -3.795489926462392, "cagr_pct": -3.799741239822505, "max_drawdown_pct": 26.911148473876178, "mean_exposure_while_solvent": 0.7496317082954693, "realized_annual_volatility_pct": 33.143095241594004, "trading_costs_quote_units": 56.213689568507455, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -323.3353030777353, "turnover_quote_units": 18737.896522835825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9327.736703939763, "return_pct": -6.72263296060237, "cagr_pct": -6.730046351357588, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 44.1922541268662, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -642.3530268678131, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9327.736703939763, "return_pct": -6.72263296060237, "cagr_pct": -6.730046351357588, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9995433789954338, "realized_annual_volatility_pct": 44.1922541268662, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -642.3530268678131, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8434.109381453163, "return_pct": -15.658906185468368, "cagr_pct": -15.67530862180074, "max_drawdown_pct": 41.62182636370109, "mean_exposure_while_solvent": 1.2495754543124904, "realized_annual_volatility_pct": 55.258588847699606, "trading_costs_quote_units": 92.68285647321595, "borrowing_costs_quote_units": 528.1376329533755, "price_pnl_quote_units": -945.0701291202276, "turnover_quote_units": 30894.285491071987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8434.109381453163, "return_pct": -15.658906185468368, "cagr_pct": -15.67530862180074, "max_drawdown_pct": 41.62182636370109, "mean_exposure_while_solvent": 1.2495754543124904, "realized_annual_volatility_pct": 55.258588847699606, "trading_costs_quote_units": 92.68285647321595, "borrowing_costs_quote_units": 528.1376329533755, "price_pnl_quote_units": -945.0701291202276, "turnover_quote_units": 30894.285491071987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7523.86317906841, "return_pct": -24.761368209315894, "cagr_pct": -24.78581123949423, "max_drawdown_pct": 48.194721495995616, "mean_exposure_while_solvent": 1.4997044269922906, "realized_annual_volatility_pct": 66.34069291994435, "trading_costs_quote_units": 173.44858632769362, "borrowing_costs_quote_units": 1026.0687406065563, "price_pnl_quote_units": -1276.6194939973407, "turnover_quote_units": 57816.19544256458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7523.86317906841, "return_pct": -24.761368209315894, "cagr_pct": -24.78581123949423, "max_drawdown_pct": 48.194721495995616, "mean_exposure_while_solvent": 1.4997044269922906, "realized_annual_volatility_pct": 66.34069291994435, "trading_costs_quote_units": 173.44858632769362, "borrowing_costs_quote_units": 1026.0687406065563, "price_pnl_quote_units": -1276.6194939973407, "turnover_quote_units": 57816.19544256458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8918.584751042396, "return_pct": -10.814152489576045, "cagr_pct": -10.825809020758204, "max_drawdown_pct": 36.41804333555982, "mean_exposure_while_solvent": 0.9868320443935368, "realized_annual_volatility_pct": 41.09851250719651, "trading_costs_quote_units": 239.6362069646733, "borrowing_costs_quote_units": 66.05427367352401, "price_pnl_quote_units": -775.724768319427, "turnover_quote_units": 79878.73565489109, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8918.584751042396, "return_pct": -10.814152489576045, "cagr_pct": -10.825809020758204, "max_drawdown_pct": 36.41804333555982, "mean_exposure_while_solvent": 0.9868320443935368, "realized_annual_volatility_pct": 41.09851250719651, "trading_costs_quote_units": 239.6362069646733, "borrowing_costs_quote_units": 66.05427367352401, "price_pnl_quote_units": -775.724768319427, "turnover_quote_units": 79878.73565489109, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8183.399622189916, "return_pct": -18.166003778100837, "cagr_pct": -18.184738349824553, "max_drawdown_pct": 45.02333965648007, "mean_exposure_while_solvent": 1.31018057947068, "realized_annual_volatility_pct": 55.98693681786578, "trading_costs_quote_units": 214.82373507734215, "borrowing_costs_quote_units": 177.41022376257936, "price_pnl_quote_units": -1424.3664189701622, "turnover_quote_units": 71607.91169244748, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8183.399622189916, "return_pct": -18.166003778100837, "cagr_pct": -18.184738349824553, "max_drawdown_pct": 45.02333965648007, "mean_exposure_while_solvent": 1.31018057947068, "realized_annual_volatility_pct": 55.98693681786578, "trading_costs_quote_units": 214.82373507734215, "borrowing_costs_quote_units": 177.41022376257936, "price_pnl_quote_units": -1424.3664189701622, "turnover_quote_units": 71607.91169244748, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8071.651497820192, "return_pct": -19.283485021798075, "cagr_pct": -19.303230956594344, "max_drawdown_pct": 47.903509552170235, "mean_exposure_while_solvent": 1.4678134513691097, "realized_annual_volatility_pct": 64.95111354834461, "trading_costs_quote_units": 189.7389466592095, "borrowing_costs_quote_units": 251.79984940557102, "price_pnl_quote_units": -1486.8097061150363, "turnover_quote_units": 63246.31555306978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8071.651497820192, "return_pct": -19.283485021798075, "cagr_pct": -19.303230956594344, "max_drawdown_pct": 47.903509552170235, "mean_exposure_while_solvent": 1.4678134513691097, "realized_annual_volatility_pct": 64.95111354834461, "trading_costs_quote_units": 189.7389466592095, "borrowing_costs_quote_units": 251.79984940557102, "price_pnl_quote_units": -1486.8097061150363, "turnover_quote_units": 63246.31555306978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8083.437605007195, "return_pct": -19.165623949928047, "cagr_pct": -19.1852640459961, "max_drawdown_pct": 44.75847140893106, "mean_exposure_while_solvent": 1.335745042234887, "realized_annual_volatility_pct": 56.54025672993045, "trading_costs_quote_units": 309.38461577365007, "borrowing_costs_quote_units": 192.1916879015539, "price_pnl_quote_units": -1414.9860913176076, "turnover_quote_units": 103128.20525788351, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8083.437605007195, "return_pct": -19.165623949928047, "cagr_pct": -19.1852640459961, "max_drawdown_pct": 44.75847140893106, "mean_exposure_while_solvent": 1.335745042234887, "realized_annual_volatility_pct": 56.54025672993045, "trading_costs_quote_units": 309.38461577365007, "borrowing_costs_quote_units": 192.1916879015539, "price_pnl_quote_units": -1414.9860913176076, "turnover_quote_units": 103128.20525788351, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8051.4893773552685, "return_pct": -19.485106226447314, "cagr_pct": -19.50503275993264, "max_drawdown_pct": 47.07084045879738, "mean_exposure_while_solvent": 1.3080624368813831, "realized_annual_volatility_pct": 55.88360355056709, "trading_costs_quote_units": 159.05139123369827, "borrowing_costs_quote_units": 175.68366363783144, "price_pnl_quote_units": -1613.7755677732143, "turnover_quote_units": 53017.13041123277, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8051.4893773552685, "return_pct": -19.485106226447314, "cagr_pct": -19.50503275993264, "max_drawdown_pct": 47.07084045879738, "mean_exposure_while_solvent": 1.3080624368813831, "realized_annual_volatility_pct": 55.88360355056709, "trading_costs_quote_units": 159.05139123369827, "borrowing_costs_quote_units": 175.68366363783144, "price_pnl_quote_units": -1613.7755677732143, "turnover_quote_units": 53017.13041123277, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9264.931096317448, "return_pct": -7.3506890368255196, "cagr_pct": -7.358767318353694, "max_drawdown_pct": 34.36797035279493, "mean_exposure_while_solvent": 0.9910958296345229, "realized_annual_volatility_pct": 43.875195711416595, "trading_costs_quote_units": 40.74860988670678, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -694.3202937958456, "turnover_quote_units": 13582.869962235594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9264.931096317448, "return_pct": -7.3506890368255196, "cagr_pct": -7.358767318353694, "max_drawdown_pct": 34.36797035279493, "mean_exposure_while_solvent": 0.9910958296345229, "realized_annual_volatility_pct": 43.875195711416595, "trading_costs_quote_units": 40.74860988670678, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -694.3202937958456, "turnover_quote_units": 13582.869962235594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8051.4893773552685, "return_pct": -19.485106226447314, "cagr_pct": -19.50503275993264, "max_drawdown_pct": 47.07084045879738, "mean_exposure_while_solvent": 1.3080624368813831, "realized_annual_volatility_pct": 55.88360355056709, "trading_costs_quote_units": 159.05139123369827, "borrowing_costs_quote_units": 175.68366363783144, "price_pnl_quote_units": -1613.7755677732143, "turnover_quote_units": 53017.13041123277, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8051.4893773552685, "return_pct": -19.485106226447314, "cagr_pct": -19.50503275993264, "max_drawdown_pct": 47.07084045879738, "mean_exposure_while_solvent": 1.3080624368813831, "realized_annual_volatility_pct": 55.88360355056709, "trading_costs_quote_units": 159.05139123369827, "borrowing_costs_quote_units": 175.68366363783144, "price_pnl_quote_units": -1613.7755677732143, "turnover_quote_units": 53017.13041123277, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8051.4893773552685, "return_pct": -19.485106226447314, "cagr_pct": -19.50503275993264, "max_drawdown_pct": 47.07084045879738, "mean_exposure_while_solvent": 1.3080624368813831, "realized_annual_volatility_pct": 55.88360355056709, "trading_costs_quote_units": 159.05139123369827, "borrowing_costs_quote_units": 175.68366363783144, "price_pnl_quote_units": -1613.7755677732143, "turnover_quote_units": 53017.13041123277, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8051.4893773552685, "return_pct": -19.485106226447314, "cagr_pct": -19.50503275993264, "max_drawdown_pct": 47.07084045879738, "mean_exposure_while_solvent": 1.3080624368813831, "realized_annual_volatility_pct": 55.88360355056709, "trading_costs_quote_units": 159.05139123369827, "borrowing_costs_quote_units": 175.68366363783144, "price_pnl_quote_units": -1613.7755677732143, "turnover_quote_units": 53017.13041123277, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9570.279276432513, "return_pct": -4.297207235674872, "cagr_pct": -4.302007852565929, "max_drawdown_pct": 26.8503369651535, "mean_exposure_while_solvent": 0.7488669268981974, "realized_annual_volatility_pct": 33.09959446674729, "trading_costs_quote_units": 55.42796914763165, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -374.29275441984794, "turnover_quote_units": 18475.989715877193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9570.279276432513, "return_pct": -4.297207235674872, "cagr_pct": -4.302007852565929, "max_drawdown_pct": 26.8503369651535, "mean_exposure_while_solvent": 0.7488669268981974, "realized_annual_volatility_pct": 33.09959446674729, "trading_costs_quote_units": 55.42796914763165, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -374.29275441984794, "turnover_quote_units": 18475.989715877193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9253.769057127347, "return_pct": -7.462309428726533, "cagr_pct": -7.470505368576514, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 44.17890583612634, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -716.3206736802333, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9253.769057127347, "return_pct": -7.462309428726533, "cagr_pct": -7.470505368576514, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 44.17890583612634, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -716.3206736802333, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8659.438534470966, "return_pct": -13.405614655290332, "cagr_pct": -13.419848273816607, "max_drawdown_pct": 41.43702298629612, "mean_exposure_while_solvent": 1.2485276974965573, "realized_annual_volatility_pct": 55.28827167860288, "trading_costs_quote_units": 92.08864784513123, "borrowing_costs_quote_units": 133.1163146178256, "price_pnl_quote_units": -1115.356503066086, "turnover_quote_units": 30696.215948377037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8659.438534470966, "return_pct": -13.405614655290332, "cagr_pct": -13.419848273816607, "max_drawdown_pct": 41.43702298629612, "mean_exposure_while_solvent": 1.2485276974965573, "realized_annual_volatility_pct": 55.28827167860288, "trading_costs_quote_units": 92.08864784513123, "borrowing_costs_quote_units": 133.1163146178256, "price_pnl_quote_units": -1115.356503066086, "turnover_quote_units": 30696.215948377037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7989.959177123934, "return_pct": -20.100408228760656, "cagr_pct": -20.12088233401468, "max_drawdown_pct": 47.90350955217024, "mean_exposure_while_solvent": 1.4985772436116083, "realized_annual_volatility_pct": 66.43389197837118, "trading_costs_quote_units": 174.0493324370277, "borrowing_costs_quote_units": 262.8760261779357, "price_pnl_quote_units": -1573.1154642610752, "turnover_quote_units": 58016.444145675894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7989.959177123934, "return_pct": -20.100408228760656, "cagr_pct": -20.12088233401468, "max_drawdown_pct": 47.90350955217024, "mean_exposure_while_solvent": 1.4985772436116083, "realized_annual_volatility_pct": 66.43389197837118, "trading_costs_quote_units": 174.0493324370277, "borrowing_costs_quote_units": 262.8760261779357, "price_pnl_quote_units": -1573.1154642610752, "turnover_quote_units": 58016.444145675894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8868.085431973592, "return_pct": -11.319145680264086, "cagr_pct": -11.331311235822568, "max_drawdown_pct": 36.45275089350272, "mean_exposure_while_solvent": 0.9868405429687958, "realized_annual_volatility_pct": 41.09888408577259, "trading_costs_quote_units": 239.13200853918613, "borrowing_costs_quote_units": 131.73979737651095, "price_pnl_quote_units": -761.0427621107169, "turnover_quote_units": 79710.66951306205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8868.085431973592, "return_pct": -11.319145680264086, "cagr_pct": -11.331311235822568, "max_drawdown_pct": 36.45275089350272, "mean_exposure_while_solvent": 0.9868405429687958, "realized_annual_volatility_pct": 41.09888408577259, "trading_costs_quote_units": 239.13200853918613, "borrowing_costs_quote_units": 131.73979737651095, "price_pnl_quote_units": -761.0427621107169, "turnover_quote_units": 79710.66951306205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8053.990647541214, "return_pct": -19.46009352458786, "cagr_pct": -19.479997684708977, "max_drawdown_pct": 45.16370806617546, "mean_exposure_while_solvent": 1.3102065957716937, "realized_annual_volatility_pct": 55.98828008897707, "trading_costs_quote_units": 213.6524646689141, "borrowing_costs_quote_units": 352.03945353566337, "price_pnl_quote_units": -1380.3174342542284, "turnover_quote_units": 71217.48822297138, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8053.990647541214, "return_pct": -19.46009352458786, "cagr_pct": -19.479997684708977, "max_drawdown_pct": 45.16370806617546, "mean_exposure_while_solvent": 1.3102065957716937, "realized_annual_volatility_pct": 55.98828008897707, "trading_costs_quote_units": 213.6524646689141, "borrowing_costs_quote_units": 352.03945353566337, "price_pnl_quote_units": -1380.3174342542284, "turnover_quote_units": 71217.48822297138, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7884.696242136465, "return_pct": -21.15303757863535, "cagr_pct": -21.174435861340825, "max_drawdown_pct": 48.0687638447089, "mean_exposure_while_solvent": 1.4678531457070272, "realized_annual_volatility_pct": 64.95314384725675, "trading_costs_quote_units": 188.26669673095108, "borrowing_costs_quote_units": 497.7513340846655, "price_pnl_quote_units": -1429.2857270479303, "turnover_quote_units": 62755.56557698375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7884.696242136465, "return_pct": -21.15303757863535, "cagr_pct": -21.174435861340825, "max_drawdown_pct": 48.0687638447089, "mean_exposure_while_solvent": 1.4678531457070272, "realized_annual_volatility_pct": 64.95314384725675, "trading_costs_quote_units": 188.26669673095108, "borrowing_costs_quote_units": 497.7513340846655, "price_pnl_quote_units": -1429.2857270479303, "turnover_quote_units": 62755.56557698375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7941.845463595266, "return_pct": -20.581545364047336, "cagr_pct": -20.60244387305416, "max_drawdown_pct": 44.88445913376684, "mean_exposure_while_solvent": 1.3357743505309865, "realized_annual_volatility_pct": 56.5418201009257, "trading_costs_quote_units": 307.2375775395346, "borrowing_costs_quote_units": 380.996069292599, "price_pnl_quote_units": -1369.9208895725899, "turnover_quote_units": 102412.52584651153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7941.845463595266, "return_pct": -20.581545364047336, "cagr_pct": -20.60244387305416, "max_drawdown_pct": 44.88445913376684, "mean_exposure_while_solvent": 1.3357743505309865, "realized_annual_volatility_pct": 56.5418201009257, "trading_costs_quote_units": 307.2375775395346, "borrowing_costs_quote_units": 380.996069292599, "price_pnl_quote_units": -1369.9208895725899, "turnover_quote_units": 102412.52584651153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7926.968351280919, "return_pct": -20.730316487190812, "cagr_pct": -20.75134555147617, "max_drawdown_pct": 47.23549293707152, "mean_exposure_while_solvent": 1.3080878893904293, "realized_annual_volatility_pct": 55.88503292712367, "trading_costs_quote_units": 158.2587415971928, "borrowing_costs_quote_units": 348.72608179533967, "price_pnl_quote_units": -1566.0468253265283, "turnover_quote_units": 52752.913865730916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7926.968351280919, "return_pct": -20.730316487190812, "cagr_pct": -20.75134555147617, "max_drawdown_pct": 47.23549293707152, "mean_exposure_while_solvent": 1.3080878893904293, "realized_annual_volatility_pct": 55.88503292712367, "trading_costs_quote_units": 158.2587415971928, "borrowing_costs_quote_units": 348.72608179533967, "price_pnl_quote_units": -1566.0468253265283, "turnover_quote_units": 52752.913865730916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9264.931096317448, "return_pct": -7.3506890368255196, "cagr_pct": -7.358767318353694, "max_drawdown_pct": 34.36797035279493, "mean_exposure_while_solvent": 0.9910958296345229, "realized_annual_volatility_pct": 43.875195711416595, "trading_costs_quote_units": 40.74860988670678, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -694.3202937958456, "turnover_quote_units": 13582.869962235594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9264.931096317448, "return_pct": -7.3506890368255196, "cagr_pct": -7.358767318353694, "max_drawdown_pct": 34.36797035279493, "mean_exposure_while_solvent": 0.9910958296345229, "realized_annual_volatility_pct": 43.875195711416595, "trading_costs_quote_units": 40.74860988670678, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -694.3202937958456, "turnover_quote_units": 13582.869962235594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7926.968351280919, "return_pct": -20.730316487190812, "cagr_pct": -20.75134555147617, "max_drawdown_pct": 47.23549293707152, "mean_exposure_while_solvent": 1.3080878893904293, "realized_annual_volatility_pct": 55.88503292712367, "trading_costs_quote_units": 158.2587415971928, "borrowing_costs_quote_units": 348.72608179533967, "price_pnl_quote_units": -1566.0468253265283, "turnover_quote_units": 52752.913865730916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7926.968351280919, "return_pct": -20.730316487190812, "cagr_pct": -20.75134555147617, "max_drawdown_pct": 47.23549293707152, "mean_exposure_while_solvent": 1.3080878893904293, "realized_annual_volatility_pct": 55.88503292712367, "trading_costs_quote_units": 158.2587415971928, "borrowing_costs_quote_units": 348.72608179533967, "price_pnl_quote_units": -1566.0468253265283, "turnover_quote_units": 52752.913865730916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7926.968351280919, "return_pct": -20.730316487190812, "cagr_pct": -20.75134555147617, "max_drawdown_pct": 47.23549293707152, "mean_exposure_while_solvent": 1.3080878893904293, "realized_annual_volatility_pct": 55.88503292712367, "trading_costs_quote_units": 158.2587415971928, "borrowing_costs_quote_units": 348.72608179533967, "price_pnl_quote_units": -1566.0468253265283, "turnover_quote_units": 52752.913865730916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7926.968351280919, "return_pct": -20.730316487190812, "cagr_pct": -20.75134555147617, "max_drawdown_pct": 47.23549293707152, "mean_exposure_while_solvent": 1.3080878893904293, "realized_annual_volatility_pct": 55.88503292712367, "trading_costs_quote_units": 158.2587415971928, "borrowing_costs_quote_units": 348.72608179533967, "price_pnl_quote_units": -1566.0468253265283, "turnover_quote_units": 52752.913865730916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9570.279276432513, "return_pct": -4.297207235674872, "cagr_pct": -4.302007852565929, "max_drawdown_pct": 26.8503369651535, "mean_exposure_while_solvent": 0.7488669268981974, "realized_annual_volatility_pct": 33.09959446674729, "trading_costs_quote_units": 55.42796914763165, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -374.29275441984794, "turnover_quote_units": 18475.989715877193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9570.279276432513, "return_pct": -4.297207235674872, "cagr_pct": -4.302007852565929, "max_drawdown_pct": 26.8503369651535, "mean_exposure_while_solvent": 0.7488669268981974, "realized_annual_volatility_pct": 33.09959446674729, "trading_costs_quote_units": 55.42796914763165, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -374.29275441984794, "turnover_quote_units": 18475.989715877193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9253.769057127347, "return_pct": -7.462309428726533, "cagr_pct": -7.470505368576514, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 44.17890583612634, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -716.3206736802333, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9253.769057127347, "return_pct": -7.462309428726533, "cagr_pct": -7.470505368576514, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 44.17890583612634, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -716.3206736802333, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8552.042769631485, "return_pct": -14.47957230368514, "cagr_pct": -14.494848087128656, "max_drawdown_pct": 41.529697657291386, "mean_exposure_while_solvent": 1.248545504873751, "realized_annual_volatility_pct": 55.289183428027854, "trading_costs_quote_units": 91.75231242123421, "borrowing_costs_quote_units": 264.5713777446507, "price_pnl_quote_units": -1091.6335402026336, "turnover_quote_units": 30584.104140411408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8552.042769631485, "return_pct": -14.47957230368514, "cagr_pct": -14.494848087128656, "max_drawdown_pct": 41.529697657291386, "mean_exposure_while_solvent": 1.248545504873751, "realized_annual_volatility_pct": 55.289183428027854, "trading_costs_quote_units": 91.75231242123421, "borrowing_costs_quote_units": 264.5713777446507, "price_pnl_quote_units": -1091.6335402026336, "turnover_quote_units": 30584.104140411408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7792.920755795224, "return_pct": -22.07079244204776, "cagr_pct": -22.09298338556498, "max_drawdown_pct": 48.06876384470892, "mean_exposure_while_solvent": 1.4986200195526898, "realized_annual_volatility_pct": 66.43609649058631, "trading_costs_quote_units": 172.5118366903704, "borrowing_costs_quote_units": 519.2090435239389, "price_pnl_quote_units": -1515.358363990469, "turnover_quote_units": 57503.94556345691, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7792.920755795224, "return_pct": -22.07079244204776, "cagr_pct": -22.09298338556498, "max_drawdown_pct": 48.06876384470892, "mean_exposure_while_solvent": 1.4986200195526898, "realized_annual_volatility_pct": 66.43609649058631, "trading_costs_quote_units": 172.5118366903704, "borrowing_costs_quote_units": 519.2090435239389, "price_pnl_quote_units": -1515.358363990469, "turnover_quote_units": 57503.94556345691, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8767.919229639367, "return_pct": -12.320807703606329, "cagr_pct": -12.333973171216012, "max_drawdown_pct": 36.522126898815756, "mean_exposure_while_solvent": 0.9868575430472468, "realized_annual_volatility_pct": 41.099645897485345, "trading_costs_quote_units": 238.13046943149828, "borrowing_costs_quote_units": 262.0124916221849, "price_pnl_quote_units": -731.937809306933, "turnover_quote_units": 79376.82314383275, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8767.919229639367, "return_pct": -12.320807703606329, "cagr_pct": -12.333973171216012, "max_drawdown_pct": 36.522126898815756, "mean_exposure_while_solvent": 0.9868575430472468, "realized_annual_volatility_pct": 41.099645897485345, "trading_costs_quote_units": 238.13046943149828, "borrowing_costs_quote_units": 262.0124916221849, "price_pnl_quote_units": -731.937809306933, "turnover_quote_units": 79376.82314383275, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7801.206155150858, "return_pct": -21.987938448491416, "cagr_pct": -22.01005833654799, "max_drawdown_pct": 45.443443269144964, "mean_exposure_while_solvent": 1.3102586388803972, "realized_annual_volatility_pct": 55.990988124713816, "trading_costs_quote_units": 211.3634057953845, "borrowing_costs_quote_units": 693.1221825314221, "price_pnl_quote_units": -1294.3082565223337, "turnover_quote_units": 70454.4685984615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7801.206155150858, "return_pct": -21.987938448491416, "cagr_pct": -22.01005833654799, "max_drawdown_pct": 45.443443269144964, "mean_exposure_while_solvent": 1.3102586388803972, "realized_annual_volatility_pct": 55.990988124713816, "trading_costs_quote_units": 211.3634057953845, "borrowing_costs_quote_units": 693.1221825314221, "price_pnl_quote_units": -1294.3082565223337, "turnover_quote_units": 70454.4685984615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7523.569339811217, "return_pct": -24.76430660188783, "cagr_pct": -24.78875203216655, "max_drawdown_pct": 48.39779238345637, "mean_exposure_while_solvent": 1.4679325513183124, "realized_annual_volatility_pct": 64.95720887253901, "trading_costs_quote_units": 185.40345572086878, "borrowing_costs_quote_units": 972.6301081375567, "price_pnl_quote_units": -1318.397096330345, "turnover_quote_units": 61801.15190695628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7523.569339811217, "return_pct": -24.76430660188783, "cagr_pct": -24.78875203216655, "max_drawdown_pct": 48.39779238345637, "mean_exposure_while_solvent": 1.4679325513183124, "realized_annual_volatility_pct": 64.95720887253901, "trading_costs_quote_units": 185.40345572086878, "borrowing_costs_quote_units": 972.6301081375567, "price_pnl_quote_units": -1318.397096330345, "turnover_quote_units": 61801.15190695628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7665.976051147903, "return_pct": -23.340239488520975, "cagr_pct": -23.36350645361781, "max_drawdown_pct": 45.13563735432522, "mean_exposure_while_solvent": 1.3358329792316563, "realized_annual_volatility_pct": 56.54496769679444, "trading_costs_quote_units": 303.0439427245738, "borrowing_costs_quote_units": 748.6708061148623, "price_pnl_quote_units": -1282.3092000126696, "turnover_quote_units": 101014.64757485807, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7665.976051147903, "return_pct": -23.340239488520975, "cagr_pct": -23.36350645361781, "max_drawdown_pct": 45.13563735432522, "mean_exposure_while_solvent": 1.3358329792316563, "realized_annual_volatility_pct": 56.54496769679444, "trading_costs_quote_units": 303.0439427245738, "borrowing_costs_quote_units": 748.6708061148623, "price_pnl_quote_units": -1282.3092000126696, "turnover_quote_units": 101014.64757485807, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7683.602918974141, "return_pct": -23.163970810258583, "cagr_pct": -23.18708979233569, "max_drawdown_pct": 47.563352833915474, "mean_exposure_while_solvent": 1.3081388046896458, "realized_annual_volatility_pct": 55.887914210315095, "trading_costs_quote_units": 156.7094065645725, "borrowing_costs_quote_units": 687.0404545679978, "price_pnl_quote_units": -1472.6472198932925, "turnover_quote_units": 52236.468854857485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7683.602918974141, "return_pct": -23.163970810258583, "cagr_pct": -23.18708979233569, "max_drawdown_pct": 47.563352833915474, "mean_exposure_while_solvent": 1.3081388046896458, "realized_annual_volatility_pct": 55.887914210315095, "trading_costs_quote_units": 156.7094065645725, "borrowing_costs_quote_units": 687.0404545679978, "price_pnl_quote_units": -1472.6472198932925, "turnover_quote_units": 52236.468854857485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9264.931096317448, "return_pct": -7.3506890368255196, "cagr_pct": -7.358767318353694, "max_drawdown_pct": 34.36797035279493, "mean_exposure_while_solvent": 0.9910958296345229, "realized_annual_volatility_pct": 43.875195711416595, "trading_costs_quote_units": 40.74860988670678, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -694.3202937958456, "turnover_quote_units": 13582.869962235594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9264.931096317448, "return_pct": -7.3506890368255196, "cagr_pct": -7.358767318353694, "max_drawdown_pct": 34.36797035279493, "mean_exposure_while_solvent": 0.9910958296345229, "realized_annual_volatility_pct": 43.875195711416595, "trading_costs_quote_units": 40.74860988670678, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -694.3202937958456, "turnover_quote_units": 13582.869962235594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 31, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7683.602918974141, "return_pct": -23.163970810258583, "cagr_pct": -23.18708979233569, "max_drawdown_pct": 47.563352833915474, "mean_exposure_while_solvent": 1.3081388046896458, "realized_annual_volatility_pct": 55.887914210315095, "trading_costs_quote_units": 156.7094065645725, "borrowing_costs_quote_units": 687.0404545679978, "price_pnl_quote_units": -1472.6472198932925, "turnover_quote_units": 52236.468854857485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7683.602918974141, "return_pct": -23.163970810258583, "cagr_pct": -23.18708979233569, "max_drawdown_pct": 47.563352833915474, "mean_exposure_while_solvent": 1.3081388046896458, "realized_annual_volatility_pct": 55.887914210315095, "trading_costs_quote_units": 156.7094065645725, "borrowing_costs_quote_units": 687.0404545679978, "price_pnl_quote_units": -1472.6472198932925, "turnover_quote_units": 52236.468854857485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7683.602918974141, "return_pct": -23.163970810258583, "cagr_pct": -23.18708979233569, "max_drawdown_pct": 47.563352833915474, "mean_exposure_while_solvent": 1.3081388046896458, "realized_annual_volatility_pct": 55.887914210315095, "trading_costs_quote_units": 156.7094065645725, "borrowing_costs_quote_units": 687.0404545679978, "price_pnl_quote_units": -1472.6472198932925, "turnover_quote_units": 52236.468854857485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7683.602918974141, "return_pct": -23.163970810258583, "cagr_pct": -23.18708979233569, "max_drawdown_pct": 47.563352833915474, "mean_exposure_while_solvent": 1.3081388046896458, "realized_annual_volatility_pct": 55.887914210315095, "trading_costs_quote_units": 156.7094065645725, "borrowing_costs_quote_units": 687.0404545679978, "price_pnl_quote_units": -1472.6472198932925, "turnover_quote_units": 52236.468854857485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9570.279276432513, "return_pct": -4.297207235674872, "cagr_pct": -4.302007852565929, "max_drawdown_pct": 26.8503369651535, "mean_exposure_while_solvent": 0.7488669268981974, "realized_annual_volatility_pct": 33.09959446674729, "trading_costs_quote_units": 55.42796914763165, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -374.29275441984794, "turnover_quote_units": 18475.989715877193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9570.279276432513, "return_pct": -4.297207235674872, "cagr_pct": -4.302007852565929, "max_drawdown_pct": 26.8503369651535, "mean_exposure_while_solvent": 0.7488669268981974, "realized_annual_volatility_pct": 33.09959446674729, "trading_costs_quote_units": 55.42796914763165, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -374.29275441984794, "turnover_quote_units": 18475.989715877193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9253.769057127347, "return_pct": -7.462309428726533, "cagr_pct": -7.470505368576514, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 44.17890583612634, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -716.3206736802333, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9253.769057127347, "return_pct": -7.462309428726533, "cagr_pct": -7.470505368576514, "max_drawdown_pct": 34.36797035279494, "mean_exposure_while_solvent": 0.9986301369863013, "realized_annual_volatility_pct": 44.17890583612634, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -716.3206736802333, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8341.175745793727, "return_pct": -16.588242542062726, "cagr_pct": -16.605519533322738, "max_drawdown_pct": 41.71464870198554, "mean_exposure_while_solvent": 1.2485811251137207, "realized_annual_volatility_pct": 55.29100635120422, "trading_costs_quote_units": 91.0989104902633, "borrowing_costs_quote_units": 522.5770331418903, "price_pnl_quote_units": -1045.1483105741074, "turnover_quote_units": 30366.303496754375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8341.175745793727, "return_pct": -16.588242542062726, "cagr_pct": -16.605519533322738, "max_drawdown_pct": 41.71464870198554, "mean_exposure_while_solvent": 1.2485811251137207, "realized_annual_volatility_pct": 55.29100635120422, "trading_costs_quote_units": 91.0989104902633, "borrowing_costs_quote_units": 522.5770331418903, "price_pnl_quote_units": -1045.1483105741074, "turnover_quote_units": 30366.303496754375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7413.181910885044, "return_pct": -25.86818089114956, "cagr_pct": -25.893518647536297, "max_drawdown_pct": 48.39779238345629, "mean_exposure_while_solvent": 1.4987055900007478, "realized_annual_volatility_pct": 66.4405045690771, "trading_costs_quote_units": 169.5377788787497, "borrowing_costs_quote_units": 1012.8702429813314, "price_pnl_quote_units": -1404.4100672549073, "turnover_quote_units": 56512.59295958317, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7413.181910885044, "return_pct": -25.86818089114956, "cagr_pct": -25.893518647536297, "max_drawdown_pct": 48.39779238345629, "mean_exposure_while_solvent": 1.4987055900007478, "realized_annual_volatility_pct": 66.4405045690771, "trading_costs_quote_units": 169.5377788787497, "borrowing_costs_quote_units": 1012.8702429813314, "price_pnl_quote_units": -1404.4100672549073, "turnover_quote_units": 56512.59295958317, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 365, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8381.92471462888, "return_pct": -16.1807528537112, "cagr_pct": -42.40914143192844, "max_drawdown_pct": 38.24275497627371, "mean_exposure_while_solvent": 0.8988082689617691, "realized_annual_volatility_pct": 42.06614784367622, "trading_costs_quote_units": 17.14113411887074, "borrowing_costs_quote_units": 6.302805384189808, "price_pnl_quote_units": -1594.631345868055, "turnover_quote_units": 28568.556864784558, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8381.92471462888, "return_pct": -16.1807528537112, "cagr_pct": -42.40914143192844, "max_drawdown_pct": 38.24275497627371, "mean_exposure_while_solvent": 0.8988082689617691, "realized_annual_volatility_pct": 42.06614784367622, "trading_costs_quote_units": 17.14113411887074, "borrowing_costs_quote_units": 6.302805384189808, "price_pnl_quote_units": -1594.631345868055, "turnover_quote_units": 28568.556864784558, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8044.198161975935, "return_pct": -19.55801838024065, "cagr_pct": -49.35744030997517, "max_drawdown_pct": 47.98815279158608, "mean_exposure_while_solvent": 1.2900206977347257, "realized_annual_volatility_pct": 60.349234289213214, "trading_costs_quote_units": 18.910536204195747, "borrowing_costs_quote_units": 41.56549243804766, "price_pnl_quote_units": -1895.3258093818129, "turnover_quote_units": 31517.560340326247, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8044.198161975935, "return_pct": -19.55801838024065, "cagr_pct": -49.35744030997517, "max_drawdown_pct": 47.98815279158608, "mean_exposure_while_solvent": 1.2900206977347257, "realized_annual_volatility_pct": 60.349234289213214, "trading_costs_quote_units": 18.910536204195747, "borrowing_costs_quote_units": 41.56549243804766, "price_pnl_quote_units": -1895.3258093818129, "turnover_quote_units": 31517.560340326247, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7931.621596984668, "return_pct": -20.68378403015332, "cagr_pct": -51.540314620726676, "max_drawdown_pct": 48.93522322823311, "mean_exposure_while_solvent": 1.4574242895820788, "realized_annual_volatility_pct": 68.77426017593066, "trading_costs_quote_units": 17.325630940790425, "borrowing_costs_quote_units": 59.248838943945, "price_pnl_quote_units": -1991.8039331305954, "turnover_quote_units": 28876.05156798406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7931.621596984668, "return_pct": -20.68378403015332, "cagr_pct": -51.540314620726676, "max_drawdown_pct": 48.93522322823311, "mean_exposure_while_solvent": 1.4574242895820788, "realized_annual_volatility_pct": 68.77426017593066, "trading_costs_quote_units": 17.325630940790425, "borrowing_costs_quote_units": 59.248838943945, "price_pnl_quote_units": -1991.8039331305954, "turnover_quote_units": 28876.05156798406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8117.764927502133, "return_pct": -18.822350724978666, "cagr_pct": -47.895416485406834, "max_drawdown_pct": 45.17944260508372, "mean_exposure_while_solvent": 1.3084063838104498, "realized_annual_volatility_pct": 60.22451679134767, "trading_costs_quote_units": 26.046717336615238, "borrowing_costs_quote_units": 45.498668549213505, "price_pnl_quote_units": -1810.6896866120508, "turnover_quote_units": 43411.195561025415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8117.764927502133, "return_pct": -18.822350724978666, "cagr_pct": -47.895416485406834, "max_drawdown_pct": 45.17944260508372, "mean_exposure_while_solvent": 1.3084063838104498, "realized_annual_volatility_pct": 60.22451679134767, "trading_costs_quote_units": 26.046717336615238, "borrowing_costs_quote_units": 45.498668549213505, "price_pnl_quote_units": -1810.6896866120508, "turnover_quote_units": 43411.195561025415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7710.459572692898, "return_pct": -22.89540427307102, "cagr_pct": -55.64068021053682, "max_drawdown_pct": 48.014173107498095, "mean_exposure_while_solvent": 1.2552023903829463, "realized_annual_volatility_pct": 61.12816386303196, "trading_costs_quote_units": 15.283742756482985, "borrowing_costs_quote_units": 34.531954693201335, "price_pnl_quote_units": -2239.7247298574334, "turnover_quote_units": 25472.904594138323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7710.459572692898, "return_pct": -22.89540427307102, "cagr_pct": -55.64068021053682, "max_drawdown_pct": 48.014173107498095, "mean_exposure_while_solvent": 1.2552023903829463, "realized_annual_volatility_pct": 61.12816386303196, "trading_costs_quote_units": 15.283742756482985, "borrowing_costs_quote_units": 34.531954693201335, "price_pnl_quote_units": -2239.7247298574334, "turnover_quote_units": 25472.904594138323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8790.869548440593, "return_pct": -12.09130451559407, "cagr_pct": -33.16104899914165, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9933885060074359, "realized_annual_volatility_pct": 47.018426801800906, "trading_costs_quote_units": 6.902240300787672, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1202.2282112586192, "turnover_quote_units": 11503.733834646117, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8790.869548440593, "return_pct": -12.09130451559407, "cagr_pct": -33.16104899914165, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9933885060074359, "realized_annual_volatility_pct": 47.018426801800906, "trading_costs_quote_units": 6.902240300787672, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1202.2282112586192, "turnover_quote_units": 11503.733834646117, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7710.459572692898, "return_pct": -22.89540427307102, "cagr_pct": -55.64068021053682, "max_drawdown_pct": 48.014173107498095, "mean_exposure_while_solvent": 1.2552023903829463, "realized_annual_volatility_pct": 61.12816386303196, "trading_costs_quote_units": 15.283742756482985, "borrowing_costs_quote_units": 34.531954693201335, "price_pnl_quote_units": -2239.7247298574334, "turnover_quote_units": 25472.904594138323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7710.459572692898, "return_pct": -22.89540427307102, "cagr_pct": -55.64068021053682, "max_drawdown_pct": 48.014173107498095, "mean_exposure_while_solvent": 1.2552023903829463, "realized_annual_volatility_pct": 61.12816386303196, "trading_costs_quote_units": 15.283742756482985, "borrowing_costs_quote_units": 34.531954693201335, "price_pnl_quote_units": -2239.7247298574334, "turnover_quote_units": 25472.904594138323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7710.459572692898, "return_pct": -22.89540427307102, "cagr_pct": -55.64068021053682, "max_drawdown_pct": 48.014173107498095, "mean_exposure_while_solvent": 1.2552023903829463, "realized_annual_volatility_pct": 61.12816386303196, "trading_costs_quote_units": 15.283742756482985, "borrowing_costs_quote_units": 34.531954693201335, "price_pnl_quote_units": -2239.7247298574334, "turnover_quote_units": 25472.904594138323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7710.459572692898, "return_pct": -22.89540427307102, "cagr_pct": -55.64068021053682, "max_drawdown_pct": 48.014173107498095, "mean_exposure_while_solvent": 1.2552023903829463, "realized_annual_volatility_pct": 61.12816386303196, "trading_costs_quote_units": 15.283742756482985, "borrowing_costs_quote_units": 34.531954693201335, "price_pnl_quote_units": -2239.7247298574334, "turnover_quote_units": 25472.904594138323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9141.923154592918, "return_pct": -8.58076845407082, "cagr_pct": -24.45708113098297, "max_drawdown_pct": 27.751274344457187, "mean_exposure_while_solvent": 0.7487863884074502, "realized_annual_volatility_pct": 35.49694383089969, "trading_costs_quote_units": 6.643462534664435, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -851.4333828724098, "turnover_quote_units": 11072.437557774047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9141.923154592918, "return_pct": -8.58076845407082, "cagr_pct": -24.45708113098297, "max_drawdown_pct": 27.751274344457187, "mean_exposure_while_solvent": 0.7487863884074502, "realized_annual_volatility_pct": 35.49694383089969, "trading_costs_quote_units": 6.643462534664435, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -851.4333828724098, "turnover_quote_units": 11072.437557774047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8783.438185294905, "return_pct": -12.16561814705095, "cagr_pct": -33.337530575366365, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.39860095848706, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1210.5654125463889, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8783.438185294905, "return_pct": -12.16561814705095, "cagr_pct": -33.337530575366365, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.39860095848706, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1210.5654125463889, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8355.835618008534, "return_pct": -16.441643819914663, "cagr_pct": -42.96768172500008, "max_drawdown_pct": 42.5146800317997, "mean_exposure_while_solvent": 1.2485282235432273, "realized_annual_volatility_pct": 59.348171117613255, "trading_costs_quote_units": 10.759139059855244, "borrowing_costs_quote_units": 33.187716948958034, "price_pnl_quote_units": -1600.2175259826479, "turnover_quote_units": 17931.898433092072, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8355.835618008534, "return_pct": -16.441643819914663, "cagr_pct": -42.96768172500008, "max_drawdown_pct": 42.5146800317997, "mean_exposure_while_solvent": 1.2485282235432273, "realized_annual_volatility_pct": 59.348171117613255, "trading_costs_quote_units": 10.759139059855244, "borrowing_costs_quote_units": 33.187716948958034, "price_pnl_quote_units": -1600.2175259826479, "turnover_quote_units": 17931.898433092072, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7905.725873097616, "return_pct": -20.942741269023834, "cagr_pct": -52.03321814997317, "max_drawdown_pct": 48.93522322823311, "mean_exposure_while_solvent": 1.4986637430996559, "realized_annual_volatility_pct": 71.35240951631391, "trading_costs_quote_units": 16.453487930886322, "borrowing_costs_quote_units": 63.5456650382887, "price_pnl_quote_units": -2014.2749739331923, "turnover_quote_units": 27422.47988481052, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7905.725873097616, "return_pct": -20.942741269023834, "cagr_pct": -52.03321814997317, "max_drawdown_pct": 48.93522322823311, "mean_exposure_while_solvent": 1.4986637430996559, "realized_annual_volatility_pct": 71.35240951631391, "trading_costs_quote_units": 16.453487930886322, "borrowing_costs_quote_units": 63.5456650382887, "price_pnl_quote_units": -2014.2749739331923, "turnover_quote_units": 27422.47988481052, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8376.625430839207, "return_pct": -16.233745691607925, "cagr_pct": -42.52289328967526, "max_drawdown_pct": 38.27787137127622, "mean_exposure_while_solvent": 0.8988110212476599, "realized_annual_volatility_pct": 42.067338985578004, "trading_costs_quote_units": 17.13813203819142, "borrowing_costs_quote_units": 12.602676480272176, "price_pnl_quote_units": -1593.6337606423283, "turnover_quote_units": 28563.5533969857, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8376.625430839207, "return_pct": -16.233745691607925, "cagr_pct": -42.52289328967526, "max_drawdown_pct": 38.27787137127622, "mean_exposure_while_solvent": 0.8988110212476599, "realized_annual_volatility_pct": 42.067338985578004, "trading_costs_quote_units": 17.13813203819142, "borrowing_costs_quote_units": 12.602676480272176, "price_pnl_quote_units": -1593.6337606423283, "turnover_quote_units": 28563.5533969857, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8006.083069916653, "return_pct": -19.93916930083347, "cagr_pct": -50.10382724149627, "max_drawdown_pct": 48.068168423617664, "mean_exposure_while_solvent": 1.2900449497584845, "realized_annual_volatility_pct": 60.35158674347498, "trading_costs_quote_units": 18.884341044857166, "borrowing_costs_quote_units": 82.95781378232266, "price_pnl_quote_units": -1892.074775256158, "turnover_quote_units": 31473.901741428628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8006.083069916653, "return_pct": -19.93916930083347, "cagr_pct": -50.10382724149627, "max_drawdown_pct": 48.068168423617664, "mean_exposure_while_solvent": 1.2900449497584845, "realized_annual_volatility_pct": 60.35158674347498, "trading_costs_quote_units": 18.884341044857166, "borrowing_costs_quote_units": 82.95781378232266, "price_pnl_quote_units": -1892.074775256158, "turnover_quote_units": 31473.901741428628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7873.54803940275, "return_pct": -21.2645196059725, "cagr_pct": -52.640931325085916, "max_drawdown_pct": 49.015027405266146, "mean_exposure_while_solvent": 1.4574628189863859, "realized_annual_volatility_pct": 68.77709948858256, "trading_costs_quote_units": 17.30040556511562, "borrowing_costs_quote_units": 118.10895121687429, "price_pnl_quote_units": -1991.0426038152573, "turnover_quote_units": 28834.00927519269, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7873.54803940275, "return_pct": -21.2645196059725, "cagr_pct": -52.640931325085916, "max_drawdown_pct": 49.015027405266146, "mean_exposure_while_solvent": 1.4574628189863859, "realized_annual_volatility_pct": 68.77709948858256, "trading_costs_quote_units": 17.30040556511562, "borrowing_costs_quote_units": 118.10895121687429, "price_pnl_quote_units": -1991.0426038152573, "turnover_quote_units": 28834.00927519269, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8075.0054798009805, "return_pct": -19.249945201990194, "cagr_pct": -48.74863643341617, "max_drawdown_pct": 45.26274348496732, "mean_exposure_while_solvent": 1.3084337134105504, "realized_annual_volatility_pct": 60.22668832194812, "trading_costs_quote_units": 26.00181245318224, "borrowing_costs_quote_units": 90.78532958482174, "price_pnl_quote_units": -1808.2073781610125, "turnover_quote_units": 43336.35408863708, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8075.0054798009805, "return_pct": -19.249945201990194, "cagr_pct": -48.74863643341617, "max_drawdown_pct": 45.26274348496732, "mean_exposure_while_solvent": 1.3084337134105504, "realized_annual_volatility_pct": 60.22668832194812, "trading_costs_quote_units": 26.00181245318224, "borrowing_costs_quote_units": 90.78532958482174, "price_pnl_quote_units": -1808.2073781610125, "turnover_quote_units": 43336.35408863708, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7678.769611209362, "return_pct": -23.212303887906383, "cagr_pct": -56.20816071012194, "max_drawdown_pct": 48.0900635093808, "mean_exposure_while_solvent": 1.2552218638918282, "realized_annual_volatility_pct": 61.131217419223574, "trading_costs_quote_units": 15.264921402057308, "borrowing_costs_quote_units": 68.94084225913154, "price_pnl_quote_units": -2237.024625129443, "turnover_quote_units": 25441.535670095505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7678.769611209362, "return_pct": -23.212303887906383, "cagr_pct": -56.20816071012194, "max_drawdown_pct": 48.0900635093808, "mean_exposure_while_solvent": 1.2552218638918282, "realized_annual_volatility_pct": 61.131217419223574, "trading_costs_quote_units": 15.264921402057308, "borrowing_costs_quote_units": 68.94084225913154, "price_pnl_quote_units": -2237.024625129443, "turnover_quote_units": 25441.535670095505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8790.869548440593, "return_pct": -12.09130451559407, "cagr_pct": -33.16104899914165, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9933885060074359, "realized_annual_volatility_pct": 47.018426801800906, "trading_costs_quote_units": 6.902240300787672, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1202.2282112586192, "turnover_quote_units": 11503.733834646117, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8790.869548440593, "return_pct": -12.09130451559407, "cagr_pct": -33.16104899914165, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9933885060074359, "realized_annual_volatility_pct": 47.018426801800906, "trading_costs_quote_units": 6.902240300787672, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1202.2282112586192, "turnover_quote_units": 11503.733834646117, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7678.769611209362, "return_pct": -23.212303887906383, "cagr_pct": -56.20816071012194, "max_drawdown_pct": 48.0900635093808, "mean_exposure_while_solvent": 1.2552218638918282, "realized_annual_volatility_pct": 61.131217419223574, "trading_costs_quote_units": 15.264921402057308, "borrowing_costs_quote_units": 68.94084225913154, "price_pnl_quote_units": -2237.024625129443, "turnover_quote_units": 25441.535670095505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7678.769611209362, "return_pct": -23.212303887906383, "cagr_pct": -56.20816071012194, "max_drawdown_pct": 48.0900635093808, "mean_exposure_while_solvent": 1.2552218638918282, "realized_annual_volatility_pct": 61.131217419223574, "trading_costs_quote_units": 15.264921402057308, "borrowing_costs_quote_units": 68.94084225913154, "price_pnl_quote_units": -2237.024625129443, "turnover_quote_units": 25441.535670095505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7678.769611209362, "return_pct": -23.212303887906383, "cagr_pct": -56.20816071012194, "max_drawdown_pct": 48.0900635093808, "mean_exposure_while_solvent": 1.2552218638918282, "realized_annual_volatility_pct": 61.131217419223574, "trading_costs_quote_units": 15.264921402057308, "borrowing_costs_quote_units": 68.94084225913154, "price_pnl_quote_units": -2237.024625129443, "turnover_quote_units": 25441.535670095505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7678.769611209362, "return_pct": -23.212303887906383, "cagr_pct": -56.20816071012194, "max_drawdown_pct": 48.0900635093808, "mean_exposure_while_solvent": 1.2552218638918282, "realized_annual_volatility_pct": 61.131217419223574, "trading_costs_quote_units": 15.264921402057308, "borrowing_costs_quote_units": 68.94084225913154, "price_pnl_quote_units": -2237.024625129443, "turnover_quote_units": 25441.535670095505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9141.923154592918, "return_pct": -8.58076845407082, "cagr_pct": -24.45708113098297, "max_drawdown_pct": 27.751274344457187, "mean_exposure_while_solvent": 0.7487863884074502, "realized_annual_volatility_pct": 35.49694383089969, "trading_costs_quote_units": 6.643462534664435, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -851.4333828724098, "turnover_quote_units": 11072.437557774047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9141.923154592918, "return_pct": -8.58076845407082, "cagr_pct": -24.45708113098297, "max_drawdown_pct": 27.751274344457187, "mean_exposure_while_solvent": 0.7487863884074502, "realized_annual_volatility_pct": 35.49694383089969, "trading_costs_quote_units": 6.643462534664435, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -851.4333828724098, "turnover_quote_units": 11072.437557774047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8783.438185294905, "return_pct": -12.16561814705095, "cagr_pct": -33.337530575366365, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.39860095848706, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1210.5654125463889, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8783.438185294905, "return_pct": -12.16561814705095, "cagr_pct": -33.337530575366365, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.39860095848706, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1210.5654125463889, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8322.463289360863, "return_pct": -16.77536710639137, "cagr_pct": -43.676762874313575, "max_drawdown_pct": 42.55936908120129, "mean_exposure_while_solvent": 1.24854603700196, "realized_annual_volatility_pct": 59.349436579825856, "trading_costs_quote_units": 10.754691139546027, "borrowing_costs_quote_units": 66.25576420515473, "price_pnl_quote_units": -1600.5262552944423, "turnover_quote_units": 17924.485232576717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8322.463289360863, "return_pct": -16.77536710639137, "cagr_pct": -43.676762874313575, "max_drawdown_pct": 42.55936908120129, "mean_exposure_while_solvent": 1.24854603700196, "realized_annual_volatility_pct": 59.349436579825856, "trading_costs_quote_units": 10.754691139546027, "borrowing_costs_quote_units": 66.25576420515473, "price_pnl_quote_units": -1600.5262552944423, "turnover_quote_units": 17924.485232576717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7842.655776686054, "return_pct": -21.57344223313946, "cagr_pct": -53.21941778787852, "max_drawdown_pct": 49.015027405266146, "mean_exposure_while_solvent": 1.4987065452202053, "realized_annual_volatility_pct": 71.35546745583316, "trading_costs_quote_units": 16.43079644020954, "borrowing_costs_quote_units": 126.63499553316771, "price_pnl_quote_units": -2014.278431340565, "turnover_quote_units": 27384.660733682547, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7842.655776686054, "return_pct": -21.57344223313946, "cagr_pct": -53.21941778787852, "max_drawdown_pct": 49.015027405266146, "mean_exposure_while_solvent": 1.4987065452202053, "realized_annual_volatility_pct": 71.35546745583316, "trading_costs_quote_units": 16.43079644020954, "borrowing_costs_quote_units": 126.63499553316771, "price_pnl_quote_units": -2014.278431340565, "turnover_quote_units": 27384.660733682547, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8366.034603600565, "return_pct": -16.33965396399435, "cagr_pct": -42.74977279943109, "max_drawdown_pct": 38.34805989552071, "mean_exposure_while_solvent": 0.8988165266456084, "realized_annual_volatility_pct": 42.069727911947794, "trading_costs_quote_units": 17.13213130129194, "borrowing_costs_quote_units": 25.19361921331898, "price_pnl_quote_units": -1591.6396458848162, "turnover_quote_units": 28553.55216881988, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8366.034603600565, "return_pct": -16.33965396399435, "cagr_pct": -42.74977279943109, "max_drawdown_pct": 38.34805989552071, "mean_exposure_while_solvent": 0.8988165266456084, "realized_annual_volatility_pct": 42.069727911947794, "trading_costs_quote_units": 17.13213130129194, "borrowing_costs_quote_units": 25.19361921331898, "price_pnl_quote_units": -1591.6396458848162, "turnover_quote_units": 28553.55216881988, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7930.372685295517, "return_pct": -20.69627314704483, "cagr_pct": -51.564165318463665, "max_drawdown_pct": 48.22788504558982, "mean_exposure_while_solvent": 1.290093463642373, "realized_annual_volatility_pct": 60.35631544164563, "trading_costs_quote_units": 18.834264973354816, "borrowing_costs_quote_units": 165.22586782948954, "price_pnl_quote_units": -1885.5671819016325, "turnover_quote_units": 31390.441622258022, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7930.372685295517, "return_pct": -20.69627314704483, "cagr_pct": -51.564165318463665, "max_drawdown_pct": 48.22788504558982, "mean_exposure_while_solvent": 1.290093463642373, "realized_annual_volatility_pct": 60.35631544164563, "trading_costs_quote_units": 18.834264973354816, "borrowing_costs_quote_units": 165.22586782948954, "price_pnl_quote_units": -1885.5671819016325, "turnover_quote_units": 31390.441622258022, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7758.64133723554, "return_pct": -22.413586627644598, "cagr_pct": -54.76832547966721, "max_drawdown_pct": 49.17431613823495, "mean_exposure_while_solvent": 1.4575398940339366, "realized_annual_volatility_pct": 68.78278204049015, "trading_costs_quote_units": 17.25232425226452, "borrowing_costs_quote_units": 234.67363670009632, "price_pnl_quote_units": -1989.432701812087, "turnover_quote_units": 28753.873753774198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7758.64133723554, "return_pct": -22.413586627644598, "cagr_pct": -54.76832547966721, "max_drawdown_pct": 49.17431613823495, "mean_exposure_while_solvent": 1.4575398940339366, "realized_annual_volatility_pct": 68.78278204049015, "trading_costs_quote_units": 17.25232425226452, "borrowing_costs_quote_units": 234.67363670009632, "price_pnl_quote_units": -1989.432701812087, "turnover_quote_units": 28753.873753774198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7990.137267515108, "return_pct": -20.098627324848916, "cagr_pct": -50.41385251636268, "max_drawdown_pct": 45.42902124020991, "mean_exposure_while_solvent": 1.3084883838897823, "realized_annual_volatility_pct": 60.23105472112261, "trading_costs_quote_units": 25.914440861380204, "borrowing_costs_quote_units": 180.72666712587983, "price_pnl_quote_units": -1803.2216244976225, "turnover_quote_units": 43190.734768967035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7990.137267515108, "return_pct": -20.098627324848916, "cagr_pct": -50.41385251636268, "max_drawdown_pct": 45.42902124020991, "mean_exposure_while_solvent": 1.3084883838897823, "realized_annual_volatility_pct": 60.23105472112261, "trading_costs_quote_units": 25.914440861380204, "borrowing_costs_quote_units": 180.72666712587983, "price_pnl_quote_units": -1803.2216244976225, "turnover_quote_units": 43190.734768967035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7615.763770543037, "return_pct": -23.84236229456963, "cagr_pct": -57.32171796375752, "max_drawdown_pct": 48.24156095120992, "mean_exposure_while_solvent": 1.255260817829385, "realized_annual_volatility_pct": 61.137337784516056, "trading_costs_quote_units": 15.229121580766353, "borrowing_costs_quote_units": 137.39120151675812, "price_pnl_quote_units": -2231.615906359441, "turnover_quote_units": 25381.869301277256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7615.763770543037, "return_pct": -23.84236229456963, "cagr_pct": -57.32171796375752, "max_drawdown_pct": 48.24156095120992, "mean_exposure_while_solvent": 1.255260817829385, "realized_annual_volatility_pct": 61.137337784516056, "trading_costs_quote_units": 15.229121580766353, "borrowing_costs_quote_units": 137.39120151675812, "price_pnl_quote_units": -2231.615906359441, "turnover_quote_units": 25381.869301277256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8790.869548440593, "return_pct": -12.09130451559407, "cagr_pct": -33.16104899914165, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9933885060074359, "realized_annual_volatility_pct": 47.018426801800906, "trading_costs_quote_units": 6.902240300787672, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1202.2282112586192, "turnover_quote_units": 11503.733834646117, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8790.869548440593, "return_pct": -12.09130451559407, "cagr_pct": -33.16104899914165, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9933885060074359, "realized_annual_volatility_pct": 47.018426801800906, "trading_costs_quote_units": 6.902240300787672, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1202.2282112586192, "turnover_quote_units": 11503.733834646117, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7615.763770543037, "return_pct": -23.84236229456963, "cagr_pct": -57.32171796375752, "max_drawdown_pct": 48.24156095120992, "mean_exposure_while_solvent": 1.255260817829385, "realized_annual_volatility_pct": 61.137337784516056, "trading_costs_quote_units": 15.229121580766353, "borrowing_costs_quote_units": 137.39120151675812, "price_pnl_quote_units": -2231.615906359441, "turnover_quote_units": 25381.869301277256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7615.763770543037, "return_pct": -23.84236229456963, "cagr_pct": -57.32171796375752, "max_drawdown_pct": 48.24156095120992, "mean_exposure_while_solvent": 1.255260817829385, "realized_annual_volatility_pct": 61.137337784516056, "trading_costs_quote_units": 15.229121580766353, "borrowing_costs_quote_units": 137.39120151675812, "price_pnl_quote_units": -2231.615906359441, "turnover_quote_units": 25381.869301277256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7615.763770543037, "return_pct": -23.84236229456963, "cagr_pct": -57.32171796375752, "max_drawdown_pct": 48.24156095120992, "mean_exposure_while_solvent": 1.255260817829385, "realized_annual_volatility_pct": 61.137337784516056, "trading_costs_quote_units": 15.229121580766353, "borrowing_costs_quote_units": 137.39120151675812, "price_pnl_quote_units": -2231.615906359441, "turnover_quote_units": 25381.869301277256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7615.763770543037, "return_pct": -23.84236229456963, "cagr_pct": -57.32171796375752, "max_drawdown_pct": 48.24156095120992, "mean_exposure_while_solvent": 1.255260817829385, "realized_annual_volatility_pct": 61.137337784516056, "trading_costs_quote_units": 15.229121580766353, "borrowing_costs_quote_units": 137.39120151675812, "price_pnl_quote_units": -2231.615906359441, "turnover_quote_units": 25381.869301277256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9141.923154592918, "return_pct": -8.58076845407082, "cagr_pct": -24.45708113098297, "max_drawdown_pct": 27.751274344457187, "mean_exposure_while_solvent": 0.7487863884074502, "realized_annual_volatility_pct": 35.49694383089969, "trading_costs_quote_units": 6.643462534664435, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -851.4333828724098, "turnover_quote_units": 11072.437557774047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9141.923154592918, "return_pct": -8.58076845407082, "cagr_pct": -24.45708113098297, "max_drawdown_pct": 27.751274344457187, "mean_exposure_while_solvent": 0.7487863884074502, "realized_annual_volatility_pct": 35.49694383089969, "trading_costs_quote_units": 6.643462534664435, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -851.4333828724098, "turnover_quote_units": 11072.437557774047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8783.438185294905, "return_pct": -12.16561814705095, "cagr_pct": -33.337530575366365, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.39860095848706, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1210.5654125463889, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8783.438185294905, "return_pct": -12.16561814705095, "cagr_pct": -33.337530575366365, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.39860095848706, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1210.5654125463889, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8256.102595443455, "return_pct": -17.43897404556545, "cagr_pct": -45.068906338067016, "max_drawdown_pct": 42.64866778697416, "mean_exposure_while_solvent": 1.2485816694081606, "realized_annual_volatility_pct": 59.35196771883743, "trading_costs_quote_units": 10.746681834119492, "borrowing_costs_quote_units": 132.03459883789776, "price_pnl_quote_units": -1601.1161238845232, "turnover_quote_units": 17911.136390199175, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8256.102595443455, "return_pct": -17.43897404556545, "cagr_pct": -45.068906338067016, "max_drawdown_pct": 42.64866778697416, "mean_exposure_while_solvent": 1.2485816694081606, "realized_annual_volatility_pct": 59.35196771883743, "trading_costs_quote_units": 10.746681834119492, "borrowing_costs_quote_units": 132.03459883789776, "price_pnl_quote_units": -1601.1161238845232, "turnover_quote_units": 17911.136390199175, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7717.985676457187, "return_pct": -22.820143235428137, "cagr_pct": -55.50517722216225, "max_drawdown_pct": 49.22215850163673, "mean_exposure_while_solvent": 1.4987921680510188, "realized_annual_volatility_pct": 71.36158443872675, "trading_costs_quote_units": 16.387777509876788, "borrowing_costs_quote_units": 251.45835736594105, "price_pnl_quote_units": -2014.1681886670017, "turnover_quote_units": 27312.96251646132, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7717.985676457187, "return_pct": -22.820143235428137, "cagr_pct": -55.50517722216225, "max_drawdown_pct": 49.22215850163673, "mean_exposure_while_solvent": 1.4987921680510188, "realized_annual_volatility_pct": 71.36158443872675, "trading_costs_quote_units": 16.387777509876788, "borrowing_costs_quote_units": 251.45835736594105, "price_pnl_quote_units": -2014.1681886670017, "turnover_quote_units": 27312.96251646132, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8352.656476031194, "return_pct": -16.47343523968806, "cagr_pct": -43.035490959485905, "max_drawdown_pct": 38.31245778520951, "mean_exposure_while_solvent": 0.8960278193273493, "realized_annual_volatility_pct": 42.17088686912004, "trading_costs_quote_units": 17.134776122115248, "borrowing_costs_quote_units": 6.243812334332816, "price_pnl_quote_units": -1623.9649355123581, "turnover_quote_units": 28557.960203525443, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8352.656476031194, "return_pct": -16.47343523968806, "cagr_pct": -43.035490959485905, "max_drawdown_pct": 38.31245778520951, "mean_exposure_while_solvent": 0.8960278193273493, "realized_annual_volatility_pct": 42.17088686912004, "trading_costs_quote_units": 17.134776122115248, "borrowing_costs_quote_units": 6.243812334332816, "price_pnl_quote_units": -1623.9649355123581, "turnover_quote_units": 28557.960203525443, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8035.274921081267, "return_pct": -19.647250789187332, "cagr_pct": -49.53285530319848, "max_drawdown_pct": 47.9172133496331, "mean_exposure_while_solvent": 1.2857918853591144, "realized_annual_volatility_pct": 60.48106639190106, "trading_costs_quote_units": 18.686365227830173, "borrowing_costs_quote_units": 41.13587513701078, "price_pnl_quote_units": -1904.9028385538973, "turnover_quote_units": 31143.942046383636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8035.274921081267, "return_pct": -19.647250789187332, "cagr_pct": -49.53285530319848, "max_drawdown_pct": 47.9172133496331, "mean_exposure_while_solvent": 1.2857918853591144, "realized_annual_volatility_pct": 60.48106639190106, "trading_costs_quote_units": 18.686365227830173, "borrowing_costs_quote_units": 41.13587513701078, "price_pnl_quote_units": -1904.9028385538973, "turnover_quote_units": 31143.942046383636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7893.984940649054, "return_pct": -21.060150593509462, "cagr_pct": -52.25556911879511, "max_drawdown_pct": 48.80517066286194, "mean_exposure_while_solvent": 1.4529878028764998, "realized_annual_volatility_pct": 68.73052892514538, "trading_costs_quote_units": 17.340327609725705, "borrowing_costs_quote_units": 58.69758184495869, "price_pnl_quote_units": -2029.9771498962598, "turnover_quote_units": 28900.546016209522, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7893.984940649054, "return_pct": -21.060150593509462, "cagr_pct": -52.25556911879511, "max_drawdown_pct": 48.80517066286194, "mean_exposure_while_solvent": 1.4529878028764998, "realized_annual_volatility_pct": 68.73052892514538, "trading_costs_quote_units": 17.340327609725705, "borrowing_costs_quote_units": 58.69758184495869, "price_pnl_quote_units": -2029.9771498962598, "turnover_quote_units": 28900.546016209522, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8049.888961330104, "return_pct": -19.50111038669896, "cagr_pct": -49.245353059835075, "max_drawdown_pct": 45.17724582273347, "mean_exposure_while_solvent": 1.3039014124095012, "realized_annual_volatility_pct": 60.344806739538456, "trading_costs_quote_units": 26.07321765273891, "borrowing_costs_quote_units": 44.905732300307875, "price_pnl_quote_units": -1879.1320887168479, "turnover_quote_units": 43455.362754564834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8049.888961330104, "return_pct": -19.50111038669896, "cagr_pct": -49.245353059835075, "max_drawdown_pct": 45.17724582273347, "mean_exposure_while_solvent": 1.3039014124095012, "realized_annual_volatility_pct": 60.344806739538456, "trading_costs_quote_units": 26.07321765273891, "borrowing_costs_quote_units": 44.905732300307875, "price_pnl_quote_units": -1879.1320887168479, "turnover_quote_units": 43455.362754564834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7727.9649346480965, "return_pct": -22.720350653519038, "cagr_pct": -55.32507291767808, "max_drawdown_pct": 47.88106322906316, "mean_exposure_while_solvent": 1.2514520517099421, "realized_annual_volatility_pct": 61.18350159983573, "trading_costs_quote_units": 14.94319766484506, "borrowing_costs_quote_units": 34.26396831106665, "price_pnl_quote_units": -2222.8278993759923, "turnover_quote_units": 24905.32944140843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7727.9649346480965, "return_pct": -22.720350653519038, "cagr_pct": -55.32507291767808, "max_drawdown_pct": 47.88106322906316, "mean_exposure_while_solvent": 1.2514520517099421, "realized_annual_volatility_pct": 61.18350159983573, "trading_costs_quote_units": 14.94319766484506, "borrowing_costs_quote_units": 34.26396831106665, "price_pnl_quote_units": -2222.8278993759923, "turnover_quote_units": 24905.32944140843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8744.948935266584, "return_pct": -12.550510647334157, "cagr_pct": -34.24651229622201, "max_drawdown_pct": 35.44897764487408, "mean_exposure_while_solvent": 0.9905633419289741, "realized_annual_volatility_pct": 47.017877935041554, "trading_costs_quote_units": 6.9107405011897605, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1248.1403242322274, "turnover_quote_units": 11517.90083531627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8744.948935266584, "return_pct": -12.550510647334157, "cagr_pct": -34.24651229622201, "max_drawdown_pct": 35.44897764487408, "mean_exposure_while_solvent": 0.9905633419289741, "realized_annual_volatility_pct": 47.017877935041554, "trading_costs_quote_units": 6.9107405011897605, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1248.1403242322274, "turnover_quote_units": 11517.90083531627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7727.9649346480965, "return_pct": -22.720350653519038, "cagr_pct": -55.32507291767808, "max_drawdown_pct": 47.88106322906316, "mean_exposure_while_solvent": 1.2514520517099421, "realized_annual_volatility_pct": 61.18350159983573, "trading_costs_quote_units": 14.94319766484506, "borrowing_costs_quote_units": 34.26396831106665, "price_pnl_quote_units": -2222.8278993759923, "turnover_quote_units": 24905.32944140843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7727.9649346480965, "return_pct": -22.720350653519038, "cagr_pct": -55.32507291767808, "max_drawdown_pct": 47.88106322906316, "mean_exposure_while_solvent": 1.2514520517099421, "realized_annual_volatility_pct": 61.18350159983573, "trading_costs_quote_units": 14.94319766484506, "borrowing_costs_quote_units": 34.26396831106665, "price_pnl_quote_units": -2222.8278993759923, "turnover_quote_units": 24905.32944140843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7727.9649346480965, "return_pct": -22.720350653519038, "cagr_pct": -55.32507291767808, "max_drawdown_pct": 47.88106322906316, "mean_exposure_while_solvent": 1.2514520517099421, "realized_annual_volatility_pct": 61.18350159983573, "trading_costs_quote_units": 14.94319766484506, "borrowing_costs_quote_units": 34.26396831106665, "price_pnl_quote_units": -2222.8278993759923, "turnover_quote_units": 24905.32944140843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7727.9649346480965, "return_pct": -22.720350653519038, "cagr_pct": -55.32507291767808, "max_drawdown_pct": 47.88106322906316, "mean_exposure_while_solvent": 1.2514520517099421, "realized_annual_volatility_pct": 61.18350159983573, "trading_costs_quote_units": 14.94319766484506, "borrowing_costs_quote_units": 34.26396831106665, "price_pnl_quote_units": -2222.8278993759923, "turnover_quote_units": 24905.32944140843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9095.348600628779, "return_pct": -9.046513993712214, "cagr_pct": -25.653750729426317, "max_drawdown_pct": 27.7941370194705, "mean_exposure_while_solvent": 0.7467274849637123, "realized_annual_volatility_pct": 35.501422898238275, "trading_costs_quote_units": 6.670247236964489, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -897.9811521342571, "turnover_quote_units": 11117.078728274153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9095.348600628779, "return_pct": -9.046513993712214, "cagr_pct": -25.653750729426317, "max_drawdown_pct": 27.7941370194705, "mean_exposure_while_solvent": 0.7467274849637123, "realized_annual_volatility_pct": 35.501422898238275, "trading_costs_quote_units": 6.670247236964489, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -897.9811521342571, "turnover_quote_units": 11117.078728274153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8739.154946301502, "return_pct": -12.608450536984982, "cagr_pct": -34.382611849113886, "max_drawdown_pct": 35.44897764487408, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.390644651441775, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1254.848651539795, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8739.154946301502, "return_pct": -12.608450536984982, "cagr_pct": -34.382611849113886, "max_drawdown_pct": 35.44897764487408, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.390644651441775, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1254.848651539795, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8321.521171392815, "return_pct": -16.78478828607185, "cagr_pct": -43.69669309905037, "max_drawdown_pct": 42.454942057054865, "mean_exposure_while_solvent": 1.244841410909699, "realized_annual_volatility_pct": 59.31765763446148, "trading_costs_quote_units": 10.794511391521915, "borrowing_costs_quote_units": 32.9030982031148, "price_pnl_quote_units": -1634.7812190125394, "turnover_quote_units": 17990.852319203215, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8321.521171392815, "return_pct": -16.78478828607185, "cagr_pct": -43.69669309905037, "max_drawdown_pct": 42.454942057054865, "mean_exposure_while_solvent": 1.244841410909699, "realized_annual_volatility_pct": 59.31765763446148, "trading_costs_quote_units": 10.794511391521915, "borrowing_costs_quote_units": 32.9030982031148, "price_pnl_quote_units": -1634.7812190125394, "turnover_quote_units": 17990.852319203215, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7887.755177999749, "return_pct": -21.12244822000251, "cagr_pct": -52.37326383588224, "max_drawdown_pct": 48.80517066286194, "mean_exposure_while_solvent": 1.4940945237452532, "realized_annual_volatility_pct": 71.28849172179217, "trading_costs_quote_units": 16.5333807519388, "borrowing_costs_quote_units": 63.04542192271128, "price_pnl_quote_units": -2032.6660193256162, "turnover_quote_units": 27555.634586564684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7887.755177999749, "return_pct": -21.12244822000251, "cagr_pct": -52.37326383588224, "max_drawdown_pct": 48.80517066286194, "mean_exposure_while_solvent": 1.4940945237452532, "realized_annual_volatility_pct": 71.28849172179217, "trading_costs_quote_units": 16.5333807519388, "borrowing_costs_quote_units": 63.04542192271128, "price_pnl_quote_units": -2032.6660193256162, "turnover_quote_units": 27555.634586564684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8347.39324190158, "return_pct": -16.526067580984204, "cagr_pct": -43.14763208770689, "max_drawdown_pct": 38.34776275931085, "mean_exposure_while_solvent": 0.8960305683923565, "realized_annual_volatility_pct": 42.17196714581244, "trading_costs_quote_units": 17.131248028872974, "borrowing_costs_quote_units": 12.484727031287337, "price_pnl_quote_units": -1622.9907830382613, "turnover_quote_units": 28552.080048121636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8347.39324190158, "return_pct": -16.526067580984204, "cagr_pct": -43.14763208770689, "max_drawdown_pct": 38.34776275931085, "mean_exposure_while_solvent": 0.8960305683923565, "realized_annual_volatility_pct": 42.17196714581244, "trading_costs_quote_units": 17.131248028872974, "borrowing_costs_quote_units": 12.484727031287337, "price_pnl_quote_units": -1622.9907830382613, "turnover_quote_units": 28552.080048121636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7997.392766018014, "return_pct": -20.026072339819855, "cagr_pct": -50.272950879053646, "max_drawdown_pct": 47.99731866530115, "mean_exposure_while_solvent": 1.2858159258115345, "realized_annual_volatility_pct": 60.48280397610858, "trading_costs_quote_units": 18.663628644769204, "borrowing_costs_quote_units": 82.10082311822656, "price_pnl_quote_units": -1901.8427822189954, "turnover_quote_units": 31106.04774128201, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7997.392766018014, "return_pct": -20.026072339819855, "cagr_pct": -50.272950879053646, "max_drawdown_pct": 47.99731866530115, "mean_exposure_while_solvent": 1.2858159258115345, "realized_annual_volatility_pct": 60.48280397610858, "trading_costs_quote_units": 18.663628644769204, "borrowing_costs_quote_units": 82.10082311822656, "price_pnl_quote_units": -1901.8427822189954, "turnover_quote_units": 31106.04774128201, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7836.370779657644, "return_pct": -21.63629220342357, "cagr_pct": -53.336518880958074, "max_drawdown_pct": 48.88488133262789, "mean_exposure_while_solvent": 1.4530260962148636, "realized_annual_volatility_pct": 68.73280442800557, "trading_costs_quote_units": 17.313192402068893, "borrowing_costs_quote_units": 117.01087197656577, "price_pnl_quote_units": -2029.3051559637288, "turnover_quote_units": 28855.320670114845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7836.370779657644, "return_pct": -21.63629220342357, "cagr_pct": -53.336518880958074, "max_drawdown_pct": 48.88488133262789, "mean_exposure_while_solvent": 1.4530260962148636, "realized_annual_volatility_pct": 68.73280442800557, "trading_costs_quote_units": 17.313192402068893, "borrowing_costs_quote_units": 117.01087197656577, "price_pnl_quote_units": -2029.3051559637288, "turnover_quote_units": 28855.320670114845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8007.671501969947, "return_pct": -19.923284980300537, "cagr_pct": -50.0728722389802, "max_drawdown_pct": 45.260964207520026, "mean_exposure_while_solvent": 1.303928486943594, "realized_annual_volatility_pct": 60.346502570159366, "trading_costs_quote_units": 26.029388178681355, "borrowing_costs_quote_units": 89.60304246622063, "price_pnl_quote_units": -1876.6960673851509, "turnover_quote_units": 43382.31363113557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8007.671501969947, "return_pct": -19.923284980300537, "cagr_pct": -50.0728722389802, "max_drawdown_pct": 45.260964207520026, "mean_exposure_while_solvent": 1.303928486943594, "realized_annual_volatility_pct": 60.346502570159366, "trading_costs_quote_units": 26.029388178681355, "borrowing_costs_quote_units": 89.60304246622063, "price_pnl_quote_units": -1876.6960673851509, "turnover_quote_units": 43382.31363113557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7696.346909557609, "return_pct": -23.036530904423902, "cagr_pct": -55.89401318709278, "max_drawdown_pct": 47.9567294541858, "mean_exposure_while_solvent": 1.2514714061352843, "realized_annual_volatility_pct": 61.185977278606515, "trading_costs_quote_units": 14.925429092803565, "borrowing_costs_quote_units": 68.4060802117133, "price_pnl_quote_units": -2220.321581137869, "turnover_quote_units": 24875.715154672595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7696.346909557609, "return_pct": -23.036530904423902, "cagr_pct": -55.89401318709278, "max_drawdown_pct": 47.9567294541858, "mean_exposure_while_solvent": 1.2514714061352843, "realized_annual_volatility_pct": 61.185977278606515, "trading_costs_quote_units": 14.925429092803565, "borrowing_costs_quote_units": 68.4060802117133, "price_pnl_quote_units": -2220.321581137869, "turnover_quote_units": 24875.715154672595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8744.948935266584, "return_pct": -12.550510647334157, "cagr_pct": -34.24651229622201, "max_drawdown_pct": 35.44897764487408, "mean_exposure_while_solvent": 0.9905633419289741, "realized_annual_volatility_pct": 47.017877935041554, "trading_costs_quote_units": 6.9107405011897605, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1248.1403242322274, "turnover_quote_units": 11517.90083531627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8744.948935266584, "return_pct": -12.550510647334157, "cagr_pct": -34.24651229622201, "max_drawdown_pct": 35.44897764487408, "mean_exposure_while_solvent": 0.9905633419289741, "realized_annual_volatility_pct": 47.017877935041554, "trading_costs_quote_units": 6.9107405011897605, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1248.1403242322274, "turnover_quote_units": 11517.90083531627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7696.346909557609, "return_pct": -23.036530904423902, "cagr_pct": -55.89401318709278, "max_drawdown_pct": 47.9567294541858, "mean_exposure_while_solvent": 1.2514714061352843, "realized_annual_volatility_pct": 61.185977278606515, "trading_costs_quote_units": 14.925429092803565, "borrowing_costs_quote_units": 68.4060802117133, "price_pnl_quote_units": -2220.321581137869, "turnover_quote_units": 24875.715154672595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7696.346909557609, "return_pct": -23.036530904423902, "cagr_pct": -55.89401318709278, "max_drawdown_pct": 47.9567294541858, "mean_exposure_while_solvent": 1.2514714061352843, "realized_annual_volatility_pct": 61.185977278606515, "trading_costs_quote_units": 14.925429092803565, "borrowing_costs_quote_units": 68.4060802117133, "price_pnl_quote_units": -2220.321581137869, "turnover_quote_units": 24875.715154672595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7696.346909557609, "return_pct": -23.036530904423902, "cagr_pct": -55.89401318709278, "max_drawdown_pct": 47.9567294541858, "mean_exposure_while_solvent": 1.2514714061352843, "realized_annual_volatility_pct": 61.185977278606515, "trading_costs_quote_units": 14.925429092803565, "borrowing_costs_quote_units": 68.4060802117133, "price_pnl_quote_units": -2220.321581137869, "turnover_quote_units": 24875.715154672595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7696.346909557609, "return_pct": -23.036530904423902, "cagr_pct": -55.89401318709278, "max_drawdown_pct": 47.9567294541858, "mean_exposure_while_solvent": 1.2514714061352843, "realized_annual_volatility_pct": 61.185977278606515, "trading_costs_quote_units": 14.925429092803565, "borrowing_costs_quote_units": 68.4060802117133, "price_pnl_quote_units": -2220.321581137869, "turnover_quote_units": 24875.715154672595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9095.348600628779, "return_pct": -9.046513993712214, "cagr_pct": -25.653750729426317, "max_drawdown_pct": 27.7941370194705, "mean_exposure_while_solvent": 0.7467274849637123, "realized_annual_volatility_pct": 35.501422898238275, "trading_costs_quote_units": 6.670247236964489, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -897.9811521342571, "turnover_quote_units": 11117.078728274153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9095.348600628779, "return_pct": -9.046513993712214, "cagr_pct": -25.653750729426317, "max_drawdown_pct": 27.7941370194705, "mean_exposure_while_solvent": 0.7467274849637123, "realized_annual_volatility_pct": 35.501422898238275, "trading_costs_quote_units": 6.670247236964489, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -897.9811521342571, "turnover_quote_units": 11117.078728274153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8739.154946301502, "return_pct": -12.608450536984982, "cagr_pct": -34.382611849113886, "max_drawdown_pct": 35.44897764487408, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.390644651441775, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1254.848651539795, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8739.154946301502, "return_pct": -12.608450536984982, "cagr_pct": -34.382611849113886, "max_drawdown_pct": 35.44897764487408, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.390644651441775, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1254.848651539795, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8288.383277938681, "return_pct": -17.11616722061319, "cagr_pct": -44.39466795648205, "max_drawdown_pct": 42.49954568467628, "mean_exposure_while_solvent": 1.2448591235060433, "realized_annual_volatility_pct": 59.3186698260873, "trading_costs_quote_units": 10.789338706235302, "borrowing_costs_quote_units": 65.68780191384356, "price_pnl_quote_units": -1635.1395814412342, "turnover_quote_units": 17982.23117705884, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8288.383277938681, "return_pct": -17.11616722061319, "cagr_pct": -44.39466795648205, "max_drawdown_pct": 42.49954568467628, "mean_exposure_while_solvent": 1.2448591235060433, "realized_annual_volatility_pct": 59.3186698260873, "trading_costs_quote_units": 10.789338706235302, "borrowing_costs_quote_units": 65.68780191384356, "price_pnl_quote_units": -1635.1395814412342, "turnover_quote_units": 17982.23117705884, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7825.016316564971, "return_pct": -21.74983683435029, "cagr_pct": -53.54756777270284, "max_drawdown_pct": 48.88488133262789, "mean_exposure_while_solvent": 1.4941370756234822, "realized_annual_volatility_pct": 71.2909319004604, "trading_costs_quote_units": 16.508325381028303, "borrowing_costs_quote_units": 125.63867122349467, "price_pnl_quote_units": -2032.8366868305131, "turnover_quote_units": 27513.875635047152, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7825.016316564971, "return_pct": -21.74983683435029, "cagr_pct": -53.54756777270284, "max_drawdown_pct": 48.88488133262789, "mean_exposure_while_solvent": 1.4941370756234822, "realized_annual_volatility_pct": 71.2909319004604, "trading_costs_quote_units": 16.508325381028303, "borrowing_costs_quote_units": 125.63867122349467, "price_pnl_quote_units": -2032.8366868305131, "turnover_quote_units": 27513.875635047152, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8336.874429385849, "return_pct": -16.631255706141513, "cagr_pct": -43.37130115540118, "max_drawdown_pct": 38.41832779398031, "mean_exposure_while_solvent": 0.8960360673495115, "realized_annual_volatility_pct": 42.17413407175115, "trading_costs_quote_units": 17.124195846401058, "borrowing_costs_quote_units": 24.957866858283676, "price_pnl_quote_units": -1621.043507909459, "turnover_quote_units": 28540.326410668455, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8336.874429385849, "return_pct": -16.631255706141513, "cagr_pct": -43.37130115540118, "max_drawdown_pct": 38.41832779398031, "mean_exposure_while_solvent": 0.8960360673495115, "realized_annual_volatility_pct": 42.17413407175115, "trading_costs_quote_units": 17.124195846401058, "borrowing_costs_quote_units": 24.957866858283676, "price_pnl_quote_units": -1621.043507909459, "turnover_quote_units": 28540.326410668455, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7922.14401433527, "return_pct": -20.778559856647295, "cagr_pct": -51.72111021240232, "max_drawdown_pct": 48.15720377042023, "mean_exposure_while_solvent": 1.2858640164354054, "realized_annual_volatility_pct": 60.48630303302131, "trading_costs_quote_units": 18.618348520249832, "borrowing_costs_quote_units": 163.52083237844744, "price_pnl_quote_units": -1895.7168047660182, "turnover_quote_units": 31030.580867083067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7922.14401433527, "return_pct": -20.778559856647295, "cagr_pct": -51.72111021240232, "max_drawdown_pct": 48.15720377042023, "mean_exposure_while_solvent": 1.2858640164354054, "realized_annual_volatility_pct": 60.48630303302131, "trading_costs_quote_units": 18.618348520249832, "borrowing_costs_quote_units": 163.52083237844744, "price_pnl_quote_units": -1895.7168047660182, "turnover_quote_units": 31030.580867083067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7722.370486041953, "return_pct": -22.776295139580473, "cagr_pct": -55.42610171330028, "max_drawdown_pct": 49.04397426779889, "mean_exposure_while_solvent": 1.4531026989950866, "realized_annual_volatility_pct": 68.73736018232654, "trading_costs_quote_units": 17.25941390849305, "borrowing_costs_quote_units": 232.49509456396208, "price_pnl_quote_units": -2027.8750054855905, "turnover_quote_units": 28765.689847488415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7722.370486041953, "return_pct": -22.776295139580473, "cagr_pct": -55.42610171330028, "max_drawdown_pct": 49.04397426779889, "mean_exposure_while_solvent": 1.4531026989950866, "realized_annual_volatility_pct": 68.73736018232654, "trading_costs_quote_units": 17.25941390849305, "borrowing_costs_quote_units": 232.49509456396208, "price_pnl_quote_units": -2027.8750054855905, "turnover_quote_units": 28765.689847488415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7923.877744475419, "return_pct": -20.761222555245816, "cagr_pct": -51.68807169596094, "max_drawdown_pct": 45.428062449679466, "mean_exposure_while_solvent": 1.3039826471462241, "realized_annual_volatility_pct": 60.34991846714147, "trading_costs_quote_units": 25.942094243342083, "borrowing_costs_quote_units": 178.37637157247647, "price_pnl_quote_units": -1871.8037897087677, "turnover_quote_units": 43236.82373890348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7923.877744475419, "return_pct": -20.761222555245816, "cagr_pct": -51.68807169596094, "max_drawdown_pct": 45.428062449679466, "mean_exposure_while_solvent": 1.3039826471462241, "realized_annual_volatility_pct": 60.34991846714147, "trading_costs_quote_units": 25.942094243342083, "borrowing_costs_quote_units": 178.37637157247647, "price_pnl_quote_units": -1871.8037897087677, "turnover_quote_units": 43236.82373890348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7633.483514298239, "return_pct": -23.665164857017608, "cagr_pct": -57.01051176732339, "max_drawdown_pct": 48.10777306288953, "mean_exposure_while_solvent": 1.2515101218503983, "realized_annual_volatility_pct": 61.19094007517625, "trading_costs_quote_units": 14.890010823402534, "borrowing_costs_quote_units": 136.3265128977723, "price_pnl_quote_units": -2215.2999619805887, "turnover_quote_units": 24816.68470567091, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7633.483514298239, "return_pct": -23.665164857017608, "cagr_pct": -57.01051176732339, "max_drawdown_pct": 48.10777306288953, "mean_exposure_while_solvent": 1.2515101218503983, "realized_annual_volatility_pct": 61.19094007517625, "trading_costs_quote_units": 14.890010823402534, "borrowing_costs_quote_units": 136.3265128977723, "price_pnl_quote_units": -2215.2999619805887, "turnover_quote_units": 24816.68470567091, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8744.948935266584, "return_pct": -12.550510647334157, "cagr_pct": -34.24651229622201, "max_drawdown_pct": 35.44897764487408, "mean_exposure_while_solvent": 0.9905633419289741, "realized_annual_volatility_pct": 47.017877935041554, "trading_costs_quote_units": 6.9107405011897605, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1248.1403242322274, "turnover_quote_units": 11517.90083531627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8744.948935266584, "return_pct": -12.550510647334157, "cagr_pct": -34.24651229622201, "max_drawdown_pct": 35.44897764487408, "mean_exposure_while_solvent": 0.9905633419289741, "realized_annual_volatility_pct": 47.017877935041554, "trading_costs_quote_units": 6.9107405011897605, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1248.1403242322274, "turnover_quote_units": 11517.90083531627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7633.483514298239, "return_pct": -23.665164857017608, "cagr_pct": -57.01051176732339, "max_drawdown_pct": 48.10777306288953, "mean_exposure_while_solvent": 1.2515101218503983, "realized_annual_volatility_pct": 61.19094007517625, "trading_costs_quote_units": 14.890010823402534, "borrowing_costs_quote_units": 136.3265128977723, "price_pnl_quote_units": -2215.2999619805887, "turnover_quote_units": 24816.68470567091, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7633.483514298239, "return_pct": -23.665164857017608, "cagr_pct": -57.01051176732339, "max_drawdown_pct": 48.10777306288953, "mean_exposure_while_solvent": 1.2515101218503983, "realized_annual_volatility_pct": 61.19094007517625, "trading_costs_quote_units": 14.890010823402534, "borrowing_costs_quote_units": 136.3265128977723, "price_pnl_quote_units": -2215.2999619805887, "turnover_quote_units": 24816.68470567091, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7633.483514298239, "return_pct": -23.665164857017608, "cagr_pct": -57.01051176732339, "max_drawdown_pct": 48.10777306288953, "mean_exposure_while_solvent": 1.2515101218503983, "realized_annual_volatility_pct": 61.19094007517625, "trading_costs_quote_units": 14.890010823402534, "borrowing_costs_quote_units": 136.3265128977723, "price_pnl_quote_units": -2215.2999619805887, "turnover_quote_units": 24816.68470567091, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7633.483514298239, "return_pct": -23.665164857017608, "cagr_pct": -57.01051176732339, "max_drawdown_pct": 48.10777306288953, "mean_exposure_while_solvent": 1.2515101218503983, "realized_annual_volatility_pct": 61.19094007517625, "trading_costs_quote_units": 14.890010823402534, "borrowing_costs_quote_units": 136.3265128977723, "price_pnl_quote_units": -2215.2999619805887, "turnover_quote_units": 24816.68470567091, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9095.348600628779, "return_pct": -9.046513993712214, "cagr_pct": -25.653750729426317, "max_drawdown_pct": 27.7941370194705, "mean_exposure_while_solvent": 0.7467274849637123, "realized_annual_volatility_pct": 35.501422898238275, "trading_costs_quote_units": 6.670247236964489, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -897.9811521342571, "turnover_quote_units": 11117.078728274153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9095.348600628779, "return_pct": -9.046513993712214, "cagr_pct": -25.653750729426317, "max_drawdown_pct": 27.7941370194705, "mean_exposure_while_solvent": 0.7467274849637123, "realized_annual_volatility_pct": 35.501422898238275, "trading_costs_quote_units": 6.670247236964489, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -897.9811521342571, "turnover_quote_units": 11117.078728274153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8739.154946301502, "return_pct": -12.608450536984982, "cagr_pct": -34.382611849113886, "max_drawdown_pct": 35.44897764487408, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.390644651441775, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1254.848651539795, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8739.154946301502, "return_pct": -12.608450536984982, "cagr_pct": -34.382611849113886, "max_drawdown_pct": 35.44897764487408, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.390644651441775, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1254.848651539795, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8222.488297137901, "return_pct": -17.77511702862099, "cagr_pct": -45.765067278329, "max_drawdown_pct": 42.58866908017811, "mean_exposure_while_solvent": 1.2448945541470875, "realized_annual_volatility_pct": 59.320694811677676, "trading_costs_quote_units": 10.779037525760698, "borrowing_costs_quote_units": 130.90375976445478, "price_pnl_quote_units": -1635.8289055718885, "turnover_quote_units": 17965.062542934484, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8222.488297137901, "return_pct": -17.77511702862099, "cagr_pct": -45.765067278329, "max_drawdown_pct": 42.58866908017811, "mean_exposure_while_solvent": 1.2448945541470875, "realized_annual_volatility_pct": 59.320694811677676, "trading_costs_quote_units": 10.779037525760698, "borrowing_costs_quote_units": 130.90375976445478, "price_pnl_quote_units": -1635.8289055718885, "turnover_quote_units": 17965.062542934484, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7700.998082685492, "return_pct": -22.990019173145082, "cagr_pct": -55.81063011898097, "max_drawdown_pct": 49.04397426779889, "mean_exposure_while_solvent": 1.494222197827128, "realized_annual_volatility_pct": 71.29581424921143, "trading_costs_quote_units": 16.45860174849128, "borrowing_costs_quote_units": 249.48223212054904, "price_pnl_quote_units": -2033.0610834454662, "turnover_quote_units": 27431.002914152126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7700.998082685492, "return_pct": -22.990019173145082, "cagr_pct": -55.81063011898097, "max_drawdown_pct": 49.04397426779889, "mean_exposure_while_solvent": 1.494222197827128, "realized_annual_volatility_pct": 71.29581424921143, "trading_costs_quote_units": 16.45860174849128, "borrowing_costs_quote_units": 249.48223212054904, "price_pnl_quote_units": -2033.0610834454662, "turnover_quote_units": 27431.002914152126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8318.553879259947, "return_pct": -16.814461207400523, "cagr_pct": -43.759433934509666, "max_drawdown_pct": 38.36402982683011, "mean_exposure_while_solvent": 0.8988082689617691, "realized_annual_volatility_pct": 42.073043407050115, "trading_costs_quote_units": 85.36532915220496, "borrowing_costs_quote_units": 6.280850347172485, "price_pnl_quote_units": -1589.7999412406737, "turnover_quote_units": 28455.109717401658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8318.553879259947, "return_pct": -16.814461207400523, "cagr_pct": -43.759433934509666, "max_drawdown_pct": 38.36402982683011, "mean_exposure_while_solvent": 0.8988082689617691, "realized_annual_volatility_pct": 42.073043407050115, "trading_costs_quote_units": 85.36532915220496, "borrowing_costs_quote_units": 6.280850347172485, "price_pnl_quote_units": -1589.7999412406737, "turnover_quote_units": 28455.109717401658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7972.965981560112, "return_pct": -20.270340184398883, "cagr_pct": -50.74623630351973, "max_drawdown_pct": 48.0422711541861, "mean_exposure_while_solvent": 1.2900206977347257, "realized_annual_volatility_pct": 60.34877348228641, "trading_costs_quote_units": 94.10029708501195, "borrowing_costs_quote_units": 41.33195262649799, "price_pnl_quote_units": -1891.6017687283672, "turnover_quote_units": 31366.76569500398, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7972.965981560112, "return_pct": -20.270340184398883, "cagr_pct": -50.74623630351973, "max_drawdown_pct": 48.0422711541861, "mean_exposure_while_solvent": 1.2900206977347257, "realized_annual_volatility_pct": 60.34877348228641, "trading_costs_quote_units": 94.10029708501195, "borrowing_costs_quote_units": 41.33195262649799, "price_pnl_quote_units": -1891.6017687283672, "turnover_quote_units": 31366.76569500398, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7868.251801142832, "return_pct": -21.317481988571686, "cagr_pct": -52.740451936678156, "max_drawdown_pct": 48.978596159144615, "mean_exposure_while_solvent": 1.4574242895820788, "realized_annual_volatility_pct": 68.77974651695513, "trading_costs_quote_units": 86.24312417714185, "borrowing_costs_quote_units": 58.91310190175728, "price_pnl_quote_units": -1986.5919727782627, "turnover_quote_units": 28747.708059047276, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7868.251801142832, "return_pct": -21.317481988571686, "cagr_pct": -52.740451936678156, "max_drawdown_pct": 48.978596159144615, "mean_exposure_while_solvent": 1.4574242895820788, "realized_annual_volatility_pct": 68.77974651695513, "trading_costs_quote_units": 86.24312417714185, "borrowing_costs_quote_units": 58.91310190175728, "price_pnl_quote_units": -1986.5919727782627, "turnover_quote_units": 28747.708059047276, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8015.822391269491, "return_pct": -19.841776087305085, "cagr_pct": -49.913824068649376, "max_drawdown_pct": 45.3897322323481, "mean_exposure_while_solvent": 1.3084063838104498, "realized_annual_volatility_pct": 60.224888887618945, "trading_costs_quote_units": 129.40560589079325, "borrowing_costs_quote_units": 45.16749725854299, "price_pnl_quote_units": -1809.604505581173, "turnover_quote_units": 43135.2019635978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8015.822391269491, "return_pct": -19.841776087305085, "cagr_pct": -49.913824068649376, "max_drawdown_pct": 45.3897322323481, "mean_exposure_while_solvent": 1.3084063838104498, "realized_annual_volatility_pct": 60.224888887618945, "trading_costs_quote_units": 129.40560589079325, "borrowing_costs_quote_units": 45.16749725854299, "price_pnl_quote_units": -1809.604505581173, "turnover_quote_units": 43135.2019635978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7656.888409155725, "return_pct": -23.431115908442756, "cagr_pct": -56.597098305132334, "max_drawdown_pct": 48.072966127837034, "mean_exposure_while_solvent": 1.2552023903829466, "realized_annual_volatility_pct": 61.13119362047096, "trading_costs_quote_units": 76.11912126959538, "borrowing_costs_quote_units": 34.372910415160064, "price_pnl_quote_units": -2232.6195591595338, "turnover_quote_units": 25373.040423198447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7656.888409155725, "return_pct": -23.431115908442756, "cagr_pct": -56.597098305132334, "max_drawdown_pct": 48.072966127837034, "mean_exposure_while_solvent": 1.2552023903829466, "realized_annual_volatility_pct": 61.13119362047096, "trading_costs_quote_units": 76.11912126959538, "borrowing_costs_quote_units": 34.372910415160064, "price_pnl_quote_units": -2232.6195591595338, "turnover_quote_units": 25373.040423198447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8765.757343585301, "return_pct": -12.34242656414699, "cagr_pct": -33.756144374939964, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9933885060074359, "realized_annual_volatility_pct": 47.021278947943465, "trading_costs_quote_units": 34.427609156003506, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1199.815047258694, "turnover_quote_units": 11475.86971866783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8765.757343585301, "return_pct": -12.34242656414699, "cagr_pct": -33.756144374939964, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9933885060074359, "realized_annual_volatility_pct": 47.021278947943465, "trading_costs_quote_units": 34.427609156003506, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1199.815047258694, "turnover_quote_units": 11475.86971866783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7656.888409155725, "return_pct": -23.431115908442756, "cagr_pct": -56.597098305132334, "max_drawdown_pct": 48.072966127837034, "mean_exposure_while_solvent": 1.2552023903829466, "realized_annual_volatility_pct": 61.13119362047096, "trading_costs_quote_units": 76.11912126959538, "borrowing_costs_quote_units": 34.372910415160064, "price_pnl_quote_units": -2232.6195591595338, "turnover_quote_units": 25373.040423198447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7656.888409155725, "return_pct": -23.431115908442756, "cagr_pct": -56.597098305132334, "max_drawdown_pct": 48.072966127837034, "mean_exposure_while_solvent": 1.2552023903829466, "realized_annual_volatility_pct": 61.13119362047096, "trading_costs_quote_units": 76.11912126959538, "borrowing_costs_quote_units": 34.372910415160064, "price_pnl_quote_units": -2232.6195591595338, "turnover_quote_units": 25373.040423198447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7656.888409155725, "return_pct": -23.431115908442756, "cagr_pct": -56.597098305132334, "max_drawdown_pct": 48.072966127837034, "mean_exposure_while_solvent": 1.2552023903829466, "realized_annual_volatility_pct": 61.13119362047096, "trading_costs_quote_units": 76.11912126959538, "borrowing_costs_quote_units": 34.372910415160064, "price_pnl_quote_units": -2232.6195591595338, "turnover_quote_units": 25373.040423198447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7656.888409155725, "return_pct": -23.431115908442756, "cagr_pct": -56.597098305132334, "max_drawdown_pct": 48.072966127837034, "mean_exposure_while_solvent": 1.2552023903829466, "realized_annual_volatility_pct": 61.13119362047096, "trading_costs_quote_units": 76.11912126959538, "borrowing_costs_quote_units": 34.372910415160064, "price_pnl_quote_units": -2232.6195591595338, "turnover_quote_units": 25373.040423198447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9116.655542203489, "return_pct": -8.83344457796511, "cagr_pct": -25.107910552408296, "max_drawdown_pct": 27.76607295755329, "mean_exposure_while_solvent": 0.7487863884074503, "realized_annual_volatility_pct": 35.49911191254297, "trading_costs_quote_units": 33.15186431223452, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -850.1925934842724, "turnover_quote_units": 11050.621437411499, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9116.655542203489, "return_pct": -8.83344457796511, "cagr_pct": -25.107910552408296, "max_drawdown_pct": 27.76607295755329, "mean_exposure_while_solvent": 0.7487863884074503, "realized_annual_volatility_pct": 35.49911191254297, "trading_costs_quote_units": 33.15186431223452, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -850.1925934842724, "turnover_quote_units": 11050.621437411499, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8762.42098525033, "return_pct": -12.375790147496701, "cagr_pct": -33.834935365613156, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.40114994712147, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1207.6687455572473, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8762.42098525033, "return_pct": -12.375790147496701, "cagr_pct": -33.834935365613156, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.40114994712147, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1207.6687455572473, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8317.355419509922, "return_pct": -16.82644580490078, "cagr_pct": -43.78476084637673, "max_drawdown_pct": 42.53481739621521, "mean_exposure_while_solvent": 1.2485282235432273, "realized_annual_volatility_pct": 59.35180547233093, "trading_costs_quote_units": 53.626117112516546, "borrowing_costs_quote_units": 33.06203807099802, "price_pnl_quote_units": -1595.956425306552, "turnover_quote_units": 17875.372370838864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8317.355419509922, "return_pct": -16.82644580490078, "cagr_pct": -43.78476084637673, "max_drawdown_pct": 42.53481739621521, "mean_exposure_while_solvent": 1.2485282235432273, "realized_annual_volatility_pct": 59.35180547233093, "trading_costs_quote_units": 53.626117112516546, "borrowing_costs_quote_units": 33.06203807099802, "price_pnl_quote_units": -1595.956425306552, "turnover_quote_units": 17875.372370838864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7846.714605502615, "return_pct": -21.53285394497385, "cagr_pct": -53.143688200422226, "max_drawdown_pct": 48.978596159144615, "mean_exposure_while_solvent": 1.4986637430996559, "realized_annual_volatility_pct": 71.35741297844964, "trading_costs_quote_units": 81.91697873414408, "borrowing_costs_quote_units": 63.198706067944016, "price_pnl_quote_units": -2008.1697096952978, "turnover_quote_units": 27305.659578048027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7846.714605502615, "return_pct": -21.53285394497385, "cagr_pct": -53.143688200422226, "max_drawdown_pct": 48.978596159144615, "mean_exposure_while_solvent": 1.4986637430996559, "realized_annual_volatility_pct": 71.35741297844964, "trading_costs_quote_units": 81.91697873414408, "borrowing_costs_quote_units": 63.198706067944016, "price_pnl_quote_units": -2008.1697096952978, "turnover_quote_units": 27305.659578048027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8313.28715680677, "return_pct": -16.86712843193231, "cagr_pct": -43.87067711276892, "max_drawdown_pct": 38.399131321104484, "mean_exposure_while_solvent": 0.8988110212476598, "realized_annual_volatility_pct": 42.074238002708206, "trading_costs_quote_units": 85.35044237311907, "borrowing_costs_quote_units": 12.558773048536946, "price_pnl_quote_units": -1588.8036277715812, "turnover_quote_units": 28450.147457706375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8313.28715680677, "return_pct": -16.86712843193231, "cagr_pct": -43.87067711276892, "max_drawdown_pct": 38.399131321104484, "mean_exposure_while_solvent": 0.8988110212476598, "realized_annual_volatility_pct": 42.074238002708206, "trading_costs_quote_units": 85.35044237311907, "borrowing_costs_quote_units": 12.558773048536946, "price_pnl_quote_units": -1588.8036277715812, "turnover_quote_units": 28450.147457706375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7935.191535183575, "return_pct": -20.648084648164243, "cagr_pct": -51.47209480309414, "max_drawdown_pct": 48.122316732329075, "mean_exposure_while_solvent": 1.2900449497584845, "realized_annual_volatility_pct": 60.351134809657935, "trading_costs_quote_units": 93.9708303368888, "borrowing_costs_quote_units": 82.49190875523132, "price_pnl_quote_units": -1888.3457257243188, "turnover_quote_units": 31323.610112296272, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7935.191535183575, "return_pct": -20.648084648164243, "cagr_pct": -51.47209480309414, "max_drawdown_pct": 48.122316732329075, "mean_exposure_while_solvent": 1.2900449497584845, "realized_annual_volatility_pct": 60.351134809657935, "trading_costs_quote_units": 93.9708303368888, "borrowing_costs_quote_units": 82.49190875523132, "price_pnl_quote_units": -1888.3457257243188, "turnover_quote_units": 31323.610112296272, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7810.630663231364, "return_pct": -21.89369336768635, "cagr_pct": -53.81402481093489, "max_drawdown_pct": 49.0584465176403, "mean_exposure_while_solvent": 1.4574628189863859, "realized_annual_volatility_pct": 68.78261408029277, "trading_costs_quote_units": 86.11871137170279, "borrowing_costs_quote_units": 117.43999471352379, "price_pnl_quote_units": -1985.8106306834081, "turnover_quote_units": 28706.23712390092, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7810.630663231364, "return_pct": -21.89369336768635, "cagr_pct": -53.81402481093489, "max_drawdown_pct": 49.0584465176403, "mean_exposure_while_solvent": 1.4574628189863859, "realized_annual_volatility_pct": 68.78261408029277, "trading_costs_quote_units": 86.11871137170279, "borrowing_costs_quote_units": 117.43999471352379, "price_pnl_quote_units": -1985.8106306834081, "turnover_quote_units": 28706.23712390092, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7973.592098415498, "return_pct": -20.264079015845017, "cagr_pct": -50.73414328769141, "max_drawdown_pct": 45.47283380668655, "mean_exposure_while_solvent": 1.3084337134105504, "realized_annual_volatility_pct": 60.227062208706116, "trading_costs_quote_units": 129.1837357217603, "borrowing_costs_quote_units": 90.12498941439374, "price_pnl_quote_units": -1807.099176448351, "turnover_quote_units": 43061.24524058678, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7973.592098415498, "return_pct": -20.264079015845017, "cagr_pct": -50.73414328769141, "max_drawdown_pct": 45.47283380668655, "mean_exposure_while_solvent": 1.3084337134105504, "realized_annual_volatility_pct": 60.227062208706116, "trading_costs_quote_units": 129.1837357217603, "borrowing_costs_quote_units": 90.12498941439374, "price_pnl_quote_units": -1807.099176448351, "turnover_quote_units": 43061.24524058678, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7625.42377307594, "return_pct": -23.7457622692406, "cagr_pct": -57.15225309182084, "max_drawdown_pct": 48.14879370470104, "mean_exposure_while_solvent": 1.2552218638918282, "realized_annual_volatility_pct": 61.13425585979924, "trading_costs_quote_units": 76.02596910464426, "borrowing_costs_quote_units": 68.62345843887117, "price_pnl_quote_units": -2229.926799380543, "turnover_quote_units": 25341.9897015481, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7625.42377307594, "return_pct": -23.7457622692406, "cagr_pct": -57.15225309182084, "max_drawdown_pct": 48.14879370470104, "mean_exposure_while_solvent": 1.2552218638918282, "realized_annual_volatility_pct": 61.13425585979924, "trading_costs_quote_units": 76.02596910464426, "borrowing_costs_quote_units": 68.62345843887117, "price_pnl_quote_units": -2229.926799380543, "turnover_quote_units": 25341.9897015481, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8765.757343585301, "return_pct": -12.34242656414699, "cagr_pct": -33.756144374939964, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9933885060074359, "realized_annual_volatility_pct": 47.021278947943465, "trading_costs_quote_units": 34.427609156003506, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1199.815047258694, "turnover_quote_units": 11475.86971866783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8765.757343585301, "return_pct": -12.34242656414699, "cagr_pct": -33.756144374939964, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9933885060074359, "realized_annual_volatility_pct": 47.021278947943465, "trading_costs_quote_units": 34.427609156003506, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1199.815047258694, "turnover_quote_units": 11475.86971866783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7625.42377307594, "return_pct": -23.7457622692406, "cagr_pct": -57.15225309182084, "max_drawdown_pct": 48.14879370470104, "mean_exposure_while_solvent": 1.2552218638918282, "realized_annual_volatility_pct": 61.13425585979924, "trading_costs_quote_units": 76.02596910464426, "borrowing_costs_quote_units": 68.62345843887117, "price_pnl_quote_units": -2229.926799380543, "turnover_quote_units": 25341.9897015481, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7625.42377307594, "return_pct": -23.7457622692406, "cagr_pct": -57.15225309182084, "max_drawdown_pct": 48.14879370470104, "mean_exposure_while_solvent": 1.2552218638918282, "realized_annual_volatility_pct": 61.13425585979924, "trading_costs_quote_units": 76.02596910464426, "borrowing_costs_quote_units": 68.62345843887117, "price_pnl_quote_units": -2229.926799380543, "turnover_quote_units": 25341.9897015481, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7625.42377307594, "return_pct": -23.7457622692406, "cagr_pct": -57.15225309182084, "max_drawdown_pct": 48.14879370470104, "mean_exposure_while_solvent": 1.2552218638918282, "realized_annual_volatility_pct": 61.13425585979924, "trading_costs_quote_units": 76.02596910464426, "borrowing_costs_quote_units": 68.62345843887117, "price_pnl_quote_units": -2229.926799380543, "turnover_quote_units": 25341.9897015481, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7625.42377307594, "return_pct": -23.7457622692406, "cagr_pct": -57.15225309182084, "max_drawdown_pct": 48.14879370470104, "mean_exposure_while_solvent": 1.2552218638918282, "realized_annual_volatility_pct": 61.13425585979924, "trading_costs_quote_units": 76.02596910464426, "borrowing_costs_quote_units": 68.62345843887117, "price_pnl_quote_units": -2229.926799380543, "turnover_quote_units": 25341.9897015481, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9116.655542203489, "return_pct": -8.83344457796511, "cagr_pct": -25.107910552408296, "max_drawdown_pct": 27.76607295755329, "mean_exposure_while_solvent": 0.7487863884074503, "realized_annual_volatility_pct": 35.49911191254297, "trading_costs_quote_units": 33.15186431223452, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -850.1925934842724, "turnover_quote_units": 11050.621437411499, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9116.655542203489, "return_pct": -8.83344457796511, "cagr_pct": -25.107910552408296, "max_drawdown_pct": 27.76607295755329, "mean_exposure_while_solvent": 0.7487863884074503, "realized_annual_volatility_pct": 35.49911191254297, "trading_costs_quote_units": 33.15186431223452, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -850.1925934842724, "turnover_quote_units": 11050.621437411499, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8762.42098525033, "return_pct": -12.375790147496701, "cagr_pct": -33.834935365613156, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.40114994712147, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1207.6687455572473, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8762.42098525033, "return_pct": -12.375790147496701, "cagr_pct": -33.834935365613156, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.40114994712147, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1207.6687455572473, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8284.13002773922, "return_pct": -17.158699722607796, "cagr_pct": -44.48382467017426, "max_drawdown_pct": 42.57954270825775, "mean_exposure_while_solvent": 1.24854603700196, "realized_annual_volatility_pct": 59.35308220740907, "trading_costs_quote_units": 53.60433397698739, "borrowing_costs_quote_units": 66.00487315041703, "price_pnl_quote_units": -1596.2607651333822, "turnover_quote_units": 17868.111325662463, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8284.13002773922, "return_pct": -17.158699722607796, "cagr_pct": -44.48382467017426, "max_drawdown_pct": 42.57954270825775, "mean_exposure_while_solvent": 1.24854603700196, "realized_annual_volatility_pct": 59.35308220740907, "trading_costs_quote_units": 53.60433397698739, "borrowing_costs_quote_units": 66.00487315041703, "price_pnl_quote_units": -1596.2607651333822, "turnover_quote_units": 17868.111325662463, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7784.097759796256, "return_pct": -22.159022402037444, "cagr_pct": -54.30274803937471, "max_drawdown_pct": 49.0584465176403, "mean_exposure_while_solvent": 1.4987065452202053, "realized_annual_volatility_pct": 71.36050180405572, "trading_costs_quote_units": 81.80520584422231, "borrowing_costs_quote_units": 125.94382407752128, "price_pnl_quote_units": -2008.1532102819908, "turnover_quote_units": 27268.401948074126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7784.097759796256, "return_pct": -22.159022402037444, "cagr_pct": -54.30274803937471, "max_drawdown_pct": 49.0584465176403, "mean_exposure_while_solvent": 1.4987065452202053, "realized_annual_volatility_pct": 71.36050180405572, "trading_costs_quote_units": 81.80520584422231, "borrowing_costs_quote_units": 125.94382407752128, "price_pnl_quote_units": -2008.1532102819908, "turnover_quote_units": 27268.401948074126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8302.761417881891, "return_pct": -16.972385821181092, "cagr_pct": -44.092552112937334, "max_drawdown_pct": 38.46928997746123, "mean_exposure_while_solvent": 0.8988165266456084, "realized_annual_volatility_pct": 42.0766338636219, "trading_costs_quote_units": 85.32068581446646, "borrowing_costs_quote_units": 25.105838919575127, "price_pnl_quote_units": -1586.812057384066, "turnover_quote_units": 28440.228604822125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8302.761417881891, "return_pct": -16.972385821181092, "cagr_pct": -44.092552112937334, "max_drawdown_pct": 38.46928997746123, "mean_exposure_while_solvent": 0.8988165266456084, "realized_annual_volatility_pct": 42.0766338636219, "trading_costs_quote_units": 85.32068581446646, "borrowing_costs_quote_units": 25.105838919575127, "price_pnl_quote_units": -1586.812057384066, "turnover_quote_units": 28440.228604822125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7860.151455184995, "return_pct": -21.39848544815005, "cagr_pct": -52.892388722344705, "max_drawdown_pct": 48.28213404181828, "mean_exposure_while_solvent": 1.290093463642373, "realized_annual_volatility_pct": 60.35587861040912, "trading_costs_quote_units": 93.72337523272314, "borrowing_costs_quote_units": 164.29865383916143, "price_pnl_quote_units": -1881.826515743127, "turnover_quote_units": 31241.125077574376, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7860.151455184995, "return_pct": -21.39848544815005, "cagr_pct": -52.892388722344705, "max_drawdown_pct": 48.28213404181828, "mean_exposure_while_solvent": 1.290093463642373, "realized_annual_volatility_pct": 60.35587861040912, "trading_costs_quote_units": 93.72337523272314, "borrowing_costs_quote_units": 164.29865383916143, "price_pnl_quote_units": -1881.826515743127, "turnover_quote_units": 31241.125077574376, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7696.613220687076, "return_pct": -23.033867793129236, "cagr_pct": -55.889241832889105, "max_drawdown_pct": 49.21786758115525, "mean_exposure_while_solvent": 1.4575398940339366, "realized_annual_volatility_pct": 68.78835084294131, "trading_costs_quote_units": 85.88163495834019, "borrowing_costs_quote_units": 233.34558767479137, "price_pnl_quote_units": -1984.1595566797946, "turnover_quote_units": 28627.211652780046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7696.613220687076, "return_pct": -23.033867793129236, "cagr_pct": -55.889241832889105, "max_drawdown_pct": 49.21786758115525, "mean_exposure_while_solvent": 1.4575398940339366, "realized_annual_volatility_pct": 68.78835084294131, "trading_costs_quote_units": 85.88163495834019, "borrowing_costs_quote_units": 233.34558767479137, "price_pnl_quote_units": -1984.1595566797946, "turnover_quote_units": 28627.211652780046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7889.76794416573, "return_pct": -21.1023205583427, "cagr_pct": -52.33525960122378, "max_drawdown_pct": 45.63875672815465, "mean_exposure_while_solvent": 1.3084883838897823, "realized_annual_volatility_pct": 60.231429563416164, "trading_costs_quote_units": 128.75205479603338, "borrowing_costs_quote_units": 179.41386199964816, "price_pnl_quote_units": -1802.0661390385933, "turnover_quote_units": 42917.35159867777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7889.76794416573, "return_pct": -21.1023205583427, "cagr_pct": -52.33525960122378, "max_drawdown_pct": 45.63875672815465, "mean_exposure_while_solvent": 1.3084883838897823, "realized_annual_volatility_pct": 60.231429563416164, "trading_costs_quote_units": 128.75205479603338, "borrowing_costs_quote_units": 179.41386199964816, "price_pnl_quote_units": -1802.0661390385933, "turnover_quote_units": 42917.35159867777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7562.861282128224, "return_pct": -24.37138717871776, "cagr_pct": -58.24170627469212, "max_drawdown_pct": 48.30019692411677, "mean_exposure_while_solvent": 1.255260817829385, "realized_annual_volatility_pct": 61.14039793645022, "trading_costs_quote_units": 75.84882129557208, "borrowing_costs_quote_units": 136.75917414991287, "price_pnl_quote_units": -2224.530722426291, "turnover_quote_units": 25282.940431857365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7562.861282128224, "return_pct": -24.37138717871776, "cagr_pct": -58.24170627469212, "max_drawdown_pct": 48.30019692411677, "mean_exposure_while_solvent": 1.255260817829385, "realized_annual_volatility_pct": 61.14039793645022, "trading_costs_quote_units": 75.84882129557208, "borrowing_costs_quote_units": 136.75917414991287, "price_pnl_quote_units": -2224.530722426291, "turnover_quote_units": 25282.940431857365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8765.757343585301, "return_pct": -12.34242656414699, "cagr_pct": -33.756144374939964, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9933885060074359, "realized_annual_volatility_pct": 47.021278947943465, "trading_costs_quote_units": 34.427609156003506, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1199.815047258694, "turnover_quote_units": 11475.86971866783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8765.757343585301, "return_pct": -12.34242656414699, "cagr_pct": -33.756144374939964, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9933885060074359, "realized_annual_volatility_pct": 47.021278947943465, "trading_costs_quote_units": 34.427609156003506, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1199.815047258694, "turnover_quote_units": 11475.86971866783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7562.861282128224, "return_pct": -24.37138717871776, "cagr_pct": -58.24170627469212, "max_drawdown_pct": 48.30019692411677, "mean_exposure_while_solvent": 1.255260817829385, "realized_annual_volatility_pct": 61.14039793645022, "trading_costs_quote_units": 75.84882129557208, "borrowing_costs_quote_units": 136.75917414991287, "price_pnl_quote_units": -2224.530722426291, "turnover_quote_units": 25282.940431857365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7562.861282128224, "return_pct": -24.37138717871776, "cagr_pct": -58.24170627469212, "max_drawdown_pct": 48.30019692411677, "mean_exposure_while_solvent": 1.255260817829385, "realized_annual_volatility_pct": 61.14039793645022, "trading_costs_quote_units": 75.84882129557208, "borrowing_costs_quote_units": 136.75917414991287, "price_pnl_quote_units": -2224.530722426291, "turnover_quote_units": 25282.940431857365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7562.861282128224, "return_pct": -24.37138717871776, "cagr_pct": -58.24170627469212, "max_drawdown_pct": 48.30019692411677, "mean_exposure_while_solvent": 1.255260817829385, "realized_annual_volatility_pct": 61.14039793645022, "trading_costs_quote_units": 75.84882129557208, "borrowing_costs_quote_units": 136.75917414991287, "price_pnl_quote_units": -2224.530722426291, "turnover_quote_units": 25282.940431857365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7562.861282128224, "return_pct": -24.37138717871776, "cagr_pct": -58.24170627469212, "max_drawdown_pct": 48.30019692411677, "mean_exposure_while_solvent": 1.255260817829385, "realized_annual_volatility_pct": 61.14039793645022, "trading_costs_quote_units": 75.84882129557208, "borrowing_costs_quote_units": 136.75917414991287, "price_pnl_quote_units": -2224.530722426291, "turnover_quote_units": 25282.940431857365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9116.655542203489, "return_pct": -8.83344457796511, "cagr_pct": -25.107910552408296, "max_drawdown_pct": 27.76607295755329, "mean_exposure_while_solvent": 0.7487863884074503, "realized_annual_volatility_pct": 35.49911191254297, "trading_costs_quote_units": 33.15186431223452, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -850.1925934842724, "turnover_quote_units": 11050.621437411499, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9116.655542203489, "return_pct": -8.83344457796511, "cagr_pct": -25.107910552408296, "max_drawdown_pct": 27.76607295755329, "mean_exposure_while_solvent": 0.7487863884074503, "realized_annual_volatility_pct": 35.49911191254297, "trading_costs_quote_units": 33.15186431223452, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -850.1925934842724, "turnover_quote_units": 11050.621437411499, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8762.42098525033, "return_pct": -12.375790147496701, "cagr_pct": -33.834935365613156, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.40114994712147, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1207.6687455572473, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8762.42098525033, "return_pct": -12.375790147496701, "cagr_pct": -33.834935365613156, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.40114994712147, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1207.6687455572473, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8218.058854037285, "return_pct": -17.819411459627155, "cagr_pct": -45.85635233364933, "max_drawdown_pct": 42.66893288648558, "mean_exposure_while_solvent": 1.2485816694081606, "realized_annual_volatility_pct": 59.355634963094204, "trading_costs_quote_units": 53.5651776935527, "borrowing_costs_quote_units": 131.5346436647495, "price_pnl_quote_units": -1596.8413246044208, "turnover_quote_units": 17855.059231184227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8218.058854037285, "return_pct": -17.819411459627155, "cagr_pct": -45.85635233364933, "max_drawdown_pct": 42.66893288648558, "mean_exposure_while_solvent": 1.2485816694081606, "realized_annual_volatility_pct": 59.355634963094204, "trading_costs_quote_units": 53.5651776935527, "borrowing_costs_quote_units": 131.5346436647495, "price_pnl_quote_units": -1596.8413246044208, "turnover_quote_units": 17855.059231184227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7660.317871935672, "return_pct": -23.396821280643277, "cagr_pct": -56.53629561706134, "max_drawdown_pct": 49.31298197711199, "mean_exposure_while_solvent": 1.4987921680510188, "realized_annual_volatility_pct": 71.36667836148257, "trading_costs_quote_units": 81.5933829577735, "borrowing_costs_quote_units": 250.0867690722168, "price_pnl_quote_units": -2008.0019760343412, "turnover_quote_units": 27197.79431925783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7660.317871935672, "return_pct": -23.396821280643277, "cagr_pct": -56.53629561706134, "max_drawdown_pct": 49.31298197711199, "mean_exposure_while_solvent": 1.4987921680510188, "realized_annual_volatility_pct": 71.36667836148257, "trading_costs_quote_units": 81.5933829577735, "borrowing_costs_quote_units": 250.0867690722168, "price_pnl_quote_units": -2008.0019760343412, "turnover_quote_units": 27197.79431925783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8289.278326938726, "return_pct": -17.10721673061274, "cagr_pct": -44.37589352738219, "max_drawdown_pct": 38.433735227483254, "mean_exposure_while_solvent": 0.8960278193273493, "realized_annual_volatility_pct": 42.16736962714778, "trading_costs_quote_units": 85.33294530350122, "borrowing_costs_quote_units": 6.2220989678100205, "price_pnl_quote_units": -1619.1666287899716, "turnover_quote_units": 28444.31510116704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8289.278326938726, "return_pct": -17.10721673061274, "cagr_pct": -44.37589352738219, "max_drawdown_pct": 38.433735227483254, "mean_exposure_while_solvent": 0.8960278193273493, "realized_annual_volatility_pct": 42.16736962714778, "trading_costs_quote_units": 85.33294530350122, "borrowing_costs_quote_units": 6.2220989678100205, "price_pnl_quote_units": -1619.1666287899716, "turnover_quote_units": 28444.31510116704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7965.1896462246095, "return_pct": -20.348103537753904, "cagr_pct": -50.89626265850037, "max_drawdown_pct": 47.96906186173445, "mean_exposure_while_solvent": 1.2857918853591144, "realized_annual_volatility_pct": 60.47443075929012, "trading_costs_quote_units": 92.99042324822827, "borrowing_costs_quote_units": 40.90665526505792, "price_pnl_quote_units": -1900.9132752620928, "turnover_quote_units": 30996.807749409414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7965.1896462246095, "return_pct": -20.348103537753904, "cagr_pct": -50.89626265850037, "max_drawdown_pct": 47.96906186173445, "mean_exposure_while_solvent": 1.2857918853591144, "realized_annual_volatility_pct": 60.47443075929012, "trading_costs_quote_units": 92.99042324822827, "borrowing_costs_quote_units": 40.90665526505792, "price_pnl_quote_units": -1900.9132752620928, "turnover_quote_units": 30996.807749409414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7830.6686251275205, "return_pct": -21.693313748724798, "cagr_pct": -53.44258791054364, "max_drawdown_pct": 48.84641612350311, "mean_exposure_while_solvent": 1.4529878028764998, "realized_annual_volatility_pct": 68.73270313741246, "trading_costs_quote_units": 86.31676778662698, "borrowing_costs_quote_units": 58.36815240706174, "price_pnl_quote_units": -2024.6464546787877, "turnover_quote_units": 28772.25592887568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7830.6686251275205, "return_pct": -21.693313748724798, "cagr_pct": -53.44258791054364, "max_drawdown_pct": 48.84641612350311, "mean_exposure_while_solvent": 1.4529878028764998, "realized_annual_volatility_pct": 68.73270313741246, "trading_costs_quote_units": 86.31676778662698, "borrowing_costs_quote_units": 58.36815240706174, "price_pnl_quote_units": -2024.6464546787877, "turnover_quote_units": 28772.25592887568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7948.342674764546, "return_pct": -20.51657325235454, "cagr_pct": -51.22021927414935, "max_drawdown_pct": 45.379188339772, "mean_exposure_while_solvent": 1.3039014124095012, "realized_annual_volatility_pct": 60.34411418564608, "trading_costs_quote_units": 129.53659278107259, "borrowing_costs_quote_units": 44.5783193448338, "price_pnl_quote_units": -1877.5424131095608, "turnover_quote_units": 43178.86426035753, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7948.342674764546, "return_pct": -20.51657325235454, "cagr_pct": -51.22021927414935, "max_drawdown_pct": 45.379188339772, "mean_exposure_while_solvent": 1.3039014124095012, "realized_annual_volatility_pct": 60.34411418564608, "trading_costs_quote_units": 129.53659278107259, "borrowing_costs_quote_units": 44.5783193448338, "price_pnl_quote_units": -1877.5424131095608, "turnover_quote_units": 43178.86426035753, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7675.540136898517, "return_pct": -23.244598631014835, "cagr_pct": -56.265713004982196, "max_drawdown_pct": 47.932535483718496, "mean_exposure_while_solvent": 1.2514520517099421, "realized_annual_volatility_pct": 61.18067020521364, "trading_costs_quote_units": 74.42745012039686, "borrowing_costs_quote_units": 34.10910330956682, "price_pnl_quote_units": -2215.9233096715266, "turnover_quote_units": 24809.15004013228, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7675.540136898517, "return_pct": -23.244598631014835, "cagr_pct": -56.265713004982196, "max_drawdown_pct": 47.932535483718496, "mean_exposure_while_solvent": 1.2514520517099421, "realized_annual_volatility_pct": 61.18067020521364, "trading_costs_quote_units": 74.42745012039686, "borrowing_costs_quote_units": 34.10910330956682, "price_pnl_quote_units": -2215.9233096715266, "turnover_quote_units": 24809.15004013228, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8719.908977797537, "return_pct": -12.80091022202463, "cagr_pct": -34.83332016490602, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9905633419289741, "realized_annual_volatility_pct": 47.01979409871802, "trading_costs_quote_units": 34.4699811896549, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1245.6210410128083, "turnover_quote_units": 11489.993729884964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8719.908977797537, "return_pct": -12.80091022202463, "cagr_pct": -34.83332016490602, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9905633419289741, "realized_annual_volatility_pct": 47.01979409871802, "trading_costs_quote_units": 34.4699811896549, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1245.6210410128083, "turnover_quote_units": 11489.993729884964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7675.540136898517, "return_pct": -23.244598631014835, "cagr_pct": -56.265713004982196, "max_drawdown_pct": 47.932535483718496, "mean_exposure_while_solvent": 1.2514520517099421, "realized_annual_volatility_pct": 61.18067020521364, "trading_costs_quote_units": 74.42745012039686, "borrowing_costs_quote_units": 34.10910330956682, "price_pnl_quote_units": -2215.9233096715266, "turnover_quote_units": 24809.15004013228, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7675.540136898517, "return_pct": -23.244598631014835, "cagr_pct": -56.265713004982196, "max_drawdown_pct": 47.932535483718496, "mean_exposure_while_solvent": 1.2514520517099421, "realized_annual_volatility_pct": 61.18067020521364, "trading_costs_quote_units": 74.42745012039686, "borrowing_costs_quote_units": 34.10910330956682, "price_pnl_quote_units": -2215.9233096715266, "turnover_quote_units": 24809.15004013228, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7675.540136898517, "return_pct": -23.244598631014835, "cagr_pct": -56.265713004982196, "max_drawdown_pct": 47.932535483718496, "mean_exposure_while_solvent": 1.2514520517099421, "realized_annual_volatility_pct": 61.18067020521364, "trading_costs_quote_units": 74.42745012039686, "borrowing_costs_quote_units": 34.10910330956682, "price_pnl_quote_units": -2215.9233096715266, "turnover_quote_units": 24809.15004013228, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7675.540136898517, "return_pct": -23.244598631014835, "cagr_pct": -56.265713004982196, "max_drawdown_pct": 47.932535483718496, "mean_exposure_while_solvent": 1.2514520517099421, "realized_annual_volatility_pct": 61.18067020521364, "trading_costs_quote_units": 74.42745012039686, "borrowing_costs_quote_units": 34.10910330956682, "price_pnl_quote_units": -2215.9233096715266, "turnover_quote_units": 24809.15004013228, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9070.0362859354, "return_pct": -9.299637140645988, "cagr_pct": -26.298676216645905, "max_drawdown_pct": 27.808175183685414, "mean_exposure_while_solvent": 0.7467274849637123, "realized_annual_volatility_pct": 35.50261216470698, "trading_costs_quote_units": 33.28516023675941, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -896.6785538278451, "turnover_quote_units": 11095.053412253135, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9070.0362859354, "return_pct": -9.299637140645988, "cagr_pct": -26.298676216645905, "max_drawdown_pct": 27.808175183685414, "mean_exposure_while_solvent": 0.7467274849637123, "realized_annual_volatility_pct": 35.50261216470698, "trading_costs_quote_units": 33.28516023675941, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -896.6785538278451, "turnover_quote_units": 11095.053412253135, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8718.243708144848, "return_pct": -12.817562918551516, "cagr_pct": -34.87221872193806, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.39318265730898, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1251.84602266273, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8718.243708144848, "return_pct": -12.817562918551516, "cagr_pct": -34.87221872193806, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.39318265730898, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1251.84602266273, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8282.936562144185, "return_pct": -17.170634378558148, "cagr_pct": -44.508824639409006, "max_drawdown_pct": 42.4740759779612, "mean_exposure_while_solvent": 1.244841410909699, "realized_annual_volatility_pct": 59.319710330485606, "trading_costs_quote_units": 53.80251571517551, "borrowing_costs_quote_units": 32.77918506098343, "price_pnl_quote_units": -1630.481737079652, "turnover_quote_units": 17934.171905058505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8282.936562144185, "return_pct": -17.170634378558148, "cagr_pct": -44.508824639409006, "max_drawdown_pct": 42.4740759779612, "mean_exposure_while_solvent": 1.244841410909699, "realized_annual_volatility_pct": 59.319710330485606, "trading_costs_quote_units": 53.80251571517551, "borrowing_costs_quote_units": 32.77918506098343, "price_pnl_quote_units": -1630.481737079652, "turnover_quote_units": 17934.171905058505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7828.292370982668, "return_pct": -21.71707629017332, "cagr_pct": -53.486741520393785, "max_drawdown_pct": 48.84641612350311, "mean_exposure_while_solvent": 1.4940945237452532, "realized_annual_volatility_pct": 71.28975939283364, "trading_costs_quote_units": 82.31401860279462, "borrowing_costs_quote_units": 62.70417577935776, "price_pnl_quote_units": -2026.6894346351783, "turnover_quote_units": 27438.006200931537, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7828.292370982668, "return_pct": -21.71707629017332, "cagr_pct": -53.486741520393785, "max_drawdown_pct": 48.84641612350311, "mean_exposure_while_solvent": 1.4940945237452532, "realized_annual_volatility_pct": 71.28975939283364, "trading_costs_quote_units": 82.31401860279462, "borrowing_costs_quote_units": 62.70417577935776, "price_pnl_quote_units": -2026.6894346351783, "turnover_quote_units": 27438.006200931537, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8284.049227233776, "return_pct": -17.159507727662238, "cagr_pct": -44.48551747022306, "max_drawdown_pct": 38.469012395420364, "mean_exposure_while_solvent": 0.8960305683923565, "realized_annual_volatility_pct": 42.16845025352606, "trading_costs_quote_units": 85.31544582854296, "borrowing_costs_quote_units": 12.441308180462867, "price_pnl_quote_units": -1618.1940187572147, "turnover_quote_units": 28438.481942847677, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8284.049227233776, "return_pct": -17.159507727662238, "cagr_pct": -44.48551747022306, "max_drawdown_pct": 38.469012395420364, "mean_exposure_while_solvent": 0.8960305683923565, "realized_annual_volatility_pct": 42.16845025352606, "trading_costs_quote_units": 85.31544582854296, "borrowing_costs_quote_units": 12.441308180462867, "price_pnl_quote_units": -1618.1940187572147, "turnover_quote_units": 28438.481942847677, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7927.63066622776, "return_pct": -20.723693337722395, "cagr_pct": -51.616502155008746, "max_drawdown_pct": 48.04922572909835, "mean_exposure_while_solvent": 1.2858159258115345, "realized_annual_volatility_pct": 60.476163141140574, "trading_costs_quote_units": 92.87809564810303, "borrowing_costs_quote_units": 81.64350410724995, "price_pnl_quote_units": -1897.8477340168795, "turnover_quote_units": 30959.36521603432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7927.63066622776, "return_pct": -20.723693337722395, "cagr_pct": -51.616502155008746, "max_drawdown_pct": 48.04922572909835, "mean_exposure_while_solvent": 1.2858159258115345, "realized_annual_volatility_pct": 60.476163141140574, "trading_costs_quote_units": 92.87809564810303, "borrowing_costs_quote_units": 81.64350410724995, "price_pnl_quote_units": -1897.8477340168795, "turnover_quote_units": 30959.36521603432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7773.509705869325, "return_pct": -22.26490294130674, "cagr_pct": -54.496788924509644, "max_drawdown_pct": 48.92620137390571, "mean_exposure_while_solvent": 1.4530260962148636, "realized_annual_volatility_pct": 68.73499936779267, "trading_costs_quote_units": 86.182865457065, "borrowing_costs_quote_units": 116.35449010869263, "price_pnl_quote_units": -2023.9529385649257, "turnover_quote_units": 28727.621819021657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7773.509705869325, "return_pct": -22.26490294130674, "cagr_pct": -54.496788924509644, "max_drawdown_pct": 48.92620137390571, "mean_exposure_while_solvent": 1.4530260962148636, "realized_annual_volatility_pct": 68.73499936779267, "trading_costs_quote_units": 86.182865457065, "borrowing_costs_quote_units": 116.35449010869263, "price_pnl_quote_units": -2023.9529385649257, "turnover_quote_units": 28727.621819021657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7906.646028139412, "return_pct": -20.933539718605875, "cagr_pct": -52.015762459367195, "max_drawdown_pct": 45.4627377645831, "mean_exposure_while_solvent": 1.3039284869435943, "realized_annual_volatility_pct": 60.34582150087219, "trading_costs_quote_units": 129.32003698857145, "borrowing_costs_quote_units": 88.95016641889538, "price_pnl_quote_units": -1875.0837684531123, "turnover_quote_units": 43106.67899619048, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7906.646028139412, "return_pct": -20.933539718605875, "cagr_pct": -52.015762459367195, "max_drawdown_pct": 45.4627377645831, "mean_exposure_while_solvent": 1.3039284869435943, "realized_annual_volatility_pct": 60.34582150087219, "trading_costs_quote_units": 129.32003698857145, "borrowing_costs_quote_units": 88.95016641889538, "price_pnl_quote_units": -1875.0837684531123, "turnover_quote_units": 43106.67899619048, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7644.138157440837, "return_pct": -23.558618425591625, "cagr_pct": -56.82264664011116, "max_drawdown_pct": 48.00812257927451, "mean_exposure_while_solvent": 1.2514714061352843, "realized_annual_volatility_pct": 61.18313912138714, "trading_costs_quote_units": 74.3395130949919, "borrowing_costs_quote_units": 68.0970356063361, "price_pnl_quote_units": -2213.4252938578306, "turnover_quote_units": 24779.837698330623, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7644.138157440837, "return_pct": -23.558618425591625, "cagr_pct": -56.82264664011116, "max_drawdown_pct": 48.00812257927451, "mean_exposure_while_solvent": 1.2514714061352843, "realized_annual_volatility_pct": 61.18313912138714, "trading_costs_quote_units": 74.3395130949919, "borrowing_costs_quote_units": 68.0970356063361, "price_pnl_quote_units": -2213.4252938578306, "turnover_quote_units": 24779.837698330623, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8719.908977797537, "return_pct": -12.80091022202463, "cagr_pct": -34.83332016490602, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9905633419289741, "realized_annual_volatility_pct": 47.01979409871802, "trading_costs_quote_units": 34.4699811896549, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1245.6210410128083, "turnover_quote_units": 11489.993729884964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8719.908977797537, "return_pct": -12.80091022202463, "cagr_pct": -34.83332016490602, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9905633419289741, "realized_annual_volatility_pct": 47.01979409871802, "trading_costs_quote_units": 34.4699811896549, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1245.6210410128083, "turnover_quote_units": 11489.993729884964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7644.138157440837, "return_pct": -23.558618425591625, "cagr_pct": -56.82264664011116, "max_drawdown_pct": 48.00812257927451, "mean_exposure_while_solvent": 1.2514714061352843, "realized_annual_volatility_pct": 61.18313912138714, "trading_costs_quote_units": 74.3395130949919, "borrowing_costs_quote_units": 68.0970356063361, "price_pnl_quote_units": -2213.4252938578306, "turnover_quote_units": 24779.837698330623, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7644.138157440837, "return_pct": -23.558618425591625, "cagr_pct": -56.82264664011116, "max_drawdown_pct": 48.00812257927451, "mean_exposure_while_solvent": 1.2514714061352843, "realized_annual_volatility_pct": 61.18313912138714, "trading_costs_quote_units": 74.3395130949919, "borrowing_costs_quote_units": 68.0970356063361, "price_pnl_quote_units": -2213.4252938578306, "turnover_quote_units": 24779.837698330623, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7644.138157440837, "return_pct": -23.558618425591625, "cagr_pct": -56.82264664011116, "max_drawdown_pct": 48.00812257927451, "mean_exposure_while_solvent": 1.2514714061352843, "realized_annual_volatility_pct": 61.18313912138714, "trading_costs_quote_units": 74.3395130949919, "borrowing_costs_quote_units": 68.0970356063361, "price_pnl_quote_units": -2213.4252938578306, "turnover_quote_units": 24779.837698330623, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7644.138157440837, "return_pct": -23.558618425591625, "cagr_pct": -56.82264664011116, "max_drawdown_pct": 48.00812257927451, "mean_exposure_while_solvent": 1.2514714061352843, "realized_annual_volatility_pct": 61.18313912138714, "trading_costs_quote_units": 74.3395130949919, "borrowing_costs_quote_units": 68.0970356063361, "price_pnl_quote_units": -2213.4252938578306, "turnover_quote_units": 24779.837698330623, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9070.0362859354, "return_pct": -9.299637140645988, "cagr_pct": -26.298676216645905, "max_drawdown_pct": 27.808175183685414, "mean_exposure_while_solvent": 0.7467274849637123, "realized_annual_volatility_pct": 35.50261216470698, "trading_costs_quote_units": 33.28516023675941, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -896.6785538278451, "turnover_quote_units": 11095.053412253135, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9070.0362859354, "return_pct": -9.299637140645988, "cagr_pct": -26.298676216645905, "max_drawdown_pct": 27.808175183685414, "mean_exposure_while_solvent": 0.7467274849637123, "realized_annual_volatility_pct": 35.50261216470698, "trading_costs_quote_units": 33.28516023675941, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -896.6785538278451, "turnover_quote_units": 11095.053412253135, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8718.243708144848, "return_pct": -12.817562918551516, "cagr_pct": -34.87221872193806, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.39318265730898, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1251.84602266273, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8718.243708144848, "return_pct": -12.817562918551516, "cagr_pct": -34.87221872193806, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.39318265730898, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1251.84602266273, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8249.947240226888, "return_pct": -17.50052759773113, "cagr_pct": -45.19683724361071, "max_drawdown_pct": 42.51872833704925, "mean_exposure_while_solvent": 1.2448591235060433, "realized_annual_volatility_pct": 59.32073383483102, "trading_costs_quote_units": 53.77712157951061, "borrowing_costs_quote_units": 65.44043236875524, "price_pnl_quote_units": -1630.8352058248533, "turnover_quote_units": 17925.70719317019, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8249.947240226888, "return_pct": -17.50052759773113, "cagr_pct": -45.19683724361071, "max_drawdown_pct": 42.51872833704925, "mean_exposure_while_solvent": 1.2448591235060433, "realized_annual_volatility_pct": 59.32073383483102, "trading_costs_quote_units": 53.77712157951061, "borrowing_costs_quote_units": 65.44043236875524, "price_pnl_quote_units": -1630.8352058248533, "turnover_quote_units": 17925.70719317019, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7766.012661098361, "return_pct": -22.339873389016397, "cagr_pct": -54.633843363426415, "max_drawdown_pct": 48.92620137390571, "mean_exposure_while_solvent": 1.4941370756234822, "realized_annual_volatility_pct": 71.29223021679769, "trading_costs_quote_units": 82.19049678760496, "borrowing_costs_quote_units": 124.95887048209278, "price_pnl_quote_units": -2026.8379716319605, "turnover_quote_units": 27396.83226253498, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7766.012661098361, "return_pct": -22.339873389016397, "cagr_pct": -54.633843363426415, "max_drawdown_pct": 48.92620137390571, "mean_exposure_while_solvent": 1.4941370756234822, "realized_annual_volatility_pct": 71.29223021679769, "trading_costs_quote_units": 82.19049678760496, "borrowing_costs_quote_units": 124.95887048209278, "price_pnl_quote_units": -2026.8379716319605, "turnover_quote_units": 27396.83226253498, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8273.598644031052, "return_pct": -17.264013559689484, "cagr_pct": -44.704165231249405, "max_drawdown_pct": 38.53952178753758, "mean_exposure_while_solvent": 0.8960360673495115, "realized_annual_volatility_pct": 42.1706179006314, "trading_costs_quote_units": 85.2804667522507, "borrowing_costs_quote_units": 24.871060681547156, "price_pnl_quote_units": -1616.2498285351394, "turnover_quote_units": 28426.82225075024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8273.598644031052, "return_pct": -17.264013559689484, "cagr_pct": -44.704165231249405, "max_drawdown_pct": 38.53952178753758, "mean_exposure_while_solvent": 0.8960360673495115, "realized_annual_volatility_pct": 42.1706179006314, "trading_costs_quote_units": 85.2804667522507, "borrowing_costs_quote_units": 24.871060681547156, "price_pnl_quote_units": -1616.2498285351394, "turnover_quote_units": 28426.82225075024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7853.0239655769365, "return_pct": -21.469760344230636, "cagr_pct": -53.02580274735889, "max_drawdown_pct": 48.20922709194419, "mean_exposure_while_solvent": 1.2858640164354054, "realized_annual_volatility_pct": 60.479651839438844, "trading_costs_quote_units": 92.65439124035669, "borrowing_costs_quote_units": 162.61065767234362, "price_pnl_quote_units": -1891.7109855103545, "turnover_quote_units": 30884.797080118915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7853.0239655769365, "return_pct": -21.469760344230636, "cagr_pct": -53.02580274735889, "max_drawdown_pct": 48.20922709194419, "mean_exposure_while_solvent": 1.2858640164354054, "realized_annual_volatility_pct": 60.479651839438844, "trading_costs_quote_units": 92.65439124035669, "borrowing_costs_quote_units": 162.61065767234362, "price_pnl_quote_units": -1891.7109855103545, "turnover_quote_units": 30884.797080118915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7660.409750631977, "return_pct": -23.395902493680232, "cagr_pct": -56.534665856643784, "max_drawdown_pct": 49.08544254604272, "mean_exposure_while_solvent": 1.4531026989950866, "realized_annual_volatility_pct": 68.73959716514952, "trading_costs_quote_units": 85.91748489853295, "borrowing_costs_quote_units": 231.19215965713573, "price_pnl_quote_units": -2022.4806048123387, "turnover_quote_units": 28639.161632844327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7660.409750631977, "return_pct": -23.395902493680232, "cagr_pct": -56.534665856643784, "max_drawdown_pct": 49.08544254604272, "mean_exposure_while_solvent": 1.4531026989950866, "realized_annual_volatility_pct": 68.73959716514952, "trading_costs_quote_units": 85.91748489853295, "borrowing_costs_quote_units": 231.19215965713573, "price_pnl_quote_units": -2022.4806048123387, "turnover_quote_units": 28639.161632844327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7823.886166512519, "return_pct": -21.761138334874808, "cagr_pct": -53.56853862531816, "max_drawdown_pct": 45.629498160468295, "mean_exposure_while_solvent": 1.3039826471462241, "realized_annual_volatility_pct": 60.34926044512545, "trading_costs_quote_units": 128.88872360548658, "borrowing_costs_quote_units": 177.07837860881057, "price_pnl_quote_units": -1870.1467312731886, "turnover_quote_units": 42962.90786849548, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7823.886166512519, "return_pct": -21.761138334874808, "cagr_pct": -53.56853862531816, "max_drawdown_pct": 45.629498160468295, "mean_exposure_while_solvent": 1.3039826471462241, "realized_annual_volatility_pct": 60.34926044512545, "trading_costs_quote_units": 128.88872360548658, "borrowing_costs_quote_units": 177.07837860881057, "price_pnl_quote_units": -1870.1467312731886, "turnover_quote_units": 42962.90786849548, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7581.7042875061325, "return_pct": -24.182957124938675, "cagr_pct": -57.915584236621, "max_drawdown_pct": 48.15900825469369, "mean_exposure_while_solvent": 1.2515101218503983, "realized_annual_volatility_pct": 61.18808840545553, "trading_costs_quote_units": 74.16422512878106, "borrowing_costs_quote_units": 135.71115477541397, "price_pnl_quote_units": -2208.420332589668, "turnover_quote_units": 24721.40837626036, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7581.7042875061325, "return_pct": -24.182957124938675, "cagr_pct": -57.915584236621, "max_drawdown_pct": 48.15900825469369, "mean_exposure_while_solvent": 1.2515101218503983, "realized_annual_volatility_pct": 61.18808840545553, "trading_costs_quote_units": 74.16422512878106, "borrowing_costs_quote_units": 135.71115477541397, "price_pnl_quote_units": -2208.420332589668, "turnover_quote_units": 24721.40837626036, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8719.908977797537, "return_pct": -12.80091022202463, "cagr_pct": -34.83332016490602, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9905633419289741, "realized_annual_volatility_pct": 47.01979409871802, "trading_costs_quote_units": 34.4699811896549, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1245.6210410128083, "turnover_quote_units": 11489.993729884964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8719.908977797537, "return_pct": -12.80091022202463, "cagr_pct": -34.83332016490602, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9905633419289741, "realized_annual_volatility_pct": 47.01979409871802, "trading_costs_quote_units": 34.4699811896549, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1245.6210410128083, "turnover_quote_units": 11489.993729884964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7581.7042875061325, "return_pct": -24.182957124938675, "cagr_pct": -57.915584236621, "max_drawdown_pct": 48.15900825469369, "mean_exposure_while_solvent": 1.2515101218503983, "realized_annual_volatility_pct": 61.18808840545553, "trading_costs_quote_units": 74.16422512878106, "borrowing_costs_quote_units": 135.71115477541397, "price_pnl_quote_units": -2208.420332589668, "turnover_quote_units": 24721.40837626036, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7581.7042875061325, "return_pct": -24.182957124938675, "cagr_pct": -57.915584236621, "max_drawdown_pct": 48.15900825469369, "mean_exposure_while_solvent": 1.2515101218503983, "realized_annual_volatility_pct": 61.18808840545553, "trading_costs_quote_units": 74.16422512878106, "borrowing_costs_quote_units": 135.71115477541397, "price_pnl_quote_units": -2208.420332589668, "turnover_quote_units": 24721.40837626036, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7581.7042875061325, "return_pct": -24.182957124938675, "cagr_pct": -57.915584236621, "max_drawdown_pct": 48.15900825469369, "mean_exposure_while_solvent": 1.2515101218503983, "realized_annual_volatility_pct": 61.18808840545553, "trading_costs_quote_units": 74.16422512878106, "borrowing_costs_quote_units": 135.71115477541397, "price_pnl_quote_units": -2208.420332589668, "turnover_quote_units": 24721.40837626036, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7581.7042875061325, "return_pct": -24.182957124938675, "cagr_pct": -57.915584236621, "max_drawdown_pct": 48.15900825469369, "mean_exposure_while_solvent": 1.2515101218503983, "realized_annual_volatility_pct": 61.18808840545553, "trading_costs_quote_units": 74.16422512878106, "borrowing_costs_quote_units": 135.71115477541397, "price_pnl_quote_units": -2208.420332589668, "turnover_quote_units": 24721.40837626036, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9070.0362859354, "return_pct": -9.299637140645988, "cagr_pct": -26.298676216645905, "max_drawdown_pct": 27.808175183685414, "mean_exposure_while_solvent": 0.7467274849637123, "realized_annual_volatility_pct": 35.50261216470698, "trading_costs_quote_units": 33.28516023675941, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -896.6785538278451, "turnover_quote_units": 11095.053412253135, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9070.0362859354, "return_pct": -9.299637140645988, "cagr_pct": -26.298676216645905, "max_drawdown_pct": 27.808175183685414, "mean_exposure_while_solvent": 0.7467274849637123, "realized_annual_volatility_pct": 35.50261216470698, "trading_costs_quote_units": 33.28516023675941, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -896.6785538278451, "turnover_quote_units": 11095.053412253135, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8718.243708144848, "return_pct": -12.817562918551516, "cagr_pct": -34.87221872193806, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.39318265730898, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1251.84602266273, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8718.243708144848, "return_pct": -12.817562918551516, "cagr_pct": -34.87221872193806, "max_drawdown_pct": 35.44897764487407, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.39318265730898, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1251.84602266273, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8184.347754618278, "return_pct": -18.156522453817225, "cagr_pct": -46.54767287185278, "max_drawdown_pct": 42.60794896312813, "mean_exposure_while_solvent": 1.2448945541470875, "realized_annual_volatility_pct": 59.322781465458085, "trading_costs_quote_units": 53.726549426008276, "borrowing_costs_quote_units": 130.41084116017296, "price_pnl_quote_units": -1631.5148547955355, "turnover_quote_units": 17908.84980866943, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8184.347754618278, "return_pct": -18.156522453817225, "cagr_pct": -46.54767287185278, "max_drawdown_pct": 42.60794896312813, "mean_exposure_while_solvent": 1.2448945541470875, "realized_annual_volatility_pct": 59.322781465458085, "trading_costs_quote_units": 53.726549426008276, "borrowing_costs_quote_units": 130.41084116017296, "price_pnl_quote_units": -1631.5148547955355, "turnover_quote_units": 17908.84980866943, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7642.90237133572, "return_pct": -23.570976286642797, "cagr_pct": -56.84446487490927, "max_drawdown_pct": 49.08544254604272, "mean_exposure_while_solvent": 1.494222197827128, "realized_annual_volatility_pct": 71.29717394219645, "trading_costs_quote_units": 81.94535486978683, "borrowing_costs_quote_units": 248.1333155189202, "price_pnl_quote_units": -2027.018958275565, "turnover_quote_units": 27315.118289928945, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7642.90237133572, "return_pct": -23.570976286642797, "cagr_pct": -56.84446487490927, "max_drawdown_pct": 49.08544254604272, "mean_exposure_while_solvent": 1.494222197827128, "realized_annual_volatility_pct": 71.29717394219645, "trading_costs_quote_units": 81.94535486978683, "borrowing_costs_quote_units": 248.1333155189202, "price_pnl_quote_units": -2027.018958275565, "turnover_quote_units": 27315.118289928945, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8393.323669846883, "return_pct": -16.06676330153117, "cagr_pct": -42.16393826943196, "max_drawdown_pct": 38.42499917931798, "mean_exposure_while_solvent": 0.9039060146865399, "realized_annual_volatility_pct": 42.153727832932084, "trading_costs_quote_units": 17.320712077890665, "borrowing_costs_quote_units": 6.737914185872347, "price_pnl_quote_units": -1582.61770388935, "turnover_quote_units": 28867.853463151132, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8393.323669846883, "return_pct": -16.06676330153117, "cagr_pct": -42.16393826943196, "max_drawdown_pct": 38.42499917931798, "mean_exposure_while_solvent": 0.9039060146865399, "realized_annual_volatility_pct": 42.153727832932084, "trading_costs_quote_units": 17.320712077890665, "borrowing_costs_quote_units": 6.737914185872347, "price_pnl_quote_units": -1582.61770388935, "turnover_quote_units": 28867.853463151132, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8094.076401487113, "return_pct": -19.059235985128876, "cagr_pct": -48.369279728216085, "max_drawdown_pct": 47.96222270009649, "mean_exposure_while_solvent": 1.2934986764532166, "realized_annual_volatility_pct": 60.261068375516004, "trading_costs_quote_units": 18.754297463517847, "borrowing_costs_quote_units": 41.844745866342414, "price_pnl_quote_units": -1845.3245551830287, "turnover_quote_units": 31257.162439196403, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8094.076401487113, "return_pct": -19.059235985128876, "cagr_pct": -48.369279728216085, "max_drawdown_pct": 47.96222270009649, "mean_exposure_while_solvent": 1.2934986764532166, "realized_annual_volatility_pct": 60.261068375516004, "trading_costs_quote_units": 18.754297463517847, "borrowing_costs_quote_units": 41.844745866342414, "price_pnl_quote_units": -1845.3245551830287, "turnover_quote_units": 31257.162439196403, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7990.253662333797, "return_pct": -20.097463376662027, "cagr_pct": -50.411594277076865, "max_drawdown_pct": 48.78445901066873, "mean_exposure_while_solvent": 1.4588862919480476, "realized_annual_volatility_pct": 68.54383404884422, "trading_costs_quote_units": 17.26300627805044, "borrowing_costs_quote_units": 59.29792808030058, "price_pnl_quote_units": -1933.1854033078575, "turnover_quote_units": 28771.67713008408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7990.253662333797, "return_pct": -20.097463376662027, "cagr_pct": -50.411594277076865, "max_drawdown_pct": 48.78445901066873, "mean_exposure_while_solvent": 1.4588862919480476, "realized_annual_volatility_pct": 68.54383404884422, "trading_costs_quote_units": 17.26300627805044, "borrowing_costs_quote_units": 59.29792808030058, "price_pnl_quote_units": -1933.1854033078575, "turnover_quote_units": 28771.67713008408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8179.75925485602, "return_pct": -18.202407451439807, "cagr_pct": -46.64130347847675, "max_drawdown_pct": 45.17344057269567, "mean_exposure_while_solvent": 1.3107677840705185, "realized_annual_volatility_pct": 60.064034776267775, "trading_costs_quote_units": 25.85763210075909, "borrowing_costs_quote_units": 45.627855503080305, "price_pnl_quote_units": -1748.7552575401423, "turnover_quote_units": 43096.05350126515, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8179.75925485602, "return_pct": -18.202407451439807, "cagr_pct": -46.64130347847675, "max_drawdown_pct": 45.17344057269567, "mean_exposure_while_solvent": 1.3107677840705185, "realized_annual_volatility_pct": 60.064034776267775, "trading_costs_quote_units": 25.85763210075909, "borrowing_costs_quote_units": 45.627855503080305, "price_pnl_quote_units": -1748.7552575401423, "turnover_quote_units": 43096.05350126515, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7756.766209225943, "return_pct": -22.432337907740564, "cagr_pct": -54.80249192340606, "max_drawdown_pct": 47.98800787979114, "mean_exposure_while_solvent": 1.2601915727844182, "realized_annual_volatility_pct": 61.09437329288968, "trading_costs_quote_units": 15.230210075302626, "borrowing_costs_quote_units": 35.09952870354413, "price_pnl_quote_units": -2192.9040519952023, "turnover_quote_units": 25383.683458837717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7756.766209225943, "return_pct": -22.432337907740564, "cagr_pct": -54.80249192340606, "max_drawdown_pct": 47.98800787979114, "mean_exposure_while_solvent": 1.2601915727844182, "realized_annual_volatility_pct": 61.09437329288968, "trading_costs_quote_units": 15.230210075302626, "borrowing_costs_quote_units": 35.09952870354413, "price_pnl_quote_units": -2192.9040519952023, "turnover_quote_units": 25383.683458837717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8832.437093177658, "return_pct": -11.675629068223426, "cagr_pct": -32.16803083250884, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9937047696074672, "realized_annual_volatility_pct": 46.82805440624167, "trading_costs_quote_units": 6.875749247744825, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1160.6871575745995, "turnover_quote_units": 11459.582079574711, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8832.437093177658, "return_pct": -11.675629068223426, "cagr_pct": -32.16803083250884, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9937047696074672, "realized_annual_volatility_pct": 46.82805440624167, "trading_costs_quote_units": 6.875749247744825, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1160.6871575745995, "turnover_quote_units": 11459.582079574711, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7756.766209225943, "return_pct": -22.432337907740564, "cagr_pct": -54.80249192340606, "max_drawdown_pct": 47.98800787979114, "mean_exposure_while_solvent": 1.2601915727844182, "realized_annual_volatility_pct": 61.09437329288968, "trading_costs_quote_units": 15.230210075302626, "borrowing_costs_quote_units": 35.09952870354413, "price_pnl_quote_units": -2192.9040519952023, "turnover_quote_units": 25383.683458837717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7756.766209225943, "return_pct": -22.432337907740564, "cagr_pct": -54.80249192340606, "max_drawdown_pct": 47.98800787979114, "mean_exposure_while_solvent": 1.2601915727844182, "realized_annual_volatility_pct": 61.09437329288968, "trading_costs_quote_units": 15.230210075302626, "borrowing_costs_quote_units": 35.09952870354413, "price_pnl_quote_units": -2192.9040519952023, "turnover_quote_units": 25383.683458837717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7756.766209225943, "return_pct": -22.432337907740564, "cagr_pct": -54.80249192340606, "max_drawdown_pct": 47.98800787979114, "mean_exposure_while_solvent": 1.2601915727844182, "realized_annual_volatility_pct": 61.09437329288968, "trading_costs_quote_units": 15.230210075302626, "borrowing_costs_quote_units": 35.09952870354413, "price_pnl_quote_units": -2192.9040519952023, "turnover_quote_units": 25383.683458837717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7756.766209225943, "return_pct": -22.432337907740564, "cagr_pct": -54.80249192340606, "max_drawdown_pct": 47.98800787979114, "mean_exposure_while_solvent": 1.2601915727844182, "realized_annual_volatility_pct": 61.09437329288968, "trading_costs_quote_units": 15.230210075302626, "borrowing_costs_quote_units": 35.09952870354413, "price_pnl_quote_units": -2192.9040519952023, "turnover_quote_units": 25383.683458837717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9172.811822041784, "return_pct": -8.271881779582168, "cagr_pct": -23.656255396373, "max_drawdown_pct": 27.645661715548542, "mean_exposure_while_solvent": 0.7487816963649345, "realized_annual_volatility_pct": 35.33354706622844, "trading_costs_quote_units": 6.634389992999536, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -820.5537879652202, "turnover_quote_units": 11057.316654999233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9172.811822041784, "return_pct": -8.271881779582168, "cagr_pct": -23.656255396373, "max_drawdown_pct": 27.645661715548542, "mean_exposure_while_solvent": 0.7487816963649345, "realized_annual_volatility_pct": 35.33354706622844, "trading_costs_quote_units": 6.634389992999536, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -820.5537879652202, "turnover_quote_units": 11057.316654999233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8823.835006731913, "return_pct": -11.761649932680863, "cagr_pct": -32.374346113465926, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.182688195193656, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1170.1685911093828, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8823.835006731913, "return_pct": -11.761649932680863, "cagr_pct": -32.374346113465926, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.182688195193656, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1170.1685911093828, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8404.865464963365, "return_pct": -15.951345350366353, "cagr_pct": -41.914940001352505, "max_drawdown_pct": 42.37372736629775, "mean_exposure_while_solvent": 1.2485354602646812, "realized_annual_volatility_pct": 59.080700715399914, "trading_costs_quote_units": 10.74315683551054, "borrowing_costs_quote_units": 33.132970022664026, "price_pnl_quote_units": -1551.2584081784557, "turnover_quote_units": 17905.26139251758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8404.865464963365, "return_pct": -15.951345350366353, "cagr_pct": -41.914940001352505, "max_drawdown_pct": 42.37372736629775, "mean_exposure_while_solvent": 1.2485354602646812, "realized_annual_volatility_pct": 59.080700715399914, "trading_costs_quote_units": 10.74315683551054, "borrowing_costs_quote_units": 33.132970022664026, "price_pnl_quote_units": -1551.2584081784557, "turnover_quote_units": 17905.26139251758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7962.50590694394, "return_pct": -20.37494093056059, "cagr_pct": -50.94796695506187, "max_drawdown_pct": 48.78445901066873, "mean_exposure_while_solvent": 1.4986804220831542, "realized_annual_volatility_pct": 71.03430837851673, "trading_costs_quote_units": 16.41410585016596, "borrowing_costs_quote_units": 63.42394034054601, "price_pnl_quote_units": -1957.6560468653547, "turnover_quote_units": 27356.843083609907, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7962.50590694394, "return_pct": -20.37494093056059, "cagr_pct": -50.94796695506187, "max_drawdown_pct": 48.78445901066873, "mean_exposure_while_solvent": 1.4986804220831542, "realized_annual_volatility_pct": 71.03430837851673, "trading_costs_quote_units": 16.41410585016596, "borrowing_costs_quote_units": 63.42394034054601, "price_pnl_quote_units": -1957.6560468653547, "turnover_quote_units": 27356.843083609907, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8387.640272469594, "return_pct": -16.123597275304057, "cagr_pct": -42.286282515679616, "max_drawdown_pct": 38.46232481489974, "mean_exposure_while_solvent": 0.9039089919998072, "realized_annual_volatility_pct": 42.15500503771455, "trading_costs_quote_units": 17.31742936359806, "borrowing_costs_quote_units": 13.472413736567727, "price_pnl_quote_units": -1581.5698844302344, "turnover_quote_units": 28862.382272663417, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8387.640272469594, "return_pct": -16.123597275304057, "cagr_pct": -42.286282515679616, "max_drawdown_pct": 38.46232481489974, "mean_exposure_while_solvent": 0.9039089919998072, "realized_annual_volatility_pct": 42.15500503771455, "trading_costs_quote_units": 17.31742936359806, "borrowing_costs_quote_units": 13.472413736567727, "price_pnl_quote_units": -1581.5698844302344, "turnover_quote_units": 28862.382272663417, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8055.318391824758, "return_pct": -19.446816081752427, "cagr_pct": -49.138256620147665, "max_drawdown_pct": 48.042437946216076, "mean_exposure_while_solvent": 1.2935232100842469, "realized_annual_volatility_pct": 60.26343195992783, "trading_costs_quote_units": 18.729865661492813, "borrowing_costs_quote_units": 83.5133396763939, "price_pnl_quote_units": -1842.4384028373622, "turnover_quote_units": 31216.442769154717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8055.318391824758, "return_pct": -19.446816081752427, "cagr_pct": -49.138256620147665, "max_drawdown_pct": 48.042437946216076, "mean_exposure_while_solvent": 1.2935232100842469, "realized_annual_volatility_pct": 60.26343195992783, "trading_costs_quote_units": 18.729865661492813, "borrowing_costs_quote_units": 83.5133396763939, "price_pnl_quote_units": -1842.4384028373622, "turnover_quote_units": 31216.442769154717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7931.57029641028, "return_pct": -20.684297035897202, "cagr_pct": -51.541294474573654, "max_drawdown_pct": 48.86448643575556, "mean_exposure_while_solvent": 1.4589249671878408, "realized_annual_volatility_pct": 68.54666303047912, "trading_costs_quote_units": 17.23763090143316, "borrowing_costs_quote_units": 118.20563675457102, "price_pnl_quote_units": -1932.986435933702, "turnover_quote_units": 28729.38483572193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7931.57029641028, "return_pct": -20.684297035897202, "cagr_pct": -51.541294474573654, "max_drawdown_pct": 48.86448643575556, "mean_exposure_while_solvent": 1.4589249671878408, "realized_annual_volatility_pct": 68.54666303047912, "trading_costs_quote_units": 17.23763090143316, "borrowing_costs_quote_units": 118.20563675457102, "price_pnl_quote_units": -1932.986435933702, "turnover_quote_units": 28729.38483572193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8136.44365867278, "return_pct": -18.635563413272205, "cagr_pct": -47.51968959080176, "max_drawdown_pct": 45.25698836673148, "mean_exposure_while_solvent": 1.3107952787431592, "realized_annual_volatility_pct": 60.06618107636491, "trading_costs_quote_units": 25.812648518940463, "borrowing_costs_quote_units": 91.04194355295817, "price_pnl_quote_units": -1746.7017492553155, "turnover_quote_units": 43021.080864900796, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8136.44365867278, "return_pct": -18.635563413272205, "cagr_pct": -47.51968959080176, "max_drawdown_pct": 45.25698836673148, "mean_exposure_while_solvent": 1.3107952787431592, "realized_annual_volatility_pct": 60.06618107636491, "trading_costs_quote_units": 25.812648518940463, "borrowing_costs_quote_units": 91.04194355295817, "price_pnl_quote_units": -1746.7017492553155, "turnover_quote_units": 43021.080864900796, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7724.2713773346395, "return_pct": -22.757286226653605, "cagr_pct": -55.391791424806684, "max_drawdown_pct": 48.0646008111676, "mean_exposure_while_solvent": 1.2602114767598647, "realized_annual_volatility_pct": 61.09744091149775, "trading_costs_quote_units": 15.211793798819182, "borrowing_costs_quote_units": 70.07152826823678, "price_pnl_quote_units": -2190.4453005983046, "turnover_quote_units": 25352.98966469864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7724.2713773346395, "return_pct": -22.757286226653605, "cagr_pct": -55.391791424806684, "max_drawdown_pct": 48.0646008111676, "mean_exposure_while_solvent": 1.2602114767598647, "realized_annual_volatility_pct": 61.09744091149775, "trading_costs_quote_units": 15.211793798819182, "borrowing_costs_quote_units": 70.07152826823678, "price_pnl_quote_units": -2190.4453005983046, "turnover_quote_units": 25352.98966469864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8832.437093177658, "return_pct": -11.675629068223426, "cagr_pct": -32.16803083250884, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9937047696074672, "realized_annual_volatility_pct": 46.82805440624167, "trading_costs_quote_units": 6.875749247744825, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1160.6871575745995, "turnover_quote_units": 11459.582079574711, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8832.437093177658, "return_pct": -11.675629068223426, "cagr_pct": -32.16803083250884, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9937047696074672, "realized_annual_volatility_pct": 46.82805440624167, "trading_costs_quote_units": 6.875749247744825, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1160.6871575745995, "turnover_quote_units": 11459.582079574711, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7724.2713773346395, "return_pct": -22.757286226653605, "cagr_pct": -55.391791424806684, "max_drawdown_pct": 48.0646008111676, "mean_exposure_while_solvent": 1.2602114767598647, "realized_annual_volatility_pct": 61.09744091149775, "trading_costs_quote_units": 15.211793798819182, "borrowing_costs_quote_units": 70.07152826823678, "price_pnl_quote_units": -2190.4453005983046, "turnover_quote_units": 25352.98966469864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7724.2713773346395, "return_pct": -22.757286226653605, "cagr_pct": -55.391791424806684, "max_drawdown_pct": 48.0646008111676, "mean_exposure_while_solvent": 1.2602114767598647, "realized_annual_volatility_pct": 61.09744091149775, "trading_costs_quote_units": 15.211793798819182, "borrowing_costs_quote_units": 70.07152826823678, "price_pnl_quote_units": -2190.4453005983046, "turnover_quote_units": 25352.98966469864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7724.2713773346395, "return_pct": -22.757286226653605, "cagr_pct": -55.391791424806684, "max_drawdown_pct": 48.0646008111676, "mean_exposure_while_solvent": 1.2602114767598647, "realized_annual_volatility_pct": 61.09744091149775, "trading_costs_quote_units": 15.211793798819182, "borrowing_costs_quote_units": 70.07152826823678, "price_pnl_quote_units": -2190.4453005983046, "turnover_quote_units": 25352.98966469864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7724.2713773346395, "return_pct": -22.757286226653605, "cagr_pct": -55.391791424806684, "max_drawdown_pct": 48.0646008111676, "mean_exposure_while_solvent": 1.2602114767598647, "realized_annual_volatility_pct": 61.09744091149775, "trading_costs_quote_units": 15.211793798819182, "borrowing_costs_quote_units": 70.07152826823678, "price_pnl_quote_units": -2190.4453005983046, "turnover_quote_units": 25352.98966469864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9172.811822041784, "return_pct": -8.271881779582168, "cagr_pct": -23.656255396373, "max_drawdown_pct": 27.645661715548542, "mean_exposure_while_solvent": 0.7487816963649345, "realized_annual_volatility_pct": 35.33354706622844, "trading_costs_quote_units": 6.634389992999536, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -820.5537879652202, "turnover_quote_units": 11057.316654999233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9172.811822041784, "return_pct": -8.271881779582168, "cagr_pct": -23.656255396373, "max_drawdown_pct": 27.645661715548542, "mean_exposure_while_solvent": 0.7487816963649345, "realized_annual_volatility_pct": 35.33354706622844, "trading_costs_quote_units": 6.634389992999536, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -820.5537879652202, "turnover_quote_units": 11057.316654999233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8823.835006731913, "return_pct": -11.761649932680863, "cagr_pct": -32.374346113465926, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.182688195193656, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1170.1685911093828, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8823.835006731913, "return_pct": -11.761649932680863, "cagr_pct": -32.374346113465926, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.182688195193656, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1170.1685911093828, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8371.298951676303, "return_pct": -16.287010483236976, "cagr_pct": -42.63707482384896, "max_drawdown_pct": 42.41852022789773, "mean_exposure_while_solvent": 1.2485532743764054, "realized_annual_volatility_pct": 59.0819621099538, "trading_costs_quote_units": 10.738494595677126, "borrowing_costs_quote_units": 66.14650815602013, "price_pnl_quote_units": -1551.816045571999, "turnover_quote_units": 17897.490992795196, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8371.298951676303, "return_pct": -16.287010483236976, "cagr_pct": -42.63707482384896, "max_drawdown_pct": 42.41852022789773, "mean_exposure_while_solvent": 1.2485532743764054, "realized_annual_volatility_pct": 59.0819621099538, "trading_costs_quote_units": 10.738494595677126, "borrowing_costs_quote_units": 66.14650815602013, "price_pnl_quote_units": -1551.816045571999, "turnover_quote_units": 17897.490992795196, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7898.9866641640965, "return_pct": -21.01013335835904, "cagr_pct": -52.16093187556534, "max_drawdown_pct": 48.896466845324696, "mean_exposure_while_solvent": 1.4987232260897583, "realized_annual_volatility_pct": 71.03735675986077, "trading_costs_quote_units": 16.39092939054353, "borrowing_costs_quote_units": 126.39260185376766, "price_pnl_quote_units": -1958.2298045915911, "turnover_quote_units": 27318.215650905895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7898.9866641640965, "return_pct": -21.01013335835904, "cagr_pct": -52.16093187556534, "max_drawdown_pct": 48.896466845324696, "mean_exposure_while_solvent": 1.4987232260897583, "realized_annual_volatility_pct": 71.03735675986077, "trading_costs_quote_units": 16.39092939054353, "borrowing_costs_quote_units": 126.39260185376766, "price_pnl_quote_units": -1958.2298045915911, "turnover_quote_units": 27318.215650905895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8376.28251629935, "return_pct": -16.237174837006496, "cagr_pct": -42.53024885841295, "max_drawdown_pct": 38.53692504712639, "mean_exposure_while_solvent": 0.9039149475392043, "realized_annual_volatility_pct": 42.15756687508001, "trading_costs_quote_units": 17.3108679562646, "borrowing_costs_quote_units": 26.9311734853011, "price_pnl_quote_units": -1579.4754422590806, "turnover_quote_units": 28851.446593774344, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8376.28251629935, "return_pct": -16.237174837006496, "cagr_pct": -42.53024885841295, "max_drawdown_pct": 38.53692504712639, "mean_exposure_while_solvent": 0.9039149475392043, "realized_annual_volatility_pct": 42.15756687508001, "trading_costs_quote_units": 17.3108679562646, "borrowing_costs_quote_units": 26.9311734853011, "price_pnl_quote_units": -1579.4754422590806, "turnover_quote_units": 28851.446593774344, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7978.334608691918, "return_pct": -20.21665391308082, "cagr_pct": -50.642479383586135, "max_drawdown_pct": 48.20255941812584, "mean_exposure_while_solvent": 1.2935722873139712, "realized_annual_volatility_pct": 60.26818308083174, "trading_costs_quote_units": 18.685821396425254, "borrowing_costs_quote_units": 166.32506240523668, "price_pnl_quote_units": -1836.6545075064378, "turnover_quote_units": 31143.035660708767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7978.334608691918, "return_pct": -20.21665391308082, "cagr_pct": -50.642479383586135, "max_drawdown_pct": 48.20255941812584, "mean_exposure_while_solvent": 1.2935722873139712, "realized_annual_volatility_pct": 60.26818308083174, "trading_costs_quote_units": 18.685821396425254, "borrowing_costs_quote_units": 166.32506240523668, "price_pnl_quote_units": -1836.6545075064378, "turnover_quote_units": 31143.035660708767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7815.459868614216, "return_pct": -21.84540131385784, "cagr_pct": -53.72469249572966, "max_drawdown_pct": 49.02422786043812, "mean_exposure_while_solvent": 1.4590023339823148, "realized_annual_volatility_pct": 68.55232476120541, "trading_costs_quote_units": 17.190760313306708, "borrowing_costs_quote_units": 234.86108695914905, "price_pnl_quote_units": -1932.4882841133262, "turnover_quote_units": 28651.267188844562, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7815.459868614216, "return_pct": -21.84540131385784, "cagr_pct": -53.72469249572966, "max_drawdown_pct": 49.02422786043812, "mean_exposure_while_solvent": 1.4590023339823148, "realized_annual_volatility_pct": 68.55232476120541, "trading_costs_quote_units": 17.190760313306708, "borrowing_costs_quote_units": 234.86108695914905, "price_pnl_quote_units": -1932.4882841133262, "turnover_quote_units": 28651.267188844562, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8050.474133081325, "return_pct": -19.495258669186754, "cagr_pct": -49.23381782889643, "max_drawdown_pct": 45.423765393272895, "mean_exposure_while_solvent": 1.3108502794459385, "realized_annual_volatility_pct": 60.07049695487739, "trading_costs_quote_units": 25.726630940175767, "borrowing_costs_quote_units": 181.232894988803, "price_pnl_quote_units": -1742.566340989696, "turnover_quote_units": 42877.71823362627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8050.474133081325, "return_pct": -19.495258669186754, "cagr_pct": -49.23381782889643, "max_drawdown_pct": 45.423765393272895, "mean_exposure_while_solvent": 1.3108502794459385, "realized_annual_volatility_pct": 60.07049695487739, "trading_costs_quote_units": 25.726630940175767, "borrowing_costs_quote_units": 181.232894988803, "price_pnl_quote_units": -1742.566340989696, "turnover_quote_units": 42877.71823362627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7659.674137273103, "return_pct": -23.403258627268976, "cagr_pct": -56.54771312962983, "max_drawdown_pct": 48.21748996985231, "mean_exposure_while_solvent": 1.2602512918168514, "realized_annual_volatility_pct": 61.10358830984315, "trading_costs_quote_units": 15.175099629912737, "borrowing_costs_quote_units": 139.6348466592354, "price_pnl_quote_units": -2185.5159164377337, "turnover_quote_units": 25291.83271652123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7659.674137273103, "return_pct": -23.403258627268976, "cagr_pct": -56.54771312962983, "max_drawdown_pct": 48.21748996985231, "mean_exposure_while_solvent": 1.2602512918168514, "realized_annual_volatility_pct": 61.10358830984315, "trading_costs_quote_units": 15.175099629912737, "borrowing_costs_quote_units": 139.6348466592354, "price_pnl_quote_units": -2185.5159164377337, "turnover_quote_units": 25291.83271652123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8832.437093177658, "return_pct": -11.675629068223426, "cagr_pct": -32.16803083250884, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9937047696074672, "realized_annual_volatility_pct": 46.82805440624167, "trading_costs_quote_units": 6.875749247744825, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1160.6871575745995, "turnover_quote_units": 11459.582079574711, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8832.437093177658, "return_pct": -11.675629068223426, "cagr_pct": -32.16803083250884, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9937047696074672, "realized_annual_volatility_pct": 46.82805440624167, "trading_costs_quote_units": 6.875749247744825, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1160.6871575745995, "turnover_quote_units": 11459.582079574711, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7659.674137273103, "return_pct": -23.403258627268976, "cagr_pct": -56.54771312962983, "max_drawdown_pct": 48.21748996985231, "mean_exposure_while_solvent": 1.2602512918168514, "realized_annual_volatility_pct": 61.10358830984315, "trading_costs_quote_units": 15.175099629912737, "borrowing_costs_quote_units": 139.6348466592354, "price_pnl_quote_units": -2185.5159164377337, "turnover_quote_units": 25291.83271652123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7659.674137273103, "return_pct": -23.403258627268976, "cagr_pct": -56.54771312962983, "max_drawdown_pct": 48.21748996985231, "mean_exposure_while_solvent": 1.2602512918168514, "realized_annual_volatility_pct": 61.10358830984315, "trading_costs_quote_units": 15.175099629912737, "borrowing_costs_quote_units": 139.6348466592354, "price_pnl_quote_units": -2185.5159164377337, "turnover_quote_units": 25291.83271652123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7659.674137273103, "return_pct": -23.403258627268976, "cagr_pct": -56.54771312962983, "max_drawdown_pct": 48.21748996985231, "mean_exposure_while_solvent": 1.2602512918168514, "realized_annual_volatility_pct": 61.10358830984315, "trading_costs_quote_units": 15.175099629912737, "borrowing_costs_quote_units": 139.6348466592354, "price_pnl_quote_units": -2185.5159164377337, "turnover_quote_units": 25291.83271652123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7659.674137273103, "return_pct": -23.403258627268976, "cagr_pct": -56.54771312962983, "max_drawdown_pct": 48.21748996985231, "mean_exposure_while_solvent": 1.2602512918168514, "realized_annual_volatility_pct": 61.10358830984315, "trading_costs_quote_units": 15.175099629912737, "borrowing_costs_quote_units": 139.6348466592354, "price_pnl_quote_units": -2185.5159164377337, "turnover_quote_units": 25291.83271652123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9172.811822041784, "return_pct": -8.271881779582168, "cagr_pct": -23.656255396373, "max_drawdown_pct": 27.645661715548542, "mean_exposure_while_solvent": 0.7487816963649345, "realized_annual_volatility_pct": 35.33354706622844, "trading_costs_quote_units": 6.634389992999536, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -820.5537879652202, "turnover_quote_units": 11057.316654999233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9172.811822041784, "return_pct": -8.271881779582168, "cagr_pct": -23.656255396373, "max_drawdown_pct": 27.645661715548542, "mean_exposure_while_solvent": 0.7487816963649345, "realized_annual_volatility_pct": 35.33354706622844, "trading_costs_quote_units": 6.634389992999536, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -820.5537879652202, "turnover_quote_units": 11057.316654999233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8823.835006731913, "return_pct": -11.761649932680863, "cagr_pct": -32.374346113465926, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.182688195193656, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1170.1685911093828, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8823.835006731913, "return_pct": -11.761649932680863, "cagr_pct": -32.374346113465926, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.182688195193656, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1170.1685911093828, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8304.551625768483, "return_pct": -16.954483742315173, "cagr_pct": -44.054857995381624, "max_drawdown_pct": 42.50802969163725, "mean_exposure_while_solvent": 1.2485889080887387, "realized_annual_volatility_pct": 59.08448509302436, "trading_costs_quote_units": 10.730679694962141, "borrowing_costs_quote_units": 131.8170280601962, "price_pnl_quote_units": -1552.9006664763567, "turnover_quote_units": 17884.466158270217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8304.551625768483, "return_pct": -16.954483742315173, "cagr_pct": -44.054857995381624, "max_drawdown_pct": 42.50802969163725, "mean_exposure_while_solvent": 1.2485889080887387, "realized_annual_volatility_pct": 59.08448509302436, "trading_costs_quote_units": 10.730679694962141, "borrowing_costs_quote_units": 131.8170280601962, "price_pnl_quote_units": -1552.9006664763567, "turnover_quote_units": 17884.466158270217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7773.427576882532, "return_pct": -22.265724231174676, "cagr_pct": -54.49829185862936, "max_drawdown_pct": 49.18416488946943, "mean_exposure_while_solvent": 1.498808852693229, "realized_annual_volatility_pct": 71.04345457529406, "trading_costs_quote_units": 16.348456773082322, "borrowing_costs_quote_units": 250.97773077883562, "price_pnl_quote_units": -1959.2462355655557, "turnover_quote_units": 27247.42795513722, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7773.427576882532, "return_pct": -22.265724231174676, "cagr_pct": -54.49829185862936, "max_drawdown_pct": 49.18416488946943, "mean_exposure_while_solvent": 1.498808852693229, "realized_annual_volatility_pct": 71.04345457529406, "trading_costs_quote_units": 16.348456773082322, "borrowing_costs_quote_units": 250.97773077883562, "price_pnl_quote_units": -1959.2462355655557, "turnover_quote_units": 27247.42795513722, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8369.87106154242, "return_pct": -16.30128938457579, "cagr_pct": -42.66765767228159, "max_drawdown_pct": 38.49312797692372, "mean_exposure_while_solvent": 0.9011206707933609, "realized_annual_volatility_pct": 42.260135336223335, "trading_costs_quote_units": 17.330168144516094, "borrowing_costs_quote_units": 6.67738314969249, "price_pnl_quote_units": -1606.1213871633713, "turnover_quote_units": 28883.6135741935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8369.87106154242, "return_pct": -16.30128938457579, "cagr_pct": -42.66765767228159, "max_drawdown_pct": 38.49312797692372, "mean_exposure_while_solvent": 0.9011206707933609, "realized_annual_volatility_pct": 42.260135336223335, "trading_costs_quote_units": 17.330168144516094, "borrowing_costs_quote_units": 6.67738314969249, "price_pnl_quote_units": -1606.1213871633713, "turnover_quote_units": 28883.6135741935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8094.571160745393, "return_pct": -19.05428839254607, "cagr_pct": -48.359412697203275, "max_drawdown_pct": 47.88406218116086, "mean_exposure_while_solvent": 1.2892706607390583, "realized_annual_volatility_pct": 60.396260273665945, "trading_costs_quote_units": 18.532989997206638, "borrowing_costs_quote_units": 41.45093653876296, "price_pnl_quote_units": -1845.4449127186317, "turnover_quote_units": 30888.316662011053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8094.571160745393, "return_pct": -19.05428839254607, "cagr_pct": -48.359412697203275, "max_drawdown_pct": 47.88406218116086, "mean_exposure_while_solvent": 1.2892706607390583, "realized_annual_volatility_pct": 60.396260273665945, "trading_costs_quote_units": 18.532989997206638, "borrowing_costs_quote_units": 41.45093653876296, "price_pnl_quote_units": -1845.4449127186317, "turnover_quote_units": 30888.316662011053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7956.041691921238, "return_pct": -20.439583080787614, "cagr_pct": -51.072352988384075, "max_drawdown_pct": 48.65483931459794, "mean_exposure_while_solvent": 1.4544447204624942, "realized_annual_volatility_pct": 68.49879450183323, "trading_costs_quote_units": 17.36842087978874, "borrowing_costs_quote_units": 58.78264968893795, "price_pnl_quote_units": -1967.8072375100342, "turnover_quote_units": 28947.368132981203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7956.041691921238, "return_pct": -20.439583080787614, "cagr_pct": -51.072352988384075, "max_drawdown_pct": 48.65483931459794, "mean_exposure_while_solvent": 1.4544447204624942, "realized_annual_volatility_pct": 68.49879450183323, "trading_costs_quote_units": 17.36842087978874, "borrowing_costs_quote_units": 58.78264968893795, "price_pnl_quote_units": -1967.8072375100342, "turnover_quote_units": 28947.368132981203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8118.666422829896, "return_pct": -18.813335771701045, "cagr_pct": -47.87732485662431, "max_drawdown_pct": 45.16170735477563, "mean_exposure_while_solvent": 1.3062551678466627, "realized_annual_volatility_pct": 60.184189657676335, "trading_costs_quote_units": 25.905459285424566, "borrowing_costs_quote_units": 45.06845420525779, "price_pnl_quote_units": -1810.359663679421, "turnover_quote_units": 43175.765475707616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8118.666422829896, "return_pct": -18.813335771701045, "cagr_pct": -47.87732485662431, "max_drawdown_pct": 45.16170735477563, "mean_exposure_while_solvent": 1.3062551678466627, "realized_annual_volatility_pct": 60.184189657676335, "trading_costs_quote_units": 25.905459285424566, "borrowing_costs_quote_units": 45.06845420525779, "price_pnl_quote_units": -1810.359663679421, "turnover_quote_units": 43175.765475707616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7779.190722085921, "return_pct": -22.208092779140788, "cagr_pct": -54.39274618657255, "max_drawdown_pct": 47.85933175195848, "mean_exposure_while_solvent": 1.256419426753306, "realized_annual_volatility_pct": 61.15027152065138, "trading_costs_quote_units": 14.883298234563071, "borrowing_costs_quote_units": 34.849172312907385, "price_pnl_quote_units": -2171.076807366602, "turnover_quote_units": 24805.497057605102, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7779.190722085921, "return_pct": -22.208092779140788, "cagr_pct": -54.39274618657255, "max_drawdown_pct": 47.85933175195848, "mean_exposure_while_solvent": 1.256419426753306, "realized_annual_volatility_pct": 61.15027152065138, "trading_costs_quote_units": 14.883298234563071, "borrowing_costs_quote_units": 34.849172312907385, "price_pnl_quote_units": -2171.076807366602, "turnover_quote_units": 24805.497057605102, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8791.081741260297, "return_pct": -12.08918258739703, "cagr_pct": -33.15600513853934, "max_drawdown_pct": 35.32278331223343, "mean_exposure_while_solvent": 0.9908778651077826, "realized_annual_volatility_pct": 46.82839874667302, "trading_costs_quote_units": 6.88387715157491, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1202.0343815881267, "turnover_quote_units": 11473.128585958184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8791.081741260297, "return_pct": -12.08918258739703, "cagr_pct": -33.15600513853934, "max_drawdown_pct": 35.32278331223343, "mean_exposure_while_solvent": 0.9908778651077826, "realized_annual_volatility_pct": 46.82839874667302, "trading_costs_quote_units": 6.88387715157491, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1202.0343815881267, "turnover_quote_units": 11473.128585958184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7779.190722085921, "return_pct": -22.208092779140788, "cagr_pct": -54.39274618657255, "max_drawdown_pct": 47.85933175195848, "mean_exposure_while_solvent": 1.256419426753306, "realized_annual_volatility_pct": 61.15027152065138, "trading_costs_quote_units": 14.883298234563071, "borrowing_costs_quote_units": 34.849172312907385, "price_pnl_quote_units": -2171.076807366602, "turnover_quote_units": 24805.497057605102, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7779.190722085921, "return_pct": -22.208092779140788, "cagr_pct": -54.39274618657255, "max_drawdown_pct": 47.85933175195848, "mean_exposure_while_solvent": 1.256419426753306, "realized_annual_volatility_pct": 61.15027152065138, "trading_costs_quote_units": 14.883298234563071, "borrowing_costs_quote_units": 34.849172312907385, "price_pnl_quote_units": -2171.076807366602, "turnover_quote_units": 24805.497057605102, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7779.190722085921, "return_pct": -22.208092779140788, "cagr_pct": -54.39274618657255, "max_drawdown_pct": 47.85933175195848, "mean_exposure_while_solvent": 1.256419426753306, "realized_annual_volatility_pct": 61.15027152065138, "trading_costs_quote_units": 14.883298234563071, "borrowing_costs_quote_units": 34.849172312907385, "price_pnl_quote_units": -2171.076807366602, "turnover_quote_units": 24805.497057605102, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7779.190722085921, "return_pct": -22.208092779140788, "cagr_pct": -54.39274618657255, "max_drawdown_pct": 47.85933175195848, "mean_exposure_while_solvent": 1.256419426753306, "realized_annual_volatility_pct": 61.15027152065138, "trading_costs_quote_units": 14.883298234563071, "borrowing_costs_quote_units": 34.849172312907385, "price_pnl_quote_units": -2171.076807366602, "turnover_quote_units": 24805.497057605102, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9129.629269727178, "return_pct": -8.703707302728214, "cagr_pct": -24.77421875325854, "max_drawdown_pct": 27.68832177061399, "mean_exposure_while_solvent": 0.7467247687647284, "realized_annual_volatility_pct": 35.33901267979712, "trading_costs_quote_units": 6.658857585751666, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -863.7118726870677, "turnover_quote_units": 11098.095976252771, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9129.629269727178, "return_pct": -8.703707302728214, "cagr_pct": -24.77421875325854, "max_drawdown_pct": 27.68832177061399, "mean_exposure_while_solvent": 0.7467247687647284, "realized_annual_volatility_pct": 35.33901267979712, "trading_costs_quote_units": 6.658857585751666, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -863.7118726870677, "turnover_quote_units": 11098.095976252771, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8783.71125706225, "return_pct": -12.1628874293775, "cagr_pct": -33.331051225062005, "max_drawdown_pct": 35.32278331223343, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.17550093167041, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1210.292340779044, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8783.71125706225, "return_pct": -12.1628874293775, "cagr_pct": -33.331051225062005, "max_drawdown_pct": 35.32278331223343, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.17550093167041, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1210.292340779044, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8375.338691828378, "return_pct": -16.24661308171622, "cagr_pct": -42.55049072996086, "max_drawdown_pct": 42.314226601669205, "mean_exposure_while_solvent": 1.2448453812063947, "realized_annual_volatility_pct": 59.0504694563009, "trading_costs_quote_units": 10.77543235785179, "borrowing_costs_quote_units": 32.868428783296636, "price_pnl_quote_units": -1581.0174470304848, "turnover_quote_units": 17959.053929752983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8375.338691828378, "return_pct": -16.24661308171622, "cagr_pct": -42.55049072996086, "max_drawdown_pct": 42.314226601669205, "mean_exposure_while_solvent": 1.2448453812063947, "realized_annual_volatility_pct": 59.0504694563009, "trading_costs_quote_units": 10.77543235785179, "borrowing_costs_quote_units": 32.868428783296636, "price_pnl_quote_units": -1581.0174470304848, "turnover_quote_units": 17959.053929752983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7949.853383736259, "return_pct": -20.501466162637406, "cagr_pct": -51.19122880261927, "max_drawdown_pct": 48.65483931459794, "mean_exposure_while_solvent": 1.4941033954800298, "realized_annual_volatility_pct": 70.96991609156346, "trading_costs_quote_units": 16.488074088873773, "borrowing_costs_quote_units": 62.969191699433935, "price_pnl_quote_units": -1970.689350475439, "turnover_quote_units": 27480.123481456285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7949.853383736259, "return_pct": -20.501466162637406, "cagr_pct": -51.19122880261927, "max_drawdown_pct": 48.65483931459794, "mean_exposure_while_solvent": 1.4941033954800298, "realized_annual_volatility_pct": 70.96991609156346, "trading_costs_quote_units": 16.488074088873773, "borrowing_costs_quote_units": 62.969191699433935, "price_pnl_quote_units": -1970.689350475439, "turnover_quote_units": 27480.123481456285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8364.223091541422, "return_pct": -16.357769084585783, "cagr_pct": -42.788518388351754, "max_drawdown_pct": 38.53066203367018, "mean_exposure_while_solvent": 0.9011236441029981, "realized_annual_volatility_pct": 42.261293500986746, "trading_costs_quote_units": 17.32631544844612, "borrowing_costs_quote_units": 13.351393549769064, "price_pnl_quote_units": -1605.09919946036, "turnover_quote_units": 28877.19241407687, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8364.223091541422, "return_pct": -16.357769084585783, "cagr_pct": -42.788518388351754, "max_drawdown_pct": 38.53066203367018, "mean_exposure_while_solvent": 0.9011236441029981, "realized_annual_volatility_pct": 42.261293500986746, "trading_costs_quote_units": 17.32631544844612, "borrowing_costs_quote_units": 13.351393549769064, "price_pnl_quote_units": -1605.09919946036, "turnover_quote_units": 28877.19241407687, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8056.005281045087, "return_pct": -19.439947189549134, "cagr_pct": -49.124696671044305, "max_drawdown_pct": 47.9643485441764, "mean_exposure_while_solvent": 1.2892949828067477, "realized_annual_volatility_pct": 60.39799425272005, "trading_costs_quote_units": 18.50871466631139, "borrowing_costs_quote_units": 82.72783012069269, "price_pnl_quote_units": -1842.7581741678973, "turnover_quote_units": 30847.857777185676, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8056.005281045087, "return_pct": -19.439947189549134, "cagr_pct": -49.124696671044305, "max_drawdown_pct": 47.9643485441764, "mean_exposure_while_solvent": 1.2892949828067477, "realized_annual_volatility_pct": 60.39799425272005, "trading_costs_quote_units": 18.50871466631139, "borrowing_costs_quote_units": 82.72783012069269, "price_pnl_quote_units": -1842.7581741678973, "turnover_quote_units": 30847.857777185676, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7897.793865881817, "return_pct": -21.022061341181832, "cagr_pct": -52.18351229839398, "max_drawdown_pct": 48.734775697446786, "mean_exposure_while_solvent": 1.4544831586002078, "realized_annual_volatility_pct": 68.50106844240933, "trading_costs_quote_units": 17.339814987728985, "borrowing_costs_quote_units": 117.17933111901276, "price_pnl_quote_units": -1967.6869880114466, "turnover_quote_units": 28899.691646214957, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7897.793865881817, "return_pct": -21.022061341181832, "cagr_pct": -52.18351229839398, "max_drawdown_pct": 48.734775697446786, "mean_exposure_while_solvent": 1.4544831586002078, "realized_annual_volatility_pct": 68.50106844240933, "trading_costs_quote_units": 17.339814987728985, "borrowing_costs_quote_units": 117.17933111901276, "price_pnl_quote_units": -1967.6869880114466, "turnover_quote_units": 28899.691646214957, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8075.859542379477, "return_pct": -19.241404576205234, "cagr_pct": -48.731688194346674, "max_drawdown_pct": 45.245676331294106, "mean_exposure_while_solvent": 1.3062824058216544, "realized_annual_volatility_pct": 60.185858681894125, "trading_costs_quote_units": 25.860762773488982, "borrowing_costs_quote_units": 89.9265923623288, "price_pnl_quote_units": -1808.353102484709, "turnover_quote_units": 43101.27128914829, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8075.859542379477, "return_pct": -19.241404576205234, "cagr_pct": -48.731688194346674, "max_drawdown_pct": 45.245676331294106, "mean_exposure_while_solvent": 1.3062824058216544, "realized_annual_volatility_pct": 60.185858681894125, "trading_costs_quote_units": 25.860762773488982, "borrowing_costs_quote_units": 89.9265923623288, "price_pnl_quote_units": -1808.353102484709, "turnover_quote_units": 43101.27128914829, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7746.747708863797, "return_pct": -22.53252291136203, "cagr_pct": -54.98474023313909, "max_drawdown_pct": 47.935691666667324, "mean_exposure_while_solvent": 1.2564392080129123, "realized_annual_volatility_pct": 61.15275710960767, "trading_costs_quote_units": 14.866398597464123, "borrowing_costs_quote_units": 69.57198497762828, "price_pnl_quote_units": -2168.813907561097, "turnover_quote_units": 24777.330995773573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7746.747708863797, "return_pct": -22.53252291136203, "cagr_pct": -54.98474023313909, "max_drawdown_pct": 47.935691666667324, "mean_exposure_while_solvent": 1.2564392080129123, "realized_annual_volatility_pct": 61.15275710960767, "trading_costs_quote_units": 14.866398597464123, "borrowing_costs_quote_units": 69.57198497762828, "price_pnl_quote_units": -2168.813907561097, "turnover_quote_units": 24777.330995773573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8791.081741260297, "return_pct": -12.08918258739703, "cagr_pct": -33.15600513853934, "max_drawdown_pct": 35.32278331223343, "mean_exposure_while_solvent": 0.9908778651077826, "realized_annual_volatility_pct": 46.82839874667302, "trading_costs_quote_units": 6.88387715157491, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1202.0343815881267, "turnover_quote_units": 11473.128585958184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8791.081741260297, "return_pct": -12.08918258739703, "cagr_pct": -33.15600513853934, "max_drawdown_pct": 35.32278331223343, "mean_exposure_while_solvent": 0.9908778651077826, "realized_annual_volatility_pct": 46.82839874667302, "trading_costs_quote_units": 6.88387715157491, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1202.0343815881267, "turnover_quote_units": 11473.128585958184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7746.747708863797, "return_pct": -22.53252291136203, "cagr_pct": -54.98474023313909, "max_drawdown_pct": 47.935691666667324, "mean_exposure_while_solvent": 1.2564392080129123, "realized_annual_volatility_pct": 61.15275710960767, "trading_costs_quote_units": 14.866398597464123, "borrowing_costs_quote_units": 69.57198497762828, "price_pnl_quote_units": -2168.813907561097, "turnover_quote_units": 24777.330995773573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7746.747708863797, "return_pct": -22.53252291136203, "cagr_pct": -54.98474023313909, "max_drawdown_pct": 47.935691666667324, "mean_exposure_while_solvent": 1.2564392080129123, "realized_annual_volatility_pct": 61.15275710960767, "trading_costs_quote_units": 14.866398597464123, "borrowing_costs_quote_units": 69.57198497762828, "price_pnl_quote_units": -2168.813907561097, "turnover_quote_units": 24777.330995773573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7746.747708863797, "return_pct": -22.53252291136203, "cagr_pct": -54.98474023313909, "max_drawdown_pct": 47.935691666667324, "mean_exposure_while_solvent": 1.2564392080129123, "realized_annual_volatility_pct": 61.15275710960767, "trading_costs_quote_units": 14.866398597464123, "borrowing_costs_quote_units": 69.57198497762828, "price_pnl_quote_units": -2168.813907561097, "turnover_quote_units": 24777.330995773573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7746.747708863797, "return_pct": -22.53252291136203, "cagr_pct": -54.98474023313909, "max_drawdown_pct": 47.935691666667324, "mean_exposure_while_solvent": 1.2564392080129123, "realized_annual_volatility_pct": 61.15275710960767, "trading_costs_quote_units": 14.866398597464123, "borrowing_costs_quote_units": 69.57198497762828, "price_pnl_quote_units": -2168.813907561097, "turnover_quote_units": 24777.330995773573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9129.629269727178, "return_pct": -8.703707302728214, "cagr_pct": -24.77421875325854, "max_drawdown_pct": 27.68832177061399, "mean_exposure_while_solvent": 0.7467247687647284, "realized_annual_volatility_pct": 35.33901267979712, "trading_costs_quote_units": 6.658857585751666, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -863.7118726870677, "turnover_quote_units": 11098.095976252771, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9129.629269727178, "return_pct": -8.703707302728214, "cagr_pct": -24.77421875325854, "max_drawdown_pct": 27.68832177061399, "mean_exposure_while_solvent": 0.7467247687647284, "realized_annual_volatility_pct": 35.33901267979712, "trading_costs_quote_units": 6.658857585751666, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -863.7118726870677, "turnover_quote_units": 11098.095976252771, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8783.71125706225, "return_pct": -12.1628874293775, "cagr_pct": -33.331051225062005, "max_drawdown_pct": 35.32278331223343, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.17550093167041, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1210.292340779044, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8783.71125706225, "return_pct": -12.1628874293775, "cagr_pct": -33.331051225062005, "max_drawdown_pct": 35.32278331223343, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.17550093167041, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1210.292340779044, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8341.987731183812, "return_pct": -16.58012268816188, "cagr_pct": -43.26264824555716, "max_drawdown_pct": 42.358935387453066, "mean_exposure_while_solvent": 1.2448630938124086, "realized_annual_volatility_pct": 59.05148038961633, "trading_costs_quote_units": 10.769760174750513, "borrowing_costs_quote_units": 65.61863257127168, "price_pnl_quote_units": -1581.6238760701656, "turnover_quote_units": 17949.600291250852, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8341.987731183812, "return_pct": -16.58012268816188, "cagr_pct": -43.26264824555716, "max_drawdown_pct": 42.358935387453066, "mean_exposure_while_solvent": 1.2448630938124086, "realized_annual_volatility_pct": 59.05148038961633, "trading_costs_quote_units": 10.769760174750513, "borrowing_costs_quote_units": 65.61863257127168, "price_pnl_quote_units": -1581.6238760701656, "turnover_quote_units": 17949.600291250852, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7886.623517576763, "return_pct": -21.133764824232372, "cagr_pct": -52.39462233542793, "max_drawdown_pct": 48.734775697446786, "mean_exposure_while_solvent": 1.4941459472463443, "realized_annual_volatility_pct": 70.97235335553849, "trading_costs_quote_units": 16.46188418216182, "borrowing_costs_quote_units": 125.48695876672733, "price_pnl_quote_units": -1971.427639474349, "turnover_quote_units": 27436.473636936353, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7886.623517576763, "return_pct": -21.133764824232372, "cagr_pct": -52.39462233542793, "max_drawdown_pct": 48.734775697446786, "mean_exposure_while_solvent": 1.4941459472463443, "realized_annual_volatility_pct": 70.97235335553849, "trading_costs_quote_units": 16.46188418216182, "borrowing_costs_quote_units": 125.48695876672733, "price_pnl_quote_units": -1971.427639474349, "turnover_quote_units": 27436.473636936353, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8352.936095577976, "return_pct": -16.47063904422025, "cagr_pct": -43.029529039004046, "max_drawdown_pct": 38.60567834535203, "mean_exposure_while_solvent": 0.9011295916361608, "realized_annual_volatility_pct": 42.263616962188046, "trading_costs_quote_units": 17.31861476343668, "borrowing_costs_quote_units": 26.689300574894254, "price_pnl_quote_units": -1603.0559890836926, "turnover_quote_units": 28864.357939061134, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8352.936095577976, "return_pct": -16.47063904422025, "cagr_pct": -43.029529039004046, "max_drawdown_pct": 38.60567834535203, "mean_exposure_while_solvent": 0.9011295916361608, "realized_annual_volatility_pct": 42.263616962188046, "trading_costs_quote_units": 17.31861476343668, "borrowing_costs_quote_units": 26.689300574894254, "price_pnl_quote_units": -1603.0559890836926, "turnover_quote_units": 28864.357939061134, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7979.402655461989, "return_pct": -20.20597344538011, "cagr_pct": -50.62182003497888, "max_drawdown_pct": 48.12459441367029, "mean_exposure_while_solvent": 1.2893436367927036, "realized_annual_volatility_pct": 60.40148594557001, "trading_costs_quote_units": 18.46228251200848, "borrowing_costs_quote_units": 164.76244469297893, "price_pnl_quote_units": -1837.3726173330297, "turnover_quote_units": 30770.470853347466, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7979.402655461989, "return_pct": -20.20597344538011, "cagr_pct": -50.62182003497888, "max_drawdown_pct": 48.12459441367029, "mean_exposure_while_solvent": 1.2893436367927036, "realized_annual_volatility_pct": 60.40148594557001, "trading_costs_quote_units": 18.46228251200848, "borrowing_costs_quote_units": 164.76244469297893, "price_pnl_quote_units": -1837.3726173330297, "turnover_quote_units": 30770.470853347466, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7782.541828038183, "return_pct": -22.174581719618168, "cagr_pct": -54.331297868477776, "max_drawdown_pct": 48.894319166769264, "mean_exposure_while_solvent": 1.454560051054931, "realized_annual_volatility_pct": 68.50562122382316, "trading_costs_quote_units": 17.285371713029598, "borrowing_costs_quote_units": 232.82534231229099, "price_pnl_quote_units": -1967.3474579365045, "turnover_quote_units": 28808.952855049323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7782.541828038183, "return_pct": -22.174581719618168, "cagr_pct": -54.331297868477776, "max_drawdown_pct": 48.894319166769264, "mean_exposure_while_solvent": 1.454560051054931, "realized_annual_volatility_pct": 68.50562122382316, "trading_costs_quote_units": 17.285371713029598, "borrowing_costs_quote_units": 232.82534231229099, "price_pnl_quote_units": -1967.3474579365045, "turnover_quote_units": 28808.952855049323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7990.898015750641, "return_pct": -20.091019842493584, "cagr_pct": -50.399091559970046, "max_drawdown_pct": 45.41327369249878, "mean_exposure_while_solvent": 1.3063368929835972, "realized_annual_volatility_pct": 60.189220844052016, "trading_costs_quote_units": 25.773650167505252, "borrowing_costs_quote_units": 179.015927645679, "price_pnl_quote_units": -1804.3124064361818, "turnover_quote_units": 42956.08361250873, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7990.898015750641, "return_pct": -20.091019842493584, "cagr_pct": -50.399091559970046, "max_drawdown_pct": 45.41327369249878, "mean_exposure_while_solvent": 1.3063368929835972, "realized_annual_volatility_pct": 60.189220844052016, "trading_costs_quote_units": 25.773650167505252, "borrowing_costs_quote_units": 179.015927645679, "price_pnl_quote_units": -1804.3124064361818, "turnover_quote_units": 42956.08361250873, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7682.251695815179, "return_pct": -23.177483041848213, "cagr_pct": -56.14604897225228, "max_drawdown_pct": 48.088117209708415, "mean_exposure_while_solvent": 1.256478777580824, "realized_annual_volatility_pct": 61.15773972738738, "trading_costs_quote_units": 14.832713277817943, "borrowing_costs_quote_units": 138.640413548338, "price_pnl_quote_units": -2164.2751773586597, "turnover_quote_units": 24721.188796363254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7682.251695815179, "return_pct": -23.177483041848213, "cagr_pct": -56.14604897225228, "max_drawdown_pct": 48.088117209708415, "mean_exposure_while_solvent": 1.256478777580824, "realized_annual_volatility_pct": 61.15773972738738, "trading_costs_quote_units": 14.832713277817943, "borrowing_costs_quote_units": 138.640413548338, "price_pnl_quote_units": -2164.2751773586597, "turnover_quote_units": 24721.188796363254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8791.081741260297, "return_pct": -12.08918258739703, "cagr_pct": -33.15600513853934, "max_drawdown_pct": 35.32278331223343, "mean_exposure_while_solvent": 0.9908778651077826, "realized_annual_volatility_pct": 46.82839874667302, "trading_costs_quote_units": 6.88387715157491, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1202.0343815881267, "turnover_quote_units": 11473.128585958184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8791.081741260297, "return_pct": -12.08918258739703, "cagr_pct": -33.15600513853934, "max_drawdown_pct": 35.32278331223343, "mean_exposure_while_solvent": 0.9908778651077826, "realized_annual_volatility_pct": 46.82839874667302, "trading_costs_quote_units": 6.88387715157491, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1202.0343815881267, "turnover_quote_units": 11473.128585958184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7682.251695815179, "return_pct": -23.177483041848213, "cagr_pct": -56.14604897225228, "max_drawdown_pct": 48.088117209708415, "mean_exposure_while_solvent": 1.256478777580824, "realized_annual_volatility_pct": 61.15773972738738, "trading_costs_quote_units": 14.832713277817943, "borrowing_costs_quote_units": 138.640413548338, "price_pnl_quote_units": -2164.2751773586597, "turnover_quote_units": 24721.188796363254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7682.251695815179, "return_pct": -23.177483041848213, "cagr_pct": -56.14604897225228, "max_drawdown_pct": 48.088117209708415, "mean_exposure_while_solvent": 1.256478777580824, "realized_annual_volatility_pct": 61.15773972738738, "trading_costs_quote_units": 14.832713277817943, "borrowing_costs_quote_units": 138.640413548338, "price_pnl_quote_units": -2164.2751773586597, "turnover_quote_units": 24721.188796363254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7682.251695815179, "return_pct": -23.177483041848213, "cagr_pct": -56.14604897225228, "max_drawdown_pct": 48.088117209708415, "mean_exposure_while_solvent": 1.256478777580824, "realized_annual_volatility_pct": 61.15773972738738, "trading_costs_quote_units": 14.832713277817943, "borrowing_costs_quote_units": 138.640413548338, "price_pnl_quote_units": -2164.2751773586597, "turnover_quote_units": 24721.188796363254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7682.251695815179, "return_pct": -23.177483041848213, "cagr_pct": -56.14604897225228, "max_drawdown_pct": 48.088117209708415, "mean_exposure_while_solvent": 1.256478777580824, "realized_annual_volatility_pct": 61.15773972738738, "trading_costs_quote_units": 14.832713277817943, "borrowing_costs_quote_units": 138.640413548338, "price_pnl_quote_units": -2164.2751773586597, "turnover_quote_units": 24721.188796363254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9129.629269727178, "return_pct": -8.703707302728214, "cagr_pct": -24.77421875325854, "max_drawdown_pct": 27.68832177061399, "mean_exposure_while_solvent": 0.7467247687647284, "realized_annual_volatility_pct": 35.33901267979712, "trading_costs_quote_units": 6.658857585751666, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -863.7118726870677, "turnover_quote_units": 11098.095976252771, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9129.629269727178, "return_pct": -8.703707302728214, "cagr_pct": -24.77421875325854, "max_drawdown_pct": 27.68832177061399, "mean_exposure_while_solvent": 0.7467247687647284, "realized_annual_volatility_pct": 35.33901267979712, "trading_costs_quote_units": 6.658857585751666, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -863.7118726870677, "turnover_quote_units": 11098.095976252771, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8783.71125706225, "return_pct": -12.1628874293775, "cagr_pct": -33.331051225062005, "max_drawdown_pct": 35.32278331223343, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.17550093167041, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1210.292340779044, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8783.71125706225, "return_pct": -12.1628874293775, "cagr_pct": -33.331051225062005, "max_drawdown_pct": 35.32278331223343, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.17550093167041, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1210.292340779044, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8275.668414784765, "return_pct": -17.243315852152353, "cagr_pct": -44.660907954832794, "max_drawdown_pct": 42.44826891047438, "mean_exposure_while_solvent": 1.244898524472713, "realized_annual_volatility_pct": 59.05350281782916, "trading_costs_quote_units": 10.759255031701384, "borrowing_costs_quote_units": 130.76608730021294, "price_pnl_quote_units": -1582.8062428833236, "turnover_quote_units": 17932.0917195023, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8275.668414784765, "return_pct": -17.243315852152353, "cagr_pct": -44.660907954832794, "max_drawdown_pct": 42.44826891047438, "mean_exposure_while_solvent": 1.244898524472713, "realized_annual_volatility_pct": 59.05350281782916, "trading_costs_quote_units": 10.759255031701384, "borrowing_costs_quote_units": 130.76608730021294, "price_pnl_quote_units": -1582.8062428833236, "turnover_quote_units": 17932.0917195023, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7761.633198081359, "return_pct": -22.38366801918641, "cagr_pct": -54.71377483727598, "max_drawdown_pct": 48.894319166769264, "mean_exposure_while_solvent": 1.4942310692256795, "realized_annual_volatility_pct": 70.97722977622519, "trading_costs_quote_units": 16.41181035835304, "borrowing_costs_quote_units": 249.18173297578792, "price_pnl_quote_units": -1972.7732585845124, "turnover_quote_units": 27353.01726392175, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7761.633198081359, "return_pct": -22.38366801918641, "cagr_pct": -54.71377483727598, "max_drawdown_pct": 48.894319166769264, "mean_exposure_while_solvent": 1.4942310692256795, "realized_annual_volatility_pct": 70.97722977622519, "trading_costs_quote_units": 16.41181035835304, "borrowing_costs_quote_units": 249.18173297578792, "price_pnl_quote_units": -1972.7732585845124, "turnover_quote_units": 27353.01726392175, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8329.073918484715, "return_pct": -16.70926081515285, "cagr_pct": -43.53678201207906, "max_drawdown_pct": 38.55025573302764, "mean_exposure_while_solvent": 0.9039060146865399, "realized_annual_volatility_pct": 42.16116992163546, "trading_costs_quote_units": 86.25639253590114, "borrowing_costs_quote_units": 6.714221868513657, "price_pnl_quote_units": -1577.9554671108688, "turnover_quote_units": 28752.130845300373, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8329.073918484715, "return_pct": -16.70926081515285, "cagr_pct": -43.53678201207906, "max_drawdown_pct": 38.55025573302764, "mean_exposure_while_solvent": 0.9039060146865399, "realized_annual_volatility_pct": 42.16116992163546, "trading_costs_quote_units": 86.25639253590114, "borrowing_costs_quote_units": 6.714221868513657, "price_pnl_quote_units": -1577.9554671108688, "turnover_quote_units": 28752.130845300373, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8022.777024272873, "return_pct": -19.772229757271276, "cagr_pct": -49.777846273943396, "max_drawdown_pct": 48.015026141907846, "mean_exposure_while_solvent": 1.2934986764532166, "realized_annual_volatility_pct": 60.260975410257124, "trading_costs_quote_units": 93.32488502082485, "borrowing_costs_quote_units": 41.61057031189072, "price_pnl_quote_units": -1842.287520394412, "turnover_quote_units": 31108.295006941556, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8022.777024272873, "return_pct": -19.772229757271276, "cagr_pct": -49.777846273943396, "max_drawdown_pct": 48.015026141907846, "mean_exposure_while_solvent": 1.2934986764532166, "realized_annual_volatility_pct": 60.260975410257124, "trading_costs_quote_units": 93.32488502082485, "borrowing_costs_quote_units": 41.61057031189072, "price_pnl_quote_units": -1842.287520394412, "turnover_quote_units": 31108.295006941556, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7926.585588712044, "return_pct": -20.73414411287956, "cagr_pct": -51.636439390900534, "max_drawdown_pct": 48.82776606398645, "mean_exposure_while_solvent": 1.4588862919480476, "realized_annual_volatility_pct": 68.54950927783555, "trading_costs_quote_units": 85.93229357561503, "borrowing_costs_quote_units": 58.96274830101676, "price_pnl_quote_units": -1928.5193694113357, "turnover_quote_units": 28644.097858538367, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7926.585588712044, "return_pct": -20.73414411287956, "cagr_pct": -51.636439390900534, "max_drawdown_pct": 48.82776606398645, "mean_exposure_while_solvent": 1.4588862919480476, "realized_annual_volatility_pct": 68.54950927783555, "trading_costs_quote_units": 85.93229357561503, "borrowing_costs_quote_units": 58.96274830101676, "price_pnl_quote_units": -1928.5193694113357, "turnover_quote_units": 28644.097858538367, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8077.638475784068, "return_pct": -19.22361524215932, "cagr_pct": -48.696374341081516, "max_drawdown_pct": 45.38442102690205, "mean_exposure_while_solvent": 1.3107677840705185, "realized_annual_volatility_pct": 60.06486221040295, "trading_costs_quote_units": 128.47100827463234, "borrowing_costs_quote_units": 45.29603695072121, "price_pnl_quote_units": -1748.594478990585, "turnover_quote_units": 42823.66942487743, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8077.638475784068, "return_pct": -19.22361524215932, "cagr_pct": -48.696374341081516, "max_drawdown_pct": 45.38442102690205, "mean_exposure_while_solvent": 1.3107677840705185, "realized_annual_volatility_pct": 60.06486221040295, "trading_costs_quote_units": 128.47100827463234, "borrowing_costs_quote_units": 45.29603695072121, "price_pnl_quote_units": -1748.594478990585, "turnover_quote_units": 42823.66942487743, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7702.954632544037, "return_pct": -22.970453674559632, "cagr_pct": -55.775522411659416, "max_drawdown_pct": 48.043724582339664, "mean_exposure_while_solvent": 1.2601915727844182, "realized_annual_volatility_pct": 61.09744597071681, "trading_costs_quote_units": 75.85252933579842, "borrowing_costs_quote_units": 34.93790545406879, "price_pnl_quote_units": -2186.2549326660933, "turnover_quote_units": 25284.176445266145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7702.954632544037, "return_pct": -22.970453674559632, "cagr_pct": -55.775522411659416, "max_drawdown_pct": 48.043724582339664, "mean_exposure_while_solvent": 1.2601915727844182, "realized_annual_volatility_pct": 61.09744597071681, "trading_costs_quote_units": 75.85252933579842, "borrowing_costs_quote_units": 34.93790545406879, "price_pnl_quote_units": -2186.2549326660933, "turnover_quote_units": 25284.176445266145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8807.324608387116, "return_pct": -11.92675391612884, "cagr_pct": -32.76914047817351, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9937047696074672, "realized_annual_volatility_pct": 46.83086534030533, "trading_costs_quote_units": 34.29553054090939, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1158.379861071976, "turnover_quote_units": 11431.843513636462, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8807.324608387116, "return_pct": -11.92675391612884, "cagr_pct": -32.76914047817351, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9937047696074672, "realized_annual_volatility_pct": 46.83086534030533, "trading_costs_quote_units": 34.29553054090939, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1158.379861071976, "turnover_quote_units": 11431.843513636462, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7702.954632544037, "return_pct": -22.970453674559632, "cagr_pct": -55.775522411659416, "max_drawdown_pct": 48.043724582339664, "mean_exposure_while_solvent": 1.2601915727844182, "realized_annual_volatility_pct": 61.09744597071681, "trading_costs_quote_units": 75.85252933579842, "borrowing_costs_quote_units": 34.93790545406879, "price_pnl_quote_units": -2186.2549326660933, "turnover_quote_units": 25284.176445266145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7702.954632544037, "return_pct": -22.970453674559632, "cagr_pct": -55.775522411659416, "max_drawdown_pct": 48.043724582339664, "mean_exposure_while_solvent": 1.2601915727844182, "realized_annual_volatility_pct": 61.09744597071681, "trading_costs_quote_units": 75.85252933579842, "borrowing_costs_quote_units": 34.93790545406879, "price_pnl_quote_units": -2186.2549326660933, "turnover_quote_units": 25284.176445266145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7702.954632544037, "return_pct": -22.970453674559632, "cagr_pct": -55.775522411659416, "max_drawdown_pct": 48.043724582339664, "mean_exposure_while_solvent": 1.2601915727844182, "realized_annual_volatility_pct": 61.09744597071681, "trading_costs_quote_units": 75.85252933579842, "borrowing_costs_quote_units": 34.93790545406879, "price_pnl_quote_units": -2186.2549326660933, "turnover_quote_units": 25284.176445266145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7702.954632544037, "return_pct": -22.970453674559632, "cagr_pct": -55.775522411659416, "max_drawdown_pct": 48.043724582339664, "mean_exposure_while_solvent": 1.2601915727844182, "realized_annual_volatility_pct": 61.09744597071681, "trading_costs_quote_units": 75.85252933579842, "borrowing_costs_quote_units": 34.93790545406879, "price_pnl_quote_units": -2186.2549326660933, "turnover_quote_units": 25284.176445266145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9147.484435749044, "return_pct": -8.525155642509564, "cagr_pct": -24.313322030307106, "max_drawdown_pct": 27.660419638611312, "mean_exposure_while_solvent": 0.7487816963649345, "realized_annual_volatility_pct": 35.33576372931317, "trading_costs_quote_units": 33.10659884615969, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -819.4089654047963, "turnover_quote_units": 11035.532948719903, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9147.484435749044, "return_pct": -8.525155642509564, "cagr_pct": -24.313322030307106, "max_drawdown_pct": 27.660419638611312, "mean_exposure_while_solvent": 0.7487816963649345, "realized_annual_volatility_pct": 35.33576372931317, "trading_costs_quote_units": 33.10659884615969, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -819.4089654047963, "turnover_quote_units": 11035.532948719903, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8802.721144303043, "return_pct": -11.972788556969572, "cagr_pct": -32.87893774466498, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.185259252466466, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1167.3685865045313, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8802.721144303043, "return_pct": -11.972788556969572, "cagr_pct": -32.87893774466498, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.185259252466466, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1167.3685865045313, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8366.19566483271, "return_pct": -16.338043351672894, "cagr_pct": -42.74632707199526, "max_drawdown_pct": 42.39382398664006, "mean_exposure_while_solvent": 1.2485354602646812, "realized_annual_volatility_pct": 59.08441563072137, "trading_costs_quote_units": 53.54658356356811, "borrowing_costs_quote_units": 33.00763046550562, "price_pnl_quote_units": -1547.250121138203, "turnover_quote_units": 17848.86118785604, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8366.19566483271, "return_pct": -16.338043351672894, "cagr_pct": -42.74632707199526, "max_drawdown_pct": 42.39382398664006, "mean_exposure_while_solvent": 1.2485354602646812, "realized_annual_volatility_pct": 59.08441563072137, "trading_costs_quote_units": 53.54658356356811, "borrowing_costs_quote_units": 33.00763046550562, "price_pnl_quote_units": -1547.250121138203, "turnover_quote_units": 17848.86118785604, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7903.1517838881155, "return_pct": -20.96848216111884, "cagr_pct": -52.082026659152824, "max_drawdown_pct": 48.842936699008355, "mean_exposure_while_solvent": 1.4986804220831542, "realized_annual_volatility_pct": 71.03947267359284, "trading_costs_quote_units": 81.72141839859678, "borrowing_costs_quote_units": 63.078248126958194, "price_pnl_quote_units": -1952.0485495863447, "turnover_quote_units": 27240.472799532257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7903.1517838881155, "return_pct": -20.96848216111884, "cagr_pct": -52.082026659152824, "max_drawdown_pct": 48.842936699008355, "mean_exposure_while_solvent": 1.4986804220831542, "realized_annual_volatility_pct": 71.03947267359284, "trading_costs_quote_units": 81.72141839859678, "borrowing_costs_quote_units": 63.078248126958194, "price_pnl_quote_units": -1952.0485495863447, "turnover_quote_units": 27240.472799532257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8323.425962746162, "return_pct": -16.765740372538385, "cagr_pct": -43.656392850004465, "max_drawdown_pct": 38.587563486285035, "mean_exposure_while_solvent": 0.9039089919998072, "realized_annual_volatility_pct": 42.16245111971274, "trading_costs_quote_units": 86.24011460279783, "borrowing_costs_quote_units": 13.425037137378737, "price_pnl_quote_units": -1576.9088855136627, "turnover_quote_units": 28746.70486759928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8323.425962746162, "return_pct": -16.765740372538385, "cagr_pct": -43.656392850004465, "max_drawdown_pct": 38.587563486285035, "mean_exposure_while_solvent": 0.9039089919998072, "realized_annual_volatility_pct": 42.16245111971274, "trading_costs_quote_units": 86.24011460279783, "borrowing_costs_quote_units": 13.425037137378737, "price_pnl_quote_units": -1576.9088855136627, "turnover_quote_units": 28746.70486759928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7984.357461329548, "return_pct": -20.156425386704523, "cagr_pct": -50.52590173616147, "max_drawdown_pct": 48.09526342768169, "mean_exposure_while_solvent": 1.2935232100842469, "realized_annual_volatility_pct": 60.263351105723494, "trading_costs_quote_units": 93.20416381571496, "borrowing_costs_quote_units": 83.04615365894584, "price_pnl_quote_units": -1839.3922211957877, "turnover_quote_units": 31068.05460523829, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7984.357461329548, "return_pct": -20.156425386704523, "cagr_pct": -50.52590173616147, "max_drawdown_pct": 48.09526342768169, "mean_exposure_while_solvent": 1.2935232100842469, "realized_annual_volatility_pct": 60.263351105723494, "trading_costs_quote_units": 93.20416381571496, "borrowing_costs_quote_units": 83.04615365894584, "price_pnl_quote_units": -1839.3922211957877, "turnover_quote_units": 31068.05460523829, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7868.358094138073, "return_pct": -21.316419058619264, "cagr_pct": -52.7384560050788, "max_drawdown_pct": 48.907830024495226, "mean_exposure_while_solvent": 1.4589249671878408, "realized_annual_volatility_pct": 68.55236588744098, "trading_costs_quote_units": 85.80713258382195, "borrowing_costs_quote_units": 117.53780455201326, "price_pnl_quote_units": -1928.2969687261045, "turnover_quote_units": 28602.377527940647, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7868.358094138073, "return_pct": -21.316419058619264, "cagr_pct": -52.7384560050788, "max_drawdown_pct": 48.907830024495226, "mean_exposure_while_solvent": 1.4589249671878408, "realized_annual_volatility_pct": 68.55236588744098, "trading_costs_quote_units": 85.80713258382195, "borrowing_costs_quote_units": 117.53780455201326, "price_pnl_quote_units": -1928.2969687261045, "turnover_quote_units": 28602.377527940647, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8034.857696717025, "return_pct": -19.65142303282975, "cagr_pct": -49.54104706165792, "max_drawdown_pct": 45.46775688016206, "mean_exposure_while_solvent": 1.3107952787431592, "realized_annual_volatility_pct": 60.067009941459595, "trading_costs_quote_units": 128.24874339256522, "borrowing_costs_quote_units": 90.38033605583924, "price_pnl_quote_units": -1746.5132238345668, "turnover_quote_units": 42749.5811308551, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8034.857696717025, "return_pct": -19.65142303282975, "cagr_pct": -49.54104706165792, "max_drawdown_pct": 45.46775688016206, "mean_exposure_while_solvent": 1.3107952787431592, "realized_annual_volatility_pct": 60.067009941459595, "trading_costs_quote_units": 128.24874339256522, "borrowing_costs_quote_units": 90.38033605583924, "price_pnl_quote_units": -1746.5132238345668, "turnover_quote_units": 42749.5811308551, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7670.688452251534, "return_pct": -23.293115477484662, "cagr_pct": -56.35207790041606, "max_drawdown_pct": 48.1202831898896, "mean_exposure_while_solvent": 1.2602114767598647, "realized_annual_volatility_pct": 61.100521804558184, "trading_costs_quote_units": 75.76139983321829, "borrowing_costs_quote_units": 69.74900522098139, "price_pnl_quote_units": -2183.801142694263, "turnover_quote_units": 25253.79994440609, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7670.688452251534, "return_pct": -23.293115477484662, "cagr_pct": -56.35207790041606, "max_drawdown_pct": 48.1202831898896, "mean_exposure_while_solvent": 1.2602114767598647, "realized_annual_volatility_pct": 61.100521804558184, "trading_costs_quote_units": 75.76139983321829, "borrowing_costs_quote_units": 69.74900522098139, "price_pnl_quote_units": -2183.801142694263, "turnover_quote_units": 25253.79994440609, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8807.324608387116, "return_pct": -11.92675391612884, "cagr_pct": -32.76914047817351, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9937047696074672, "realized_annual_volatility_pct": 46.83086534030533, "trading_costs_quote_units": 34.29553054090939, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1158.379861071976, "turnover_quote_units": 11431.843513636462, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8807.324608387116, "return_pct": -11.92675391612884, "cagr_pct": -32.76914047817351, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9937047696074672, "realized_annual_volatility_pct": 46.83086534030533, "trading_costs_quote_units": 34.29553054090939, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1158.379861071976, "turnover_quote_units": 11431.843513636462, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7670.688452251534, "return_pct": -23.293115477484662, "cagr_pct": -56.35207790041606, "max_drawdown_pct": 48.1202831898896, "mean_exposure_while_solvent": 1.2602114767598647, "realized_annual_volatility_pct": 61.100521804558184, "trading_costs_quote_units": 75.76139983321829, "borrowing_costs_quote_units": 69.74900522098139, "price_pnl_quote_units": -2183.801142694263, "turnover_quote_units": 25253.79994440609, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7670.688452251534, "return_pct": -23.293115477484662, "cagr_pct": -56.35207790041606, "max_drawdown_pct": 48.1202831898896, "mean_exposure_while_solvent": 1.2602114767598647, "realized_annual_volatility_pct": 61.100521804558184, "trading_costs_quote_units": 75.76139983321829, "borrowing_costs_quote_units": 69.74900522098139, "price_pnl_quote_units": -2183.801142694263, "turnover_quote_units": 25253.79994440609, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7670.688452251534, "return_pct": -23.293115477484662, "cagr_pct": -56.35207790041606, "max_drawdown_pct": 48.1202831898896, "mean_exposure_while_solvent": 1.2602114767598647, "realized_annual_volatility_pct": 61.100521804558184, "trading_costs_quote_units": 75.76139983321829, "borrowing_costs_quote_units": 69.74900522098139, "price_pnl_quote_units": -2183.801142694263, "turnover_quote_units": 25253.79994440609, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7670.688452251534, "return_pct": -23.293115477484662, "cagr_pct": -56.35207790041606, "max_drawdown_pct": 48.1202831898896, "mean_exposure_while_solvent": 1.2602114767598647, "realized_annual_volatility_pct": 61.100521804558184, "trading_costs_quote_units": 75.76139983321829, "borrowing_costs_quote_units": 69.74900522098139, "price_pnl_quote_units": -2183.801142694263, "turnover_quote_units": 25253.79994440609, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9147.484435749044, "return_pct": -8.525155642509564, "cagr_pct": -24.313322030307106, "max_drawdown_pct": 27.660419638611312, "mean_exposure_while_solvent": 0.7487816963649345, "realized_annual_volatility_pct": 35.33576372931317, "trading_costs_quote_units": 33.10659884615969, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -819.4089654047963, "turnover_quote_units": 11035.532948719903, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9147.484435749044, "return_pct": -8.525155642509564, "cagr_pct": -24.313322030307106, "max_drawdown_pct": 27.660419638611312, "mean_exposure_while_solvent": 0.7487816963649345, "realized_annual_volatility_pct": 35.33576372931317, "trading_costs_quote_units": 33.10659884615969, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -819.4089654047963, "turnover_quote_units": 11035.532948719903, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8802.721144303043, "return_pct": -11.972788556969572, "cagr_pct": -32.87893774466498, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.185259252466466, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1167.3685865045313, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8802.721144303043, "return_pct": -11.972788556969572, "cagr_pct": -32.87893774466498, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.185259252466466, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1167.3685865045313, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8332.777488122043, "return_pct": -16.672225118779572, "cagr_pct": -43.45825516346484, "max_drawdown_pct": 42.43864853937539, "mean_exposure_while_solvent": 1.2485532743764054, "realized_annual_volatility_pct": 59.08568836506729, "trading_costs_quote_units": 53.52373255601607, "borrowing_costs_quote_units": 65.89629879096599, "price_pnl_quote_units": -1547.8024805309826, "turnover_quote_units": 17841.2441853387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8332.777488122043, "return_pct": -16.672225118779572, "cagr_pct": -43.45825516346484, "max_drawdown_pct": 42.43864853937539, "mean_exposure_while_solvent": 1.2485532743764054, "realized_annual_volatility_pct": 59.08568836506729, "trading_costs_quote_units": 53.52373255601607, "borrowing_costs_quote_units": 65.89629879096599, "price_pnl_quote_units": -1547.8024805309826, "turnover_quote_units": 17841.2441853387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7840.089934636213, "return_pct": -21.59910065363787, "cagr_pct": -53.267248272518984, "max_drawdown_pct": 48.98724732842924, "mean_exposure_while_solvent": 1.4987232260897583, "realized_annual_volatility_pct": 71.04255213632528, "trading_costs_quote_units": 81.6072326013941, "borrowing_costs_quote_units": 125.70397317032955, "price_pnl_quote_units": -1952.598859592075, "turnover_quote_units": 27202.410867131377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7840.089934636213, "return_pct": -21.59910065363787, "cagr_pct": -53.267248272518984, "max_drawdown_pct": 48.98724732842924, "mean_exposure_while_solvent": 1.4987232260897583, "realized_annual_volatility_pct": 71.04255213632528, "trading_costs_quote_units": 81.6072326013941, "borrowing_costs_quote_units": 125.70397317032955, "price_pnl_quote_units": -1952.598859592075, "turnover_quote_units": 27202.410867131377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8312.13904869634, "return_pct": -16.878609513036615, "cagr_pct": -43.894907452154, "max_drawdown_pct": 38.662127880668784, "mean_exposure_while_solvent": 0.9039149475392043, "realized_annual_volatility_pct": 42.16502097417721, "trading_costs_quote_units": 86.20757869619709, "borrowing_costs_quote_units": 26.836452428389933, "price_pnl_quote_units": -1574.8169201790683, "turnover_quote_units": 28735.859565399034, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8312.13904869634, "return_pct": -16.878609513036615, "cagr_pct": -43.894907452154, "max_drawdown_pct": 38.662127880668784, "mean_exposure_while_solvent": 0.9039149475392043, "realized_annual_volatility_pct": 42.16502097417721, "trading_costs_quote_units": 86.20757869619709, "borrowing_costs_quote_units": 26.836452428389933, "price_pnl_quote_units": -1574.8169201790683, "turnover_quote_units": 28735.859565399034, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7908.031102120829, "return_pct": -20.919688978791704, "cagr_pct": -51.9894789344004, "max_drawdown_pct": 48.25549841735363, "mean_exposure_while_solvent": 1.2935722873139712, "realized_annual_volatility_pct": 60.26812466609112, "trading_costs_quote_units": 92.98662875867811, "borrowing_costs_quote_units": 165.3951749353724, "price_pnl_quote_units": -1833.5870941851215, "turnover_quote_units": 30995.542919559328, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7908.031102120829, "return_pct": -20.919688978791704, "cagr_pct": -51.9894789344004, "max_drawdown_pct": 48.25549841735363, "mean_exposure_while_solvent": 1.2935722873139712, "realized_annual_volatility_pct": 60.26812466609112, "trading_costs_quote_units": 92.98662875867811, "borrowing_costs_quote_units": 165.3951749353724, "price_pnl_quote_units": -1833.5870941851215, "turnover_quote_units": 30995.542919559328, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7753.139414613874, "return_pct": -22.468605853861266, "cagr_pct": -54.868525422834225, "max_drawdown_pct": 49.06771279219898, "mean_exposure_while_solvent": 1.4590023339823148, "realized_annual_volatility_pct": 68.55808057246477, "trading_costs_quote_units": 85.57606419133658, "borrowing_costs_quote_units": 233.53522460515532, "price_pnl_quote_units": -1927.7492965896458, "turnover_quote_units": 28525.354730445513, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7753.139414613874, "return_pct": -22.468605853861266, "cagr_pct": -54.868525422834225, "max_drawdown_pct": 49.06771279219898, "mean_exposure_while_solvent": 1.4590023339823148, "realized_annual_volatility_pct": 68.55808057246477, "trading_costs_quote_units": 85.57606419133658, "borrowing_costs_quote_units": 233.53522460515532, "price_pnl_quote_units": -1927.7492965896458, "turnover_quote_units": 28525.354730445513, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7949.938972901046, "return_pct": -20.50061027098954, "cagr_pct": -51.18958599778918, "max_drawdown_pct": 45.63418387674984, "mean_exposure_while_solvent": 1.3108502794459385, "realized_annual_volatility_pct": 60.07132605583675, "trading_costs_quote_units": 127.82375794547356, "borrowing_costs_quote_units": 179.9175916552535, "price_pnl_quote_units": -1742.319677498236, "turnover_quote_units": 42607.91931515786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7949.938972901046, "return_pct": -20.50061027098954, "cagr_pct": -51.18958599778918, "max_drawdown_pct": 45.63418387674984, "mean_exposure_while_solvent": 1.3108502794459385, "realized_annual_volatility_pct": 60.07132605583675, "trading_costs_quote_units": 127.82375794547356, "borrowing_costs_quote_units": 179.9175916552535, "price_pnl_quote_units": -1742.319677498236, "turnover_quote_units": 42607.91931515786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7606.545711791032, "return_pct": -23.934542882089684, "cagr_pct": -57.483004248927884, "max_drawdown_pct": 48.273103639046646, "mean_exposure_while_solvent": 1.2602512918168514, "realized_annual_volatility_pct": 61.10668567512819, "trading_costs_quote_units": 75.57982353475782, "borrowing_costs_quote_units": 138.99268302235734, "price_pnl_quote_units": -2178.881781651841, "turnover_quote_units": 25193.274511585958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7606.545711791032, "return_pct": -23.934542882089684, "cagr_pct": -57.483004248927884, "max_drawdown_pct": 48.273103639046646, "mean_exposure_while_solvent": 1.2602512918168514, "realized_annual_volatility_pct": 61.10668567512819, "trading_costs_quote_units": 75.57982353475782, "borrowing_costs_quote_units": 138.99268302235734, "price_pnl_quote_units": -2178.881781651841, "turnover_quote_units": 25193.274511585958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8807.324608387116, "return_pct": -11.92675391612884, "cagr_pct": -32.76914047817351, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9937047696074672, "realized_annual_volatility_pct": 46.83086534030533, "trading_costs_quote_units": 34.29553054090939, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1158.379861071976, "turnover_quote_units": 11431.843513636462, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8807.324608387116, "return_pct": -11.92675391612884, "cagr_pct": -32.76914047817351, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9937047696074672, "realized_annual_volatility_pct": 46.83086534030533, "trading_costs_quote_units": 34.29553054090939, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1158.379861071976, "turnover_quote_units": 11431.843513636462, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7606.545711791032, "return_pct": -23.934542882089684, "cagr_pct": -57.483004248927884, "max_drawdown_pct": 48.273103639046646, "mean_exposure_while_solvent": 1.2602512918168514, "realized_annual_volatility_pct": 61.10668567512819, "trading_costs_quote_units": 75.57982353475782, "borrowing_costs_quote_units": 138.99268302235734, "price_pnl_quote_units": -2178.881781651841, "turnover_quote_units": 25193.274511585958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7606.545711791032, "return_pct": -23.934542882089684, "cagr_pct": -57.483004248927884, "max_drawdown_pct": 48.273103639046646, "mean_exposure_while_solvent": 1.2602512918168514, "realized_annual_volatility_pct": 61.10668567512819, "trading_costs_quote_units": 75.57982353475782, "borrowing_costs_quote_units": 138.99268302235734, "price_pnl_quote_units": -2178.881781651841, "turnover_quote_units": 25193.274511585958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7606.545711791032, "return_pct": -23.934542882089684, "cagr_pct": -57.483004248927884, "max_drawdown_pct": 48.273103639046646, "mean_exposure_while_solvent": 1.2602512918168514, "realized_annual_volatility_pct": 61.10668567512819, "trading_costs_quote_units": 75.57982353475782, "borrowing_costs_quote_units": 138.99268302235734, "price_pnl_quote_units": -2178.881781651841, "turnover_quote_units": 25193.274511585958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7606.545711791032, "return_pct": -23.934542882089684, "cagr_pct": -57.483004248927884, "max_drawdown_pct": 48.273103639046646, "mean_exposure_while_solvent": 1.2602512918168514, "realized_annual_volatility_pct": 61.10668567512819, "trading_costs_quote_units": 75.57982353475782, "borrowing_costs_quote_units": 138.99268302235734, "price_pnl_quote_units": -2178.881781651841, "turnover_quote_units": 25193.274511585958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9147.484435749044, "return_pct": -8.525155642509564, "cagr_pct": -24.313322030307106, "max_drawdown_pct": 27.660419638611312, "mean_exposure_while_solvent": 0.7487816963649345, "realized_annual_volatility_pct": 35.33576372931317, "trading_costs_quote_units": 33.10659884615969, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -819.4089654047963, "turnover_quote_units": 11035.532948719903, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9147.484435749044, "return_pct": -8.525155642509564, "cagr_pct": -24.313322030307106, "max_drawdown_pct": 27.660419638611312, "mean_exposure_while_solvent": 0.7487816963649345, "realized_annual_volatility_pct": 35.33576372931317, "trading_costs_quote_units": 33.10659884615969, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -819.4089654047963, "turnover_quote_units": 11035.532948719903, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8802.721144303043, "return_pct": -11.972788556969572, "cagr_pct": -32.87893774466498, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.185259252466466, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1167.3685865045313, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8802.721144303043, "return_pct": -11.972788556969572, "cagr_pct": -32.87893774466498, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9985754985754985, "realized_annual_volatility_pct": 47.185259252466466, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1167.3685865045313, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8266.32054368458, "return_pct": -17.3367945631542, "cagr_pct": -44.85609163394756, "max_drawdown_pct": 42.52825361049667, "mean_exposure_while_solvent": 1.2485889080887387, "realized_annual_volatility_pct": 59.08823309659697, "trading_costs_quote_units": 53.48554279227243, "borrowing_costs_quote_units": 131.31842410940564, "price_pnl_quote_units": -1548.8754894137371, "turnover_quote_units": 17828.514264090816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8266.32054368458, "return_pct": -17.3367945631542, "cagr_pct": -44.85609163394756, "max_drawdown_pct": 42.52825361049667, "mean_exposure_while_solvent": 1.2485889080887387, "realized_annual_volatility_pct": 59.08823309659697, "trading_costs_quote_units": 53.48554279227243, "borrowing_costs_quote_units": 131.31842410940564, "price_pnl_quote_units": -1548.8754894137371, "turnover_quote_units": 17828.514264090816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7715.424921649228, "return_pct": -22.845750783507725, "cagr_pct": -55.55131362902193, "max_drawdown_pct": 49.27481352220244, "mean_exposure_while_solvent": 1.498808852693229, "realized_annual_volatility_pct": 71.04870990546202, "trading_costs_quote_units": 81.39811801635197, "borrowing_costs_quote_units": 249.61115547108332, "price_pnl_quote_units": -1953.5658048633522, "turnover_quote_units": 27132.706005450676, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7715.424921649228, "return_pct": -22.845750783507725, "cagr_pct": -55.55131362902193, "max_drawdown_pct": 49.27481352220244, "mean_exposure_while_solvent": 1.498808852693229, "realized_annual_volatility_pct": 71.04870990546202, "trading_costs_quote_units": 81.39811801635197, "borrowing_costs_quote_units": 249.61115547108332, "price_pnl_quote_units": -1953.5658048633522, "turnover_quote_units": 27132.706005450676, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8305.537448550902, "return_pct": -16.944625514490987, "cagr_pct": -44.034093407946216, "max_drawdown_pct": 38.61857406630187, "mean_exposure_while_solvent": 0.9011206707933609, "realized_annual_volatility_pct": 42.25639909077898, "trading_costs_quote_units": 86.30258225313001, "borrowing_costs_quote_units": 6.653934945612622, "price_pnl_quote_units": -1601.5060342503568, "turnover_quote_units": 28767.527417709985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8305.537448550902, "return_pct": -16.944625514490987, "cagr_pct": -44.034093407946216, "max_drawdown_pct": 38.61857406630187, "mean_exposure_while_solvent": 0.9011206707933609, "realized_annual_volatility_pct": 42.25639909077898, "trading_costs_quote_units": 86.30258225313001, "borrowing_costs_quote_units": 6.653934945612622, "price_pnl_quote_units": -1601.5060342503568, "turnover_quote_units": 28767.527417709985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8024.392781693015, "return_pct": -19.75607218306985, "cagr_pct": -49.74621889438491, "max_drawdown_pct": 47.93474791093886, "mean_exposure_while_solvent": 1.2892706607390583, "realized_annual_volatility_pct": 60.3893921804559, "trading_costs_quote_units": 92.22928395410577, "borrowing_costs_quote_units": 41.220888974752015, "price_pnl_quote_units": -1842.1570453781314, "turnover_quote_units": 30743.094651368585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8024.392781693015, "return_pct": -19.75607218306985, "cagr_pct": -49.74621889438491, "max_drawdown_pct": 47.93474791093886, "mean_exposure_while_solvent": 1.2892706607390583, "realized_annual_volatility_pct": 60.3893921804559, "trading_costs_quote_units": 92.22928395410577, "borrowing_costs_quote_units": 41.220888974752015, "price_pnl_quote_units": -1842.1570453781314, "turnover_quote_units": 30743.094651368585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7892.014310424327, "return_pct": -21.079856895756734, "cagr_pct": -52.29282027524107, "max_drawdown_pct": 48.696159252365845, "mean_exposure_while_solvent": 1.4544447204624942, "realized_annual_volatility_pct": 68.50099735595502, "trading_costs_quote_units": 86.45596850085545, "borrowing_costs_quote_units": 58.4520745001757, "price_pnl_quote_units": -1963.077646574646, "turnover_quote_units": 28818.656166951823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7892.014310424327, "return_pct": -21.079856895756734, "cagr_pct": -52.29282027524107, "max_drawdown_pct": 48.696159252365845, "mean_exposure_while_solvent": 1.4544447204624942, "realized_annual_volatility_pct": 68.50099735595502, "trading_costs_quote_units": 86.45596850085545, "borrowing_costs_quote_units": 58.4520745001757, "price_pnl_quote_units": -1963.077646574646, "turnover_quote_units": 28818.656166951823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8016.8182237444835, "return_pct": -19.831817762555172, "cagr_pct": -49.894368815360494, "max_drawdown_pct": 45.36415143044095, "mean_exposure_while_solvent": 1.3062551678466627, "realized_annual_volatility_pct": 60.18339931439717, "trading_costs_quote_units": 128.70762020758826, "borrowing_costs_quote_units": 44.74008052551988, "price_pnl_quote_units": -1809.7340755224004, "turnover_quote_units": 42902.54006919606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8016.8182237444835, "return_pct": -19.831817762555172, "cagr_pct": -49.894368815360494, "max_drawdown_pct": 45.36415143044095, "mean_exposure_while_solvent": 1.3062551678466627, "realized_annual_volatility_pct": 60.18339931439717, "trading_costs_quote_units": 128.70762020758826, "borrowing_costs_quote_units": 44.74008052551988, "price_pnl_quote_units": -1809.7340755224004, "turnover_quote_units": 42902.54006919606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7726.535830243054, "return_pct": -22.734641697569458, "cagr_pct": -55.35089556357238, "max_drawdown_pct": 47.90764659475215, "mean_exposure_while_solvent": 1.256419426753306, "realized_annual_volatility_pct": 61.14736002277618, "trading_costs_quote_units": 74.12919956084978, "borrowing_costs_quote_units": 34.691860595155305, "price_pnl_quote_units": -2164.643109600945, "turnover_quote_units": 24709.733186949932, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7726.535830243054, "return_pct": -22.734641697569458, "cagr_pct": -55.35089556357238, "max_drawdown_pct": 47.90764659475215, "mean_exposure_while_solvent": 1.256419426753306, "realized_annual_volatility_pct": 61.14736002277618, "trading_costs_quote_units": 74.12919956084978, "borrowing_costs_quote_units": 34.691860595155305, "price_pnl_quote_units": -2164.643109600945, "turnover_quote_units": 24709.733186949932, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8766.031182511717, "return_pct": -12.339688174882834, "cagr_pct": -33.74967459927874, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9908778651077826, "realized_annual_volatility_pct": 46.830370184063, "trading_costs_quote_units": 34.33604780189439, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1199.6327696863905, "turnover_quote_units": 11445.34926729813, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8766.031182511717, "return_pct": -12.339688174882834, "cagr_pct": -33.74967459927874, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9908778651077826, "realized_annual_volatility_pct": 46.830370184063, "trading_costs_quote_units": 34.33604780189439, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1199.6327696863905, "turnover_quote_units": 11445.34926729813, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7726.535830243054, "return_pct": -22.734641697569458, "cagr_pct": -55.35089556357238, "max_drawdown_pct": 47.90764659475215, "mean_exposure_while_solvent": 1.256419426753306, "realized_annual_volatility_pct": 61.14736002277618, "trading_costs_quote_units": 74.12919956084978, "borrowing_costs_quote_units": 34.691860595155305, "price_pnl_quote_units": -2164.643109600945, "turnover_quote_units": 24709.733186949932, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7726.535830243054, "return_pct": -22.734641697569458, "cagr_pct": -55.35089556357238, "max_drawdown_pct": 47.90764659475215, "mean_exposure_while_solvent": 1.256419426753306, "realized_annual_volatility_pct": 61.14736002277618, "trading_costs_quote_units": 74.12919956084978, "borrowing_costs_quote_units": 34.691860595155305, "price_pnl_quote_units": -2164.643109600945, "turnover_quote_units": 24709.733186949932, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7726.535830243054, "return_pct": -22.734641697569458, "cagr_pct": -55.35089556357238, "max_drawdown_pct": 47.90764659475215, "mean_exposure_while_solvent": 1.256419426753306, "realized_annual_volatility_pct": 61.14736002277618, "trading_costs_quote_units": 74.12919956084978, "borrowing_costs_quote_units": 34.691860595155305, "price_pnl_quote_units": -2164.643109600945, "turnover_quote_units": 24709.733186949932, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7726.535830243054, "return_pct": -22.734641697569458, "cagr_pct": -55.35089556357238, "max_drawdown_pct": 47.90764659475215, "mean_exposure_while_solvent": 1.256419426753306, "realized_annual_volatility_pct": 61.14736002277618, "trading_costs_quote_units": 74.12919956084978, "borrowing_costs_quote_units": 34.691860595155305, "price_pnl_quote_units": -2164.643109600945, "turnover_quote_units": 24709.733186949932, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9104.26046830284, "return_pct": -8.957395316971596, "cagr_pct": -25.425777303148333, "max_drawdown_pct": 27.702363777332618, "mean_exposure_while_solvent": 0.7467247687647284, "realized_annual_volatility_pct": 35.34024718611542, "trading_costs_quote_units": 33.228350221692644, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -862.5111814754638, "turnover_quote_units": 11076.116740564217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9104.26046830284, "return_pct": -8.957395316971596, "cagr_pct": -25.425777303148333, "max_drawdown_pct": 27.702363777332618, "mean_exposure_while_solvent": 0.7467247687647284, "realized_annual_volatility_pct": 35.34024718611542, "trading_costs_quote_units": 33.228350221692644, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -862.5111814754638, "turnover_quote_units": 11076.116740564217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8762.69340360567, "return_pct": -12.373065963943297, "cagr_pct": -33.82850436125076, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.17806204470717, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1207.3963272019082, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8762.69340360567, "return_pct": -12.373065963943297, "cagr_pct": -33.82850436125076, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.17806204470717, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1207.3963272019082, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8336.563657026098, "return_pct": -16.634363429739018, "cagr_pct": -43.37790021353338, "max_drawdown_pct": 42.33338520564758, "mean_exposure_while_solvent": 1.2448453812063947, "realized_annual_volatility_pct": 59.052599379545555, "trading_costs_quote_units": 53.70756428755119, "borrowing_costs_quote_units": 32.74478081894462, "price_pnl_quote_units": -1576.9839978674108, "turnover_quote_units": 17902.52142918373, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8336.563657026098, "return_pct": -16.634363429739018, "cagr_pct": -43.37790021353338, "max_drawdown_pct": 42.33338520564758, "mean_exposure_while_solvent": 1.2448453812063947, "realized_annual_volatility_pct": 59.052599379545555, "trading_costs_quote_units": 53.70756428755119, "borrowing_costs_quote_units": 32.74478081894462, "price_pnl_quote_units": -1576.9839978674108, "turnover_quote_units": 17902.52142918373, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7890.055767026037, "return_pct": -21.099442329739627, "cagr_pct": -52.32982336165559, "max_drawdown_pct": 48.696159252365845, "mean_exposure_while_solvent": 1.4941033954800298, "realized_annual_volatility_pct": 70.97133667075781, "trading_costs_quote_units": 82.0890830462028, "borrowing_costs_quote_units": 62.62897544607258, "price_pnl_quote_units": -1965.2261744816876, "turnover_quote_units": 27363.027682067594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7890.055767026037, "return_pct": -21.099442329739627, "cagr_pct": -52.32982336165559, "max_drawdown_pct": 48.696159252365845, "mean_exposure_while_solvent": 1.4941033954800298, "realized_annual_volatility_pct": 70.97133667075781, "trading_costs_quote_units": 82.0890830462028, "borrowing_costs_quote_units": 62.62897544607258, "price_pnl_quote_units": -1965.2261744816876, "turnover_quote_units": 27363.027682067594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8299.926652810573, "return_pct": -17.000733471894268, "cagr_pct": -44.15220479734971, "max_drawdown_pct": 38.65607627674977, "mean_exposure_while_solvent": 0.9011236441029981, "realized_annual_volatility_pct": 42.25755804554074, "trading_costs_quote_units": 86.28347347081858, "borrowing_costs_quote_units": 13.304506603799307, "price_pnl_quote_units": -1600.4853671148107, "turnover_quote_units": 28761.157823606198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8299.926652810573, "return_pct": -17.000733471894268, "cagr_pct": -44.15220479734971, "max_drawdown_pct": 38.65607627674977, "mean_exposure_while_solvent": 0.9011236441029981, "realized_annual_volatility_pct": 42.25755804554074, "trading_costs_quote_units": 86.28347347081858, "borrowing_costs_quote_units": 13.304506603799307, "price_pnl_quote_units": -1600.4853671148107, "turnover_quote_units": 28761.157823606198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7986.159575284601, "return_pct": -20.138404247153996, "cagr_pct": -50.490983859347395, "max_drawdown_pct": 48.01509499619369, "mean_exposure_while_solvent": 1.2892949828067477, "realized_annual_volatility_pct": 60.391121417907435, "trading_costs_quote_units": 92.1093223280003, "borrowing_costs_quote_units": 82.26891057690202, "price_pnl_quote_units": -1839.4621918105036, "turnover_quote_units": 30703.10744266678, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7986.159575284601, "return_pct": -20.138404247153996, "cagr_pct": -50.490983859347395, "max_drawdown_pct": 48.01509499619369, "mean_exposure_while_solvent": 1.2892949828067477, "realized_annual_volatility_pct": 60.391121417907435, "trading_costs_quote_units": 92.1093223280003, "borrowing_costs_quote_units": 82.26891057690202, "price_pnl_quote_units": -1839.4621918105036, "turnover_quote_units": 30703.10744266678, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7834.232158899269, "return_pct": -21.657678411007307, "cagr_pct": -53.37631982584793, "max_drawdown_pct": 48.77617050183216, "mean_exposure_while_solvent": 1.4544831586002078, "realized_annual_volatility_pct": 68.50329252853172, "trading_costs_quote_units": 86.31476563554888, "borrowing_costs_quote_units": 116.52072655776861, "price_pnl_quote_units": -1962.93234890742, "turnover_quote_units": 28771.588545182978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7834.232158899269, "return_pct": -21.657678411007307, "cagr_pct": -53.37631982584793, "max_drawdown_pct": 48.77617050183216, "mean_exposure_while_solvent": 1.4544831586002078, "realized_annual_volatility_pct": 68.50329252853172, "trading_costs_quote_units": 86.31476563554888, "borrowing_costs_quote_units": 116.52072655776861, "price_pnl_quote_units": -1962.93234890742, "turnover_quote_units": 28771.588545182978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7974.540763551902, "return_pct": -20.25459236448097, "cagr_pct": -50.715816626407985, "max_drawdown_pct": 45.447949740421876, "mean_exposure_while_solvent": 1.3062824058216544, "realized_annual_volatility_pct": 60.1850801453272, "trading_costs_quote_units": 128.48676973327028, "borrowing_costs_quote_units": 89.27184760946005, "price_pnl_quote_units": -1807.700619105365, "turnover_quote_units": 42828.92324442341, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7974.540763551902, "return_pct": -20.25459236448097, "cagr_pct": -50.715816626407985, "max_drawdown_pct": 45.447949740421876, "mean_exposure_while_solvent": 1.3062824058216544, "realized_annual_volatility_pct": 60.1850801453272, "trading_costs_quote_units": 128.48676973327028, "borrowing_costs_quote_units": 89.27184760946005, "price_pnl_quote_units": -1807.700619105365, "turnover_quote_units": 42828.92324442341, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7694.310209245147, "return_pct": -23.056897907548525, "cagr_pct": -55.93049205124496, "max_drawdown_pct": 47.983956322284286, "mean_exposure_while_solvent": 1.2564392080129123, "realized_annual_volatility_pct": 61.149843268252425, "trading_costs_quote_units": 74.04558970100838, "borrowing_costs_quote_units": 69.25805191176751, "price_pnl_quote_units": -2162.3861491420575, "turnover_quote_units": 24681.86323366948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7694.310209245147, "return_pct": -23.056897907548525, "cagr_pct": -55.93049205124496, "max_drawdown_pct": 47.983956322284286, "mean_exposure_while_solvent": 1.2564392080129123, "realized_annual_volatility_pct": 61.149843268252425, "trading_costs_quote_units": 74.04558970100838, "borrowing_costs_quote_units": 69.25805191176751, "price_pnl_quote_units": -2162.3861491420575, "turnover_quote_units": 24681.86323366948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8766.031182511717, "return_pct": -12.339688174882834, "cagr_pct": -33.74967459927874, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9908778651077826, "realized_annual_volatility_pct": 46.830370184063, "trading_costs_quote_units": 34.33604780189439, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1199.6327696863905, "turnover_quote_units": 11445.34926729813, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8766.031182511717, "return_pct": -12.339688174882834, "cagr_pct": -33.74967459927874, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9908778651077826, "realized_annual_volatility_pct": 46.830370184063, "trading_costs_quote_units": 34.33604780189439, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1199.6327696863905, "turnover_quote_units": 11445.34926729813, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7694.310209245147, "return_pct": -23.056897907548525, "cagr_pct": -55.93049205124496, "max_drawdown_pct": 47.983956322284286, "mean_exposure_while_solvent": 1.2564392080129123, "realized_annual_volatility_pct": 61.149843268252425, "trading_costs_quote_units": 74.04558970100838, "borrowing_costs_quote_units": 69.25805191176751, "price_pnl_quote_units": -2162.3861491420575, "turnover_quote_units": 24681.86323366948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7694.310209245147, "return_pct": -23.056897907548525, "cagr_pct": -55.93049205124496, "max_drawdown_pct": 47.983956322284286, "mean_exposure_while_solvent": 1.2564392080129123, "realized_annual_volatility_pct": 61.149843268252425, "trading_costs_quote_units": 74.04558970100838, "borrowing_costs_quote_units": 69.25805191176751, "price_pnl_quote_units": -2162.3861491420575, "turnover_quote_units": 24681.86323366948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7694.310209245147, "return_pct": -23.056897907548525, "cagr_pct": -55.93049205124496, "max_drawdown_pct": 47.983956322284286, "mean_exposure_while_solvent": 1.2564392080129123, "realized_annual_volatility_pct": 61.149843268252425, "trading_costs_quote_units": 74.04558970100838, "borrowing_costs_quote_units": 69.25805191176751, "price_pnl_quote_units": -2162.3861491420575, "turnover_quote_units": 24681.86323366948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7694.310209245147, "return_pct": -23.056897907548525, "cagr_pct": -55.93049205124496, "max_drawdown_pct": 47.983956322284286, "mean_exposure_while_solvent": 1.2564392080129123, "realized_annual_volatility_pct": 61.149843268252425, "trading_costs_quote_units": 74.04558970100838, "borrowing_costs_quote_units": 69.25805191176751, "price_pnl_quote_units": -2162.3861491420575, "turnover_quote_units": 24681.86323366948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9104.26046830284, "return_pct": -8.957395316971596, "cagr_pct": -25.425777303148333, "max_drawdown_pct": 27.702363777332618, "mean_exposure_while_solvent": 0.7467247687647284, "realized_annual_volatility_pct": 35.34024718611542, "trading_costs_quote_units": 33.228350221692644, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -862.5111814754638, "turnover_quote_units": 11076.116740564217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9104.26046830284, "return_pct": -8.957395316971596, "cagr_pct": -25.425777303148333, "max_drawdown_pct": 27.702363777332618, "mean_exposure_while_solvent": 0.7467247687647284, "realized_annual_volatility_pct": 35.34024718611542, "trading_costs_quote_units": 33.228350221692644, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -862.5111814754638, "turnover_quote_units": 11076.116740564217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8762.69340360567, "return_pct": -12.373065963943297, "cagr_pct": -33.82850436125076, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.17806204470717, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1207.3963272019082, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8762.69340360567, "return_pct": -12.373065963943297, "cagr_pct": -33.82850436125076, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.17806204470717, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1207.3963272019082, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8303.363704682266, "return_pct": -16.966362953177338, "cagr_pct": -44.079872458909314, "max_drawdown_pct": 42.37814285603019, "mean_exposure_while_solvent": 1.2448630938124086, "realized_annual_volatility_pct": 59.053621767870666, "trading_costs_quote_units": 53.67968273952957, "borrowing_costs_quote_units": 65.37180416946556, "price_pnl_quote_units": -1577.584808408733, "turnover_quote_units": 17893.227579843173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8303.363704682266, "return_pct": -16.966362953177338, "cagr_pct": -44.079872458909314, "max_drawdown_pct": 42.37814285603019, "mean_exposure_while_solvent": 1.2448630938124086, "realized_annual_volatility_pct": 59.053621767870666, "trading_costs_quote_units": 53.67968273952957, "borrowing_costs_quote_units": 65.37180416946556, "price_pnl_quote_units": -1577.584808408733, "turnover_quote_units": 17893.227579843173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7827.291478047913, "return_pct": -21.72708521952087, "cagr_pct": -53.50533076640607, "max_drawdown_pct": 48.77617050183216, "mean_exposure_while_solvent": 1.4941459472463443, "realized_annual_volatility_pct": 70.97380495723507, "trading_costs_quote_units": 81.95992239115498, "borrowing_costs_quote_units": 124.80926277549958, "price_pnl_quote_units": -1965.9393367854373, "turnover_quote_units": 27319.974130385002, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7827.291478047913, "return_pct": -21.72708521952087, "cagr_pct": -53.50533076640607, "max_drawdown_pct": 48.77617050183216, "mean_exposure_while_solvent": 1.4941459472463443, "realized_annual_volatility_pct": 70.97380495723507, "trading_costs_quote_units": 81.95992239115498, "borrowing_costs_quote_units": 124.80926277549958, "price_pnl_quote_units": -1965.9393367854373, "turnover_quote_units": 27319.974130385002, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8288.713958157527, "return_pct": -17.112860418424734, "cagr_pct": -44.38773215416275, "max_drawdown_pct": 38.731028864519665, "mean_exposure_while_solvent": 0.9011295916361609, "realized_annual_volatility_pct": 42.25988311153507, "trading_costs_quote_units": 86.24527926689123, "borrowing_costs_quote_units": 26.595564525393872, "price_pnl_quote_units": -1598.4451980501904, "turnover_quote_units": 28748.42642229706, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8288.713958157527, "return_pct": -17.112860418424734, "cagr_pct": -44.38773215416275, "max_drawdown_pct": 38.731028864519665, "mean_exposure_while_solvent": 0.9011295916361609, "realized_annual_volatility_pct": 42.25988311153507, "trading_costs_quote_units": 86.24527926689123, "borrowing_costs_quote_units": 26.595564525393872, "price_pnl_quote_units": -1598.4451980501904, "turnover_quote_units": 28748.42642229706, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7910.2119299143005, "return_pct": -20.897880700856998, "cagr_pct": -51.948075134322636, "max_drawdown_pct": 48.17546145205777, "mean_exposure_while_solvent": 1.2893436367927036, "realized_annual_volatility_pct": 60.39460327666192, "trading_costs_quote_units": 91.87990769929013, "borrowing_costs_quote_units": 163.84918618233453, "price_pnl_quote_units": -1834.058976204068, "turnover_quote_units": 30626.63589976338, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7910.2119299143005, "return_pct": -20.897880700856998, "cagr_pct": -51.948075134322636, "max_drawdown_pct": 48.17546145205777, "mean_exposure_while_solvent": 1.2893436367927036, "realized_annual_volatility_pct": 60.39460327666192, "trading_costs_quote_units": 91.87990769929013, "borrowing_costs_quote_units": 163.84918618233453, "price_pnl_quote_units": -1834.058976204068, "turnover_quote_units": 30626.63589976338, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7719.893652673645, "return_pct": -22.80106347326355, "cagr_pct": -55.4707805788929, "max_drawdown_pct": 48.93586277724932, "mean_exposure_while_solvent": 1.454560051054931, "realized_annual_volatility_pct": 68.50788943672461, "trading_costs_quote_units": 86.04608745623267, "borrowing_costs_quote_units": 231.51806020058572, "price_pnl_quote_units": -1962.5421996695354, "turnover_quote_units": 28682.02915207757, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7719.893652673645, "return_pct": -22.80106347326355, "cagr_pct": -55.4707805788929, "max_drawdown_pct": 48.93586277724932, "mean_exposure_while_solvent": 1.454560051054931, "realized_annual_volatility_pct": 68.50788943672461, "trading_costs_quote_units": 86.04608745623267, "borrowing_costs_quote_units": 231.51806020058572, "price_pnl_quote_units": -1962.5421996695354, "turnover_quote_units": 28682.02915207757, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7890.624317831955, "return_pct": -21.093756821680454, "cagr_pct": -52.319083648183685, "max_drawdown_pct": 45.61520585003298, "mean_exposure_while_solvent": 1.3063368929835972, "realized_annual_volatility_pct": 60.188465599009746, "trading_costs_quote_units": 128.056348123965, "borrowing_costs_quote_units": 177.71429647684528, "price_pnl_quote_units": -1803.605037567235, "turnover_quote_units": 42685.44937465497, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7890.624317831955, "return_pct": -21.093756821680454, "cagr_pct": -52.319083648183685, "max_drawdown_pct": 45.61520585003298, "mean_exposure_while_solvent": 1.3063368929835972, "realized_annual_volatility_pct": 60.188465599009746, "trading_costs_quote_units": 128.056348123965, "borrowing_costs_quote_units": 177.71429647684528, "price_pnl_quote_units": -1803.605037567235, "turnover_quote_units": 42685.44937465497, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7630.2463932294295, "return_pct": -23.697536067705705, "cagr_pct": -57.06747912726411, "max_drawdown_pct": 48.13628160393034, "mean_exposure_while_solvent": 1.256478777580824, "realized_annual_volatility_pct": 61.15482122375183, "trading_costs_quote_units": 73.87893152126462, "borrowing_costs_quote_units": 138.0152984001434, "price_pnl_quote_units": -2157.859376849164, "turnover_quote_units": 24626.310507088212, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7630.2463932294295, "return_pct": -23.697536067705705, "cagr_pct": -57.06747912726411, "max_drawdown_pct": 48.13628160393034, "mean_exposure_while_solvent": 1.256478777580824, "realized_annual_volatility_pct": 61.15482122375183, "trading_costs_quote_units": 73.87893152126462, "borrowing_costs_quote_units": 138.0152984001434, "price_pnl_quote_units": -2157.859376849164, "turnover_quote_units": 24626.310507088212, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8766.031182511717, "return_pct": -12.339688174882834, "cagr_pct": -33.74967459927874, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9908778651077826, "realized_annual_volatility_pct": 46.830370184063, "trading_costs_quote_units": 34.33604780189439, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1199.6327696863905, "turnover_quote_units": 11445.34926729813, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8766.031182511717, "return_pct": -12.339688174882834, "cagr_pct": -33.74967459927874, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9908778651077826, "realized_annual_volatility_pct": 46.830370184063, "trading_costs_quote_units": 34.33604780189439, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1199.6327696863905, "turnover_quote_units": 11445.34926729813, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 14, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7630.2463932294295, "return_pct": -23.697536067705705, "cagr_pct": -57.06747912726411, "max_drawdown_pct": 48.13628160393034, "mean_exposure_while_solvent": 1.256478777580824, "realized_annual_volatility_pct": 61.15482122375183, "trading_costs_quote_units": 73.87893152126462, "borrowing_costs_quote_units": 138.0152984001434, "price_pnl_quote_units": -2157.859376849164, "turnover_quote_units": 24626.310507088212, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7630.2463932294295, "return_pct": -23.697536067705705, "cagr_pct": -57.06747912726411, "max_drawdown_pct": 48.13628160393034, "mean_exposure_while_solvent": 1.256478777580824, "realized_annual_volatility_pct": 61.15482122375183, "trading_costs_quote_units": 73.87893152126462, "borrowing_costs_quote_units": 138.0152984001434, "price_pnl_quote_units": -2157.859376849164, "turnover_quote_units": 24626.310507088212, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7630.2463932294295, "return_pct": -23.697536067705705, "cagr_pct": -57.06747912726411, "max_drawdown_pct": 48.13628160393034, "mean_exposure_while_solvent": 1.256478777580824, "realized_annual_volatility_pct": 61.15482122375183, "trading_costs_quote_units": 73.87893152126462, "borrowing_costs_quote_units": 138.0152984001434, "price_pnl_quote_units": -2157.859376849164, "turnover_quote_units": 24626.310507088212, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7630.2463932294295, "return_pct": -23.697536067705705, "cagr_pct": -57.06747912726411, "max_drawdown_pct": 48.13628160393034, "mean_exposure_while_solvent": 1.256478777580824, "realized_annual_volatility_pct": 61.15482122375183, "trading_costs_quote_units": 73.87893152126462, "borrowing_costs_quote_units": 138.0152984001434, "price_pnl_quote_units": -2157.859376849164, "turnover_quote_units": 24626.310507088212, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9104.26046830284, "return_pct": -8.957395316971596, "cagr_pct": -25.425777303148333, "max_drawdown_pct": 27.702363777332618, "mean_exposure_while_solvent": 0.7467247687647284, "realized_annual_volatility_pct": 35.34024718611542, "trading_costs_quote_units": 33.228350221692644, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -862.5111814754638, "turnover_quote_units": 11076.116740564217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9104.26046830284, "return_pct": -8.957395316971596, "cagr_pct": -25.425777303148333, "max_drawdown_pct": 27.702363777332618, "mean_exposure_while_solvent": 0.7467247687647284, "realized_annual_volatility_pct": 35.34024718611542, "trading_costs_quote_units": 33.228350221692644, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -862.5111814754638, "turnover_quote_units": 11076.116740564217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8762.69340360567, "return_pct": -12.373065963943297, "cagr_pct": -33.82850436125076, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.17806204470717, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1207.3963272019082, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8762.69340360567, "return_pct": -12.373065963943297, "cagr_pct": -33.82850436125076, "max_drawdown_pct": 35.32278331223342, "mean_exposure_while_solvent": 0.9957264957264956, "realized_annual_volatility_pct": 47.17806204470717, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": -1207.3963272019082, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8237.342185172456, "return_pct": -17.626578148275442, "cagr_pct": -45.458183957896686, "max_drawdown_pct": 42.467573875330544, "mean_exposure_while_solvent": 1.244898524472713, "realized_annual_volatility_pct": 59.0556669852232, "trading_costs_quote_units": 53.62809409001904, "borrowing_costs_quote_units": 130.27425823187642, "price_pnl_quote_units": -1578.7554625056355, "turnover_quote_units": 17876.03136333968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8237.342185172456, "return_pct": -17.626578148275442, "cagr_pct": -45.458183957896686, "max_drawdown_pct": 42.467573875330544, "mean_exposure_while_solvent": 1.244898524472713, "realized_annual_volatility_pct": 59.0556669852232, "trading_costs_quote_units": 53.62809409001904, "borrowing_costs_quote_units": 130.27425823187642, "price_pnl_quote_units": -1578.7554625056355, "turnover_quote_units": 17876.03136333968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7703.216054843846, "return_pct": -22.967839451561545, "cagr_pct": -55.77083009698741, "max_drawdown_pct": 48.93586277724932, "mean_exposure_while_solvent": 1.4942310692256795, "realized_annual_volatility_pct": 70.97874316509677, "trading_costs_quote_units": 81.71303558527843, "borrowing_costs_quote_units": 247.83704198760026, "price_pnl_quote_units": -1967.2338675832666, "turnover_quote_units": 27237.678528426175, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7703.216054843846, "return_pct": -22.967839451561545, "cagr_pct": -55.77083009698741, "max_drawdown_pct": 48.93586277724932, "mean_exposure_while_solvent": 1.4942310692256795, "realized_annual_volatility_pct": 70.97874316509677, "trading_costs_quote_units": 81.71303558527843, "borrowing_costs_quote_units": 247.83704198760026, "price_pnl_quote_units": -1967.2338675832666, "turnover_quote_units": 27237.678528426175, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13345.822401065894, "return_pct": 33.458224010658945, "cagr_pct": 227.62267336125603, "max_drawdown_pct": 12.216179735607003, "mean_exposure_while_solvent": 1.0788899835327748, "realized_annual_volatility_pct": 40.84242148316946, "trading_costs_quote_units": 17.41227415932598, "borrowing_costs_quote_units": 15.45111112805275, "price_pnl_quote_units": 3378.685786353283, "turnover_quote_units": 29020.456932209992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13345.822401065894, "return_pct": 33.458224010658945, "cagr_pct": 227.62267336125603, "max_drawdown_pct": 12.216179735607003, "mean_exposure_while_solvent": 1.0788899835327748, "realized_annual_volatility_pct": 40.84242148316946, "trading_costs_quote_units": 17.41227415932598, "borrowing_costs_quote_units": 15.45111112805275, "price_pnl_quote_units": 3378.685786353283, "turnover_quote_units": 29020.456932209992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13826.419133659443, "return_pct": 38.26419133659442, "cagr_pct": 278.91920459801884, "max_drawdown_pct": 17.897078336731376, "mean_exposure_while_solvent": 1.4370290189703758, "realized_annual_volatility_pct": 53.35638224386858, "trading_costs_quote_units": 17.99827938249283, "borrowing_costs_quote_units": 58.67706211781317, "price_pnl_quote_units": 3903.094475159757, "turnover_quote_units": 29997.132304154697, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13826.419133659443, "return_pct": 38.26419133659442, "cagr_pct": 278.91920459801884, "max_drawdown_pct": 17.897078336731376, "mean_exposure_while_solvent": 1.4370290189703758, "realized_annual_volatility_pct": 53.35638224386858, "trading_costs_quote_units": 17.99827938249283, "borrowing_costs_quote_units": 58.67706211781317, "price_pnl_quote_units": 3903.094475159757, "turnover_quote_units": 29997.132304154697, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13917.638662196197, "return_pct": 39.17638662196197, "cagr_pct": 289.3039198872455, "max_drawdown_pct": 19.544337835790103, "mean_exposure_while_solvent": 1.4965264715887878, "realized_annual_volatility_pct": 55.908974977613326, "trading_costs_quote_units": 14.745281058864938, "borrowing_costs_quote_units": 66.072537185529, "price_pnl_quote_units": 3998.4564804405977, "turnover_quote_units": 24575.46843144156, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13917.638662196197, "return_pct": 39.17638662196197, "cagr_pct": 289.3039198872455, "max_drawdown_pct": 19.544337835790103, "mean_exposure_while_solvent": 1.4965264715887878, "realized_annual_volatility_pct": 55.908974977613326, "trading_costs_quote_units": 14.745281058864938, "borrowing_costs_quote_units": 66.072537185529, "price_pnl_quote_units": 3998.4564804405977, "turnover_quote_units": 24575.46843144156, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13855.489538689199, "return_pct": 38.554895386891985, "cagr_pct": 282.2056215774809, "max_drawdown_pct": 17.12310260479626, "mean_exposure_while_solvent": 1.393547999892901, "realized_annual_volatility_pct": 52.282904855676016, "trading_costs_quote_units": 21.293616023272442, "borrowing_costs_quote_units": 51.832491283022286, "price_pnl_quote_units": 3928.615645995511, "turnover_quote_units": 35489.36003878739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13855.489538689199, "return_pct": 38.554895386891985, "cagr_pct": 282.2056215774809, "max_drawdown_pct": 17.12310260479626, "mean_exposure_while_solvent": 1.393547999892901, "realized_annual_volatility_pct": 52.282904855676016, "trading_costs_quote_units": 21.293616023272442, "borrowing_costs_quote_units": 51.832491283022286, "price_pnl_quote_units": 3928.615645995511, "turnover_quote_units": 35489.36003878739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13891.53643823107, "return_pct": 38.91536438231071, "cagr_pct": 286.3106381596549, "max_drawdown_pct": 19.458669677819085, "mean_exposure_while_solvent": 1.472461299575425, "realized_annual_volatility_pct": 55.266341620465894, "trading_costs_quote_units": 15.182683995532754, "borrowing_costs_quote_units": 62.9910043417598, "price_pnl_quote_units": 3969.7101265683705, "turnover_quote_units": 25304.473325887917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13891.53643823107, "return_pct": 38.91536438231071, "cagr_pct": 286.3106381596549, "max_drawdown_pct": 19.458669677819085, "mean_exposure_while_solvent": 1.472461299575425, "realized_annual_volatility_pct": 55.266341620465894, "trading_costs_quote_units": 15.182683995532754, "borrowing_costs_quote_units": 62.9910043417598, "price_pnl_quote_units": 3969.7101265683705, "turnover_quote_units": 25304.473325887917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12618.884850040513, "return_pct": 26.188848500405125, "cagr_pct": 160.2322462272597, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.36767959103495, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2624.8812521992186, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12618.884850040513, "return_pct": 26.188848500405125, "cagr_pct": 160.2322462272597, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.36767959103495, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2624.8812521992186, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13891.53643823107, "return_pct": 38.91536438231071, "cagr_pct": 286.3106381596549, "max_drawdown_pct": 19.458669677819085, "mean_exposure_while_solvent": 1.472461299575425, "realized_annual_volatility_pct": 55.266341620465894, "trading_costs_quote_units": 15.182683995532754, "borrowing_costs_quote_units": 62.9910043417598, "price_pnl_quote_units": 3969.7101265683705, "turnover_quote_units": 25304.473325887917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13891.53643823107, "return_pct": 38.91536438231071, "cagr_pct": 286.3106381596549, "max_drawdown_pct": 19.458669677819085, "mean_exposure_while_solvent": 1.472461299575425, "realized_annual_volatility_pct": 55.266341620465894, "trading_costs_quote_units": 15.182683995532754, "borrowing_costs_quote_units": 62.9910043417598, "price_pnl_quote_units": 3969.7101265683705, "turnover_quote_units": 25304.473325887917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13891.53643823107, "return_pct": 38.91536438231071, "cagr_pct": 286.3106381596549, "max_drawdown_pct": 19.458669677819085, "mean_exposure_while_solvent": 1.472461299575425, "realized_annual_volatility_pct": 55.266341620465894, "trading_costs_quote_units": 15.182683995532754, "borrowing_costs_quote_units": 62.9910043417598, "price_pnl_quote_units": 3969.7101265683705, "turnover_quote_units": 25304.473325887917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13891.53643823107, "return_pct": 38.91536438231071, "cagr_pct": 286.3106381596549, "max_drawdown_pct": 19.458669677819085, "mean_exposure_while_solvent": 1.472461299575425, "realized_annual_volatility_pct": 55.266341620465894, "trading_costs_quote_units": 15.182683995532754, "borrowing_costs_quote_units": 62.9910043417598, "price_pnl_quote_units": 3969.7101265683705, "turnover_quote_units": 25304.473325887917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 11940.143702475989, "return_pct": 19.401437024759893, "cagr_pct": 107.31702398072937, "max_drawdown_pct": 10.171206543858535, "mean_exposure_while_solvent": 0.7487942385174409, "realized_annual_volatility_pct": 28.064860148536898, "trading_costs_quote_units": 5.869635687369938, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1946.0133381633548, "turnover_quote_units": 9782.726145616558, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 11940.143702475989, "return_pct": 19.401437024759893, "cagr_pct": 107.31702398072937, "max_drawdown_pct": 10.171206543858535, "mean_exposure_while_solvent": 0.7487942385174409, "realized_annual_volatility_pct": 28.064860148536898, "trading_costs_quote_units": 5.869635687369938, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1946.0133381633548, "turnover_quote_units": 9782.726145616558, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12618.884850040513, "return_pct": 26.188848500405125, "cagr_pct": 160.2322462272597, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.36767959103495, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2624.8812521992186, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12618.884850040513, "return_pct": 26.188848500405125, "cagr_pct": 160.2322462272597, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.36767959103495, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2624.8812521992186, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13265.587473485535, "return_pct": 32.65587473485536, "cagr_pct": 219.59957067333332, "max_drawdown_pct": 16.499667765549, "mean_exposure_while_solvent": 1.2473701931272514, "realized_annual_volatility_pct": 46.64842382163382, "trading_costs_quote_units": 9.855387766135884, "borrowing_costs_quote_units": 32.63355340805216, "price_pnl_quote_units": 3308.0764146597166, "turnover_quote_units": 16425.64627689313, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13265.587473485535, "return_pct": 32.65587473485536, "cagr_pct": 219.59957067333332, "max_drawdown_pct": 16.499667765549, "mean_exposure_while_solvent": 1.2473701931272514, "realized_annual_volatility_pct": 46.64842382163382, "trading_costs_quote_units": 9.855387766135884, "borrowing_costs_quote_units": 32.63355340805216, "price_pnl_quote_units": 3308.0764146597166, "turnover_quote_units": 16425.64627689313, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13917.638662196197, "return_pct": 39.17638662196197, "cagr_pct": 289.3039198872455, "max_drawdown_pct": 19.544337835790103, "mean_exposure_while_solvent": 1.4965264715887878, "realized_annual_volatility_pct": 55.908974977613326, "trading_costs_quote_units": 14.745281058864938, "borrowing_costs_quote_units": 66.072537185529, "price_pnl_quote_units": 3998.4564804405977, "turnover_quote_units": 24575.46843144156, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13917.638662196197, "return_pct": 39.17638662196197, "cagr_pct": 289.3039198872455, "max_drawdown_pct": 19.544337835790103, "mean_exposure_while_solvent": 1.4965264715887878, "realized_annual_volatility_pct": 55.908974977613326, "trading_costs_quote_units": 14.745281058864938, "borrowing_costs_quote_units": 66.072537185529, "price_pnl_quote_units": 3998.4564804405977, "turnover_quote_units": 24575.46843144156, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13326.33349540627, "return_pct": 33.26333495406271, "cagr_pct": 225.66002036167384, "max_drawdown_pct": 12.216179735607003, "mean_exposure_while_solvent": 1.0788992023753736, "realized_annual_volatility_pct": 40.84173150898101, "trading_costs_quote_units": 17.402915284085292, "borrowing_costs_quote_units": 30.881296331448507, "price_pnl_quote_units": 3374.6177070218046, "turnover_quote_units": 29004.858806808836, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13326.33349540627, "return_pct": 33.26333495406271, "cagr_pct": 225.66002036167384, "max_drawdown_pct": 12.216179735607003, "mean_exposure_while_solvent": 1.0788992023753736, "realized_annual_volatility_pct": 40.84173150898101, "trading_costs_quote_units": 17.402915284085292, "borrowing_costs_quote_units": 30.881296331448507, "price_pnl_quote_units": 3374.6177070218046, "turnover_quote_units": 29004.858806808836, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13752.973516421209, "return_pct": 37.5297351642121, "cagr_pct": 270.71141076740247, "max_drawdown_pct": 17.954842201948395, "mean_exposure_while_solvent": 1.4370653990983722, "realized_annual_volatility_pct": 53.35793367059827, "trading_costs_quote_units": 17.973958065685807, "borrowing_costs_quote_units": 117.03395400589959, "price_pnl_quote_units": 3887.981428492804, "turnover_quote_units": 29956.596776143026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13752.973516421209, "return_pct": 37.5297351642121, "cagr_pct": 270.71141076740247, "max_drawdown_pct": 17.954842201948395, "mean_exposure_while_solvent": 1.4370653990983722, "realized_annual_volatility_pct": 53.35793367059827, "trading_costs_quote_units": 17.973958065685807, "borrowing_costs_quote_units": 117.03395400589959, "price_pnl_quote_units": 3887.981428492804, "turnover_quote_units": 29956.596776143026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13833.69832736467, "return_pct": 38.336983273646695, "cagr_pct": 279.74010440593133, "max_drawdown_pct": 19.627987374707345, "mean_exposure_while_solvent": 1.4965689766518764, "realized_annual_volatility_pct": 55.91101679899367, "trading_costs_quote_units": 14.720165618301959, "borrowing_costs_quote_units": 131.7347318689849, "price_pnl_quote_units": 3980.1532248519597, "turnover_quote_units": 24533.609363836615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13833.69832736467, "return_pct": 38.336983273646695, "cagr_pct": 279.74010440593133, "max_drawdown_pct": 19.627987374707345, "mean_exposure_while_solvent": 1.4965689766518764, "realized_annual_volatility_pct": 55.91101679899367, "trading_costs_quote_units": 14.720165618301959, "borrowing_costs_quote_units": 131.7347318689849, "price_pnl_quote_units": 3980.1532248519597, "turnover_quote_units": 24533.609363836615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13789.19199446894, "return_pct": 37.89191994468939, "cagr_pct": 274.74194739938264, "max_drawdown_pct": 17.171451842650765, "mean_exposure_while_solvent": 1.393580298789698, "realized_annual_volatility_pct": 52.284026315848294, "trading_costs_quote_units": 21.257966822050893, "borrowing_costs_quote_units": 103.41172774728278, "price_pnl_quote_units": 3913.861689038298, "turnover_quote_units": 35429.94470341812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13789.19199446894, "return_pct": 37.89191994468939, "cagr_pct": 274.74194739938264, "max_drawdown_pct": 17.171451842650765, "mean_exposure_while_solvent": 1.393580298789698, "realized_annual_volatility_pct": 52.284026315848294, "trading_costs_quote_units": 21.257966822050893, "borrowing_costs_quote_units": 103.41172774728278, "price_pnl_quote_units": 3913.861689038298, "turnover_quote_units": 35429.94470341812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13811.80093548588, "return_pct": 38.118009354858806, "cagr_pct": 277.27471709087797, "max_drawdown_pct": 19.540480372292024, "mean_exposure_while_solvent": 1.472501143999757, "realized_annual_volatility_pct": 55.268208180151305, "trading_costs_quote_units": 15.158440950332299, "borrowing_costs_quote_units": 125.6096487222957, "price_pnl_quote_units": 3952.569025158499, "turnover_quote_units": 25264.068250553853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13811.80093548588, "return_pct": 38.118009354858806, "cagr_pct": 277.27471709087797, "max_drawdown_pct": 19.540480372292024, "mean_exposure_while_solvent": 1.472501143999757, "realized_annual_volatility_pct": 55.268208180151305, "trading_costs_quote_units": 15.158440950332299, "borrowing_costs_quote_units": 125.6096487222957, "price_pnl_quote_units": 3952.569025158499, "turnover_quote_units": 25264.068250553853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12618.884850040513, "return_pct": 26.188848500405125, "cagr_pct": 160.2322462272597, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.36767959103495, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2624.8812521992186, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12618.884850040513, "return_pct": 26.188848500405125, "cagr_pct": 160.2322462272597, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.36767959103495, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2624.8812521992186, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13811.80093548588, "return_pct": 38.118009354858806, "cagr_pct": 277.27471709087797, "max_drawdown_pct": 19.540480372292024, "mean_exposure_while_solvent": 1.472501143999757, "realized_annual_volatility_pct": 55.268208180151305, "trading_costs_quote_units": 15.158440950332299, "borrowing_costs_quote_units": 125.6096487222957, "price_pnl_quote_units": 3952.569025158499, "turnover_quote_units": 25264.068250553853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13811.80093548588, "return_pct": 38.118009354858806, "cagr_pct": 277.27471709087797, "max_drawdown_pct": 19.540480372292024, "mean_exposure_while_solvent": 1.472501143999757, "realized_annual_volatility_pct": 55.268208180151305, "trading_costs_quote_units": 15.158440950332299, "borrowing_costs_quote_units": 125.6096487222957, "price_pnl_quote_units": 3952.569025158499, "turnover_quote_units": 25264.068250553853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13811.80093548588, "return_pct": 38.118009354858806, "cagr_pct": 277.27471709087797, "max_drawdown_pct": 19.540480372292024, "mean_exposure_while_solvent": 1.472501143999757, "realized_annual_volatility_pct": 55.268208180151305, "trading_costs_quote_units": 15.158440950332299, "borrowing_costs_quote_units": 125.6096487222957, "price_pnl_quote_units": 3952.569025158499, "turnover_quote_units": 25264.068250553853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13811.80093548588, "return_pct": 38.118009354858806, "cagr_pct": 277.27471709087797, "max_drawdown_pct": 19.540480372292024, "mean_exposure_while_solvent": 1.472501143999757, "realized_annual_volatility_pct": 55.268208180151305, "trading_costs_quote_units": 15.158440950332299, "borrowing_costs_quote_units": 125.6096487222957, "price_pnl_quote_units": 3952.569025158499, "turnover_quote_units": 25264.068250553853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 11940.143702475989, "return_pct": 19.401437024759893, "cagr_pct": 107.31702398072937, "max_drawdown_pct": 10.171206543858535, "mean_exposure_while_solvent": 0.7487942385174409, "realized_annual_volatility_pct": 28.064860148536898, "trading_costs_quote_units": 5.869635687369938, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1946.0133381633548, "turnover_quote_units": 9782.726145616558, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 11940.143702475989, "return_pct": 19.401437024759893, "cagr_pct": 107.31702398072937, "max_drawdown_pct": 10.171206543858535, "mean_exposure_while_solvent": 0.7487942385174409, "realized_annual_volatility_pct": 28.064860148536898, "trading_costs_quote_units": 5.869635687369938, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1946.0133381633548, "turnover_quote_units": 9782.726145616558, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12618.884850040513, "return_pct": 26.188848500405125, "cagr_pct": 160.2322462272597, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.36767959103495, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2624.8812521992186, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12618.884850040513, "return_pct": 26.188848500405125, "cagr_pct": 160.2322462272597, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.36767959103495, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2624.8812521992186, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13225.506441520614, "return_pct": 32.255064415206135, "cagr_pct": 215.64780777929138, "max_drawdown_pct": 16.542988898485746, "mean_exposure_while_solvent": 1.2473879126828133, "realized_annual_volatility_pct": 46.64927618540947, "trading_costs_quote_units": 9.849050608272965, "borrowing_costs_quote_units": 65.16837137340703, "price_pnl_quote_units": 3300.5238635022947, "turnover_quote_units": 16415.084347121596, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13225.506441520614, "return_pct": 32.255064415206135, "cagr_pct": 215.64780777929138, "max_drawdown_pct": 16.542988898485746, "mean_exposure_while_solvent": 1.2473879126828133, "realized_annual_volatility_pct": 46.64927618540947, "trading_costs_quote_units": 9.849050608272965, "borrowing_costs_quote_units": 65.16837137340703, "price_pnl_quote_units": 3300.5238635022947, "turnover_quote_units": 16415.084347121596, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13833.69832736467, "return_pct": 38.336983273646695, "cagr_pct": 279.74010440593133, "max_drawdown_pct": 19.627987374707345, "mean_exposure_while_solvent": 1.4965689766518764, "realized_annual_volatility_pct": 55.91101679899367, "trading_costs_quote_units": 14.720165618301959, "borrowing_costs_quote_units": 131.7347318689849, "price_pnl_quote_units": 3980.1532248519597, "turnover_quote_units": 24533.609363836615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13833.69832736467, "return_pct": 38.336983273646695, "cagr_pct": 279.74010440593133, "max_drawdown_pct": 19.627987374707345, "mean_exposure_while_solvent": 1.4965689766518764, "realized_annual_volatility_pct": 55.91101679899367, "trading_costs_quote_units": 14.720165618301959, "borrowing_costs_quote_units": 131.7347318689849, "price_pnl_quote_units": 3980.1532248519597, "turnover_quote_units": 24533.609363836615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13287.43162889649, "return_pct": 32.87431628896489, "cagr_pct": 221.76898107816183, "max_drawdown_pct": 12.216179735607003, "mean_exposure_while_solvent": 1.078917643401535, "realized_annual_volatility_pct": 40.84037398652368, "trading_costs_quote_units": 17.38422354194686, "borrowing_costs_quote_units": 61.67898679028918, "price_pnl_quote_units": 3366.4948392287274, "turnover_quote_units": 28973.705903244776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13287.43162889649, "return_pct": 32.87431628896489, "cagr_pct": 221.76898107816183, "max_drawdown_pct": 12.216179735607003, "mean_exposure_while_solvent": 1.078917643401535, "realized_annual_volatility_pct": 40.84037398652368, "trading_costs_quote_units": 17.38422354194686, "borrowing_costs_quote_units": 61.67898679028918, "price_pnl_quote_units": 3366.4948392287274, "turnover_quote_units": 28973.705903244776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13607.209761943297, "return_pct": 36.072097619432974, "cagr_pct": 254.82095860066804, "max_drawdown_pct": 18.070276709390388, "mean_exposure_while_solvent": 1.4371381743812586, "realized_annual_volatility_pct": 53.36104504470413, "trading_costs_quote_units": 17.928114999263766, "borrowing_costs_quote_units": 232.79384932096465, "price_pnl_quote_units": 3857.9317262635186, "turnover_quote_units": 29880.191665439626, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13607.209761943297, "return_pct": 36.072097619432974, "cagr_pct": 254.82095860066804, "max_drawdown_pct": 18.070276709390388, "mean_exposure_while_solvent": 1.4371381743812586, "realized_annual_volatility_pct": 53.36104504470413, "trading_costs_quote_units": 17.928114999263766, "borrowing_costs_quote_units": 232.79384932096465, "price_pnl_quote_units": 3857.9317262635186, "turnover_quote_units": 29880.191665439626, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13667.285687897718, "return_pct": 36.672856878977186, "cagr_pct": 261.3063633671046, "max_drawdown_pct": 19.79507148737679, "mean_exposure_while_solvent": 1.496654005151562, "realized_annual_volatility_pct": 55.91510406208741, "trading_costs_quote_units": 14.672813821843999, "borrowing_costs_quote_units": 261.8377964686234, "price_pnl_quote_units": 3943.7962981881706, "turnover_quote_units": 24454.689703073327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13667.285687897718, "return_pct": 36.672856878977186, "cagr_pct": 261.3063633671046, "max_drawdown_pct": 19.79507148737679, "mean_exposure_while_solvent": 1.496654005151562, "realized_annual_volatility_pct": 55.91510406208741, "trading_costs_quote_units": 14.672813821843999, "borrowing_costs_quote_units": 261.8377964686234, "price_pnl_quote_units": 3943.7962981881706, "turnover_quote_units": 24454.689703073327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13657.513074889288, "return_pct": 36.57513074889287, "cagr_pct": 260.2453150967928, "max_drawdown_pct": 17.26808826066972, "mean_exposure_while_solvent": 1.3936449096319432, "realized_annual_volatility_pct": 52.286280217980504, "trading_costs_quote_units": 21.187055736747407, "borrowing_costs_quote_units": 205.81512254958238, "price_pnl_quote_units": 3884.515253175613, "turnover_quote_units": 35311.759561245686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13657.513074889288, "return_pct": 36.57513074889287, "cagr_pct": 260.2453150967928, "max_drawdown_pct": 17.26808826066972, "mean_exposure_while_solvent": 1.3936449096319432, "realized_annual_volatility_pct": 52.286280217980504, "trading_costs_quote_units": 21.187055736747407, "borrowing_costs_quote_units": 205.81512254958238, "price_pnl_quote_units": 3884.515253175613, "turnover_quote_units": 35311.759561245686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13653.653275825873, "return_pct": 36.53653275825872, "cagr_pct": 259.82689289735515, "max_drawdown_pct": 19.70389710943694, "mean_exposure_while_solvent": 1.4725808496329937, "realized_annual_volatility_pct": 55.271948147909725, "trading_costs_quote_units": 15.114465022963971, "borrowing_costs_quote_units": 249.73819614421853, "price_pnl_quote_units": 3918.5059369930655, "turnover_quote_units": 25190.77503827329, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13653.653275825873, "return_pct": 36.53653275825872, "cagr_pct": 259.82689289735515, "max_drawdown_pct": 19.70389710943694, "mean_exposure_while_solvent": 1.4725808496329937, "realized_annual_volatility_pct": 55.271948147909725, "trading_costs_quote_units": 15.114465022963971, "borrowing_costs_quote_units": 249.73819614421853, "price_pnl_quote_units": 3918.5059369930655, "turnover_quote_units": 25190.77503827329, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12618.884850040513, "return_pct": 26.188848500405125, "cagr_pct": 160.2322462272597, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.36767959103495, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2624.8812521992186, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12618.884850040513, "return_pct": 26.188848500405125, "cagr_pct": 160.2322462272597, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.36767959103495, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2624.8812521992186, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13653.653275825873, "return_pct": 36.53653275825872, "cagr_pct": 259.82689289735515, "max_drawdown_pct": 19.70389710943694, "mean_exposure_while_solvent": 1.4725808496329937, "realized_annual_volatility_pct": 55.271948147909725, "trading_costs_quote_units": 15.114465022963971, "borrowing_costs_quote_units": 249.73819614421853, "price_pnl_quote_units": 3918.5059369930655, "turnover_quote_units": 25190.77503827329, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13653.653275825873, "return_pct": 36.53653275825872, "cagr_pct": 259.82689289735515, "max_drawdown_pct": 19.70389710943694, "mean_exposure_while_solvent": 1.4725808496329937, "realized_annual_volatility_pct": 55.271948147909725, "trading_costs_quote_units": 15.114465022963971, "borrowing_costs_quote_units": 249.73819614421853, "price_pnl_quote_units": 3918.5059369930655, "turnover_quote_units": 25190.77503827329, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13653.653275825873, "return_pct": 36.53653275825872, "cagr_pct": 259.82689289735515, "max_drawdown_pct": 19.70389710943694, "mean_exposure_while_solvent": 1.4725808496329937, "realized_annual_volatility_pct": 55.271948147909725, "trading_costs_quote_units": 15.114465022963971, "borrowing_costs_quote_units": 249.73819614421853, "price_pnl_quote_units": 3918.5059369930655, "turnover_quote_units": 25190.77503827329, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13653.653275825873, "return_pct": 36.53653275825872, "cagr_pct": 259.82689289735515, "max_drawdown_pct": 19.70389710943694, "mean_exposure_while_solvent": 1.4725808496329937, "realized_annual_volatility_pct": 55.271948147909725, "trading_costs_quote_units": 15.114465022963971, "borrowing_costs_quote_units": 249.73819614421853, "price_pnl_quote_units": 3918.5059369930655, "turnover_quote_units": 25190.77503827329, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 11940.143702475989, "return_pct": 19.401437024759893, "cagr_pct": 107.31702398072937, "max_drawdown_pct": 10.171206543858535, "mean_exposure_while_solvent": 0.7487942385174409, "realized_annual_volatility_pct": 28.064860148536898, "trading_costs_quote_units": 5.869635687369938, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1946.0133381633548, "turnover_quote_units": 9782.726145616558, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 11940.143702475989, "return_pct": 19.401437024759893, "cagr_pct": 107.31702398072937, "max_drawdown_pct": 10.171206543858535, "mean_exposure_while_solvent": 0.7487942385174409, "realized_annual_volatility_pct": 28.064860148536898, "trading_costs_quote_units": 5.869635687369938, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1946.0133381633548, "turnover_quote_units": 9782.726145616558, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12618.884850040513, "return_pct": 26.188848500405125, "cagr_pct": 160.2322462272597, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.36767959103495, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2624.8812521992186, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12618.884850040513, "return_pct": 26.188848500405125, "cagr_pct": 160.2322462272597, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.36767959103495, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2624.8812521992186, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13145.688639835924, "return_pct": 31.45688639835924, "cagr_pct": 207.8884666094992, "max_drawdown_pct": 16.629583026701443, "mean_exposure_while_solvent": 1.2474233572374416, "realized_annual_volatility_pct": 46.65098225787009, "trading_costs_quote_units": 9.837440239426844, "borrowing_costs_quote_units": 129.9429156405726, "price_pnl_quote_units": 3285.468995715927, "turnover_quote_units": 16395.733732378052, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13145.688639835924, "return_pct": 31.45688639835924, "cagr_pct": 207.8884666094992, "max_drawdown_pct": 16.629583026701443, "mean_exposure_while_solvent": 1.2474233572374416, "realized_annual_volatility_pct": 46.65098225787009, "trading_costs_quote_units": 9.837440239426844, "borrowing_costs_quote_units": 129.9429156405726, "price_pnl_quote_units": 3285.468995715927, "turnover_quote_units": 16395.733732378052, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13667.285687897718, "return_pct": 36.672856878977186, "cagr_pct": 261.3063633671046, "max_drawdown_pct": 19.79507148737679, "mean_exposure_while_solvent": 1.496654005151562, "realized_annual_volatility_pct": 55.91510406208741, "trading_costs_quote_units": 14.672813821843999, "borrowing_costs_quote_units": 261.8377964686234, "price_pnl_quote_units": 3943.7962981881706, "turnover_quote_units": 24454.689703073327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13667.285687897718, "return_pct": 36.672856878977186, "cagr_pct": 261.3063633671046, "max_drawdown_pct": 19.79507148737679, "mean_exposure_while_solvent": 1.496654005151562, "realized_annual_volatility_pct": 55.91510406208741, "trading_costs_quote_units": 14.672813821843999, "borrowing_costs_quote_units": 261.8377964686234, "price_pnl_quote_units": 3943.7962981881706, "turnover_quote_units": 24454.689703073327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13491.076695953441, "return_pct": 34.91076695953441, "cagr_pct": 242.5341240140165, "max_drawdown_pct": 12.189900971227207, "mean_exposure_while_solvent": 1.0751479208742003, "realized_annual_volatility_pct": 41.15849933426027, "trading_costs_quote_units": 17.455880562783914, "borrowing_costs_quote_units": 15.543492411953332, "price_pnl_quote_units": 3524.076068928183, "turnover_quote_units": 29093.13427130653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13491.076695953441, "return_pct": 34.91076695953441, "cagr_pct": 242.5341240140165, "max_drawdown_pct": 12.189900971227207, "mean_exposure_while_solvent": 1.0751479208742003, "realized_annual_volatility_pct": 41.15849933426027, "trading_costs_quote_units": 17.455880562783914, "borrowing_costs_quote_units": 15.543492411953332, "price_pnl_quote_units": 3524.076068928183, "turnover_quote_units": 29093.13427130653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13831.374758251699, "return_pct": 38.313747582516996, "cagr_pct": 279.47792140294524, "max_drawdown_pct": 17.90185887893473, "mean_exposure_while_solvent": 1.4313219313309462, "realized_annual_volatility_pct": 53.3096065999767, "trading_costs_quote_units": 17.245639924892572, "borrowing_costs_quote_units": 58.433335543078705, "price_pnl_quote_units": 3907.053733719668, "turnover_quote_units": 28742.733208154285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13831.374758251699, "return_pct": 38.313747582516996, "cagr_pct": 279.47792140294524, "max_drawdown_pct": 17.90185887893473, "mean_exposure_while_solvent": 1.4313219313309462, "realized_annual_volatility_pct": 53.3096065999767, "trading_costs_quote_units": 17.245639924892572, "borrowing_costs_quote_units": 58.433335543078705, "price_pnl_quote_units": 3907.053733719668, "turnover_quote_units": 28742.733208154285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13891.148221787578, "return_pct": 38.91148221787579, "cagr_pct": 286.26625116967375, "max_drawdown_pct": 19.597573820249814, "mean_exposure_while_solvent": 1.4906959221995129, "realized_annual_volatility_pct": 55.79672674767336, "trading_costs_quote_units": 14.67504683879853, "borrowing_costs_quote_units": 65.69595976001439, "price_pnl_quote_units": 3971.5192283864026, "turnover_quote_units": 24458.411397997545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13891.148221787578, "return_pct": 38.91148221787579, "cagr_pct": 286.26625116967375, "max_drawdown_pct": 19.597573820249814, "mean_exposure_while_solvent": 1.4906959221995129, "realized_annual_volatility_pct": 55.79672674767336, "trading_costs_quote_units": 14.67504683879853, "borrowing_costs_quote_units": 65.69595976001439, "price_pnl_quote_units": 3971.5192283864026, "turnover_quote_units": 24458.411397997545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13772.044949127452, "return_pct": 37.72044949127451, "cagr_pct": 272.82964418223014, "max_drawdown_pct": 17.185849591990753, "mean_exposure_while_solvent": 1.387955455981719, "realized_annual_volatility_pct": 52.28724188030929, "trading_costs_quote_units": 21.692914427454923, "borrowing_costs_quote_units": 51.412497013388034, "price_pnl_quote_units": 3845.1503605682933, "turnover_quote_units": 36154.85737909153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13772.044949127452, "return_pct": 37.72044949127451, "cagr_pct": 272.82964418223014, "max_drawdown_pct": 17.185849591990753, "mean_exposure_while_solvent": 1.387955455981719, "realized_annual_volatility_pct": 52.28724188030929, "trading_costs_quote_units": 21.692914427454923, "borrowing_costs_quote_units": 51.412497013388034, "price_pnl_quote_units": 3845.1503605682933, "turnover_quote_units": 36154.85737909153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13873.93589757743, "return_pct": 38.739358975774294, "cagr_pct": 284.3021443752498, "max_drawdown_pct": 19.533510471414516, "mean_exposure_while_solvent": 1.4666350593452457, "realized_annual_volatility_pct": 55.191870408947544, "trading_costs_quote_units": 14.922320793991396, "borrowing_costs_quote_units": 62.64100505250683, "price_pnl_quote_units": 3951.4992234239385, "turnover_quote_units": 24870.534656652337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13873.93589757743, "return_pct": 38.739358975774294, "cagr_pct": 284.3021443752498, "max_drawdown_pct": 19.533510471414516, "mean_exposure_while_solvent": 1.4666350593452457, "realized_annual_volatility_pct": 55.191870408947544, "trading_costs_quote_units": 14.922320793991396, "borrowing_costs_quote_units": 62.64100505250683, "price_pnl_quote_units": 3951.4992234239385, "turnover_quote_units": 24870.534656652337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12610.709213351007, "return_pct": 26.10709213351008, "cagr_pct": 159.53971685983123, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.326746972372504, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2616.7056155097125, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12610.709213351007, "return_pct": 26.10709213351008, "cagr_pct": 159.53971685983123, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.326746972372504, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2616.7056155097125, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13873.93589757743, "return_pct": 38.739358975774294, "cagr_pct": 284.3021443752498, "max_drawdown_pct": 19.533510471414516, "mean_exposure_while_solvent": 1.4666350593452457, "realized_annual_volatility_pct": 55.191870408947544, "trading_costs_quote_units": 14.922320793991396, "borrowing_costs_quote_units": 62.64100505250683, "price_pnl_quote_units": 3951.4992234239385, "turnover_quote_units": 24870.534656652337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13873.93589757743, "return_pct": 38.739358975774294, "cagr_pct": 284.3021443752498, "max_drawdown_pct": 19.533510471414516, "mean_exposure_while_solvent": 1.4666350593452457, "realized_annual_volatility_pct": 55.191870408947544, "trading_costs_quote_units": 14.922320793991396, "borrowing_costs_quote_units": 62.64100505250683, "price_pnl_quote_units": 3951.4992234239385, "turnover_quote_units": 24870.534656652337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13873.93589757743, "return_pct": 38.739358975774294, "cagr_pct": 284.3021443752498, "max_drawdown_pct": 19.533510471414516, "mean_exposure_while_solvent": 1.4666350593452457, "realized_annual_volatility_pct": 55.191870408947544, "trading_costs_quote_units": 14.922320793991396, "borrowing_costs_quote_units": 62.64100505250683, "price_pnl_quote_units": 3951.4992234239385, "turnover_quote_units": 24870.534656652337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13873.93589757743, "return_pct": 38.739358975774294, "cagr_pct": 284.3021443752498, "max_drawdown_pct": 19.533510471414516, "mean_exposure_while_solvent": 1.4666350593452457, "realized_annual_volatility_pct": 55.191870408947544, "trading_costs_quote_units": 14.922320793991396, "borrowing_costs_quote_units": 62.64100505250683, "price_pnl_quote_units": 3951.4992234239385, "turnover_quote_units": 24870.534656652337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 11937.451550511472, "return_pct": 19.37451550511473, "cagr_pct": 107.12489764489148, "max_drawdown_pct": 10.15763661831921, "mean_exposure_while_solvent": 0.7460407372557569, "realized_annual_volatility_pct": 28.047598298382336, "trading_costs_quote_units": 5.870216056424521, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1943.3217665679006, "turnover_quote_units": 9783.693427374203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 11937.451550511472, "return_pct": 19.37451550511473, "cagr_pct": 107.12489764489148, "max_drawdown_pct": 10.15763661831921, "mean_exposure_while_solvent": 0.7460407372557569, "realized_annual_volatility_pct": 28.047598298382336, "trading_costs_quote_units": 5.870216056424521, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1943.3217665679006, "turnover_quote_units": 9783.693427374203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12610.709213351007, "return_pct": 26.10709213351008, "cagr_pct": 159.53971685983123, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.326746972372504, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2616.7056155097125, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12610.709213351007, "return_pct": 26.10709213351008, "cagr_pct": 159.53971685983123, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.326746972372504, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2616.7056155097125, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13249.547335777605, "return_pct": 32.49547335777605, "cagr_pct": 218.0136371439556, "max_drawdown_pct": 16.52260944964524, "mean_exposure_while_solvent": 1.242598654668841, "realized_annual_volatility_pct": 46.57531334718633, "trading_costs_quote_units": 9.836671793231591, "borrowing_costs_quote_units": 32.469517472570615, "price_pnl_quote_units": 3291.8535250434115, "turnover_quote_units": 16394.452988719317, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13249.547335777605, "return_pct": 32.49547335777605, "cagr_pct": 218.0136371439556, "max_drawdown_pct": 16.52260944964524, "mean_exposure_while_solvent": 1.242598654668841, "realized_annual_volatility_pct": 46.57531334718633, "trading_costs_quote_units": 9.836671793231591, "borrowing_costs_quote_units": 32.469517472570615, "price_pnl_quote_units": 3291.8535250434115, "turnover_quote_units": 16394.452988719317, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13891.148221787578, "return_pct": 38.91148221787579, "cagr_pct": 286.26625116967375, "max_drawdown_pct": 19.597573820249814, "mean_exposure_while_solvent": 1.4906959221995129, "realized_annual_volatility_pct": 55.79672674767336, "trading_costs_quote_units": 14.67504683879853, "borrowing_costs_quote_units": 65.69595976001439, "price_pnl_quote_units": 3971.5192283864026, "turnover_quote_units": 24458.411397997545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13891.148221787578, "return_pct": 38.91148221787579, "cagr_pct": 286.26625116967375, "max_drawdown_pct": 19.597573820249814, "mean_exposure_while_solvent": 1.4906959221995129, "realized_annual_volatility_pct": 55.79672674767336, "trading_costs_quote_units": 14.67504683879853, "borrowing_costs_quote_units": 65.69595976001439, "price_pnl_quote_units": 3971.5192283864026, "turnover_quote_units": 24458.411397997545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13471.406716146872, "return_pct": 34.71406716146872, "cagr_pct": 240.4853683763695, "max_drawdown_pct": 12.189900971227207, "mean_exposure_while_solvent": 1.0751571440448342, "realized_annual_volatility_pct": 41.1573329471504, "trading_costs_quote_units": 17.446506551066342, "borrowing_costs_quote_units": 31.065894770660623, "price_pnl_quote_units": 3519.919117468596, "turnover_quote_units": 29077.510918443924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13471.406716146872, "return_pct": 34.71406716146872, "cagr_pct": 240.4853683763695, "max_drawdown_pct": 12.189900971227207, "mean_exposure_while_solvent": 1.0751571440448342, "realized_annual_volatility_pct": 41.1573329471504, "trading_costs_quote_units": 17.446506551066342, "borrowing_costs_quote_units": 31.065894770660623, "price_pnl_quote_units": 3519.919117468596, "turnover_quote_units": 29077.510918443924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13758.21848829956, "return_pct": 37.582184882995605, "cagr_pct": 271.29305102102006, "max_drawdown_pct": 17.96043674347867, "mean_exposure_while_solvent": 1.431358042637637, "realized_annual_volatility_pct": 53.31076226443007, "trading_costs_quote_units": 17.223915264139986, "borrowing_costs_quote_units": 116.54910924044023, "price_pnl_quote_units": 3891.9915128041216, "turnover_quote_units": 28706.525440233305, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13758.21848829956, "return_pct": 37.582184882995605, "cagr_pct": 271.29305102102006, "max_drawdown_pct": 17.96043674347867, "mean_exposure_while_solvent": 1.431358042637637, "realized_annual_volatility_pct": 53.31076226443007, "trading_costs_quote_units": 17.223915264139986, "borrowing_costs_quote_units": 116.54910924044023, "price_pnl_quote_units": 3891.9915128041216, "turnover_quote_units": 28706.525440233305, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13807.677726308713, "return_pct": 38.07677726308714, "cagr_pct": 276.81185105861255, "max_drawdown_pct": 19.681140651955598, "mean_exposure_while_solvent": 1.4907381366573604, "realized_annual_volatility_pct": 55.798375427015344, "trading_costs_quote_units": 14.65158123626324, "borrowing_costs_quote_units": 130.98538238689747, "price_pnl_quote_units": 3953.3146899318735, "turnover_quote_units": 24419.30206043874, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13807.677726308713, "return_pct": 38.07677726308714, "cagr_pct": 276.81185105861255, "max_drawdown_pct": 19.681140651955598, "mean_exposure_while_solvent": 1.4907381366573604, "realized_annual_volatility_pct": 55.798375427015344, "trading_costs_quote_units": 14.65158123626324, "borrowing_costs_quote_units": 130.98538238689747, "price_pnl_quote_units": 3953.3146899318735, "turnover_quote_units": 24419.30206043874, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13706.43080995472, "return_pct": 37.06430809954719, "cagr_pct": 265.58022145588706, "max_drawdown_pct": 17.233314295765812, "mean_exposure_while_solvent": 1.3879875050842216, "realized_annual_volatility_pct": 52.28816948631643, "trading_costs_quote_units": 21.6648469025121, "borrowing_costs_quote_units": 102.57500370089014, "price_pnl_quote_units": 3830.6706605581226, "turnover_quote_units": 36108.07817085349, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13706.43080995472, "return_pct": 37.06430809954719, "cagr_pct": 265.58022145588706, "max_drawdown_pct": 17.233314295765812, "mean_exposure_while_solvent": 1.3879875050842216, "realized_annual_volatility_pct": 52.28816948631643, "trading_costs_quote_units": 21.6648469025121, "borrowing_costs_quote_units": 102.57500370089014, "price_pnl_quote_units": 3830.6706605581226, "turnover_quote_units": 36108.07817085349, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13794.623536391771, "return_pct": 37.9462353639177, "cagr_pct": 275.3492386653687, "max_drawdown_pct": 19.61534248734027, "mean_exposure_while_solvent": 1.4666746103571828, "realized_annual_volatility_pct": 55.19334488577875, "trading_costs_quote_units": 14.89251385552954, "borrowing_costs_quote_units": 124.91313536082077, "price_pnl_quote_units": 3934.42918560812, "turnover_quote_units": 24820.85642588257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13794.623536391771, "return_pct": 37.9462353639177, "cagr_pct": 275.3492386653687, "max_drawdown_pct": 19.61534248734027, "mean_exposure_while_solvent": 1.4666746103571828, "realized_annual_volatility_pct": 55.19334488577875, "trading_costs_quote_units": 14.89251385552954, "borrowing_costs_quote_units": 124.91313536082077, "price_pnl_quote_units": 3934.42918560812, "turnover_quote_units": 24820.85642588257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12610.709213351007, "return_pct": 26.10709213351008, "cagr_pct": 159.53971685983123, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.326746972372504, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2616.7056155097125, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12610.709213351007, "return_pct": 26.10709213351008, "cagr_pct": 159.53971685983123, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.326746972372504, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2616.7056155097125, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13794.623536391771, "return_pct": 37.9462353639177, "cagr_pct": 275.3492386653687, "max_drawdown_pct": 19.61534248734027, "mean_exposure_while_solvent": 1.4666746103571828, "realized_annual_volatility_pct": 55.19334488577875, "trading_costs_quote_units": 14.89251385552954, "borrowing_costs_quote_units": 124.91313536082077, "price_pnl_quote_units": 3934.42918560812, "turnover_quote_units": 24820.85642588257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13794.623536391771, "return_pct": 37.9462353639177, "cagr_pct": 275.3492386653687, "max_drawdown_pct": 19.61534248734027, "mean_exposure_while_solvent": 1.4666746103571828, "realized_annual_volatility_pct": 55.19334488577875, "trading_costs_quote_units": 14.89251385552954, "borrowing_costs_quote_units": 124.91313536082077, "price_pnl_quote_units": 3934.42918560812, "turnover_quote_units": 24820.85642588257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13794.623536391771, "return_pct": 37.9462353639177, "cagr_pct": 275.3492386653687, "max_drawdown_pct": 19.61534248734027, "mean_exposure_while_solvent": 1.4666746103571828, "realized_annual_volatility_pct": 55.19334488577875, "trading_costs_quote_units": 14.89251385552954, "borrowing_costs_quote_units": 124.91313536082077, "price_pnl_quote_units": 3934.42918560812, "turnover_quote_units": 24820.85642588257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13794.623536391771, "return_pct": 37.9462353639177, "cagr_pct": 275.3492386653687, "max_drawdown_pct": 19.61534248734027, "mean_exposure_while_solvent": 1.4666746103571828, "realized_annual_volatility_pct": 55.19334488577875, "trading_costs_quote_units": 14.89251385552954, "borrowing_costs_quote_units": 124.91313536082077, "price_pnl_quote_units": 3934.42918560812, "turnover_quote_units": 24820.85642588257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 11937.451550511472, "return_pct": 19.37451550511473, "cagr_pct": 107.12489764489148, "max_drawdown_pct": 10.15763661831921, "mean_exposure_while_solvent": 0.7460407372557569, "realized_annual_volatility_pct": 28.047598298382336, "trading_costs_quote_units": 5.870216056424521, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1943.3217665679006, "turnover_quote_units": 9783.693427374203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 11937.451550511472, "return_pct": 19.37451550511473, "cagr_pct": 107.12489764489148, "max_drawdown_pct": 10.15763661831921, "mean_exposure_while_solvent": 0.7460407372557569, "realized_annual_volatility_pct": 28.047598298382336, "trading_costs_quote_units": 5.870216056424521, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1943.3217665679006, "turnover_quote_units": 9783.693427374203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12610.709213351007, "return_pct": 26.10709213351008, "cagr_pct": 159.53971685983123, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.326746972372504, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2616.7056155097125, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12610.709213351007, "return_pct": 26.10709213351008, "cagr_pct": 159.53971685983123, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.326746972372504, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2616.7056155097125, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13209.66376781137, "return_pct": 32.0966376781137, "cagr_pct": 214.09605066071026, "max_drawdown_pct": 16.565905156929052, "mean_exposure_while_solvent": 1.2426162535443184, "realized_annual_volatility_pct": 46.57600218298027, "trading_costs_quote_units": 9.830718960853629, "borrowing_costs_quote_units": 64.84115176005714, "price_pnl_quote_units": 3284.3356385322813, "turnover_quote_units": 16384.53160142273, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13209.66376781137, "return_pct": 32.0966376781137, "cagr_pct": 214.09605066071026, "max_drawdown_pct": 16.565905156929052, "mean_exposure_while_solvent": 1.2426162535443184, "realized_annual_volatility_pct": 46.57600218298027, "trading_costs_quote_units": 9.830718960853629, "borrowing_costs_quote_units": 64.84115176005714, "price_pnl_quote_units": 3284.3356385322813, "turnover_quote_units": 16384.53160142273, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13807.677726308713, "return_pct": 38.07677726308714, "cagr_pct": 276.81185105861255, "max_drawdown_pct": 19.681140651955598, "mean_exposure_while_solvent": 1.4907381366573604, "realized_annual_volatility_pct": 55.798375427015344, "trading_costs_quote_units": 14.65158123626324, "borrowing_costs_quote_units": 130.98538238689747, "price_pnl_quote_units": 3953.3146899318735, "turnover_quote_units": 24419.30206043874, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13807.677726308713, "return_pct": 38.07677726308714, "cagr_pct": 276.81185105861255, "max_drawdown_pct": 19.681140651955598, "mean_exposure_while_solvent": 1.4907381366573604, "realized_annual_volatility_pct": 55.798375427015344, "trading_costs_quote_units": 14.65158123626324, "borrowing_costs_quote_units": 130.98538238689747, "price_pnl_quote_units": 3953.3146899318735, "turnover_quote_units": 24419.30206043874, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13432.143282093391, "return_pct": 34.321432820933914, "cagr_pct": 236.42357055792306, "max_drawdown_pct": 12.189900971227207, "mean_exposure_while_solvent": 1.0751755937309182, "realized_annual_volatility_pct": 41.15502190608762, "trading_costs_quote_units": 17.427784081136604, "borrowing_costs_quote_units": 62.04752799351972, "price_pnl_quote_units": 3511.618594168048, "turnover_quote_units": 29046.30680189436, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13432.143282093391, "return_pct": 34.321432820933914, "cagr_pct": 236.42357055792306, "max_drawdown_pct": 12.189900971227207, "mean_exposure_while_solvent": 1.0751755937309182, "realized_annual_volatility_pct": 41.15502190608762, "trading_costs_quote_units": 17.427784081136604, "borrowing_costs_quote_units": 62.04752799351972, "price_pnl_quote_units": 3511.618594168048, "turnover_quote_units": 29046.30680189436, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13613.026665380974, "return_pct": 36.13026665380974, "cagr_pct": 255.4450312387763, "max_drawdown_pct": 18.077496116454185, "mean_exposure_while_solvent": 1.431430280142107, "realized_annual_volatility_pct": 53.31308020221533, "trading_costs_quote_units": 17.180766036355585, "borrowing_costs_quote_units": 231.83452043240382, "price_pnl_quote_units": 3862.041951849731, "turnover_quote_units": 28634.610060592648, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13613.026665380974, "return_pct": 36.13026665380974, "cagr_pct": 255.4450312387763, "max_drawdown_pct": 18.077496116454185, "mean_exposure_while_solvent": 1.431430280142107, "realized_annual_volatility_pct": 53.31308020221533, "trading_costs_quote_units": 17.180766036355585, "borrowing_costs_quote_units": 231.83452043240382, "price_pnl_quote_units": 3862.041951849731, "turnover_quote_units": 28634.610060592648, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13642.193649806395, "return_pct": 36.42193649806396, "cagr_pct": 258.58677687586436, "max_drawdown_pct": 19.848059689893372, "mean_exposure_while_solvent": 1.4908225837946003, "realized_annual_volatility_pct": 55.80167505220829, "trading_costs_quote_units": 14.605001183287378, "borrowing_costs_quote_units": 260.3542028263712, "price_pnl_quote_units": 3917.1528538160546, "turnover_quote_units": 24341.668638812294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13642.193649806395, "return_pct": 36.42193649806396, "cagr_pct": 258.58677687586436, "max_drawdown_pct": 19.848059689893372, "mean_exposure_while_solvent": 1.4908225837946003, "realized_annual_volatility_pct": 55.80167505220829, "trading_costs_quote_units": 14.605001183287378, "borrowing_costs_quote_units": 260.3542028263712, "price_pnl_quote_units": 3917.1528538160546, "turnover_quote_units": 24341.668638812294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13576.105268554418, "return_pct": 35.76105268554419, "cagr_pct": 251.497939851298, "max_drawdown_pct": 17.328184387525624, "mean_exposure_while_solvent": 1.3880516162171925, "realized_annual_volatility_pct": 52.29003607609546, "trading_costs_quote_units": 21.608991984872947, "borrowing_costs_quote_units": 204.1546496872029, "price_pnl_quote_units": 3801.8689102265016, "turnover_quote_units": 36014.986641454925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13576.105268554418, "return_pct": 35.76105268554419, "cagr_pct": 251.497939851298, "max_drawdown_pct": 17.328184387525624, "mean_exposure_while_solvent": 1.3880516162171925, "realized_annual_volatility_pct": 52.29003607609546, "trading_costs_quote_units": 21.608991984872947, "borrowing_costs_quote_units": 204.1546496872029, "price_pnl_quote_units": 3801.8689102265016, "turnover_quote_units": 36014.986641454925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13637.314593225365, "return_pct": 36.37314593225365, "cagr_pct": 258.05976728291273, "max_drawdown_pct": 19.778801547707314, "mean_exposure_while_solvent": 1.4667537290092258, "realized_annual_volatility_pct": 55.19629634815384, "trading_costs_quote_units": 14.833314082096036, "borrowing_costs_quote_units": 248.35903647163664, "price_pnl_quote_units": 3900.506943779079, "turnover_quote_units": 24722.19013682673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13637.314593225365, "return_pct": 36.37314593225365, "cagr_pct": 258.05976728291273, "max_drawdown_pct": 19.778801547707314, "mean_exposure_while_solvent": 1.4667537290092258, "realized_annual_volatility_pct": 55.19629634815384, "trading_costs_quote_units": 14.833314082096036, "borrowing_costs_quote_units": 248.35903647163664, "price_pnl_quote_units": 3900.506943779079, "turnover_quote_units": 24722.19013682673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12610.709213351007, "return_pct": 26.10709213351008, "cagr_pct": 159.53971685983123, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.326746972372504, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2616.7056155097125, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12610.709213351007, "return_pct": 26.10709213351008, "cagr_pct": 159.53971685983123, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.326746972372504, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2616.7056155097125, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13637.314593225365, "return_pct": 36.37314593225365, "cagr_pct": 258.05976728291273, "max_drawdown_pct": 19.778801547707314, "mean_exposure_while_solvent": 1.4667537290092258, "realized_annual_volatility_pct": 55.19629634815384, "trading_costs_quote_units": 14.833314082096036, "borrowing_costs_quote_units": 248.35903647163664, "price_pnl_quote_units": 3900.506943779079, "turnover_quote_units": 24722.19013682673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13637.314593225365, "return_pct": 36.37314593225365, "cagr_pct": 258.05976728291273, "max_drawdown_pct": 19.778801547707314, "mean_exposure_while_solvent": 1.4667537290092258, "realized_annual_volatility_pct": 55.19629634815384, "trading_costs_quote_units": 14.833314082096036, "borrowing_costs_quote_units": 248.35903647163664, "price_pnl_quote_units": 3900.506943779079, "turnover_quote_units": 24722.19013682673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13637.314593225365, "return_pct": 36.37314593225365, "cagr_pct": 258.05976728291273, "max_drawdown_pct": 19.778801547707314, "mean_exposure_while_solvent": 1.4667537290092258, "realized_annual_volatility_pct": 55.19629634815384, "trading_costs_quote_units": 14.833314082096036, "borrowing_costs_quote_units": 248.35903647163664, "price_pnl_quote_units": 3900.506943779079, "turnover_quote_units": 24722.19013682673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13637.314593225365, "return_pct": 36.37314593225365, "cagr_pct": 258.05976728291273, "max_drawdown_pct": 19.778801547707314, "mean_exposure_while_solvent": 1.4667537290092258, "realized_annual_volatility_pct": 55.19629634815384, "trading_costs_quote_units": 14.833314082096036, "borrowing_costs_quote_units": 248.35903647163664, "price_pnl_quote_units": 3900.506943779079, "turnover_quote_units": 24722.19013682673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 11937.451550511472, "return_pct": 19.37451550511473, "cagr_pct": 107.12489764489148, "max_drawdown_pct": 10.15763661831921, "mean_exposure_while_solvent": 0.7460407372557569, "realized_annual_volatility_pct": 28.047598298382336, "trading_costs_quote_units": 5.870216056424521, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1943.3217665679006, "turnover_quote_units": 9783.693427374203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 11937.451550511472, "return_pct": 19.37451550511473, "cagr_pct": 107.12489764489148, "max_drawdown_pct": 10.15763661831921, "mean_exposure_while_solvent": 0.7460407372557569, "realized_annual_volatility_pct": 28.047598298382336, "trading_costs_quote_units": 5.870216056424521, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1943.3217665679006, "turnover_quote_units": 9783.693427374203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12610.709213351007, "return_pct": 26.10709213351008, "cagr_pct": 159.53971685983123, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.326746972372504, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2616.7056155097125, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12610.709213351007, "return_pct": 26.10709213351008, "cagr_pct": 159.53971685983123, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.326746972372504, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2616.7056155097125, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13130.238926188804, "return_pct": 31.30238926188804, "cagr_pct": 206.40338403505444, "max_drawdown_pct": 16.65244849643236, "mean_exposure_while_solvent": 1.2426514566928346, "realized_annual_volatility_pct": 46.57738057318061, "trading_costs_quote_units": 9.818861727116909, "borrowing_costs_quote_units": 129.29187358629204, "price_pnl_quote_units": 3269.349661502219, "turnover_quote_units": 16364.769545194857, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13130.238926188804, "return_pct": 31.30238926188804, "cagr_pct": 206.40338403505444, "max_drawdown_pct": 16.65244849643236, "mean_exposure_while_solvent": 1.2426514566928346, "realized_annual_volatility_pct": 46.57738057318061, "trading_costs_quote_units": 9.818861727116909, "borrowing_costs_quote_units": 129.29187358629204, "price_pnl_quote_units": 3269.349661502219, "turnover_quote_units": 16364.769545194857, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13642.193649806395, "return_pct": 36.42193649806396, "cagr_pct": 258.58677687586436, "max_drawdown_pct": 19.848059689893372, "mean_exposure_while_solvent": 1.4908225837946003, "realized_annual_volatility_pct": 55.80167505220829, "trading_costs_quote_units": 14.605001183287378, "borrowing_costs_quote_units": 260.3542028263712, "price_pnl_quote_units": 3917.1528538160546, "turnover_quote_units": 24341.668638812294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13642.193649806395, "return_pct": 36.42193649806396, "cagr_pct": 258.58677687586436, "max_drawdown_pct": 19.848059689893372, "mean_exposure_while_solvent": 1.4908225837946003, "realized_annual_volatility_pct": 55.80167505220829, "trading_costs_quote_units": 14.605001183287378, "borrowing_costs_quote_units": 260.3542028263712, "price_pnl_quote_units": 3917.1528538160546, "turnover_quote_units": 24341.668638812294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13257.834724547714, "return_pct": 32.57834724547715, "cagr_pct": 218.83228907525427, "max_drawdown_pct": 12.251435120644416, "mean_exposure_while_solvent": 1.0788899835327748, "realized_annual_volatility_pct": 40.84985080291014, "trading_costs_quote_units": 86.72660629838886, "borrowing_costs_quote_units": 15.37221681996596, "price_pnl_quote_units": 3359.93354766606, "turnover_quote_units": 28908.868766129603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13257.834724547714, "return_pct": 32.57834724547715, "cagr_pct": 218.83228907525427, "max_drawdown_pct": 12.251435120644416, "mean_exposure_while_solvent": 1.0788899835327748, "realized_annual_volatility_pct": 40.84985080291014, "trading_costs_quote_units": 86.72660629838886, "borrowing_costs_quote_units": 15.37221681996596, "price_pnl_quote_units": 3359.93354766606, "turnover_quote_units": 28908.868766129603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13731.014016417234, "return_pct": 37.31014016417233, "cagr_pct": 268.28369932479137, "max_drawdown_pct": 17.961587789033462, "mean_exposure_while_solvent": 1.4370290189703758, "realized_annual_volatility_pct": 53.3663813861897, "trading_costs_quote_units": 89.5710330177026, "borrowing_costs_quote_units": 58.3424305511084, "price_pnl_quote_units": 3878.9274799860486, "turnover_quote_units": 29857.011005900862, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13731.014016417234, "return_pct": 37.31014016417233, "cagr_pct": 268.28369932479137, "max_drawdown_pct": 17.961587789033462, "mean_exposure_while_solvent": 1.4370290189703758, "realized_annual_volatility_pct": 53.3663813861897, "trading_costs_quote_units": 89.5710330177026, "borrowing_costs_quote_units": 58.3424305511084, "price_pnl_quote_units": 3878.9274799860486, "turnover_quote_units": 29857.011005900862, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13839.599557186322, "return_pct": 38.39599557186322, "cagr_pct": 280.4065937113749, "max_drawdown_pct": 19.569843694298918, "mean_exposure_while_solvent": 1.4965264715887878, "realized_annual_volatility_pct": 55.915739987156435, "trading_costs_quote_units": 73.4110773695763, "borrowing_costs_quote_units": 65.76966609214517, "price_pnl_quote_units": 3978.780300648036, "turnover_quote_units": 24470.35912319211, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13839.599557186322, "return_pct": 38.39599557186322, "cagr_pct": 280.4065937113749, "max_drawdown_pct": 19.569843694298918, "mean_exposure_while_solvent": 1.4965264715887878, "realized_annual_volatility_pct": 55.915739987156435, "trading_costs_quote_units": 73.4110773695763, "borrowing_costs_quote_units": 65.76966609214517, "price_pnl_quote_units": 3978.780300648036, "turnover_quote_units": 24470.35912319211, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13745.743635593837, "return_pct": 37.45743635593837, "cagr_pct": 269.91078505242336, "max_drawdown_pct": 17.27104426994972, "mean_exposure_while_solvent": 1.393547999892901, "realized_annual_volatility_pct": 52.28529123279597, "trading_costs_quote_units": 105.92370580988246, "borrowing_costs_quote_units": 51.52771153097748, "price_pnl_quote_units": 3903.1950529346996, "turnover_quote_units": 35307.901936627495, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13745.743635593837, "return_pct": 37.45743635593837, "cagr_pct": 269.91078505242336, "max_drawdown_pct": 17.27104426994972, "mean_exposure_while_solvent": 1.393547999892901, "realized_annual_volatility_pct": 52.28529123279597, "trading_costs_quote_units": 105.92370580988246, "borrowing_costs_quote_units": 51.52771153097748, "price_pnl_quote_units": 3903.1950529346996, "turnover_quote_units": 35307.901936627495, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13811.013295055454, "return_pct": 38.110132950554544, "cagr_pct": 277.1862643843043, "max_drawdown_pct": 19.49415169268941, "mean_exposure_while_solvent": 1.472461299575425, "realized_annual_volatility_pct": 55.27322131054423, "trading_costs_quote_units": 75.58493965796114, "borrowing_costs_quote_units": 62.69298560715858, "price_pnl_quote_units": 3949.2912203205838, "turnover_quote_units": 25194.979885987035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13811.013295055454, "return_pct": 38.110132950554544, "cagr_pct": 277.1862643843043, "max_drawdown_pct": 19.49415169268941, "mean_exposure_while_solvent": 1.472461299575425, "realized_annual_volatility_pct": 55.27322131054423, "trading_costs_quote_units": 75.58493965796114, "borrowing_costs_quote_units": 62.69298560715858, "price_pnl_quote_units": 3949.2912203205838, "turnover_quote_units": 25194.979885987035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12588.690110618683, "return_pct": 25.886901106186833, "cagr_pct": 157.68149201674552, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.37357333807555, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2618.6003798111064, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12588.690110618683, "return_pct": 25.886901106186833, "cagr_pct": 157.68149201674552, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.37357333807555, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2618.6003798111064, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13811.013295055454, "return_pct": 38.110132950554544, "cagr_pct": 277.1862643843043, "max_drawdown_pct": 19.49415169268941, "mean_exposure_while_solvent": 1.472461299575425, "realized_annual_volatility_pct": 55.27322131054423, "trading_costs_quote_units": 75.58493965796114, "borrowing_costs_quote_units": 62.69298560715858, "price_pnl_quote_units": 3949.2912203205838, "turnover_quote_units": 25194.979885987035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13811.013295055454, "return_pct": 38.110132950554544, "cagr_pct": 277.1862643843043, "max_drawdown_pct": 19.49415169268941, "mean_exposure_while_solvent": 1.472461299575425, "realized_annual_volatility_pct": 55.27322131054423, "trading_costs_quote_units": 75.58493965796114, "borrowing_costs_quote_units": 62.69298560715858, "price_pnl_quote_units": 3949.2912203205838, "turnover_quote_units": 25194.979885987035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13811.013295055454, "return_pct": 38.110132950554544, "cagr_pct": 277.1862643843043, "max_drawdown_pct": 19.49415169268941, "mean_exposure_while_solvent": 1.472461299575425, "realized_annual_volatility_pct": 55.27322131054423, "trading_costs_quote_units": 75.58493965796114, "borrowing_costs_quote_units": 62.69298560715858, "price_pnl_quote_units": 3949.2912203205838, "turnover_quote_units": 25194.979885987035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13811.013295055454, "return_pct": 38.110132950554544, "cagr_pct": 277.1862643843043, "max_drawdown_pct": 19.49415169268941, "mean_exposure_while_solvent": 1.472461299575425, "realized_annual_volatility_pct": 55.27322131054423, "trading_costs_quote_units": 75.58493965796114, "borrowing_costs_quote_units": 62.69298560715858, "price_pnl_quote_units": 3949.2912203205838, "turnover_quote_units": 25194.979885987035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 11912.574604601212, "return_pct": 19.125746046012114, "cagr_pct": 105.35591442313574, "max_drawdown_pct": 10.178184193845563, "mean_exposure_while_solvent": 0.7487942385174409, "realized_annual_volatility_pct": 28.06867145375823, "trading_costs_quote_units": 29.29641708884622, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1941.871021690056, "turnover_quote_units": 9765.47236294875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 11912.574604601212, "return_pct": 19.125746046012114, "cagr_pct": 105.35591442313574, "max_drawdown_pct": 10.178184193845563, "mean_exposure_while_solvent": 0.7487942385174409, "realized_annual_volatility_pct": 28.06867145375823, "trading_costs_quote_units": 29.29641708884622, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1941.871021690056, "turnover_quote_units": 9765.47236294875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12588.690110618683, "return_pct": 25.886901106186833, "cagr_pct": 157.68149201674552, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.37357333807555, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2618.6003798111064, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12588.690110618683, "return_pct": 25.886901106186833, "cagr_pct": 157.68149201674552, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.37357333807555, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2618.6003798111064, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13214.709440980017, "return_pct": 32.14709440980017, "cagr_pct": 214.58963591419257, "max_drawdown_pct": 16.510650198718512, "mean_exposure_while_solvent": 1.2473701931272514, "realized_annual_volatility_pct": 46.65486060745078, "trading_costs_quote_units": 49.11734919126764, "borrowing_costs_quote_units": 32.522521249495966, "price_pnl_quote_units": 3296.349311420783, "turnover_quote_units": 16372.44973042254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13214.709440980017, "return_pct": 32.14709440980017, "cagr_pct": 214.58963591419257, "max_drawdown_pct": 16.510650198718512, "mean_exposure_while_solvent": 1.2473701931272514, "realized_annual_volatility_pct": 46.65486060745078, "trading_costs_quote_units": 49.11734919126764, "borrowing_costs_quote_units": 32.522521249495966, "price_pnl_quote_units": 3296.349311420783, "turnover_quote_units": 16372.44973042254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13839.599557186322, "return_pct": 38.39599557186322, "cagr_pct": 280.4065937113749, "max_drawdown_pct": 19.569843694298918, "mean_exposure_while_solvent": 1.4965264715887878, "realized_annual_volatility_pct": 55.915739987156435, "trading_costs_quote_units": 73.4110773695763, "borrowing_costs_quote_units": 65.76966609214517, "price_pnl_quote_units": 3978.780300648036, "turnover_quote_units": 24470.35912319211, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13839.599557186322, "return_pct": 38.39599557186322, "cagr_pct": 280.4065937113749, "max_drawdown_pct": 19.569843694298918, "mean_exposure_while_solvent": 1.4965264715887878, "realized_annual_volatility_pct": 55.915739987156435, "trading_costs_quote_units": 73.4110773695763, "borrowing_costs_quote_units": 65.76966609214517, "price_pnl_quote_units": 3978.780300648036, "turnover_quote_units": 24470.35912319211, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13238.489347884335, "return_pct": 32.384893478843345, "cagr_pct": 216.92377611379413, "max_drawdown_pct": 12.251435120644416, "mean_exposure_while_solvent": 1.0788992023753736, "realized_annual_volatility_pct": 40.84915721723267, "trading_costs_quote_units": 86.68025389222593, "borrowing_costs_quote_units": 30.72364506046768, "price_pnl_quote_units": 3355.8932468370276, "turnover_quote_units": 28893.417964075295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13238.489347884335, "return_pct": 32.384893478843345, "cagr_pct": 216.92377611379413, "max_drawdown_pct": 12.251435120644416, "mean_exposure_while_solvent": 1.0788992023753736, "realized_annual_volatility_pct": 40.84915721723267, "trading_costs_quote_units": 86.68025389222593, "borrowing_costs_quote_units": 30.72364506046768, "price_pnl_quote_units": 3355.8932468370276, "turnover_quote_units": 28893.417964075295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13658.094159064523, "return_pct": 36.580941590645246, "cagr_pct": 260.30833950539215, "max_drawdown_pct": 18.019370702274205, "mean_exposure_while_solvent": 1.4370653990983722, "realized_annual_volatility_pct": 53.367924917248345, "trading_costs_quote_units": 89.45115993973336, "borrowing_costs_quote_units": 116.36674440745143, "price_pnl_quote_units": 3863.9120634116994, "turnover_quote_units": 29817.053313244454, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13658.094159064523, "return_pct": 36.580941590645246, "cagr_pct": 260.30833950539215, "max_drawdown_pct": 18.019370702274205, "mean_exposure_while_solvent": 1.4370653990983722, "realized_annual_volatility_pct": 53.367924917248345, "trading_costs_quote_units": 89.45115993973336, "borrowing_costs_quote_units": 116.36674440745143, "price_pnl_quote_units": 3863.9120634116994, "turnover_quote_units": 29817.053313244454, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13756.152510457003, "return_pct": 37.56152510457002, "cagr_pct": 271.0638623845344, "max_drawdown_pct": 19.653574342815162, "mean_exposure_while_solvent": 1.4965689766518764, "realized_annual_volatility_pct": 55.917780134594906, "trading_costs_quote_units": 73.28728313740928, "borrowing_costs_quote_units": 131.13111857204183, "price_pnl_quote_units": 3960.5709121664545, "turnover_quote_units": 24429.09437913643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13756.152510457003, "return_pct": 37.56152510457002, "cagr_pct": 271.0638623845344, "max_drawdown_pct": 19.653574342815162, "mean_exposure_while_solvent": 1.4965689766518764, "realized_annual_volatility_pct": 55.917780134594906, "trading_costs_quote_units": 73.28728313740928, "borrowing_costs_quote_units": 131.13111857204183, "price_pnl_quote_units": 3960.5709121664545, "turnover_quote_units": 24429.09437913643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13679.988961620607, "return_pct": 36.79988961620608, "cagr_pct": 262.68913747951433, "max_drawdown_pct": 17.319308341985206, "mean_exposure_while_solvent": 1.393580298789698, "realized_annual_volatility_pct": 52.28641580024416, "trading_costs_quote_units": 105.7475422501501, "borrowing_costs_quote_units": 102.8038734806525, "price_pnl_quote_units": 3888.5403773514145, "turnover_quote_units": 35249.18075005003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13679.988961620607, "return_pct": 36.79988961620608, "cagr_pct": 262.68913747951433, "max_drawdown_pct": 17.319308341985206, "mean_exposure_while_solvent": 1.393580298789698, "realized_annual_volatility_pct": 52.28641580024416, "trading_costs_quote_units": 105.7475422501501, "borrowing_costs_quote_units": 102.8038734806525, "price_pnl_quote_units": 3888.5403773514145, "turnover_quote_units": 35249.18075005003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13731.759890868852, "return_pct": 37.31759890868853, "cagr_pct": 268.3659608177329, "max_drawdown_pct": 19.576029938966354, "mean_exposure_while_solvent": 1.472501143999757, "realized_annual_volatility_pct": 55.275068126885515, "trading_costs_quote_units": 75.46543256288804, "borrowing_costs_quote_units": 125.01559467354677, "price_pnl_quote_units": 3932.2409181052717, "turnover_quote_units": 25155.144187629332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13731.759890868852, "return_pct": 37.31759890868853, "cagr_pct": 268.3659608177329, "max_drawdown_pct": 19.576029938966354, "mean_exposure_while_solvent": 1.472501143999757, "realized_annual_volatility_pct": 55.275068126885515, "trading_costs_quote_units": 75.46543256288804, "borrowing_costs_quote_units": 125.01559467354677, "price_pnl_quote_units": 3932.2409181052717, "turnover_quote_units": 25155.144187629332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12588.690110618683, "return_pct": 25.886901106186833, "cagr_pct": 157.68149201674552, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.37357333807555, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2618.6003798111064, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12588.690110618683, "return_pct": 25.886901106186833, "cagr_pct": 157.68149201674552, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.37357333807555, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2618.6003798111064, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13731.759890868852, "return_pct": 37.31759890868853, "cagr_pct": 268.3659608177329, "max_drawdown_pct": 19.576029938966354, "mean_exposure_while_solvent": 1.472501143999757, "realized_annual_volatility_pct": 55.275068126885515, "trading_costs_quote_units": 75.46543256288804, "borrowing_costs_quote_units": 125.01559467354677, "price_pnl_quote_units": 3932.2409181052717, "turnover_quote_units": 25155.144187629332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13731.759890868852, "return_pct": 37.31759890868853, "cagr_pct": 268.3659608177329, "max_drawdown_pct": 19.576029938966354, "mean_exposure_while_solvent": 1.472501143999757, "realized_annual_volatility_pct": 55.275068126885515, "trading_costs_quote_units": 75.46543256288804, "borrowing_costs_quote_units": 125.01559467354677, "price_pnl_quote_units": 3932.2409181052717, "turnover_quote_units": 25155.144187629332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13731.759890868852, "return_pct": 37.31759890868853, "cagr_pct": 268.3659608177329, "max_drawdown_pct": 19.576029938966354, "mean_exposure_while_solvent": 1.472501143999757, "realized_annual_volatility_pct": 55.275068126885515, "trading_costs_quote_units": 75.46543256288804, "borrowing_costs_quote_units": 125.01559467354677, "price_pnl_quote_units": 3932.2409181052717, "turnover_quote_units": 25155.144187629332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13731.759890868852, "return_pct": 37.31759890868853, "cagr_pct": 268.3659608177329, "max_drawdown_pct": 19.576029938966354, "mean_exposure_while_solvent": 1.472501143999757, "realized_annual_volatility_pct": 55.275068126885515, "trading_costs_quote_units": 75.46543256288804, "borrowing_costs_quote_units": 125.01559467354677, "price_pnl_quote_units": 3932.2409181052717, "turnover_quote_units": 25155.144187629332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 11912.574604601212, "return_pct": 19.125746046012114, "cagr_pct": 105.35591442313574, "max_drawdown_pct": 10.178184193845563, "mean_exposure_while_solvent": 0.7487942385174409, "realized_annual_volatility_pct": 28.06867145375823, "trading_costs_quote_units": 29.29641708884622, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1941.871021690056, "turnover_quote_units": 9765.47236294875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 11912.574604601212, "return_pct": 19.125746046012114, "cagr_pct": 105.35591442313574, "max_drawdown_pct": 10.178184193845563, "mean_exposure_while_solvent": 0.7487942385174409, "realized_annual_volatility_pct": 28.06867145375823, "trading_costs_quote_units": 29.29641708884622, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1941.871021690056, "turnover_quote_units": 9765.47236294875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12588.690110618683, "return_pct": 25.886901106186833, "cagr_pct": 157.68149201674552, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.37357333807555, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2618.6003798111064, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12588.690110618683, "return_pct": 25.886901106186833, "cagr_pct": 157.68149201674552, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.37357333807555, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2618.6003798111064, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13174.79201388063, "return_pct": 31.747920138806297, "cagr_pct": 210.7007775750947, "max_drawdown_pct": 16.554011314809657, "mean_exposure_while_solvent": 1.2473879126828133, "realized_annual_volatility_pct": 46.65570988980654, "trading_costs_quote_units": 49.08615670700636, "borrowing_costs_quote_units": 64.94668160716043, "price_pnl_quote_units": 3288.824852194788, "turnover_quote_units": 16362.052235668794, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13174.79201388063, "return_pct": 31.747920138806297, "cagr_pct": 210.7007775750947, "max_drawdown_pct": 16.554011314809657, "mean_exposure_while_solvent": 1.2473879126828133, "realized_annual_volatility_pct": 46.65570988980654, "trading_costs_quote_units": 49.08615670700636, "borrowing_costs_quote_units": 64.94668160716043, "price_pnl_quote_units": 3288.824852194788, "turnover_quote_units": 16362.052235668794, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13756.152510457003, "return_pct": 37.56152510457002, "cagr_pct": 271.0638623845344, "max_drawdown_pct": 19.653574342815162, "mean_exposure_while_solvent": 1.4965689766518764, "realized_annual_volatility_pct": 55.917780134594906, "trading_costs_quote_units": 73.28728313740928, "borrowing_costs_quote_units": 131.13111857204183, "price_pnl_quote_units": 3960.5709121664545, "turnover_quote_units": 24429.09437913643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13756.152510457003, "return_pct": 37.56152510457002, "cagr_pct": 271.0638623845344, "max_drawdown_pct": 19.653574342815162, "mean_exposure_while_solvent": 1.4965689766518764, "realized_annual_volatility_pct": 55.917780134594906, "trading_costs_quote_units": 73.28728313740928, "borrowing_costs_quote_units": 131.13111857204183, "price_pnl_quote_units": 3960.5709121664545, "turnover_quote_units": 24429.09437913643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13199.87391745988, "return_pct": 31.99873917459879, "cagr_pct": 213.14004547686048, "max_drawdown_pct": 12.251435120644416, "mean_exposure_while_solvent": 1.078917643401535, "realized_annual_volatility_pct": 40.84779242644535, "trading_costs_quote_units": 86.58767755324628, "borrowing_costs_quote_units": 61.364232846856396, "price_pnl_quote_units": 3347.8258278599733, "turnover_quote_units": 28862.559184415408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13199.87391745988, "return_pct": 31.99873917459879, "cagr_pct": 213.14004547686048, "max_drawdown_pct": 12.251435120644416, "mean_exposure_while_solvent": 1.078917643401535, "realized_annual_volatility_pct": 40.84779242644535, "trading_costs_quote_units": 86.58767755324628, "borrowing_costs_quote_units": 61.364232846856396, "price_pnl_quote_units": 3347.8258278599733, "turnover_quote_units": 28862.559184415408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13513.363179552125, "return_pct": 35.13363179552125, "cagr_pct": 244.86666401304308, "max_drawdown_pct": 18.13484314895947, "mean_exposure_while_solvent": 1.4371381743812586, "realized_annual_volatility_pct": 53.37103002572575, "trading_costs_quote_units": 89.22529988416053, "borrowing_costs_quote_units": 231.46755637506024, "price_pnl_quote_units": 3834.056035811354, "turnover_quote_units": 29741.766628053505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13513.363179552125, "return_pct": 35.13363179552125, "cagr_pct": 244.86666401304308, "max_drawdown_pct": 18.13484314895947, "mean_exposure_while_solvent": 1.4371381743812586, "realized_annual_volatility_pct": 53.37103002572575, "trading_costs_quote_units": 89.22529988416053, "borrowing_costs_quote_units": 231.46755637506024, "price_pnl_quote_units": 3834.056035811354, "turnover_quote_units": 29741.766628053505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13590.70697958396, "return_pct": 35.9070697958396, "cagr_pct": 253.05495296833774, "max_drawdown_pct": 19.820820154602504, "mean_exposure_while_solvent": 1.496654005151562, "realized_annual_volatility_pct": 55.92187317029052, "trading_costs_quote_units": 73.05398929144543, "borrowing_costs_quote_units": 260.63898839543566, "price_pnl_quote_units": 3924.399957270827, "turnover_quote_units": 24351.32976381514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13590.70697958396, "return_pct": 35.9070697958396, "cagr_pct": 253.05495296833774, "max_drawdown_pct": 19.820820154602504, "mean_exposure_while_solvent": 1.496654005151562, "realized_annual_volatility_pct": 55.92187317029052, "trading_costs_quote_units": 73.05398929144543, "borrowing_costs_quote_units": 260.63898839543566, "price_pnl_quote_units": 3924.399957270827, "turnover_quote_units": 24351.32976381514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13549.388029169833, "return_pct": 35.49388029169833, "cagr_pct": 248.66247984944386, "max_drawdown_pct": 17.41577454135681, "mean_exposure_while_solvent": 1.3936449096319432, "realized_annual_volatility_pct": 52.28867595876176, "trading_costs_quote_units": 105.39712525211544, "borrowing_costs_quote_units": 204.60620062353098, "price_pnl_quote_units": 3859.391355045486, "turnover_quote_units": 35132.3750840385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13549.388029169833, "return_pct": 35.49388029169833, "cagr_pct": 248.66247984944386, "max_drawdown_pct": 17.41577454135681, "mean_exposure_while_solvent": 1.3936449096319432, "realized_annual_volatility_pct": 52.28867595876176, "trading_costs_quote_units": 105.39712525211544, "borrowing_costs_quote_units": 204.60620062353098, "price_pnl_quote_units": 3859.391355045486, "turnover_quote_units": 35132.3750840385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13574.54852086393, "return_pct": 35.745485208639295, "cagr_pct": 251.33224744571646, "max_drawdown_pct": 19.739581317462907, "mean_exposure_while_solvent": 1.4725808496329937, "realized_annual_volatility_pct": 55.27878934793029, "trading_costs_quote_units": 75.2488186191049, "borrowing_costs_quote_units": 248.55781876174873, "price_pnl_quote_units": 3898.355158244778, "turnover_quote_units": 25082.93953970163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13574.54852086393, "return_pct": 35.745485208639295, "cagr_pct": 251.33224744571646, "max_drawdown_pct": 19.739581317462907, "mean_exposure_while_solvent": 1.4725808496329937, "realized_annual_volatility_pct": 55.27878934793029, "trading_costs_quote_units": 75.2488186191049, "borrowing_costs_quote_units": 248.55781876174873, "price_pnl_quote_units": 3898.355158244778, "turnover_quote_units": 25082.93953970163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12588.690110618683, "return_pct": 25.886901106186833, "cagr_pct": 157.68149201674552, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.37357333807555, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2618.6003798111064, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12588.690110618683, "return_pct": 25.886901106186833, "cagr_pct": 157.68149201674552, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.37357333807555, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2618.6003798111064, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13574.54852086393, "return_pct": 35.745485208639295, "cagr_pct": 251.33224744571646, "max_drawdown_pct": 19.739581317462907, "mean_exposure_while_solvent": 1.4725808496329937, "realized_annual_volatility_pct": 55.27878934793029, "trading_costs_quote_units": 75.2488186191049, "borrowing_costs_quote_units": 248.55781876174873, "price_pnl_quote_units": 3898.355158244778, "turnover_quote_units": 25082.93953970163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13574.54852086393, "return_pct": 35.745485208639295, "cagr_pct": 251.33224744571646, "max_drawdown_pct": 19.739581317462907, "mean_exposure_while_solvent": 1.4725808496329937, "realized_annual_volatility_pct": 55.27878934793029, "trading_costs_quote_units": 75.2488186191049, "borrowing_costs_quote_units": 248.55781876174873, "price_pnl_quote_units": 3898.355158244778, "turnover_quote_units": 25082.93953970163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13574.54852086393, "return_pct": 35.745485208639295, "cagr_pct": 251.33224744571646, "max_drawdown_pct": 19.739581317462907, "mean_exposure_while_solvent": 1.4725808496329937, "realized_annual_volatility_pct": 55.27878934793029, "trading_costs_quote_units": 75.2488186191049, "borrowing_costs_quote_units": 248.55781876174873, "price_pnl_quote_units": 3898.355158244778, "turnover_quote_units": 25082.93953970163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13574.54852086393, "return_pct": 35.745485208639295, "cagr_pct": 251.33224744571646, "max_drawdown_pct": 19.739581317462907, "mean_exposure_while_solvent": 1.4725808496329937, "realized_annual_volatility_pct": 55.27878934793029, "trading_costs_quote_units": 75.2488186191049, "borrowing_costs_quote_units": 248.55781876174873, "price_pnl_quote_units": 3898.355158244778, "turnover_quote_units": 25082.93953970163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 11912.574604601212, "return_pct": 19.125746046012114, "cagr_pct": 105.35591442313574, "max_drawdown_pct": 10.178184193845563, "mean_exposure_while_solvent": 0.7487942385174409, "realized_annual_volatility_pct": 28.06867145375823, "trading_costs_quote_units": 29.29641708884622, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1941.871021690056, "turnover_quote_units": 9765.47236294875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 11912.574604601212, "return_pct": 19.125746046012114, "cagr_pct": 105.35591442313574, "max_drawdown_pct": 10.178184193845563, "mean_exposure_while_solvent": 0.7487942385174409, "realized_annual_volatility_pct": 28.06867145375823, "trading_costs_quote_units": 29.29641708884622, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1941.871021690056, "turnover_quote_units": 9765.47236294875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12588.690110618683, "return_pct": 25.886901106186833, "cagr_pct": 157.68149201674552, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.37357333807555, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2618.6003798111064, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12588.690110618683, "return_pct": 25.886901106186833, "cagr_pct": 157.68149201674552, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.37357333807555, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2618.6003798111064, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13095.295738928498, "return_pct": 30.952957389284986, "cagr_pct": 203.06451657208754, "max_drawdown_pct": 16.64068529884367, "mean_exposure_while_solvent": 1.2474233572374416, "realized_annual_volatility_pct": 46.65741358875557, "trading_costs_quote_units": 49.02906778062511, "borrowing_costs_quote_units": 129.50102121703952, "price_pnl_quote_units": 3273.8258279261668, "turnover_quote_units": 16343.022593541702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13095.295738928498, "return_pct": 30.952957389284986, "cagr_pct": 203.06451657208754, "max_drawdown_pct": 16.64068529884367, "mean_exposure_while_solvent": 1.2474233572374416, "realized_annual_volatility_pct": 46.65741358875557, "trading_costs_quote_units": 49.02906778062511, "borrowing_costs_quote_units": 129.50102121703952, "price_pnl_quote_units": 3273.8258279261668, "turnover_quote_units": 16343.022593541702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13590.70697958396, "return_pct": 35.9070697958396, "cagr_pct": 253.05495296833774, "max_drawdown_pct": 19.820820154602504, "mean_exposure_while_solvent": 1.496654005151562, "realized_annual_volatility_pct": 55.92187317029052, "trading_costs_quote_units": 73.05398929144543, "borrowing_costs_quote_units": 260.63898839543566, "price_pnl_quote_units": 3924.399957270827, "turnover_quote_units": 24351.32976381514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13590.70697958396, "return_pct": 35.9070697958396, "cagr_pct": 253.05495296833774, "max_drawdown_pct": 19.820820154602504, "mean_exposure_while_solvent": 1.496654005151562, "realized_annual_volatility_pct": 55.92187317029052, "trading_costs_quote_units": 73.05398929144543, "borrowing_costs_quote_units": 260.63898839543566, "price_pnl_quote_units": 3924.399957270827, "turnover_quote_units": 24351.32976381514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13402.517668343598, "return_pct": 34.02517668343599, "cagr_pct": 233.38316014841655, "max_drawdown_pct": 12.226093629280122, "mean_exposure_while_solvent": 1.0751479208742003, "realized_annual_volatility_pct": 41.147227739656735, "trading_costs_quote_units": 86.9433594602563, "borrowing_costs_quote_units": 15.464038998669682, "price_pnl_quote_units": 3504.925066802521, "turnover_quote_units": 28981.11982008543, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13402.517668343598, "return_pct": 34.02517668343599, "cagr_pct": 233.38316014841655, "max_drawdown_pct": 12.226093629280122, "mean_exposure_while_solvent": 1.0751479208742003, "realized_annual_volatility_pct": 41.147227739656735, "trading_costs_quote_units": 86.9433594602563, "borrowing_costs_quote_units": 15.464038998669682, "price_pnl_quote_units": 3504.925066802521, "turnover_quote_units": 28981.11982008543, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13739.460377838637, "return_pct": 37.39460377838637, "cagr_pct": 269.21605029502433, "max_drawdown_pct": 17.96522465246936, "mean_exposure_while_solvent": 1.4313219313309462, "realized_annual_volatility_pct": 53.31822536963331, "trading_costs_quote_units": 85.83377294589168, "borrowing_costs_quote_units": 58.10852681269127, "price_pnl_quote_units": 3883.40267759723, "turnover_quote_units": 28611.257648630555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13739.460377838637, "return_pct": 37.39460377838637, "cagr_pct": 269.21605029502433, "max_drawdown_pct": 17.96522465246936, "mean_exposure_while_solvent": 1.4313219313309462, "realized_annual_volatility_pct": 53.31822536963331, "trading_costs_quote_units": 85.83377294589168, "borrowing_costs_quote_units": 58.10852681269127, "price_pnl_quote_units": 3883.40267759723, "turnover_quote_units": 28611.257648630555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13812.959913191644, "return_pct": 38.12959913191645, "cagr_pct": 277.40489983961214, "max_drawdown_pct": 19.631377737729384, "mean_exposure_while_solvent": 1.4906959221995129, "realized_annual_volatility_pct": 55.79943591303922, "trading_costs_quote_units": 73.0618051450947, "borrowing_costs_quote_units": 65.38899115841103, "price_pnl_quote_units": 3951.41070949515, "turnover_quote_units": 24353.9350483649, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13812.959913191644, "return_pct": 38.12959913191645, "cagr_pct": 277.40489983961214, "max_drawdown_pct": 19.631377737729384, "mean_exposure_while_solvent": 1.4906959221995129, "realized_annual_volatility_pct": 55.79943591303922, "trading_costs_quote_units": 73.0618051450947, "borrowing_costs_quote_units": 65.38899115841103, "price_pnl_quote_units": 3951.41070949515, "turnover_quote_units": 24353.9350483649, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13661.01169399397, "return_pct": 36.610116939939715, "cagr_pct": 260.6249015728552, "max_drawdown_pct": 17.34142891669911, "mean_exposure_while_solvent": 1.387955455981719, "realized_annual_volatility_pct": 52.291760944086164, "trading_costs_quote_units": 107.90482679082258, "borrowing_costs_quote_units": 51.10577757581136, "price_pnl_quote_units": 3820.022298360618, "turnover_quote_units": 35968.27559694084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13661.01169399397, "return_pct": 36.610116939939715, "cagr_pct": 260.6249015728552, "max_drawdown_pct": 17.34142891669911, "mean_exposure_while_solvent": 1.387955455981719, "realized_annual_volatility_pct": 52.291760944086164, "trading_costs_quote_units": 107.90482679082258, "borrowing_costs_quote_units": 51.10577757581136, "price_pnl_quote_units": 3820.022298360618, "turnover_quote_units": 35968.27559694084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13794.265496722262, "return_pct": 37.94265496722262, "cagr_pct": 275.30918395805253, "max_drawdown_pct": 19.575126891355055, "mean_exposure_while_solvent": 1.4666350593452457, "realized_annual_volatility_pct": 55.19849247196509, "trading_costs_quote_units": 74.29070697006921, "borrowing_costs_quote_units": 62.34319582237729, "price_pnl_quote_units": 3930.8993995146966, "turnover_quote_units": 24763.568990023072, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13794.265496722262, "return_pct": 37.94265496722262, "cagr_pct": 275.30918395805253, "max_drawdown_pct": 19.575126891355055, "mean_exposure_while_solvent": 1.4666350593452457, "realized_annual_volatility_pct": 55.19849247196509, "trading_costs_quote_units": 74.29070697006921, "borrowing_costs_quote_units": 62.34319582237729, "price_pnl_quote_units": 3930.8993995146966, "turnover_quote_units": 24763.568990023072, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12580.534036768713, "return_pct": 25.805340367687137, "cagr_pct": 156.9957507096957, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.332643967198074, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2610.444305961137, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12580.534036768713, "return_pct": 25.805340367687137, "cagr_pct": 156.9957507096957, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.332643967198074, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2610.444305961137, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13794.265496722262, "return_pct": 37.94265496722262, "cagr_pct": 275.30918395805253, "max_drawdown_pct": 19.575126891355055, "mean_exposure_while_solvent": 1.4666350593452457, "realized_annual_volatility_pct": 55.19849247196509, "trading_costs_quote_units": 74.29070697006921, "borrowing_costs_quote_units": 62.34319582237729, "price_pnl_quote_units": 3930.8993995146966, "turnover_quote_units": 24763.568990023072, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13794.265496722262, "return_pct": 37.94265496722262, "cagr_pct": 275.30918395805253, "max_drawdown_pct": 19.575126891355055, "mean_exposure_while_solvent": 1.4666350593452457, "realized_annual_volatility_pct": 55.19849247196509, "trading_costs_quote_units": 74.29070697006921, "borrowing_costs_quote_units": 62.34319582237729, "price_pnl_quote_units": 3930.8993995146966, "turnover_quote_units": 24763.568990023072, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13794.265496722262, "return_pct": 37.94265496722262, "cagr_pct": 275.30918395805253, "max_drawdown_pct": 19.575126891355055, "mean_exposure_while_solvent": 1.4666350593452457, "realized_annual_volatility_pct": 55.19849247196509, "trading_costs_quote_units": 74.29070697006921, "borrowing_costs_quote_units": 62.34319582237729, "price_pnl_quote_units": 3930.8993995146966, "turnover_quote_units": 24763.568990023072, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13794.265496722262, "return_pct": 37.94265496722262, "cagr_pct": 275.30918395805253, "max_drawdown_pct": 19.575126891355055, "mean_exposure_while_solvent": 1.4666350593452457, "realized_annual_volatility_pct": 55.19849247196509, "trading_costs_quote_units": 74.29070697006921, "borrowing_costs_quote_units": 62.34319582237729, "price_pnl_quote_units": 3930.8993995146966, "turnover_quote_units": 24763.568990023072, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 11909.819943654262, "return_pct": 19.09819943654263, "cagr_pct": 105.1607378211858, "max_drawdown_pct": 10.166908274921072, "mean_exposure_while_solvent": 0.7460407372557569, "realized_annual_volatility_pct": 28.05017790561104, "trading_costs_quote_units": 29.299271088526737, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1939.1192147427882, "turnover_quote_units": 9766.423696175574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 11909.819943654262, "return_pct": 19.09819943654263, "cagr_pct": 105.1607378211858, "max_drawdown_pct": 10.166908274921072, "mean_exposure_while_solvent": 0.7460407372557569, "realized_annual_volatility_pct": 28.05017790561104, "trading_costs_quote_units": 29.299271088526737, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1939.1192147427882, "turnover_quote_units": 9766.423696175574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12580.534036768713, "return_pct": 25.805340367687137, "cagr_pct": 156.9957507096957, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.332643967198074, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2610.444305961137, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12580.534036768713, "return_pct": 25.805340367687137, "cagr_pct": 156.9957507096957, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.332643967198074, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2610.444305961137, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13198.609108040167, "return_pct": 31.986091080401668, "cagr_pct": 213.0166942593405, "max_drawdown_pct": 16.537166147786753, "mean_exposure_while_solvent": 1.242598654668841, "realized_annual_volatility_pct": 46.57996011204887, "trading_costs_quote_units": 49.024181102407006, "borrowing_costs_quote_units": 32.35783027883571, "price_pnl_quote_units": 3279.9911194214, "turnover_quote_units": 16341.393700802326, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13198.609108040167, "return_pct": 31.986091080401668, "cagr_pct": 213.0166942593405, "max_drawdown_pct": 16.537166147786753, "mean_exposure_while_solvent": 1.242598654668841, "realized_annual_volatility_pct": 46.57996011204887, "trading_costs_quote_units": 49.024181102407006, "borrowing_costs_quote_units": 32.35783027883571, "price_pnl_quote_units": 3279.9911194214, "turnover_quote_units": 16341.393700802326, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13812.959913191644, "return_pct": 38.12959913191645, "cagr_pct": 277.40489983961214, "max_drawdown_pct": 19.631377737729384, "mean_exposure_while_solvent": 1.4906959221995129, "realized_annual_volatility_pct": 55.79943591303922, "trading_costs_quote_units": 73.0618051450947, "borrowing_costs_quote_units": 65.38899115841103, "price_pnl_quote_units": 3951.41070949515, "turnover_quote_units": 24353.9350483649, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13812.959913191644, "return_pct": 38.12959913191645, "cagr_pct": 277.40489983961214, "max_drawdown_pct": 19.631377737729384, "mean_exposure_while_solvent": 1.4906959221995129, "realized_annual_volatility_pct": 55.79943591303922, "trading_costs_quote_units": 73.0618051450947, "borrowing_costs_quote_units": 65.38899115841103, "price_pnl_quote_units": 3951.41070949515, "turnover_quote_units": 24353.9350483649, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13382.992248812792, "return_pct": 33.82992248812793, "cagr_pct": 231.39071011637373, "max_drawdown_pct": 12.226093629280122, "mean_exposure_while_solvent": 1.0751571440448342, "realized_annual_volatility_pct": 41.146043539305246, "trading_costs_quote_units": 86.89693339809182, "borrowing_costs_quote_units": 30.90712710274983, "price_pnl_quote_units": 3500.796309313634, "turnover_quote_units": 28965.64446603061, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13382.992248812792, "return_pct": 33.82992248812793, "cagr_pct": 231.39071011637373, "max_drawdown_pct": 12.226093629280122, "mean_exposure_while_solvent": 1.0751571440448342, "realized_annual_volatility_pct": 41.146043539305246, "trading_costs_quote_units": 86.89693339809182, "borrowing_costs_quote_units": 30.90712710274983, "price_pnl_quote_units": 3500.796309313634, "turnover_quote_units": 28965.64446603061, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13666.801440754178, "return_pct": 36.66801440754177, "cagr_pct": 261.2537312631459, "max_drawdown_pct": 18.023855627887475, "mean_exposure_while_solvent": 1.431358042637637, "realized_annual_volatility_pct": 53.319396534461006, "trading_costs_quote_units": 85.72677845207438, "borrowing_costs_quote_units": 115.9013776487779, "price_pnl_quote_units": 3868.4295968550314, "turnover_quote_units": 28575.592817358123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13666.801440754178, "return_pct": 36.66801440754177, "cagr_pct": 261.2537312631459, "max_drawdown_pct": 18.023855627887475, "mean_exposure_while_solvent": 1.431358042637637, "realized_annual_volatility_pct": 53.319396534461006, "trading_costs_quote_units": 85.72677845207438, "borrowing_costs_quote_units": 115.9013776487779, "price_pnl_quote_units": 3868.4295968550314, "turnover_quote_units": 28575.592817358123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13729.97647313934, "return_pct": 37.2997647313934, "cagr_pct": 268.1692931889585, "max_drawdown_pct": 19.71497970432603, "mean_exposure_while_solvent": 1.4907381366573604, "realized_annual_volatility_pct": 55.8011244369692, "trading_costs_quote_units": 72.94621678677441, "borrowing_costs_quote_units": 130.3735324795952, "price_pnl_quote_units": 3933.296222405727, "turnover_quote_units": 24315.405595591466, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13729.97647313934, "return_pct": 37.2997647313934, "cagr_pct": 268.1692931889585, "max_drawdown_pct": 19.71497970432603, "mean_exposure_while_solvent": 1.4907381366573604, "realized_annual_volatility_pct": 55.8011244369692, "trading_costs_quote_units": 72.94621678677441, "borrowing_costs_quote_units": 130.3735324795952, "price_pnl_quote_units": 3933.296222405727, "turnover_quote_units": 24315.405595591466, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13595.902020438522, "return_pct": 35.95902020438522, "cagr_pct": 253.61016870204875, "max_drawdown_pct": 17.388794342110693, "mean_exposure_while_solvent": 1.3879875050842216, "realized_annual_volatility_pct": 52.292688435158716, "trading_costs_quote_units": 107.76625927530797, "borrowing_costs_quote_units": 101.9631000183212, "price_pnl_quote_units": 3805.6313797321454, "turnover_quote_units": 35922.086425102665, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13595.902020438522, "return_pct": 35.95902020438522, "cagr_pct": 253.61016870204875, "max_drawdown_pct": 17.388794342110693, "mean_exposure_while_solvent": 1.3879875050842216, "realized_annual_volatility_pct": 52.292688435158716, "trading_costs_quote_units": 107.76625927530797, "borrowing_costs_quote_units": 101.9631000183212, "price_pnl_quote_units": 3805.6313797321454, "turnover_quote_units": 35922.086425102665, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13715.463562063027, "return_pct": 37.15463562063026, "cagr_pct": 266.57182469037065, "max_drawdown_pct": 19.656946791392006, "mean_exposure_while_solvent": 1.4666746103571828, "realized_annual_volatility_pct": 55.19999369064745, "trading_costs_quote_units": 74.14354410621013, "borrowing_costs_quote_units": 124.31966767552255, "price_pnl_quote_units": 3913.9267738447634, "turnover_quote_units": 24714.514702070017, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13715.463562063027, "return_pct": 37.15463562063026, "cagr_pct": 266.57182469037065, "max_drawdown_pct": 19.656946791392006, "mean_exposure_while_solvent": 1.4666746103571828, "realized_annual_volatility_pct": 55.19999369064745, "trading_costs_quote_units": 74.14354410621013, "borrowing_costs_quote_units": 124.31966767552255, "price_pnl_quote_units": 3913.9267738447634, "turnover_quote_units": 24714.514702070017, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12580.534036768713, "return_pct": 25.805340367687137, "cagr_pct": 156.9957507096957, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.332643967198074, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2610.444305961137, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12580.534036768713, "return_pct": 25.805340367687137, "cagr_pct": 156.9957507096957, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.332643967198074, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2610.444305961137, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13715.463562063027, "return_pct": 37.15463562063026, "cagr_pct": 266.57182469037065, "max_drawdown_pct": 19.656946791392006, "mean_exposure_while_solvent": 1.4666746103571828, "realized_annual_volatility_pct": 55.19999369064745, "trading_costs_quote_units": 74.14354410621013, "borrowing_costs_quote_units": 124.31966767552255, "price_pnl_quote_units": 3913.9267738447634, "turnover_quote_units": 24714.514702070017, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13715.463562063027, "return_pct": 37.15463562063026, "cagr_pct": 266.57182469037065, "max_drawdown_pct": 19.656946791392006, "mean_exposure_while_solvent": 1.4666746103571828, "realized_annual_volatility_pct": 55.19999369064745, "trading_costs_quote_units": 74.14354410621013, "borrowing_costs_quote_units": 124.31966767552255, "price_pnl_quote_units": 3913.9267738447634, "turnover_quote_units": 24714.514702070017, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13715.463562063027, "return_pct": 37.15463562063026, "cagr_pct": 266.57182469037065, "max_drawdown_pct": 19.656946791392006, "mean_exposure_while_solvent": 1.4666746103571828, "realized_annual_volatility_pct": 55.19999369064745, "trading_costs_quote_units": 74.14354410621013, "borrowing_costs_quote_units": 124.31966767552255, "price_pnl_quote_units": 3913.9267738447634, "turnover_quote_units": 24714.514702070017, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13715.463562063027, "return_pct": 37.15463562063026, "cagr_pct": 266.57182469037065, "max_drawdown_pct": 19.656946791392006, "mean_exposure_while_solvent": 1.4666746103571828, "realized_annual_volatility_pct": 55.19999369064745, "trading_costs_quote_units": 74.14354410621013, "borrowing_costs_quote_units": 124.31966767552255, "price_pnl_quote_units": 3913.9267738447634, "turnover_quote_units": 24714.514702070017, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 11909.819943654262, "return_pct": 19.09819943654263, "cagr_pct": 105.1607378211858, "max_drawdown_pct": 10.166908274921072, "mean_exposure_while_solvent": 0.7460407372557569, "realized_annual_volatility_pct": 28.05017790561104, "trading_costs_quote_units": 29.299271088526737, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1939.1192147427882, "turnover_quote_units": 9766.423696175574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 11909.819943654262, "return_pct": 19.09819943654263, "cagr_pct": 105.1607378211858, "max_drawdown_pct": 10.166908274921072, "mean_exposure_while_solvent": 0.7460407372557569, "realized_annual_volatility_pct": 28.05017790561104, "trading_costs_quote_units": 29.299271088526737, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1939.1192147427882, "turnover_quote_units": 9766.423696175574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12580.534036768713, "return_pct": 25.805340367687137, "cagr_pct": 156.9957507096957, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.332643967198074, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2610.444305961137, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12580.534036768713, "return_pct": 25.805340367687137, "cagr_pct": 156.9957507096957, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.332643967198074, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2610.444305961137, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13158.886614498024, "return_pct": 31.588866144980244, "cagr_pct": 209.1614125329992, "max_drawdown_pct": 16.58048357866798, "mean_exposure_while_solvent": 1.2426162535443184, "realized_annual_volatility_pct": 46.58066328327755, "trading_costs_quote_units": 48.99490270359814, "borrowing_costs_quote_units": 64.61814079567878, "price_pnl_quote_units": 3272.499657997305, "turnover_quote_units": 16331.63423453272, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13158.886614498024, "return_pct": 31.588866144980244, "cagr_pct": 209.1614125329992, "max_drawdown_pct": 16.58048357866798, "mean_exposure_while_solvent": 1.2426162535443184, "realized_annual_volatility_pct": 46.58066328327755, "trading_costs_quote_units": 48.99490270359814, "borrowing_costs_quote_units": 64.61814079567878, "price_pnl_quote_units": 3272.499657997305, "turnover_quote_units": 16331.63423453272, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13729.97647313934, "return_pct": 37.2997647313934, "cagr_pct": 268.1692931889585, "max_drawdown_pct": 19.71497970432603, "mean_exposure_while_solvent": 1.4907381366573604, "realized_annual_volatility_pct": 55.8011244369692, "trading_costs_quote_units": 72.94621678677441, "borrowing_costs_quote_units": 130.3735324795952, "price_pnl_quote_units": 3933.296222405727, "turnover_quote_units": 24315.405595591466, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13729.97647313934, "return_pct": 37.2997647313934, "cagr_pct": 268.1692931889585, "max_drawdown_pct": 19.71497970432603, "mean_exposure_while_solvent": 1.4907381366573604, "realized_annual_volatility_pct": 55.8011244369692, "trading_costs_quote_units": 72.94621678677441, "borrowing_costs_quote_units": 130.3735324795952, "price_pnl_quote_units": 3933.296222405727, "turnover_quote_units": 24315.405595591466, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13344.017308833336, "return_pct": 33.44017308833336, "cagr_pct": 227.44051425722773, "max_drawdown_pct": 12.226093629280122, "mean_exposure_while_solvent": 1.0751755937309182, "realized_annual_volatility_pct": 41.143696820013815, "trading_costs_quote_units": 86.80420747712951, "borrowing_costs_quote_units": 61.73054849656152, "price_pnl_quote_units": 3492.552064807028, "turnover_quote_units": 28934.73582570985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13344.017308833336, "return_pct": 33.44017308833336, "cagr_pct": 227.44051425722773, "max_drawdown_pct": 12.226093629280122, "mean_exposure_while_solvent": 1.0751755937309182, "realized_annual_volatility_pct": 41.143696820013815, "trading_costs_quote_units": 86.80420747712951, "borrowing_costs_quote_units": 61.73054849656152, "price_pnl_quote_units": 3492.552064807028, "turnover_quote_units": 28934.73582570985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13522.596488694024, "return_pct": 35.22596488694023, "cagr_pct": 245.83655084143987, "max_drawdown_pct": 18.14102094150276, "mean_exposure_while_solvent": 1.431430280142107, "realized_annual_volatility_pct": 53.32174553635185, "trading_costs_quote_units": 85.514265055426, "borrowing_costs_quote_units": 230.5465601754403, "price_pnl_quote_units": 3838.657313924881, "turnover_quote_units": 28504.755018475338, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13522.596488694024, "return_pct": 35.22596488694023, "cagr_pct": 245.83655084143987, "max_drawdown_pct": 18.14102094150276, "mean_exposure_while_solvent": 1.431430280142107, "realized_annual_volatility_pct": 53.32174553635185, "trading_costs_quote_units": 85.514265055426, "borrowing_costs_quote_units": 230.5465601754403, "price_pnl_quote_units": 3838.657313924881, "turnover_quote_units": 28504.755018475338, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13565.457697449256, "return_pct": 35.65457697449255, "cagr_pct": 250.3658459728703, "max_drawdown_pct": 19.88196872009049, "mean_exposure_while_solvent": 1.4908225837946003, "realized_annual_volatility_pct": 55.80450385009647, "trading_costs_quote_units": 72.71676594994446, "borrowing_costs_quote_units": 259.13880063619456, "price_pnl_quote_units": 3897.313264035382, "turnover_quote_units": 24238.921983314816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13565.457697449256, "return_pct": 35.65457697449255, "cagr_pct": 250.3658459728703, "max_drawdown_pct": 19.88196872009049, "mean_exposure_while_solvent": 1.4908225837946003, "realized_annual_volatility_pct": 55.80450385009647, "trading_costs_quote_units": 72.71676594994446, "borrowing_costs_quote_units": 259.13880063619456, "price_pnl_quote_units": 3897.313264035382, "turnover_quote_units": 24238.921983314816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13466.578813215783, "return_pct": 34.665788132157836, "cagr_pct": 239.9839316462103, "max_drawdown_pct": 17.483466024692273, "mean_exposure_while_solvent": 1.3880516162171925, "realized_annual_volatility_pct": 52.29455485858999, "trading_costs_quote_units": 107.4905038560728, "borrowing_costs_quote_units": 202.93695553242728, "price_pnl_quote_units": 3777.006272604276, "turnover_quote_units": 35830.167952024276, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13466.578813215783, "return_pct": 34.665788132157836, "cagr_pct": 239.9839316462103, "max_drawdown_pct": 17.483466024692273, "mean_exposure_while_solvent": 1.3880516162171925, "realized_annual_volatility_pct": 52.29455485858999, "trading_costs_quote_units": 107.4905038560728, "borrowing_costs_quote_units": 202.93695553242728, "price_pnl_quote_units": 3777.006272604276, "turnover_quote_units": 35830.167952024276, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13559.166073342389, "return_pct": 35.59166073342388, "cagr_pct": 249.69819274046284, "max_drawdown_pct": 19.820381567437973, "mean_exposure_while_solvent": 1.4667537290092258, "realized_annual_volatility_pct": 55.20299871591422, "trading_costs_quote_units": 73.85125776229654, "borrowing_costs_quote_units": 247.180648687928, "price_pnl_quote_units": 3880.1979797926147, "turnover_quote_units": 24617.085920765527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13559.166073342389, "return_pct": 35.59166073342388, "cagr_pct": 249.69819274046284, "max_drawdown_pct": 19.820381567437973, "mean_exposure_while_solvent": 1.4667537290092258, "realized_annual_volatility_pct": 55.20299871591422, "trading_costs_quote_units": 73.85125776229654, "borrowing_costs_quote_units": 247.180648687928, "price_pnl_quote_units": 3880.1979797926147, "turnover_quote_units": 24617.085920765527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12580.534036768713, "return_pct": 25.805340367687137, "cagr_pct": 156.9957507096957, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.332643967198074, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2610.444305961137, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12580.534036768713, "return_pct": 25.805340367687137, "cagr_pct": 156.9957507096957, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.332643967198074, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2610.444305961137, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13559.166073342389, "return_pct": 35.59166073342388, "cagr_pct": 249.69819274046284, "max_drawdown_pct": 19.820381567437973, "mean_exposure_while_solvent": 1.4667537290092258, "realized_annual_volatility_pct": 55.20299871591422, "trading_costs_quote_units": 73.85125776229654, "borrowing_costs_quote_units": 247.180648687928, "price_pnl_quote_units": 3880.1979797926147, "turnover_quote_units": 24617.085920765527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13559.166073342389, "return_pct": 35.59166073342388, "cagr_pct": 249.69819274046284, "max_drawdown_pct": 19.820381567437973, "mean_exposure_while_solvent": 1.4667537290092258, "realized_annual_volatility_pct": 55.20299871591422, "trading_costs_quote_units": 73.85125776229654, "borrowing_costs_quote_units": 247.180648687928, "price_pnl_quote_units": 3880.1979797926147, "turnover_quote_units": 24617.085920765527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13559.166073342389, "return_pct": 35.59166073342388, "cagr_pct": 249.69819274046284, "max_drawdown_pct": 19.820381567437973, "mean_exposure_while_solvent": 1.4667537290092258, "realized_annual_volatility_pct": 55.20299871591422, "trading_costs_quote_units": 73.85125776229654, "borrowing_costs_quote_units": 247.180648687928, "price_pnl_quote_units": 3880.1979797926147, "turnover_quote_units": 24617.085920765527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13559.166073342389, "return_pct": 35.59166073342388, "cagr_pct": 249.69819274046284, "max_drawdown_pct": 19.820381567437973, "mean_exposure_while_solvent": 1.4667537290092258, "realized_annual_volatility_pct": 55.20299871591422, "trading_costs_quote_units": 73.85125776229654, "borrowing_costs_quote_units": 247.180648687928, "price_pnl_quote_units": 3880.1979797926147, "turnover_quote_units": 24617.085920765527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 11909.819943654262, "return_pct": 19.09819943654263, "cagr_pct": 105.1607378211858, "max_drawdown_pct": 10.166908274921072, "mean_exposure_while_solvent": 0.7460407372557569, "realized_annual_volatility_pct": 28.05017790561104, "trading_costs_quote_units": 29.299271088526737, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1939.1192147427882, "turnover_quote_units": 9766.423696175574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 11909.819943654262, "return_pct": 19.09819943654263, "cagr_pct": 105.1607378211858, "max_drawdown_pct": 10.166908274921072, "mean_exposure_while_solvent": 0.7460407372557569, "realized_annual_volatility_pct": 28.05017790561104, "trading_costs_quote_units": 29.299271088526737, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1939.1192147427882, "turnover_quote_units": 9766.423696175574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12580.534036768713, "return_pct": 25.805340367687137, "cagr_pct": 156.9957507096957, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.332643967198074, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2610.444305961137, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12580.534036768713, "return_pct": 25.805340367687137, "cagr_pct": 156.9957507096957, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.332643967198074, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2610.444305961137, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13079.782469808515, "return_pct": 30.79782469808514, "cagr_pct": 201.5910616307745, "max_drawdown_pct": 16.66707029922585, "mean_exposure_while_solvent": 1.2426514566928346, "realized_annual_volatility_pct": 46.582070366970804, "trading_costs_quote_units": 48.93658381392244, "borrowing_costs_quote_units": 128.8473010748101, "price_pnl_quote_units": 3257.5663546972523, "turnover_quote_units": 16312.194604640823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13079.782469808515, "return_pct": 30.79782469808514, "cagr_pct": 201.5910616307745, "max_drawdown_pct": 16.66707029922585, "mean_exposure_while_solvent": 1.2426514566928346, "realized_annual_volatility_pct": 46.582070366970804, "trading_costs_quote_units": 48.93658381392244, "borrowing_costs_quote_units": 128.8473010748101, "price_pnl_quote_units": 3257.5663546972523, "turnover_quote_units": 16312.194604640823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13565.457697449256, "return_pct": 35.65457697449255, "cagr_pct": 250.3658459728703, "max_drawdown_pct": 19.88196872009049, "mean_exposure_while_solvent": 1.4908225837946003, "realized_annual_volatility_pct": 55.80450385009647, "trading_costs_quote_units": 72.71676594994446, "borrowing_costs_quote_units": 259.13880063619456, "price_pnl_quote_units": 3897.313264035382, "turnover_quote_units": 24238.921983314816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13565.457697449256, "return_pct": 35.65457697449255, "cagr_pct": 250.3658459728703, "max_drawdown_pct": 19.88196872009049, "mean_exposure_while_solvent": 1.4908225837946003, "realized_annual_volatility_pct": 55.80450385009647, "trading_costs_quote_units": 72.71676594994446, "borrowing_costs_quote_units": 259.13880063619456, "price_pnl_quote_units": 3897.313264035382, "turnover_quote_units": 24238.921983314816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13341.085438864433, "return_pct": 33.41085438864433, "cagr_pct": 227.14481085001285, "max_drawdown_pct": 12.149154470958567, "mean_exposure_while_solvent": 1.0846050350173773, "realized_annual_volatility_pct": 40.789297935962374, "trading_costs_quote_units": 17.40010894429622, "borrowing_costs_quote_units": 16.01851108807906, "price_pnl_quote_units": 3374.5040588968004, "turnover_quote_units": 29000.18157382704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13341.085438864433, "return_pct": 33.41085438864433, "cagr_pct": 227.14481085001285, "max_drawdown_pct": 12.149154470958567, "mean_exposure_while_solvent": 1.0846050350173773, "realized_annual_volatility_pct": 40.789297935962374, "trading_costs_quote_units": 17.40010894429622, "borrowing_costs_quote_units": 16.01851108807906, "price_pnl_quote_units": 3374.5040588968004, "turnover_quote_units": 29000.18157382704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13810.801841463, "return_pct": 38.10801841463001, "cagr_pct": 277.1625206341032, "max_drawdown_pct": 17.80336088420934, "mean_exposure_while_solvent": 1.4391211023783868, "realized_annual_volatility_pct": 53.151759804667854, "trading_costs_quote_units": 17.976715704209422, "borrowing_costs_quote_units": 58.90956866447083, "price_pnl_quote_units": 3887.6881258316794, "turnover_quote_units": 29961.192840349053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13810.801841463, "return_pct": 38.10801841463001, "cagr_pct": 277.1625206341032, "max_drawdown_pct": 17.80336088420934, "mean_exposure_while_solvent": 1.4391211023783868, "realized_annual_volatility_pct": 53.151759804667854, "trading_costs_quote_units": 17.976715704209422, "borrowing_costs_quote_units": 58.90956866447083, "price_pnl_quote_units": 3887.6881258316794, "turnover_quote_units": 29961.192840349053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13898.094940197285, "return_pct": 38.98094940197285, "cagr_pct": 287.06109254173873, "max_drawdown_pct": 19.377968820183476, "mean_exposure_while_solvent": 1.4965558651398045, "realized_annual_volatility_pct": 55.6159804075745, "trading_costs_quote_units": 14.70865886617055, "borrowing_costs_quote_units": 66.03014098879018, "price_pnl_quote_units": 3978.833740052251, "turnover_quote_units": 24514.43144361759, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13898.094940197285, "return_pct": 38.98094940197285, "cagr_pct": 287.06109254173873, "max_drawdown_pct": 19.377968820183476, "mean_exposure_while_solvent": 1.4965558651398045, "realized_annual_volatility_pct": 55.6159804075745, "trading_costs_quote_units": 14.70865886617055, "borrowing_costs_quote_units": 66.03014098879018, "price_pnl_quote_units": 3978.833740052251, "turnover_quote_units": 24514.43144361759, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13840.03422757636, "return_pct": 38.40034227576359, "cagr_pct": 280.4557206901198, "max_drawdown_pct": 16.984983775729223, "mean_exposure_while_solvent": 1.3948344695840318, "realized_annual_volatility_pct": 52.03612907429692, "trading_costs_quote_units": 21.053436867360542, "borrowing_costs_quote_units": 52.00576749418379, "price_pnl_quote_units": 3913.0934319378953, "turnover_quote_units": 35089.06144560089, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13840.03422757636, "return_pct": 38.40034227576359, "cagr_pct": 280.4557206901198, "max_drawdown_pct": 16.984983775729223, "mean_exposure_while_solvent": 1.3948344695840318, "realized_annual_volatility_pct": 52.03612907429692, "trading_costs_quote_units": 21.053436867360542, "borrowing_costs_quote_units": 52.00576749418379, "price_pnl_quote_units": 3913.0934319378953, "turnover_quote_units": 35089.06144560089, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13873.808740586719, "return_pct": 38.73808740586719, "cagr_pct": 284.287662612149, "max_drawdown_pct": 19.31009805035705, "mean_exposure_while_solvent": 1.475092502170061, "realized_annual_volatility_pct": 55.05677450425751, "trading_costs_quote_units": 15.093543727278442, "borrowing_costs_quote_units": 63.277898743604744, "price_pnl_quote_units": 3952.180183057581, "turnover_quote_units": 25155.906212130718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13873.808740586719, "return_pct": 38.73808740586719, "cagr_pct": 284.287662612149, "max_drawdown_pct": 19.31009805035705, "mean_exposure_while_solvent": 1.475092502170061, "realized_annual_volatility_pct": 55.05677450425751, "trading_costs_quote_units": 15.093543727278442, "borrowing_costs_quote_units": 63.277898743604744, "price_pnl_quote_units": 3952.180183057581, "turnover_quote_units": 25155.906212130718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12606.081031280062, "return_pct": 26.06081031280063, "cagr_pct": 159.14829864526067, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17111286396115, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2612.0774334387684, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12606.081031280062, "return_pct": 26.06081031280063, "cagr_pct": 159.14829864526067, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17111286396115, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2612.0774334387684, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13873.808740586719, "return_pct": 38.73808740586719, "cagr_pct": 284.287662612149, "max_drawdown_pct": 19.31009805035705, "mean_exposure_while_solvent": 1.475092502170061, "realized_annual_volatility_pct": 55.05677450425751, "trading_costs_quote_units": 15.093543727278442, "borrowing_costs_quote_units": 63.277898743604744, "price_pnl_quote_units": 3952.180183057581, "turnover_quote_units": 25155.906212130718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13873.808740586719, "return_pct": 38.73808740586719, "cagr_pct": 284.287662612149, "max_drawdown_pct": 19.31009805035705, "mean_exposure_while_solvent": 1.475092502170061, "realized_annual_volatility_pct": 55.05677450425751, "trading_costs_quote_units": 15.093543727278442, "borrowing_costs_quote_units": 63.277898743604744, "price_pnl_quote_units": 3952.180183057581, "turnover_quote_units": 25155.906212130718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13873.808740586719, "return_pct": 38.73808740586719, "cagr_pct": 284.287662612149, "max_drawdown_pct": 19.31009805035705, "mean_exposure_while_solvent": 1.475092502170061, "realized_annual_volatility_pct": 55.05677450425751, "trading_costs_quote_units": 15.093543727278442, "borrowing_costs_quote_units": 63.277898743604744, "price_pnl_quote_units": 3952.180183057581, "turnover_quote_units": 25155.906212130718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13873.808740586719, "return_pct": 38.73808740586719, "cagr_pct": 284.287662612149, "max_drawdown_pct": 19.31009805035705, "mean_exposure_while_solvent": 1.475092502170061, "realized_annual_volatility_pct": 55.05677450425751, "trading_costs_quote_units": 15.093543727278442, "borrowing_costs_quote_units": 63.277898743604744, "price_pnl_quote_units": 3952.180183057581, "turnover_quote_units": 25155.906212130718, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 11930.717191119407, "return_pct": 19.307171911194065, "cagr_pct": 106.64488790798794, "max_drawdown_pct": 10.079448898300047, "mean_exposure_while_solvent": 0.748786577680084, "realized_annual_volatility_pct": 27.916905732017668, "trading_costs_quote_units": 5.861049132630323, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1936.5782402520376, "turnover_quote_units": 9768.415221050538, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 11930.717191119407, "return_pct": 19.307171911194065, "cagr_pct": 106.64488790798794, "max_drawdown_pct": 10.079448898300047, "mean_exposure_while_solvent": 0.748786577680084, "realized_annual_volatility_pct": 27.916905732017668, "trading_costs_quote_units": 5.861049132630323, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1936.5782402520376, "turnover_quote_units": 9768.415221050538, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12606.081031280062, "return_pct": 26.06081031280063, "cagr_pct": 159.14829864526067, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17111286396115, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2612.0774334387684, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12606.081031280062, "return_pct": 26.06081031280063, "cagr_pct": 159.14829864526067, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17111286396115, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2612.0774334387684, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13249.41699889933, "return_pct": 32.494169988993306, "cagr_pct": 218.00077481427599, "max_drawdown_pct": 16.356377317191594, "mean_exposure_while_solvent": 1.2473826111595847, "realized_annual_volatility_pct": 46.403509444882374, "trading_costs_quote_units": 9.84056116021062, "borrowing_costs_quote_units": 32.61572961698422, "price_pnl_quote_units": 3291.873289676532, "turnover_quote_units": 16400.935267017696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13249.41699889933, "return_pct": 32.494169988993306, "cagr_pct": 218.00077481427599, "max_drawdown_pct": 16.356377317191594, "mean_exposure_while_solvent": 1.2473826111595847, "realized_annual_volatility_pct": 46.403509444882374, "trading_costs_quote_units": 9.84056116021062, "borrowing_costs_quote_units": 32.61572961698422, "price_pnl_quote_units": 3291.873289676532, "turnover_quote_units": 16400.935267017696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13898.094940197285, "return_pct": 38.98094940197285, "cagr_pct": 287.06109254173873, "max_drawdown_pct": 19.377968820183476, "mean_exposure_while_solvent": 1.4965558651398045, "realized_annual_volatility_pct": 55.6159804075745, "trading_costs_quote_units": 14.70865886617055, "borrowing_costs_quote_units": 66.03014098879018, "price_pnl_quote_units": 3978.833740052251, "turnover_quote_units": 24514.43144361759, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13898.094940197285, "return_pct": 38.98094940197285, "cagr_pct": 287.06109254173873, "max_drawdown_pct": 19.377968820183476, "mean_exposure_while_solvent": 1.4965558651398045, "realized_annual_volatility_pct": 55.6159804075745, "trading_costs_quote_units": 14.70865886617055, "borrowing_costs_quote_units": 66.03014098879018, "price_pnl_quote_units": 3978.833740052251, "turnover_quote_units": 24514.43144361759, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13320.90230361234, "return_pct": 33.20902303612341, "cagr_pct": 225.1146547009976, "max_drawdown_pct": 12.149154470958567, "mean_exposure_while_solvent": 1.0846146249084627, "realized_annual_volatility_pct": 40.788628676537876, "trading_costs_quote_units": 17.390535209031434, "borrowing_costs_quote_units": 32.014455267689755, "price_pnl_quote_units": 3370.307294089047, "turnover_quote_units": 28984.225348385728, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13320.90230361234, "return_pct": 33.20902303612341, "cagr_pct": 225.1146547009976, "max_drawdown_pct": 12.149154470958567, "mean_exposure_while_solvent": 1.0846146249084627, "realized_annual_volatility_pct": 40.788628676537876, "trading_costs_quote_units": 17.390535209031434, "borrowing_costs_quote_units": 32.014455267689755, "price_pnl_quote_units": 3370.307294089047, "turnover_quote_units": 28984.225348385728, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13737.091890769232, "return_pct": 37.37091890769233, "cagr_pct": 268.9544250183313, "max_drawdown_pct": 17.861988094075244, "mean_exposure_while_solvent": 1.4391576963906516, "realized_annual_volatility_pct": 53.153319020917536, "trading_costs_quote_units": 17.95388618381565, "borrowing_costs_quote_units": 117.4962509829469, "price_pnl_quote_units": 3872.542027935998, "turnover_quote_units": 29923.143639692757, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13737.091890769232, "return_pct": 37.37091890769233, "cagr_pct": 268.9544250183313, "max_drawdown_pct": 17.861988094075244, "mean_exposure_while_solvent": 1.4391576963906516, "realized_annual_volatility_pct": 53.153319020917536, "trading_costs_quote_units": 17.95388618381565, "borrowing_costs_quote_units": 117.4962509829469, "price_pnl_quote_units": 3872.542027935998, "turnover_quote_units": 29923.143639692757, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13814.268388182913, "return_pct": 38.14268388182913, "cagr_pct": 277.55191579850623, "max_drawdown_pct": 19.46177962632626, "mean_exposure_while_solvent": 1.4965983753247192, "realized_annual_volatility_pct": 55.61801483633301, "trading_costs_quote_units": 14.68619609263244, "borrowing_costs_quote_units": 131.65028089975857, "price_pnl_quote_units": 3960.6048651752917, "turnover_quote_units": 24476.993487720723, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13814.268388182913, "return_pct": 38.14268388182913, "cagr_pct": 277.55191579850623, "max_drawdown_pct": 19.46177962632626, "mean_exposure_while_solvent": 1.4965983753247192, "realized_annual_volatility_pct": 55.61801483633301, "trading_costs_quote_units": 14.68619609263244, "borrowing_costs_quote_units": 131.65028089975857, "price_pnl_quote_units": 3960.6048651752917, "turnover_quote_units": 24476.993487720723, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13773.598709046822, "return_pct": 37.735987090468214, "cagr_pct": 273.00262040720384, "max_drawdown_pct": 17.033602707302, "mean_exposure_while_solvent": 1.3948668845116416, "realized_annual_volatility_pct": 52.03724808587159, "trading_costs_quote_units": 21.018384285276287, "borrowing_costs_quote_units": 103.75662810961126, "price_pnl_quote_units": 3898.373721441708, "turnover_quote_units": 35030.640475460496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13773.598709046822, "return_pct": 37.735987090468214, "cagr_pct": 273.00262040720384, "max_drawdown_pct": 17.033602707302, "mean_exposure_while_solvent": 1.3948668845116416, "realized_annual_volatility_pct": 52.03724808587159, "trading_costs_quote_units": 21.018384285276287, "borrowing_costs_quote_units": 103.75662810961126, "price_pnl_quote_units": 3898.373721441708, "turnover_quote_units": 35030.640475460496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13793.733791957915, "return_pct": 37.937337919579136, "cagr_pct": 275.24970691286984, "max_drawdown_pct": 19.392329359683234, "mean_exposure_while_solvent": 1.4751326322838778, "realized_annual_volatility_pct": 55.05865769265653, "trading_costs_quote_units": 15.071608941827803, "borrowing_costs_quote_units": 126.17976525642977, "price_pnl_quote_units": 3934.985166156168, "turnover_quote_units": 25119.34823637967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13793.733791957915, "return_pct": 37.937337919579136, "cagr_pct": 275.24970691286984, "max_drawdown_pct": 19.392329359683234, "mean_exposure_while_solvent": 1.4751326322838778, "realized_annual_volatility_pct": 55.05865769265653, "trading_costs_quote_units": 15.071608941827803, "borrowing_costs_quote_units": 126.17976525642977, "price_pnl_quote_units": 3934.985166156168, "turnover_quote_units": 25119.34823637967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12606.081031280062, "return_pct": 26.06081031280063, "cagr_pct": 159.14829864526067, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17111286396115, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2612.0774334387684, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12606.081031280062, "return_pct": 26.06081031280063, "cagr_pct": 159.14829864526067, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17111286396115, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2612.0774334387684, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13793.733791957915, "return_pct": 37.937337919579136, "cagr_pct": 275.24970691286984, "max_drawdown_pct": 19.392329359683234, "mean_exposure_while_solvent": 1.4751326322838778, "realized_annual_volatility_pct": 55.05865769265653, "trading_costs_quote_units": 15.071608941827803, "borrowing_costs_quote_units": 126.17976525642977, "price_pnl_quote_units": 3934.985166156168, "turnover_quote_units": 25119.34823637967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13793.733791957915, "return_pct": 37.937337919579136, "cagr_pct": 275.24970691286984, "max_drawdown_pct": 19.392329359683234, "mean_exposure_while_solvent": 1.4751326322838778, "realized_annual_volatility_pct": 55.05865769265653, "trading_costs_quote_units": 15.071608941827803, "borrowing_costs_quote_units": 126.17976525642977, "price_pnl_quote_units": 3934.985166156168, "turnover_quote_units": 25119.34823637967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13793.733791957915, "return_pct": 37.937337919579136, "cagr_pct": 275.24970691286984, "max_drawdown_pct": 19.392329359683234, "mean_exposure_while_solvent": 1.4751326322838778, "realized_annual_volatility_pct": 55.05865769265653, "trading_costs_quote_units": 15.071608941827803, "borrowing_costs_quote_units": 126.17976525642977, "price_pnl_quote_units": 3934.985166156168, "turnover_quote_units": 25119.34823637967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13793.733791957915, "return_pct": 37.937337919579136, "cagr_pct": 275.24970691286984, "max_drawdown_pct": 19.392329359683234, "mean_exposure_while_solvent": 1.4751326322838778, "realized_annual_volatility_pct": 55.05865769265653, "trading_costs_quote_units": 15.071608941827803, "borrowing_costs_quote_units": 126.17976525642977, "price_pnl_quote_units": 3934.985166156168, "turnover_quote_units": 25119.34823637967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 11930.717191119407, "return_pct": 19.307171911194065, "cagr_pct": 106.64488790798794, "max_drawdown_pct": 10.079448898300047, "mean_exposure_while_solvent": 0.748786577680084, "realized_annual_volatility_pct": 27.916905732017668, "trading_costs_quote_units": 5.861049132630323, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1936.5782402520376, "turnover_quote_units": 9768.415221050538, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 11930.717191119407, "return_pct": 19.307171911194065, "cagr_pct": 106.64488790798794, "max_drawdown_pct": 10.079448898300047, "mean_exposure_while_solvent": 0.748786577680084, "realized_annual_volatility_pct": 27.916905732017668, "trading_costs_quote_units": 5.861049132630323, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1936.5782402520376, "turnover_quote_units": 9768.415221050538, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12606.081031280062, "return_pct": 26.06081031280063, "cagr_pct": 159.14829864526067, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17111286396115, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2612.0774334387684, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12606.081031280062, "return_pct": 26.06081031280063, "cagr_pct": 159.14829864526067, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17111286396115, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2612.0774334387684, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13209.383152675096, "return_pct": 32.09383152675096, "cagr_pct": 214.06861712921105, "max_drawdown_pct": 16.39976776596781, "mean_exposure_while_solvent": 1.2474003323530067, "realized_annual_volatility_pct": 46.404358722994424, "trading_costs_quote_units": 9.835280894764882, "borrowing_costs_quote_units": 65.13279426916024, "price_pnl_quote_units": 3284.3512278390094, "turnover_quote_units": 16392.134824608143, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13209.383152675096, "return_pct": 32.09383152675096, "cagr_pct": 214.06861712921105, "max_drawdown_pct": 16.39976776596781, "mean_exposure_while_solvent": 1.2474003323530067, "realized_annual_volatility_pct": 46.404358722994424, "trading_costs_quote_units": 9.835280894764882, "borrowing_costs_quote_units": 65.13279426916024, "price_pnl_quote_units": 3284.3512278390094, "turnover_quote_units": 16392.134824608143, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13814.268388182913, "return_pct": 38.14268388182913, "cagr_pct": 277.55191579850623, "max_drawdown_pct": 19.46177962632626, "mean_exposure_while_solvent": 1.4965983753247192, "realized_annual_volatility_pct": 55.61801483633301, "trading_costs_quote_units": 14.68619609263244, "borrowing_costs_quote_units": 131.65028089975857, "price_pnl_quote_units": 3960.6048651752917, "turnover_quote_units": 24476.993487720723, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13814.268388182913, "return_pct": 38.14268388182913, "cagr_pct": 277.55191579850623, "max_drawdown_pct": 19.46177962632626, "mean_exposure_while_solvent": 1.4965983753247192, "realized_annual_volatility_pct": 55.61801483633301, "trading_costs_quote_units": 14.68619609263244, "borrowing_costs_quote_units": 131.65028089975857, "price_pnl_quote_units": 3960.6048651752917, "turnover_quote_units": 24476.993487720723, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13280.617819682227, "return_pct": 32.80617819682228, "cagr_pct": 221.09108852389002, "max_drawdown_pct": 12.149154470958567, "mean_exposure_while_solvent": 1.0846338081921822, "realized_annual_volatility_pct": 40.78731354308591, "trading_costs_quote_units": 17.37141517673924, "borrowing_costs_quote_units": 63.93875324381914, "price_pnl_quote_units": 3361.927988102785, "turnover_quote_units": 28952.35862789874, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13280.617819682227, "return_pct": 32.80617819682228, "cagr_pct": 221.09108852389002, "max_drawdown_pct": 12.149154470958567, "mean_exposure_while_solvent": 1.0846338081921822, "realized_annual_volatility_pct": 40.78731354308591, "trading_costs_quote_units": 17.37141517673924, "borrowing_costs_quote_units": 63.93875324381914, "price_pnl_quote_units": 3361.927988102785, "turnover_quote_units": 28952.35862789874, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13590.81164511841, "return_pct": 35.9081164511841, "cagr_pct": 253.0661324952174, "max_drawdown_pct": 17.97914631814378, "mean_exposure_while_solvent": 1.4392308995577008, "realized_annual_volatility_pct": 53.15644347255761, "trading_costs_quote_units": 17.90847219636215, "borrowing_costs_quote_units": 233.70767772298012, "price_pnl_quote_units": 3842.4277950377477, "turnover_quote_units": 29847.453660603573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13590.81164511841, "return_pct": 35.9081164511841, "cagr_pct": 253.0661324952174, "max_drawdown_pct": 17.97914631814378, "mean_exposure_while_solvent": 1.4392308995577008, "realized_annual_volatility_pct": 53.15644347255761, "trading_costs_quote_units": 17.90847219636215, "borrowing_costs_quote_units": 233.70767772298012, "price_pnl_quote_units": 3842.4277950377477, "turnover_quote_units": 29847.453660603573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13648.084016919698, "return_pct": 36.48084016919697, "cagr_pct": 259.223804731251, "max_drawdown_pct": 19.629185893016952, "mean_exposure_while_solvent": 1.4966834140716536, "realized_annual_volatility_pct": 55.622084997581986, "trading_costs_quote_units": 14.64157868803835, "borrowing_costs_quote_units": 261.67026154516714, "price_pnl_quote_units": 3924.395857152896, "turnover_quote_units": 24402.631146730568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13648.084016919698, "return_pct": 36.48084016919697, "cagr_pct": 259.223804731251, "max_drawdown_pct": 19.629185893016952, "mean_exposure_while_solvent": 1.4966834140716536, "realized_annual_volatility_pct": 55.622084997581986, "trading_costs_quote_units": 14.64157868803835, "borrowing_costs_quote_units": 261.67026154516714, "price_pnl_quote_units": 3924.395857152896, "turnover_quote_units": 24402.631146730568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13641.64877978612, "return_pct": 36.416487797861194, "cagr_pct": 258.5278938319269, "max_drawdown_pct": 17.130777857807523, "mean_exposure_while_solvent": 1.3949317274689015, "realized_annual_volatility_pct": 52.03949691735814, "trading_costs_quote_units": 20.948654969368615, "borrowing_costs_quote_units": 206.49836123193003, "price_pnl_quote_units": 3869.0957959874163, "turnover_quote_units": 34914.42494894769, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13641.64877978612, "return_pct": 36.416487797861194, "cagr_pct": 258.5278938319269, "max_drawdown_pct": 17.130777857807523, "mean_exposure_while_solvent": 1.3949317274689015, "realized_annual_volatility_pct": 52.03949691735814, "trading_costs_quote_units": 20.948654969368615, "borrowing_costs_quote_units": 206.49836123193003, "price_pnl_quote_units": 3869.0957959874163, "turnover_quote_units": 34914.42494894769, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13634.92535241277, "return_pct": 36.349253524127704, "cagr_pct": 257.8019081747397, "max_drawdown_pct": 19.55658548764092, "mean_exposure_while_solvent": 1.4752129094616844, "realized_annual_volatility_pct": 55.06242561914277, "trading_costs_quote_units": 15.028031600767267, "borrowing_costs_quote_units": 250.8639083897719, "price_pnl_quote_units": 3900.817292403323, "turnover_quote_units": 25046.719334612095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13634.92535241277, "return_pct": 36.349253524127704, "cagr_pct": 257.8019081747397, "max_drawdown_pct": 19.55658548764092, "mean_exposure_while_solvent": 1.4752129094616844, "realized_annual_volatility_pct": 55.06242561914277, "trading_costs_quote_units": 15.028031600767267, "borrowing_costs_quote_units": 250.8639083897719, "price_pnl_quote_units": 3900.817292403323, "turnover_quote_units": 25046.719334612095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12606.081031280062, "return_pct": 26.06081031280063, "cagr_pct": 159.14829864526067, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17111286396115, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2612.0774334387684, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12606.081031280062, "return_pct": 26.06081031280063, "cagr_pct": 159.14829864526067, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17111286396115, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2612.0774334387684, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13634.92535241277, "return_pct": 36.349253524127704, "cagr_pct": 257.8019081747397, "max_drawdown_pct": 19.55658548764092, "mean_exposure_while_solvent": 1.4752129094616844, "realized_annual_volatility_pct": 55.06242561914277, "trading_costs_quote_units": 15.028031600767267, "borrowing_costs_quote_units": 250.8639083897719, "price_pnl_quote_units": 3900.817292403323, "turnover_quote_units": 25046.719334612095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13634.92535241277, "return_pct": 36.349253524127704, "cagr_pct": 257.8019081747397, "max_drawdown_pct": 19.55658548764092, "mean_exposure_while_solvent": 1.4752129094616844, "realized_annual_volatility_pct": 55.06242561914277, "trading_costs_quote_units": 15.028031600767267, "borrowing_costs_quote_units": 250.8639083897719, "price_pnl_quote_units": 3900.817292403323, "turnover_quote_units": 25046.719334612095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13634.92535241277, "return_pct": 36.349253524127704, "cagr_pct": 257.8019081747397, "max_drawdown_pct": 19.55658548764092, "mean_exposure_while_solvent": 1.4752129094616844, "realized_annual_volatility_pct": 55.06242561914277, "trading_costs_quote_units": 15.028031600767267, "borrowing_costs_quote_units": 250.8639083897719, "price_pnl_quote_units": 3900.817292403323, "turnover_quote_units": 25046.719334612095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13634.92535241277, "return_pct": 36.349253524127704, "cagr_pct": 257.8019081747397, "max_drawdown_pct": 19.55658548764092, "mean_exposure_while_solvent": 1.4752129094616844, "realized_annual_volatility_pct": 55.06242561914277, "trading_costs_quote_units": 15.028031600767267, "borrowing_costs_quote_units": 250.8639083897719, "price_pnl_quote_units": 3900.817292403323, "turnover_quote_units": 25046.719334612095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 11930.717191119407, "return_pct": 19.307171911194065, "cagr_pct": 106.64488790798794, "max_drawdown_pct": 10.079448898300047, "mean_exposure_while_solvent": 0.748786577680084, "realized_annual_volatility_pct": 27.916905732017668, "trading_costs_quote_units": 5.861049132630323, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1936.5782402520376, "turnover_quote_units": 9768.415221050538, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 11930.717191119407, "return_pct": 19.307171911194065, "cagr_pct": 106.64488790798794, "max_drawdown_pct": 10.079448898300047, "mean_exposure_while_solvent": 0.748786577680084, "realized_annual_volatility_pct": 27.916905732017668, "trading_costs_quote_units": 5.861049132630323, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1936.5782402520376, "turnover_quote_units": 9768.415221050538, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12606.081031280062, "return_pct": 26.06081031280063, "cagr_pct": 159.14829864526067, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17111286396115, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2612.0774334387684, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12606.081031280062, "return_pct": 26.06081031280063, "cagr_pct": 159.14829864526067, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17111286396115, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2612.0774334387684, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13129.660382077736, "return_pct": 31.29660382077737, "cagr_pct": 206.3478777834542, "max_drawdown_pct": 16.48650045612332, "mean_exposure_while_solvent": 1.2474357801841298, "realized_annual_volatility_pct": 46.40605765831003, "trading_costs_quote_units": 9.824758440900851, "borrowing_costs_quote_units": 129.8720445483522, "price_pnl_quote_units": 3269.357185066976, "turnover_quote_units": 16374.597401501409, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13129.660382077736, "return_pct": 31.29660382077737, "cagr_pct": 206.3478777834542, "max_drawdown_pct": 16.48650045612332, "mean_exposure_while_solvent": 1.2474357801841298, "realized_annual_volatility_pct": 46.40605765831003, "trading_costs_quote_units": 9.824758440900851, "borrowing_costs_quote_units": 129.8720445483522, "price_pnl_quote_units": 3269.357185066976, "turnover_quote_units": 16374.597401501409, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13648.084016919698, "return_pct": 36.48084016919697, "cagr_pct": 259.223804731251, "max_drawdown_pct": 19.629185893016952, "mean_exposure_while_solvent": 1.4966834140716536, "realized_annual_volatility_pct": 55.622084997581986, "trading_costs_quote_units": 14.64157868803835, "borrowing_costs_quote_units": 261.67026154516714, "price_pnl_quote_units": 3924.395857152896, "turnover_quote_units": 24402.631146730568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13648.084016919698, "return_pct": 36.48084016919697, "cagr_pct": 259.223804731251, "max_drawdown_pct": 19.629185893016952, "mean_exposure_while_solvent": 1.4966834140716536, "realized_annual_volatility_pct": 55.622084997581986, "trading_costs_quote_units": 14.64157868803835, "borrowing_costs_quote_units": 261.67026154516714, "price_pnl_quote_units": 3924.395857152896, "turnover_quote_units": 24402.631146730568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13483.061614450895, "return_pct": 34.83061614450895, "cagr_pct": 241.698178447482, "max_drawdown_pct": 12.122865377088466, "mean_exposure_while_solvent": 1.0808514444463706, "realized_annual_volatility_pct": 41.10266269223894, "trading_costs_quote_units": 17.437565862380122, "borrowing_costs_quote_units": 16.11330862805421, "price_pnl_quote_units": 3516.612488941328, "turnover_quote_units": 29062.609770633535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13483.061614450895, "return_pct": 34.83061614450895, "cagr_pct": 241.698178447482, "max_drawdown_pct": 12.122865377088466, "mean_exposure_while_solvent": 1.0808514444463706, "realized_annual_volatility_pct": 41.10266269223894, "trading_costs_quote_units": 17.437565862380122, "borrowing_costs_quote_units": 16.11330862805421, "price_pnl_quote_units": 3516.612488941328, "turnover_quote_units": 29062.609770633535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13818.562674634986, "return_pct": 38.18562674634987, "cagr_pct": 278.034712287037, "max_drawdown_pct": 17.80926327562964, "mean_exposure_while_solvent": 1.4334008927039437, "realized_annual_volatility_pct": 53.10732240797355, "trading_costs_quote_units": 17.217465073709615, "borrowing_costs_quote_units": 58.67751916562805, "price_pnl_quote_units": 3894.4576588743107, "turnover_quote_units": 28695.775122849347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13818.562674634986, "return_pct": 38.18562674634987, "cagr_pct": 278.034712287037, "max_drawdown_pct": 17.80926327562964, "mean_exposure_while_solvent": 1.4334008927039437, "realized_annual_volatility_pct": 53.10732240797355, "trading_costs_quote_units": 17.217465073709615, "borrowing_costs_quote_units": 58.67751916562805, "price_pnl_quote_units": 3894.4576588743107, "turnover_quote_units": 28695.775122849347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13874.77487648123, "return_pct": 38.747748764812286, "cagr_pct": 284.39770506816495, "max_drawdown_pct": 19.432330300394163, "mean_exposure_while_solvent": 1.4907161294692914, "realized_annual_volatility_pct": 55.50685936988985, "trading_costs_quote_units": 14.648976780449887, "borrowing_costs_quote_units": 65.66806429604812, "price_pnl_quote_units": 3955.0919175577205, "turnover_quote_units": 24414.96130074983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13874.77487648123, "return_pct": 38.747748764812286, "cagr_pct": 284.39770506816495, "max_drawdown_pct": 19.432330300394163, "mean_exposure_while_solvent": 1.4907161294692914, "realized_annual_volatility_pct": 55.50685936988985, "trading_costs_quote_units": 14.648976780449887, "borrowing_costs_quote_units": 65.66806429604812, "price_pnl_quote_units": 3955.0919175577205, "turnover_quote_units": 24414.96130074983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13759.849055223942, "return_pct": 37.598490552239426, "cagr_pct": 271.47401310627697, "max_drawdown_pct": 17.047683231456833, "mean_exposure_while_solvent": 1.389234239926353, "realized_annual_volatility_pct": 52.04041979411923, "trading_costs_quote_units": 21.46068616125995, "borrowing_costs_quote_units": 51.595113317456494, "price_pnl_quote_units": 3832.9048547026514, "turnover_quote_units": 35767.81026876658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13759.849055223942, "return_pct": 37.598490552239426, "cagr_pct": 271.47401310627697, "max_drawdown_pct": 17.047683231456833, "mean_exposure_while_solvent": 1.389234239926353, "realized_annual_volatility_pct": 52.04041979411923, "trading_costs_quote_units": 21.46068616125995, "borrowing_costs_quote_units": 51.595113317456494, "price_pnl_quote_units": 3832.9048547026514, "turnover_quote_units": 35767.81026876658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13858.558323131942, "return_pct": 38.58558323131942, "cagr_pct": 282.5538029208943, "max_drawdown_pct": 19.38891936554591, "mean_exposure_while_solvent": 1.4692566323102014, "realized_annual_volatility_pct": 54.983272036978384, "trading_costs_quote_units": 14.844491101703422, "borrowing_costs_quote_units": 62.93861983642873, "price_pnl_quote_units": 3936.3414340700606, "turnover_quote_units": 24740.818502839018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13858.558323131942, "return_pct": 38.58558323131942, "cagr_pct": 282.5538029208943, "max_drawdown_pct": 19.38891936554591, "mean_exposure_while_solvent": 1.4692566323102014, "realized_annual_volatility_pct": 54.983272036978384, "trading_costs_quote_units": 14.844491101703422, "borrowing_costs_quote_units": 62.93861983642873, "price_pnl_quote_units": 3936.3414340700606, "turnover_quote_units": 24740.818502839018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12600.044121070347, "return_pct": 26.000441210703464, "cagr_pct": 158.63841197121982, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13219182036708, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2606.040523229048, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12600.044121070347, "return_pct": 26.000441210703464, "cagr_pct": 158.63841197121982, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13219182036708, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2606.040523229048, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13858.558323131942, "return_pct": 38.58558323131942, "cagr_pct": 282.5538029208943, "max_drawdown_pct": 19.38891936554591, "mean_exposure_while_solvent": 1.4692566323102014, "realized_annual_volatility_pct": 54.983272036978384, "trading_costs_quote_units": 14.844491101703422, "borrowing_costs_quote_units": 62.93861983642873, "price_pnl_quote_units": 3936.3414340700606, "turnover_quote_units": 24740.818502839018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13858.558323131942, "return_pct": 38.58558323131942, "cagr_pct": 282.5538029208943, "max_drawdown_pct": 19.38891936554591, "mean_exposure_while_solvent": 1.4692566323102014, "realized_annual_volatility_pct": 54.983272036978384, "trading_costs_quote_units": 14.844491101703422, "borrowing_costs_quote_units": 62.93861983642873, "price_pnl_quote_units": 3936.3414340700606, "turnover_quote_units": 24740.818502839018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13858.558323131942, "return_pct": 38.58558323131942, "cagr_pct": 282.5538029208943, "max_drawdown_pct": 19.38891936554591, "mean_exposure_while_solvent": 1.4692566323102014, "realized_annual_volatility_pct": 54.983272036978384, "trading_costs_quote_units": 14.844491101703422, "borrowing_costs_quote_units": 62.93861983642873, "price_pnl_quote_units": 3936.3414340700606, "turnover_quote_units": 24740.818502839018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13858.558323131942, "return_pct": 38.58558323131942, "cagr_pct": 282.5538029208943, "max_drawdown_pct": 19.38891936554591, "mean_exposure_while_solvent": 1.4692566323102014, "realized_annual_volatility_pct": 54.983272036978384, "trading_costs_quote_units": 14.844491101703422, "borrowing_costs_quote_units": 62.93861983642873, "price_pnl_quote_units": 3936.3414340700606, "turnover_quote_units": 24740.818502839018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 11929.615130258571, "return_pct": 19.296151302585706, "cagr_pct": 106.56641575915158, "max_drawdown_pct": 10.065600129077346, "mean_exposure_while_solvent": 0.7460353528376671, "realized_annual_volatility_pct": 27.901170136444094, "trading_costs_quote_units": 5.86428338708084, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1935.479413645652, "turnover_quote_units": 9773.805645134735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 11929.615130258571, "return_pct": 19.296151302585706, "cagr_pct": 106.56641575915158, "max_drawdown_pct": 10.065600129077346, "mean_exposure_while_solvent": 0.7460353528376671, "realized_annual_volatility_pct": 27.901170136444094, "trading_costs_quote_units": 5.86428338708084, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1935.479413645652, "turnover_quote_units": 9773.805645134735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12600.044121070347, "return_pct": 26.000441210703464, "cagr_pct": 158.63841197121982, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13219182036708, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2606.040523229048, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12600.044121070347, "return_pct": 26.000441210703464, "cagr_pct": 158.63841197121982, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13219182036708, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2606.040523229048, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13236.04188772535, "return_pct": 32.360418877253515, "cagr_pct": 216.68294013337945, "max_drawdown_pct": 16.3797958690309, "mean_exposure_while_solvent": 1.242607255880039, "realized_annual_volatility_pct": 46.33294645853056, "trading_costs_quote_units": 9.826123250988713, "borrowing_costs_quote_units": 32.45792388342298, "price_pnl_quote_units": 3278.3259348597653, "turnover_quote_units": 16376.872084981198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13236.04188772535, "return_pct": 32.360418877253515, "cagr_pct": 216.68294013337945, "max_drawdown_pct": 16.3797958690309, "mean_exposure_while_solvent": 1.242607255880039, "realized_annual_volatility_pct": 46.33294645853056, "trading_costs_quote_units": 9.826123250988713, "borrowing_costs_quote_units": 32.45792388342298, "price_pnl_quote_units": 3278.3259348597653, "turnover_quote_units": 16376.872084981198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13874.77487648123, "return_pct": 38.747748764812286, "cagr_pct": 284.39770506816495, "max_drawdown_pct": 19.432330300394163, "mean_exposure_while_solvent": 1.4907161294692914, "realized_annual_volatility_pct": 55.50685936988985, "trading_costs_quote_units": 14.648976780449887, "borrowing_costs_quote_units": 65.66806429604812, "price_pnl_quote_units": 3955.0919175577205, "turnover_quote_units": 24414.96130074983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13874.77487648123, "return_pct": 38.747748764812286, "cagr_pct": 284.39770506816495, "max_drawdown_pct": 19.432330300394163, "mean_exposure_while_solvent": 1.4907161294692914, "realized_annual_volatility_pct": 55.50685936988985, "trading_costs_quote_units": 14.648976780449887, "borrowing_costs_quote_units": 65.66806429604812, "price_pnl_quote_units": 3955.0919175577205, "turnover_quote_units": 24414.96130074983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13462.696511684473, "return_pct": 34.62696511684473, "cagr_pct": 239.58111273969237, "max_drawdown_pct": 12.122865377088466, "mean_exposure_while_solvent": 1.080861037924788, "realized_annual_volatility_pct": 41.101532143833566, "trading_costs_quote_units": 17.42797628085037, "borrowing_costs_quote_units": 32.203879172838356, "price_pnl_quote_units": 3512.3283671381723, "turnover_quote_units": 29046.62713475063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13462.696511684473, "return_pct": 34.62696511684473, "cagr_pct": 239.58111273969237, "max_drawdown_pct": 12.122865377088466, "mean_exposure_while_solvent": 1.080861037924788, "realized_annual_volatility_pct": 41.101532143833566, "trading_costs_quote_units": 17.42797628085037, "borrowing_costs_quote_units": 32.203879172838356, "price_pnl_quote_units": 3512.3283671381723, "turnover_quote_units": 29046.62713475063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13745.128560468973, "return_pct": 37.45128560468973, "cagr_pct": 269.8427330437494, "max_drawdown_pct": 17.868718563094575, "mean_exposure_while_solvent": 1.4334372144310707, "realized_annual_volatility_pct": 53.10848797158854, "trading_costs_quote_units": 17.195987917996085, "borrowing_costs_quote_units": 117.03471062444756, "price_pnl_quote_units": 3879.359259011399, "turnover_quote_units": 28659.979863326822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13745.128560468973, "return_pct": 37.45128560468973, "cagr_pct": 269.8427330437494, "max_drawdown_pct": 17.868718563094575, "mean_exposure_while_solvent": 1.4334372144310707, "realized_annual_volatility_pct": 53.10848797158854, "trading_costs_quote_units": 17.195987917996085, "borrowing_costs_quote_units": 117.03471062444756, "price_pnl_quote_units": 3879.359259011399, "turnover_quote_units": 28659.979863326822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13791.401782162517, "return_pct": 37.91401782162516, "cagr_pct": 274.98893012986616, "max_drawdown_pct": 19.516057969653044, "mean_exposure_while_solvent": 1.490758345960773, "realized_annual_volatility_pct": 55.50850572749824, "trading_costs_quote_units": 14.625610180417208, "borrowing_costs_quote_units": 130.9298572713415, "price_pnl_quote_units": 3936.9572496142528, "turnover_quote_units": 24376.016967361993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13791.401782162517, "return_pct": 37.91401782162516, "cagr_pct": 274.98893012986616, "max_drawdown_pct": 19.516057969653044, "mean_exposure_while_solvent": 1.490758345960773, "realized_annual_volatility_pct": 55.50850572749824, "trading_costs_quote_units": 14.625610180417208, "borrowing_costs_quote_units": 130.9298572713415, "price_pnl_quote_units": 3936.9572496142528, "turnover_quote_units": 24376.016967361993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13694.08261752954, "return_pct": 36.94082617529541, "cagr_pct": 264.2279396595403, "max_drawdown_pct": 17.095440543834826, "mean_exposure_while_solvent": 1.38926640283772, "realized_annual_volatility_pct": 52.04134946215658, "trading_costs_quote_units": 21.43305320332096, "borrowing_costs_quote_units": 102.93854828241325, "price_pnl_quote_units": 3818.454219015277, "turnover_quote_units": 35721.75533886825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13694.08261752954, "return_pct": 36.94082617529541, "cagr_pct": 264.2279396595403, "max_drawdown_pct": 17.095440543834826, "mean_exposure_while_solvent": 1.38926640283772, "realized_annual_volatility_pct": 52.04134946215658, "trading_costs_quote_units": 21.43305320332096, "borrowing_costs_quote_units": 102.93854828241325, "price_pnl_quote_units": 3818.454219015277, "turnover_quote_units": 35721.75533886825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13778.895773281813, "return_pct": 37.78895773281812, "cagr_pct": 273.5927858960907, "max_drawdown_pct": 19.471149983676316, "mean_exposure_while_solvent": 1.4692964662595596, "realized_annual_volatility_pct": 54.984765610168864, "trading_costs_quote_units": 14.814721872320513, "borrowing_costs_quote_units": 125.50466253406518, "price_pnl_quote_units": 3919.215157688206, "turnover_quote_units": 24691.20312053419, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13778.895773281813, "return_pct": 37.78895773281812, "cagr_pct": 273.5927858960907, "max_drawdown_pct": 19.471149983676316, "mean_exposure_while_solvent": 1.4692964662595596, "realized_annual_volatility_pct": 54.984765610168864, "trading_costs_quote_units": 14.814721872320513, "borrowing_costs_quote_units": 125.50466253406518, "price_pnl_quote_units": 3919.215157688206, "turnover_quote_units": 24691.20312053419, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12600.044121070347, "return_pct": 26.000441210703464, "cagr_pct": 158.63841197121982, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13219182036708, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2606.040523229048, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12600.044121070347, "return_pct": 26.000441210703464, "cagr_pct": 158.63841197121982, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13219182036708, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2606.040523229048, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13778.895773281813, "return_pct": 37.78895773281812, "cagr_pct": 273.5927858960907, "max_drawdown_pct": 19.471149983676316, "mean_exposure_while_solvent": 1.4692964662595596, "realized_annual_volatility_pct": 54.984765610168864, "trading_costs_quote_units": 14.814721872320513, "borrowing_costs_quote_units": 125.50466253406518, "price_pnl_quote_units": 3919.215157688206, "turnover_quote_units": 24691.20312053419, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13778.895773281813, "return_pct": 37.78895773281812, "cagr_pct": 273.5927858960907, "max_drawdown_pct": 19.471149983676316, "mean_exposure_while_solvent": 1.4692964662595596, "realized_annual_volatility_pct": 54.984765610168864, "trading_costs_quote_units": 14.814721872320513, "borrowing_costs_quote_units": 125.50466253406518, "price_pnl_quote_units": 3919.215157688206, "turnover_quote_units": 24691.20312053419, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13778.895773281813, "return_pct": 37.78895773281812, "cagr_pct": 273.5927858960907, "max_drawdown_pct": 19.471149983676316, "mean_exposure_while_solvent": 1.4692964662595596, "realized_annual_volatility_pct": 54.984765610168864, "trading_costs_quote_units": 14.814721872320513, "borrowing_costs_quote_units": 125.50466253406518, "price_pnl_quote_units": 3919.215157688206, "turnover_quote_units": 24691.20312053419, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13778.895773281813, "return_pct": 37.78895773281812, "cagr_pct": 273.5927858960907, "max_drawdown_pct": 19.471149983676316, "mean_exposure_while_solvent": 1.4692964662595596, "realized_annual_volatility_pct": 54.984765610168864, "trading_costs_quote_units": 14.814721872320513, "borrowing_costs_quote_units": 125.50466253406518, "price_pnl_quote_units": 3919.215157688206, "turnover_quote_units": 24691.20312053419, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 11929.615130258571, "return_pct": 19.296151302585706, "cagr_pct": 106.56641575915158, "max_drawdown_pct": 10.065600129077346, "mean_exposure_while_solvent": 0.7460353528376671, "realized_annual_volatility_pct": 27.901170136444094, "trading_costs_quote_units": 5.86428338708084, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1935.479413645652, "turnover_quote_units": 9773.805645134735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 11929.615130258571, "return_pct": 19.296151302585706, "cagr_pct": 106.56641575915158, "max_drawdown_pct": 10.065600129077346, "mean_exposure_while_solvent": 0.7460353528376671, "realized_annual_volatility_pct": 27.901170136444094, "trading_costs_quote_units": 5.86428338708084, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1935.479413645652, "turnover_quote_units": 9773.805645134735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12600.044121070347, "return_pct": 26.000441210703464, "cagr_pct": 158.63841197121982, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13219182036708, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2606.040523229048, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12600.044121070347, "return_pct": 26.000441210703464, "cagr_pct": 158.63841197121982, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13219182036708, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2606.040523229048, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13196.198549414154, "return_pct": 31.96198549414153, "cagr_pct": 212.78170506550694, "max_drawdown_pct": 16.423160938158897, "mean_exposure_while_solvent": 1.2426248554206984, "realized_annual_volatility_pct": 46.33363434201668, "trading_costs_quote_units": 9.820191034513682, "borrowing_costs_quote_units": 64.8180190073979, "price_pnl_quote_units": 3270.8367594560605, "turnover_quote_units": 16366.98505752282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13196.198549414154, "return_pct": 31.96198549414153, "cagr_pct": 212.78170506550694, "max_drawdown_pct": 16.423160938158897, "mean_exposure_while_solvent": 1.2426248554206984, "realized_annual_volatility_pct": 46.33363434201668, "trading_costs_quote_units": 9.820191034513682, "borrowing_costs_quote_units": 64.8180190073979, "price_pnl_quote_units": 3270.8367594560605, "turnover_quote_units": 16366.98505752282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13791.401782162517, "return_pct": 37.91401782162516, "cagr_pct": 274.98893012986616, "max_drawdown_pct": 19.516057969653044, "mean_exposure_while_solvent": 1.490758345960773, "realized_annual_volatility_pct": 55.50850572749824, "trading_costs_quote_units": 14.625610180417208, "borrowing_costs_quote_units": 130.9298572713415, "price_pnl_quote_units": 3936.9572496142528, "turnover_quote_units": 24376.016967361993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13791.401782162517, "return_pct": 37.91401782162516, "cagr_pct": 274.98893012986616, "max_drawdown_pct": 19.516057969653044, "mean_exposure_while_solvent": 1.490758345960773, "realized_annual_volatility_pct": 55.50850572749824, "trading_costs_quote_units": 14.625610180417208, "borrowing_costs_quote_units": 130.9298572713415, "price_pnl_quote_units": 3936.9572496142528, "turnover_quote_units": 24376.016967361993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13422.048691881797, "return_pct": 34.22048691881796, "cagr_pct": 235.38523855669328, "max_drawdown_pct": 12.122865377088466, "mean_exposure_while_solvent": 1.08088022838715, "realized_annual_volatility_pct": 41.09929373705076, "trading_costs_quote_units": 17.40882410950254, "borrowing_costs_quote_units": 64.31691724978292, "price_pnl_quote_units": 3503.7744332410953, "turnover_quote_units": 29014.706849170918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13422.048691881797, "return_pct": 34.22048691881796, "cagr_pct": 235.38523855669328, "max_drawdown_pct": 12.122865377088466, "mean_exposure_while_solvent": 1.08088022838715, "realized_annual_volatility_pct": 41.09929373705076, "trading_costs_quote_units": 17.40882410950254, "borrowing_costs_quote_units": 64.31691724978292, "price_pnl_quote_units": 3503.7744332410953, "turnover_quote_units": 29014.706849170918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13599.390752114667, "return_pct": 35.99390752114666, "cagr_pct": 253.98339473756738, "max_drawdown_pct": 17.987529707053763, "mean_exposure_while_solvent": 1.4335098728891342, "realized_annual_volatility_pct": 53.1108256058883, "trading_costs_quote_units": 17.153331856922414, "borrowing_costs_quote_units": 232.79474854941424, "price_pnl_quote_units": 3849.338832521001, "turnover_quote_units": 28588.886428204027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13599.390752114667, "return_pct": 35.99390752114666, "cagr_pct": 253.98339473756738, "max_drawdown_pct": 17.987529707053763, "mean_exposure_while_solvent": 1.4335098728891342, "realized_annual_volatility_pct": 53.1108256058883, "trading_costs_quote_units": 17.153331856922414, "borrowing_costs_quote_units": 232.79474854941424, "price_pnl_quote_units": 3849.338832521001, "turnover_quote_units": 28588.886428204027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13626.110825436423, "return_pct": 36.26110825436422, "cagr_pct": 256.85181469467705, "max_drawdown_pct": 19.68329830144, "mean_exposure_while_solvent": 1.4908427971660325, "realized_annual_volatility_pct": 55.51180068309575, "trading_costs_quote_units": 14.579226807179158, "borrowing_costs_quote_units": 260.24420812528, "price_pnl_quote_units": 3900.934260368878, "turnover_quote_units": 24298.71134529859, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13626.110825436423, "return_pct": 36.26110825436422, "cagr_pct": 256.85181469467705, "max_drawdown_pct": 19.68329830144, "mean_exposure_while_solvent": 1.4908427971660325, "realized_annual_volatility_pct": 55.51180068309575, "trading_costs_quote_units": 14.579226807179158, "borrowing_costs_quote_units": 260.24420812528, "price_pnl_quote_units": 3900.934260368878, "turnover_quote_units": 24298.71134529859, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13563.457571712195, "return_pct": 35.63457571712194, "cagr_pct": 250.15349255693567, "max_drawdown_pct": 17.190895137671003, "mean_exposure_while_solvent": 1.3893307416398761, "realized_annual_volatility_pct": 52.04322002380213, "trading_costs_quote_units": 21.378057932860077, "borrowing_costs_quote_units": 204.87503328702775, "price_pnl_quote_units": 3789.7106629320933, "turnover_quote_units": 35630.09655476681, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13563.457571712195, "return_pct": 35.63457571712194, "cagr_pct": 250.15349255693567, "max_drawdown_pct": 17.190895137671003, "mean_exposure_while_solvent": 1.3893307416398761, "realized_annual_volatility_pct": 52.04322002380213, "trading_costs_quote_units": 21.378057932860077, "borrowing_costs_quote_units": 204.87503328702775, "price_pnl_quote_units": 3789.7106629320933, "turnover_quote_units": 35630.09655476681, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13620.899716159638, "return_pct": 36.20899716159638, "cagr_pct": 256.2910224141149, "max_drawdown_pct": 19.635404520719955, "mean_exposure_while_solvent": 1.4693761509497447, "realized_annual_volatility_pct": 54.98775517478428, "trading_costs_quote_units": 14.755600336116581, "borrowing_costs_quote_units": 249.52741031620766, "price_pnl_quote_units": 3885.1827268119773, "turnover_quote_units": 24592.66722686096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13620.899716159638, "return_pct": 36.20899716159638, "cagr_pct": 256.2910224141149, "max_drawdown_pct": 19.635404520719955, "mean_exposure_while_solvent": 1.4693761509497447, "realized_annual_volatility_pct": 54.98775517478428, "trading_costs_quote_units": 14.755600336116581, "borrowing_costs_quote_units": 249.52741031620766, "price_pnl_quote_units": 3885.1827268119773, "turnover_quote_units": 24592.66722686096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12600.044121070347, "return_pct": 26.000441210703464, "cagr_pct": 158.63841197121982, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13219182036708, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2606.040523229048, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12600.044121070347, "return_pct": 26.000441210703464, "cagr_pct": 158.63841197121982, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13219182036708, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2606.040523229048, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13620.899716159638, "return_pct": 36.20899716159638, "cagr_pct": 256.2910224141149, "max_drawdown_pct": 19.635404520719955, "mean_exposure_while_solvent": 1.4693761509497447, "realized_annual_volatility_pct": 54.98775517478428, "trading_costs_quote_units": 14.755600336116581, "borrowing_costs_quote_units": 249.52741031620766, "price_pnl_quote_units": 3885.1827268119773, "turnover_quote_units": 24592.66722686096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13620.899716159638, "return_pct": 36.20899716159638, "cagr_pct": 256.2910224141149, "max_drawdown_pct": 19.635404520719955, "mean_exposure_while_solvent": 1.4693761509497447, "realized_annual_volatility_pct": 54.98775517478428, "trading_costs_quote_units": 14.755600336116581, "borrowing_costs_quote_units": 249.52741031620766, "price_pnl_quote_units": 3885.1827268119773, "turnover_quote_units": 24592.66722686096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13620.899716159638, "return_pct": 36.20899716159638, "cagr_pct": 256.2910224141149, "max_drawdown_pct": 19.635404520719955, "mean_exposure_while_solvent": 1.4693761509497447, "realized_annual_volatility_pct": 54.98775517478428, "trading_costs_quote_units": 14.755600336116581, "borrowing_costs_quote_units": 249.52741031620766, "price_pnl_quote_units": 3885.1827268119773, "turnover_quote_units": 24592.66722686096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13620.899716159638, "return_pct": 36.20899716159638, "cagr_pct": 256.2910224141149, "max_drawdown_pct": 19.635404520719955, "mean_exposure_while_solvent": 1.4693761509497447, "realized_annual_volatility_pct": 54.98775517478428, "trading_costs_quote_units": 14.755600336116581, "borrowing_costs_quote_units": 249.52741031620766, "price_pnl_quote_units": 3885.1827268119773, "turnover_quote_units": 24592.66722686096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 11929.615130258571, "return_pct": 19.296151302585706, "cagr_pct": 106.56641575915158, "max_drawdown_pct": 10.065600129077346, "mean_exposure_while_solvent": 0.7460353528376671, "realized_annual_volatility_pct": 27.901170136444094, "trading_costs_quote_units": 5.86428338708084, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1935.479413645652, "turnover_quote_units": 9773.805645134735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 11929.615130258571, "return_pct": 19.296151302585706, "cagr_pct": 106.56641575915158, "max_drawdown_pct": 10.065600129077346, "mean_exposure_while_solvent": 0.7460353528376671, "realized_annual_volatility_pct": 27.901170136444094, "trading_costs_quote_units": 5.86428338708084, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1935.479413645652, "turnover_quote_units": 9773.805645134735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12600.044121070347, "return_pct": 26.000441210703464, "cagr_pct": 158.63841197121982, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13219182036708, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2606.040523229048, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12600.044121070347, "return_pct": 26.000441210703464, "cagr_pct": 158.63841197121982, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13219182036708, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2606.040523229048, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13116.853825616017, "return_pct": 31.168538256160172, "cagr_pct": 205.1211479821476, "max_drawdown_pct": 16.509842931193997, "mean_exposure_while_solvent": 1.2426600598997466, "realized_annual_volatility_pct": 46.33501081611462, "trading_costs_quote_units": 9.808374894857474, "borrowing_costs_quote_units": 129.24582502223197, "price_pnl_quote_units": 3255.9080255331105, "turnover_quote_units": 16347.291491429125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13116.853825616017, "return_pct": 31.168538256160172, "cagr_pct": 205.1211479821476, "max_drawdown_pct": 16.509842931193997, "mean_exposure_while_solvent": 1.2426600598997466, "realized_annual_volatility_pct": 46.33501081611462, "trading_costs_quote_units": 9.808374894857474, "borrowing_costs_quote_units": 129.24582502223197, "price_pnl_quote_units": 3255.9080255331105, "turnover_quote_units": 16347.291491429125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13626.110825436423, "return_pct": 36.26110825436422, "cagr_pct": 256.85181469467705, "max_drawdown_pct": 19.68329830144, "mean_exposure_while_solvent": 1.4908427971660325, "realized_annual_volatility_pct": 55.51180068309575, "trading_costs_quote_units": 14.579226807179158, "borrowing_costs_quote_units": 260.24420812528, "price_pnl_quote_units": 3900.934260368878, "turnover_quote_units": 24298.71134529859, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13626.110825436423, "return_pct": 36.26110825436422, "cagr_pct": 256.85181469467705, "max_drawdown_pct": 19.68329830144, "mean_exposure_while_solvent": 1.4908427971660325, "realized_annual_volatility_pct": 55.51180068309575, "trading_costs_quote_units": 14.579226807179158, "borrowing_costs_quote_units": 260.24420812528, "price_pnl_quote_units": 3900.934260368878, "turnover_quote_units": 24298.71134529859, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13253.154977177825, "return_pct": 32.53154977177826, "cagr_pct": 218.3698144992099, "max_drawdown_pct": 12.1849984385066, "mean_exposure_while_solvent": 1.0846050350173773, "realized_annual_volatility_pct": 40.79601457840319, "trading_costs_quote_units": 86.66561667391045, "borrowing_costs_quote_units": 15.936279792534213, "price_pnl_quote_units": 3355.75687364427, "turnover_quote_units": 28888.538891303495, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13253.154977177825, "return_pct": 32.53154977177826, "cagr_pct": 218.3698144992099, "max_drawdown_pct": 12.1849984385066, "mean_exposure_while_solvent": 1.0846050350173773, "realized_annual_volatility_pct": 40.79601457840319, "trading_costs_quote_units": 86.66561667391045, "borrowing_costs_quote_units": 15.936279792534213, "price_pnl_quote_units": 3355.75687364427, "turnover_quote_units": 28888.538891303495, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13715.496389222802, "return_pct": 37.15496389222803, "cagr_pct": 266.57543211929203, "max_drawdown_pct": 17.868641882566273, "mean_exposure_while_solvent": 1.4391211023783868, "realized_annual_volatility_pct": 53.16166996497685, "trading_costs_quote_units": 89.46380453160447, "borrowing_costs_quote_units": 58.57266966112877, "price_pnl_quote_units": 3863.53286341553, "turnover_quote_units": 29821.26817720147, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13715.496389222802, "return_pct": 37.15496389222803, "cagr_pct": 266.57543211929203, "max_drawdown_pct": 17.868641882566273, "mean_exposure_while_solvent": 1.4391211023783868, "realized_annual_volatility_pct": 53.16166996497685, "trading_costs_quote_units": 89.46380453160447, "borrowing_costs_quote_units": 58.57266966112877, "price_pnl_quote_units": 3863.53286341553, "turnover_quote_units": 29821.26817720147, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13820.327299524166, "return_pct": 38.20327299524167, "cagr_pct": 278.23324028235527, "max_drawdown_pct": 19.403395645000664, "mean_exposure_while_solvent": 1.4965558651398045, "realized_annual_volatility_pct": 55.62259120434352, "trading_costs_quote_units": 73.22910966619497, "borrowing_costs_quote_units": 65.72789597766773, "price_pnl_quote_units": 3959.2843051680543, "turnover_quote_units": 24409.703222064993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13820.327299524166, "return_pct": 38.20327299524167, "cagr_pct": 278.23324028235527, "max_drawdown_pct": 19.403395645000664, "mean_exposure_while_solvent": 1.4965558651398045, "realized_annual_volatility_pct": 55.62259120434352, "trading_costs_quote_units": 73.22910966619497, "borrowing_costs_quote_units": 65.72789597766773, "price_pnl_quote_units": 3959.2843051680543, "turnover_quote_units": 24409.703222064993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13731.31867247773, "return_pct": 37.3131867247773, "cagr_pct": 268.31729775339585, "max_drawdown_pct": 17.132585171393977, "mean_exposure_while_solvent": 1.3948344695840318, "realized_annual_volatility_pct": 52.03834879116332, "trading_costs_quote_units": 104.73229906080286, "borrowing_costs_quote_units": 51.70004652038608, "price_pnl_quote_units": 3887.751018058917, "turnover_quote_units": 34910.76635360096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13731.31867247773, "return_pct": 37.3131867247773, "cagr_pct": 268.31729775339585, "max_drawdown_pct": 17.132585171393977, "mean_exposure_while_solvent": 1.3948344695840318, "realized_annual_volatility_pct": 52.03834879116332, "trading_costs_quote_units": 104.73229906080286, "borrowing_costs_quote_units": 51.70004652038608, "price_pnl_quote_units": 3887.751018058917, "turnover_quote_units": 34910.76635360096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13793.858746327984, "return_pct": 37.93858746327983, "cagr_pct": 275.2636837967728, "max_drawdown_pct": 19.344493301358067, "mean_exposure_while_solvent": 1.475092502170061, "realized_annual_volatility_pct": 55.06327715403039, "trading_costs_quote_units": 75.14201388516003, "borrowing_costs_quote_units": 62.9799642469234, "price_pnl_quote_units": 3931.9807244600656, "turnover_quote_units": 25047.337961719997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13793.858746327984, "return_pct": 37.93858746327983, "cagr_pct": 275.2636837967728, "max_drawdown_pct": 19.344493301358067, "mean_exposure_while_solvent": 1.475092502170061, "realized_annual_volatility_pct": 55.06327715403039, "trading_costs_quote_units": 75.14201388516003, "borrowing_costs_quote_units": 62.9799642469234, "price_pnl_quote_units": 3931.9807244600656, "turnover_quote_units": 25047.337961719997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12575.916929111496, "return_pct": 25.75916929111497, "cagr_pct": 156.60816911288995, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17703271722885, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2605.8271983039176, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12575.916929111496, "return_pct": 25.75916929111497, "cagr_pct": 156.60816911288995, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17703271722885, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2605.8271983039176, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13793.858746327984, "return_pct": 37.93858746327983, "cagr_pct": 275.2636837967728, "max_drawdown_pct": 19.344493301358067, "mean_exposure_while_solvent": 1.475092502170061, "realized_annual_volatility_pct": 55.06327715403039, "trading_costs_quote_units": 75.14201388516003, "borrowing_costs_quote_units": 62.9799642469234, "price_pnl_quote_units": 3931.9807244600656, "turnover_quote_units": 25047.337961719997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13793.858746327984, "return_pct": 37.93858746327983, "cagr_pct": 275.2636837967728, "max_drawdown_pct": 19.344493301358067, "mean_exposure_while_solvent": 1.475092502170061, "realized_annual_volatility_pct": 55.06327715403039, "trading_costs_quote_units": 75.14201388516003, "borrowing_costs_quote_units": 62.9799642469234, "price_pnl_quote_units": 3931.9807244600656, "turnover_quote_units": 25047.337961719997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13793.858746327984, "return_pct": 37.93858746327983, "cagr_pct": 275.2636837967728, "max_drawdown_pct": 19.344493301358067, "mean_exposure_while_solvent": 1.475092502170061, "realized_annual_volatility_pct": 55.06327715403039, "trading_costs_quote_units": 75.14201388516003, "borrowing_costs_quote_units": 62.9799642469234, "price_pnl_quote_units": 3931.9807244600656, "turnover_quote_units": 25047.337961719997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13793.858746327984, "return_pct": 37.93858746327983, "cagr_pct": 275.2636837967728, "max_drawdown_pct": 19.344493301358067, "mean_exposure_while_solvent": 1.475092502170061, "realized_annual_volatility_pct": 55.06327715403039, "trading_costs_quote_units": 75.14201388516003, "borrowing_costs_quote_units": 62.9799642469234, "price_pnl_quote_units": 3931.9807244600656, "turnover_quote_units": 25047.337961719997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 11903.206103431976, "return_pct": 19.03206103431976, "cagr_pct": 104.69269910261198, "max_drawdown_pct": 10.086398980607248, "mean_exposure_while_solvent": 0.748786577680084, "realized_annual_volatility_pct": 27.9206858763841, "trading_costs_quote_units": 29.253569817571687, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1932.45967324955, "turnover_quote_units": 9751.189939190566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 11903.206103431976, "return_pct": 19.03206103431976, "cagr_pct": 104.69269910261198, "max_drawdown_pct": 10.086398980607248, "mean_exposure_while_solvent": 0.748786577680084, "realized_annual_volatility_pct": 27.9206858763841, "trading_costs_quote_units": 29.253569817571687, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1932.45967324955, "turnover_quote_units": 9751.189939190566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12575.916929111496, "return_pct": 25.75916929111497, "cagr_pct": 156.60816911288995, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17703271722885, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2605.8271983039176, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12575.916929111496, "return_pct": 25.75916929111497, "cagr_pct": 156.60816911288995, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17703271722885, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2605.8271983039176, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13198.665598052261, "return_pct": 31.986655980522617, "cagr_pct": 213.02220269345486, "max_drawdown_pct": 16.367322541077478, "mean_exposure_while_solvent": 1.2473826111595847, "realized_annual_volatility_pct": 46.40989759141041, "trading_costs_quote_units": 49.043538864731744, "borrowing_costs_quote_units": 32.50484592898536, "price_pnl_quote_units": 3280.2139828459776, "turnover_quote_units": 16347.84628824392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13198.665598052261, "return_pct": 31.986655980522617, "cagr_pct": 213.02220269345486, "max_drawdown_pct": 16.367322541077478, "mean_exposure_while_solvent": 1.2473826111595847, "realized_annual_volatility_pct": 46.40989759141041, "trading_costs_quote_units": 49.043538864731744, "borrowing_costs_quote_units": 32.50484592898536, "price_pnl_quote_units": 3280.2139828459776, "turnover_quote_units": 16347.84628824392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13820.327299524166, "return_pct": 38.20327299524167, "cagr_pct": 278.23324028235527, "max_drawdown_pct": 19.403395645000664, "mean_exposure_while_solvent": 1.4965558651398045, "realized_annual_volatility_pct": 55.62259120434352, "trading_costs_quote_units": 73.22910966619497, "borrowing_costs_quote_units": 65.72789597766773, "price_pnl_quote_units": 3959.2843051680543, "turnover_quote_units": 24409.703222064993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13820.327299524166, "return_pct": 38.20327299524167, "cagr_pct": 278.23324028235527, "max_drawdown_pct": 19.403395645000664, "mean_exposure_while_solvent": 1.4965558651398045, "realized_annual_volatility_pct": 55.62259120434352, "trading_costs_quote_units": 73.22910966619497, "borrowing_costs_quote_units": 65.72789597766773, "price_pnl_quote_units": 3959.2843051680543, "turnover_quote_units": 24409.703222064993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13233.120466262617, "return_pct": 32.33120466262618, "cagr_pct": 216.3956465806943, "max_drawdown_pct": 12.1849984385066, "mean_exposure_while_solvent": 1.0846146249084627, "realized_annual_volatility_pct": 40.79534101343904, "trading_costs_quote_units": 86.61820431023527, "borrowing_costs_quote_units": 31.850141488771513, "price_pnl_quote_units": 3351.588812061622, "turnover_quote_units": 28872.734770078423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13233.120466262617, "return_pct": 32.33120466262618, "cagr_pct": 216.3956465806943, "max_drawdown_pct": 12.1849984385066, "mean_exposure_while_solvent": 1.0846146249084627, "realized_annual_volatility_pct": 40.79534101343904, "trading_costs_quote_units": 86.61820431023527, "borrowing_costs_quote_units": 31.850141488771513, "price_pnl_quote_units": 3351.588812061622, "turnover_quote_units": 28872.734770078423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13642.308826873417, "return_pct": 36.42308826873417, "cagr_pct": 258.5992247745874, "max_drawdown_pct": 17.92728811929659, "mean_exposure_while_solvent": 1.4391576963906516, "realized_annual_volatility_pct": 53.163226158281454, "trading_costs_quote_units": 89.35134580987092, "borrowing_costs_quote_units": 116.8245171678491, "price_pnl_quote_units": 3848.4846898511405, "turnover_quote_units": 29783.781936623644, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13642.308826873417, "return_pct": 36.42308826873417, "cagr_pct": 258.5992247745874, "max_drawdown_pct": 17.92728811929659, "mean_exposure_while_solvent": 1.4391576963906516, "realized_annual_volatility_pct": 53.163226158281454, "trading_costs_quote_units": 89.35134580987092, "borrowing_costs_quote_units": 116.8245171678491, "price_pnl_quote_units": 3848.4846898511405, "turnover_quote_units": 29783.781936623644, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13736.980390692992, "return_pct": 37.369803906929924, "cagr_pct": 268.94211207541645, "max_drawdown_pct": 19.487287832428724, "mean_exposure_while_solvent": 1.4965983753247192, "realized_annual_volatility_pct": 55.62462940657608, "trading_costs_quote_units": 73.11850158375489, "borrowing_costs_quote_units": 131.04784071868522, "price_pnl_quote_units": 3941.146732995422, "turnover_quote_units": 24372.833861251627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13736.980390692992, "return_pct": 37.369803906929924, "cagr_pct": 268.94211207541645, "max_drawdown_pct": 19.487287832428724, "mean_exposure_while_solvent": 1.4965983753247192, "realized_annual_volatility_pct": 55.62462940657608, "trading_costs_quote_units": 73.11850158375489, "borrowing_costs_quote_units": 131.04784071868522, "price_pnl_quote_units": 3941.146732995422, "turnover_quote_units": 24372.833861251627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13665.425078508646, "return_pct": 36.65425078508646, "cagr_pct": 261.10416817411334, "max_drawdown_pct": 17.181104859455253, "mean_exposure_while_solvent": 1.3948668845116416, "realized_annual_volatility_pct": 52.039470720915624, "trading_costs_quote_units": 104.55909735992827, "borrowing_costs_quote_units": 103.14691705645191, "price_pnl_quote_units": 3873.131092925022, "turnover_quote_units": 34853.032453309395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13665.425078508646, "return_pct": 36.65425078508646, "cagr_pct": 261.10416817411334, "max_drawdown_pct": 17.181104859455253, "mean_exposure_while_solvent": 1.3948668845116416, "realized_annual_volatility_pct": 52.039470720915624, "trading_costs_quote_units": 104.55909735992827, "borrowing_costs_quote_units": 103.14691705645191, "price_pnl_quote_units": 3873.131092925022, "turnover_quote_units": 34853.032453309395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13714.254505423298, "return_pct": 37.142545054232976, "cagr_pct": 266.4389782446927, "max_drawdown_pct": 19.426793967068335, "mean_exposure_while_solvent": 1.4751326322838778, "realized_annual_volatility_pct": 55.06515434592843, "trading_costs_quote_units": 75.03398370789785, "borrowing_costs_quote_units": 125.58581816963343, "price_pnl_quote_units": 3914.8743073008213, "turnover_quote_units": 25011.32790263262, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13714.254505423298, "return_pct": 37.142545054232976, "cagr_pct": 266.4389782446927, "max_drawdown_pct": 19.426793967068335, "mean_exposure_while_solvent": 1.4751326322838778, "realized_annual_volatility_pct": 55.06515434592843, "trading_costs_quote_units": 75.03398370789785, "borrowing_costs_quote_units": 125.58581816963343, "price_pnl_quote_units": 3914.8743073008213, "turnover_quote_units": 25011.32790263262, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12575.916929111496, "return_pct": 25.75916929111497, "cagr_pct": 156.60816911288995, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17703271722885, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2605.8271983039176, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12575.916929111496, "return_pct": 25.75916929111497, "cagr_pct": 156.60816911288995, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17703271722885, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2605.8271983039176, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13714.254505423298, "return_pct": 37.142545054232976, "cagr_pct": 266.4389782446927, "max_drawdown_pct": 19.426793967068335, "mean_exposure_while_solvent": 1.4751326322838778, "realized_annual_volatility_pct": 55.06515434592843, "trading_costs_quote_units": 75.03398370789785, "borrowing_costs_quote_units": 125.58581816963343, "price_pnl_quote_units": 3914.8743073008213, "turnover_quote_units": 25011.32790263262, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13714.254505423298, "return_pct": 37.142545054232976, "cagr_pct": 266.4389782446927, "max_drawdown_pct": 19.426793967068335, "mean_exposure_while_solvent": 1.4751326322838778, "realized_annual_volatility_pct": 55.06515434592843, "trading_costs_quote_units": 75.03398370789785, "borrowing_costs_quote_units": 125.58581816963343, "price_pnl_quote_units": 3914.8743073008213, "turnover_quote_units": 25011.32790263262, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13714.254505423298, "return_pct": 37.142545054232976, "cagr_pct": 266.4389782446927, "max_drawdown_pct": 19.426793967068335, "mean_exposure_while_solvent": 1.4751326322838778, "realized_annual_volatility_pct": 55.06515434592843, "trading_costs_quote_units": 75.03398370789785, "borrowing_costs_quote_units": 125.58581816963343, "price_pnl_quote_units": 3914.8743073008213, "turnover_quote_units": 25011.32790263262, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13714.254505423298, "return_pct": 37.142545054232976, "cagr_pct": 266.4389782446927, "max_drawdown_pct": 19.426793967068335, "mean_exposure_while_solvent": 1.4751326322838778, "realized_annual_volatility_pct": 55.06515434592843, "trading_costs_quote_units": 75.03398370789785, "borrowing_costs_quote_units": 125.58581816963343, "price_pnl_quote_units": 3914.8743073008213, "turnover_quote_units": 25011.32790263262, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 11903.206103431976, "return_pct": 19.03206103431976, "cagr_pct": 104.69269910261198, "max_drawdown_pct": 10.086398980607248, "mean_exposure_while_solvent": 0.748786577680084, "realized_annual_volatility_pct": 27.9206858763841, "trading_costs_quote_units": 29.253569817571687, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1932.45967324955, "turnover_quote_units": 9751.189939190566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 11903.206103431976, "return_pct": 19.03206103431976, "cagr_pct": 104.69269910261198, "max_drawdown_pct": 10.086398980607248, "mean_exposure_while_solvent": 0.748786577680084, "realized_annual_volatility_pct": 27.9206858763841, "trading_costs_quote_units": 29.253569817571687, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1932.45967324955, "turnover_quote_units": 9751.189939190566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12575.916929111496, "return_pct": 25.75916929111497, "cagr_pct": 156.60816911288995, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17703271722885, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2605.8271983039176, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12575.916929111496, "return_pct": 25.75916929111497, "cagr_pct": 156.60816911288995, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17703271722885, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2605.8271983039176, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13158.790175206253, "return_pct": 31.587901752062542, "cagr_pct": 209.15209653332965, "max_drawdown_pct": 16.410753059733054, "mean_exposure_while_solvent": 1.2474003323530067, "realized_annual_volatility_pct": 46.4107460564774, "trading_costs_quote_units": 49.01761010374536, "borrowing_costs_quote_units": 64.91138566131788, "price_pnl_quote_units": 3272.719170971308, "turnover_quote_units": 16339.203367915134, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13158.790175206253, "return_pct": 31.587901752062542, "cagr_pct": 209.15209653332965, "max_drawdown_pct": 16.410753059733054, "mean_exposure_while_solvent": 1.2474003323530067, "realized_annual_volatility_pct": 46.4107460564774, "trading_costs_quote_units": 49.01761010374536, "borrowing_costs_quote_units": 64.91138566131788, "price_pnl_quote_units": 3272.719170971308, "turnover_quote_units": 16339.203367915134, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13736.980390692992, "return_pct": 37.369803906929924, "cagr_pct": 268.94211207541645, "max_drawdown_pct": 19.487287832428724, "mean_exposure_while_solvent": 1.4965983753247192, "realized_annual_volatility_pct": 55.62462940657608, "trading_costs_quote_units": 73.11850158375489, "borrowing_costs_quote_units": 131.04784071868522, "price_pnl_quote_units": 3941.146732995422, "turnover_quote_units": 24372.833861251627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13736.980390692992, "return_pct": 37.369803906929924, "cagr_pct": 268.94211207541645, "max_drawdown_pct": 19.487287832428724, "mean_exposure_while_solvent": 1.4965983753247192, "realized_annual_volatility_pct": 55.62462940657608, "trading_costs_quote_units": 73.11850158375489, "borrowing_costs_quote_units": 131.04784071868522, "price_pnl_quote_units": 3941.146732995422, "turnover_quote_units": 24372.833861251627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13193.132561397639, "return_pct": 31.93132561397638, "cagr_pct": 212.48301537653433, "max_drawdown_pct": 12.1849984385066, "mean_exposure_while_solvent": 1.0846338081921822, "realized_annual_volatility_pct": 40.79401722161207, "trading_costs_quote_units": 86.52351509725288, "borrowing_costs_quote_units": 63.61072005025064, "price_pnl_quote_units": 3343.266796545132, "turnover_quote_units": 28841.17169908429, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13193.132561397639, "return_pct": 31.93132561397638, "cagr_pct": 212.48301537653433, "max_drawdown_pct": 12.1849984385066, "mean_exposure_while_solvent": 1.0846338081921822, "realized_annual_volatility_pct": 40.79401722161207, "trading_costs_quote_units": 86.52351509725288, "borrowing_costs_quote_units": 63.61072005025064, "price_pnl_quote_units": 3343.266796545132, "turnover_quote_units": 28841.17169908429, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13497.06506344557, "return_pct": 34.9706506344557, "cagr_pct": 243.1596996868186, "max_drawdown_pct": 18.044484235782843, "mean_exposure_while_solvent": 1.4392308995577008, "realized_annual_volatility_pct": 53.166344612557246, "trading_costs_quote_units": 89.12762986009783, "borrowing_costs_quote_units": 232.37242080837365, "price_pnl_quote_units": 3818.5651141140465, "turnover_quote_units": 29709.209953365942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13497.06506344557, "return_pct": 34.9706506344557, "cagr_pct": 243.1596996868186, "max_drawdown_pct": 18.044484235782843, "mean_exposure_while_solvent": 1.4392308995577008, "realized_annual_volatility_pct": 53.166344612557246, "trading_costs_quote_units": 89.12762986009783, "borrowing_costs_quote_units": 232.37242080837365, "price_pnl_quote_units": 3818.5651141140465, "turnover_quote_units": 29709.209953365942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13571.746710294903, "return_pct": 35.71746710294903, "cagr_pct": 251.03418573436275, "max_drawdown_pct": 19.654856340445225, "mean_exposure_while_solvent": 1.4966834140716536, "realized_annual_volatility_pct": 55.62870718143932, "trading_costs_quote_units": 72.89879773587796, "borrowing_costs_quote_units": 260.4735288685167, "price_pnl_quote_units": 3905.119036899288, "turnover_quote_units": 24299.599245292673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13571.746710294903, "return_pct": 35.71746710294903, "cagr_pct": 251.03418573436275, "max_drawdown_pct": 19.654856340445225, "mean_exposure_while_solvent": 1.4966834140716536, "realized_annual_volatility_pct": 55.62870718143932, "trading_costs_quote_units": 72.89879773587796, "borrowing_costs_quote_units": 260.4735288685167, "price_pnl_quote_units": 3905.119036899288, "turnover_quote_units": 24299.599245292673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13534.551199278865, "return_pct": 35.34551199278866, "cagr_pct": 247.09536446830828, "max_drawdown_pct": 17.27808167844741, "mean_exposure_while_solvent": 1.3949317274689015, "realized_annual_volatility_pct": 52.04172543380358, "trading_costs_quote_units": 104.21454699084518, "borrowing_costs_quote_units": 205.28582759893933, "price_pnl_quote_units": 3844.0515738686404, "turnover_quote_units": 34738.18233028172, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13534.551199278865, "return_pct": 35.34551199278866, "cagr_pct": 247.09536446830828, "max_drawdown_pct": 17.27808167844741, "mean_exposure_while_solvent": 1.3949317274689015, "realized_annual_volatility_pct": 52.04172543380358, "trading_costs_quote_units": 104.21454699084518, "borrowing_costs_quote_units": 205.28582759893933, "price_pnl_quote_units": 3844.0515738686404, "turnover_quote_units": 34738.18233028172, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13556.379434835271, "return_pct": 35.56379434835271, "cagr_pct": 249.40278869291222, "max_drawdown_pct": 19.591188337126695, "mean_exposure_while_solvent": 1.4752129094616844, "realized_annual_volatility_pct": 55.06891033507168, "trading_costs_quote_units": 74.81935828692382, "borrowing_costs_quote_units": 249.68365557021374, "price_pnl_quote_units": 3880.8824486923963, "turnover_quote_units": 24939.786095641284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13556.379434835271, "return_pct": 35.56379434835271, "cagr_pct": 249.40278869291222, "max_drawdown_pct": 19.591188337126695, "mean_exposure_while_solvent": 1.4752129094616844, "realized_annual_volatility_pct": 55.06891033507168, "trading_costs_quote_units": 74.81935828692382, "borrowing_costs_quote_units": 249.68365557021374, "price_pnl_quote_units": 3880.8824486923963, "turnover_quote_units": 24939.786095641284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12575.916929111496, "return_pct": 25.75916929111497, "cagr_pct": 156.60816911288995, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17703271722885, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2605.8271983039176, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12575.916929111496, "return_pct": 25.75916929111497, "cagr_pct": 156.60816911288995, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17703271722885, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2605.8271983039176, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13556.379434835271, "return_pct": 35.56379434835271, "cagr_pct": 249.40278869291222, "max_drawdown_pct": 19.591188337126695, "mean_exposure_while_solvent": 1.4752129094616844, "realized_annual_volatility_pct": 55.06891033507168, "trading_costs_quote_units": 74.81935828692382, "borrowing_costs_quote_units": 249.68365557021374, "price_pnl_quote_units": 3880.8824486923963, "turnover_quote_units": 24939.786095641284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13556.379434835271, "return_pct": 35.56379434835271, "cagr_pct": 249.40278869291222, "max_drawdown_pct": 19.591188337126695, "mean_exposure_while_solvent": 1.4752129094616844, "realized_annual_volatility_pct": 55.06891033507168, "trading_costs_quote_units": 74.81935828692382, "borrowing_costs_quote_units": 249.68365557021374, "price_pnl_quote_units": 3880.8824486923963, "turnover_quote_units": 24939.786095641284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13556.379434835271, "return_pct": 35.56379434835271, "cagr_pct": 249.40278869291222, "max_drawdown_pct": 19.591188337126695, "mean_exposure_while_solvent": 1.4752129094616844, "realized_annual_volatility_pct": 55.06891033507168, "trading_costs_quote_units": 74.81935828692382, "borrowing_costs_quote_units": 249.68365557021374, "price_pnl_quote_units": 3880.8824486923963, "turnover_quote_units": 24939.786095641284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13556.379434835271, "return_pct": 35.56379434835271, "cagr_pct": 249.40278869291222, "max_drawdown_pct": 19.591188337126695, "mean_exposure_while_solvent": 1.4752129094616844, "realized_annual_volatility_pct": 55.06891033507168, "trading_costs_quote_units": 74.81935828692382, "borrowing_costs_quote_units": 249.68365557021374, "price_pnl_quote_units": 3880.8824486923963, "turnover_quote_units": 24939.786095641284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 11903.206103431976, "return_pct": 19.03206103431976, "cagr_pct": 104.69269910261198, "max_drawdown_pct": 10.086398980607248, "mean_exposure_while_solvent": 0.748786577680084, "realized_annual_volatility_pct": 27.9206858763841, "trading_costs_quote_units": 29.253569817571687, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1932.45967324955, "turnover_quote_units": 9751.189939190566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 11903.206103431976, "return_pct": 19.03206103431976, "cagr_pct": 104.69269910261198, "max_drawdown_pct": 10.086398980607248, "mean_exposure_while_solvent": 0.748786577680084, "realized_annual_volatility_pct": 27.9206858763841, "trading_costs_quote_units": 29.253569817571687, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1932.45967324955, "turnover_quote_units": 9751.189939190566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12575.916929111496, "return_pct": 25.75916929111497, "cagr_pct": 156.60816911288995, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17703271722885, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2605.8271983039176, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12575.916929111496, "return_pct": 25.75916929111497, "cagr_pct": 156.60816911288995, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 0.99812734082397, "realized_annual_volatility_pct": 37.17703271722885, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2605.8271983039176, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13079.382840485168, "return_pct": 30.793828404851673, "cagr_pct": 201.5531764892387, "max_drawdown_pct": 16.49756577897704, "mean_exposure_while_solvent": 1.2474357801841298, "realized_annual_volatility_pct": 46.41244337913509, "trading_costs_quote_units": 48.965938945850716, "borrowing_costs_quote_units": 129.43065808762145, "price_pnl_quote_units": 3257.779437518647, "turnover_quote_units": 16321.979648616894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13079.382840485168, "return_pct": 30.793828404851673, "cagr_pct": 201.5531764892387, "max_drawdown_pct": 16.49756577897704, "mean_exposure_while_solvent": 1.2474357801841298, "realized_annual_volatility_pct": 46.41244337913509, "trading_costs_quote_units": 48.965938945850716, "borrowing_costs_quote_units": 129.43065808762145, "price_pnl_quote_units": 3257.779437518647, "turnover_quote_units": 16321.979648616894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13571.746710294903, "return_pct": 35.71746710294903, "cagr_pct": 251.03418573436275, "max_drawdown_pct": 19.654856340445225, "mean_exposure_while_solvent": 1.4966834140716536, "realized_annual_volatility_pct": 55.62870718143932, "trading_costs_quote_units": 72.89879773587796, "borrowing_costs_quote_units": 260.4735288685167, "price_pnl_quote_units": 3905.119036899288, "turnover_quote_units": 24299.599245292673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13571.746710294903, "return_pct": 35.71746710294903, "cagr_pct": 251.03418573436275, "max_drawdown_pct": 19.654856340445225, "mean_exposure_while_solvent": 1.4966834140716536, "realized_annual_volatility_pct": 55.62870718143932, "trading_costs_quote_units": 72.89879773587796, "borrowing_costs_quote_units": 260.4735288685167, "price_pnl_quote_units": 3905.119036899288, "turnover_quote_units": 24299.599245292673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13394.606939962297, "return_pct": 33.94606939962297, "cagr_pct": 232.5748292573424, "max_drawdown_pct": 12.159546429938617, "mean_exposure_while_solvent": 1.0808514444463706, "realized_annual_volatility_pct": 41.09225765500422, "trading_costs_quote_units": 86.85184132259411, "borrowing_costs_quote_units": 16.030546709550233, "price_pnl_quote_units": 3497.4893279944376, "turnover_quote_units": 28950.613774198027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13394.606939962297, "return_pct": 33.94606939962297, "cagr_pct": 232.5748292573424, "max_drawdown_pct": 12.159546429938617, "mean_exposure_while_solvent": 1.0808514444463706, "realized_annual_volatility_pct": 41.09225765500422, "trading_costs_quote_units": 86.85184132259411, "borrowing_costs_quote_units": 16.030546709550233, "price_pnl_quote_units": 3497.4893279944376, "turnover_quote_units": 28950.613774198027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13726.77252247194, "return_pct": 37.26772522471939, "cagr_pct": 267.8161749248125, "max_drawdown_pct": 17.873216039589412, "mean_exposure_while_solvent": 1.4334008927039437, "realized_annual_volatility_pct": 53.11605721105679, "trading_costs_quote_units": 85.69370732718959, "borrowing_costs_quote_units": 58.350592386735826, "price_pnl_quote_units": 3870.8168221858723, "turnover_quote_units": 28564.569109063195, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13726.77252247194, "return_pct": 37.26772522471939, "cagr_pct": 267.8161749248125, "max_drawdown_pct": 17.873216039589412, "mean_exposure_while_solvent": 1.4334008927039437, "realized_annual_volatility_pct": 53.11605721105679, "trading_costs_quote_units": 85.69370732718959, "borrowing_costs_quote_units": 58.350592386735826, "price_pnl_quote_units": 3870.8168221858723, "turnover_quote_units": 28564.569109063195, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13796.789656919114, "return_pct": 37.967896569191154, "cagr_pct": 275.59163646276744, "max_drawdown_pct": 19.466181702031825, "mean_exposure_while_solvent": 1.4907161294692914, "realized_annual_volatility_pct": 55.509573389214125, "trading_costs_quote_units": 72.93228686797796, "borrowing_costs_quote_units": 65.36149475327403, "price_pnl_quote_units": 3935.083438540356, "turnover_quote_units": 24310.762289325998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13796.789656919114, "return_pct": 37.967896569191154, "cagr_pct": 275.59163646276744, "max_drawdown_pct": 19.466181702031825, "mean_exposure_while_solvent": 1.4907161294692914, "realized_annual_volatility_pct": 55.509573389214125, "trading_costs_quote_units": 72.93228686797796, "borrowing_costs_quote_units": 65.36149475327403, "price_pnl_quote_units": 3935.083438540356, "turnover_quote_units": 24310.762289325998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13649.794411545412, "return_pct": 36.49794411545413, "cagr_pct": 259.40893979793384, "max_drawdown_pct": 17.203178801807727, "mean_exposure_while_solvent": 1.389234239926353, "realized_annual_volatility_pct": 52.04493161368823, "trading_costs_quote_units": 106.7530373377318, "borrowing_costs_quote_units": 51.28725330096063, "price_pnl_quote_units": 3807.8347021841055, "turnover_quote_units": 35584.34577924394, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13649.794411545412, "return_pct": 36.49794411545413, "cagr_pct": 259.40893979793384, "max_drawdown_pct": 17.203178801807727, "mean_exposure_while_solvent": 1.389234239926353, "realized_annual_volatility_pct": 52.04493161368823, "trading_costs_quote_units": 106.7530373377318, "borrowing_costs_quote_units": 51.28725330096063, "price_pnl_quote_units": 3807.8347021841055, "turnover_quote_units": 35584.34577924394, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13779.386755979216, "return_pct": 37.79386755979217, "cagr_pct": 273.6475238546332, "max_drawdown_pct": 19.4296597761346, "mean_exposure_while_solvent": 1.4692566323102014, "realized_annual_volatility_pct": 54.98980050251793, "trading_costs_quote_units": 73.9039525644313, "borrowing_costs_quote_units": 62.64057833557088, "price_pnl_quote_units": 3915.931286879227, "turnover_quote_units": 24634.650854810432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13779.386755979216, "return_pct": 37.79386755979217, "cagr_pct": 273.6475238546332, "max_drawdown_pct": 19.4296597761346, "mean_exposure_while_solvent": 1.4692566323102014, "realized_annual_volatility_pct": 54.98980050251793, "trading_costs_quote_units": 73.9039525644313, "borrowing_costs_quote_units": 62.64057833557088, "price_pnl_quote_units": 3915.931286879227, "turnover_quote_units": 24634.650854810432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12569.894464150537, "return_pct": 25.69894464150537, "cagr_pct": 156.10328026521208, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13811548959251, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2599.8047333429613, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12569.894464150537, "return_pct": 25.69894464150537, "cagr_pct": 156.10328026521208, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13811548959251, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2599.8047333429613, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13779.386755979216, "return_pct": 37.79386755979217, "cagr_pct": 273.6475238546332, "max_drawdown_pct": 19.4296597761346, "mean_exposure_while_solvent": 1.4692566323102014, "realized_annual_volatility_pct": 54.98980050251793, "trading_costs_quote_units": 73.9039525644313, "borrowing_costs_quote_units": 62.64057833557088, "price_pnl_quote_units": 3915.931286879227, "turnover_quote_units": 24634.650854810432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13779.386755979216, "return_pct": 37.79386755979217, "cagr_pct": 273.6475238546332, "max_drawdown_pct": 19.4296597761346, "mean_exposure_while_solvent": 1.4692566323102014, "realized_annual_volatility_pct": 54.98980050251793, "trading_costs_quote_units": 73.9039525644313, "borrowing_costs_quote_units": 62.64057833557088, "price_pnl_quote_units": 3915.931286879227, "turnover_quote_units": 24634.650854810432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13779.386755979216, "return_pct": 37.79386755979217, "cagr_pct": 273.6475238546332, "max_drawdown_pct": 19.4296597761346, "mean_exposure_while_solvent": 1.4692566323102014, "realized_annual_volatility_pct": 54.98980050251793, "trading_costs_quote_units": 73.9039525644313, "borrowing_costs_quote_units": 62.64057833557088, "price_pnl_quote_units": 3915.931286879227, "turnover_quote_units": 24634.650854810432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13779.386755979216, "return_pct": 37.79386755979217, "cagr_pct": 273.6475238546332, "max_drawdown_pct": 19.4296597761346, "mean_exposure_while_solvent": 1.4692566323102014, "realized_annual_volatility_pct": 54.98980050251793, "trading_costs_quote_units": 73.9039525644313, "borrowing_costs_quote_units": 62.64057833557088, "price_pnl_quote_units": 3915.931286879227, "turnover_quote_units": 24634.650854810432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 11902.026243693217, "return_pct": 19.020262436932178, "cagr_pct": 104.60928949619293, "max_drawdown_pct": 10.074876908133234, "mean_exposure_while_solvent": 0.7460353528376671, "realized_annual_volatility_pct": 27.90375815628544, "trading_costs_quote_units": 29.269664091184673, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1931.2959077843968, "turnover_quote_units": 9756.554697061556, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 11902.026243693217, "return_pct": 19.020262436932178, "cagr_pct": 104.60928949619293, "max_drawdown_pct": 10.074876908133234, "mean_exposure_while_solvent": 0.7460353528376671, "realized_annual_volatility_pct": 27.90375815628544, "trading_costs_quote_units": 29.269664091184673, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1931.2959077843968, "turnover_quote_units": 9756.554697061556, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12569.894464150537, "return_pct": 25.69894464150537, "cagr_pct": 156.10328026521208, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13811548959251, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2599.8047333429613, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12569.894464150537, "return_pct": 25.69894464150537, "cagr_pct": 156.10328026521208, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13811548959251, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2599.8047333429613, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13185.200123467266, "return_pct": 31.852001234672667, "cagr_pct": 211.7112360099086, "max_drawdown_pct": 16.394368726899355, "mean_exposure_while_solvent": 1.242607255880039, "realized_annual_volatility_pct": 46.33761059789519, "trading_costs_quote_units": 48.97167485555631, "borrowing_costs_quote_units": 32.34633114197167, "price_pnl_quote_units": 3266.51812946479, "turnover_quote_units": 16323.891618518772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13185.200123467266, "return_pct": 31.852001234672667, "cagr_pct": 211.7112360099086, "max_drawdown_pct": 16.394368726899355, "mean_exposure_while_solvent": 1.242607255880039, "realized_annual_volatility_pct": 46.33761059789519, "trading_costs_quote_units": 48.97167485555631, "borrowing_costs_quote_units": 32.34633114197167, "price_pnl_quote_units": 3266.51812946479, "turnover_quote_units": 16323.891618518772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13796.789656919114, "return_pct": 37.967896569191154, "cagr_pct": 275.59163646276744, "max_drawdown_pct": 19.466181702031825, "mean_exposure_while_solvent": 1.4907161294692914, "realized_annual_volatility_pct": 55.509573389214125, "trading_costs_quote_units": 72.93228686797796, "borrowing_costs_quote_units": 65.36149475327403, "price_pnl_quote_units": 3935.083438540356, "turnover_quote_units": 24310.762289325998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13796.789656919114, "return_pct": 37.967896569191154, "cagr_pct": 275.59163646276744, "max_drawdown_pct": 19.466181702031825, "mean_exposure_while_solvent": 1.4907161294692914, "realized_annual_volatility_pct": 55.509573389214125, "trading_costs_quote_units": 72.93228686797796, "borrowing_costs_quote_units": 65.36149475327403, "price_pnl_quote_units": 3935.083438540356, "turnover_quote_units": 24310.762289325998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13374.391445158968, "return_pct": 33.74391445158969, "cagr_pct": 230.5159154160219, "max_drawdown_pct": 12.159546429938617, "mean_exposure_while_solvent": 1.080861037924788, "realized_annual_volatility_pct": 41.09110858851233, "trading_costs_quote_units": 86.80435173540775, "borrowing_costs_quote_units": 32.038505943868195, "price_pnl_quote_units": 3493.2343028382397, "turnover_quote_units": 28934.78391180256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13374.391445158968, "return_pct": 33.74391445158969, "cagr_pct": 230.5159154160219, "max_drawdown_pct": 12.159546429938617, "mean_exposure_while_solvent": 1.080861037924788, "realized_annual_volatility_pct": 41.09110858851233, "trading_costs_quote_units": 86.80435173540775, "borrowing_costs_quote_units": 32.038505943868195, "price_pnl_quote_units": 3493.2343028382397, "turnover_quote_units": 28934.78391180256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13653.837319462862, "return_pct": 36.538373194628626, "cagr_pct": 259.8468358257273, "max_drawdown_pct": 17.93272521530912, "mean_exposure_while_solvent": 1.4334372144310707, "realized_annual_volatility_pct": 53.11723833279714, "trading_costs_quote_units": 85.5879488420218, "borrowing_costs_quote_units": 116.38276219950947, "price_pnl_quote_units": 3855.8080305043827, "turnover_quote_units": 28529.316280673953, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13653.837319462862, "return_pct": 36.538373194628626, "cagr_pct": 259.8468358257273, "max_drawdown_pct": 17.93272521530912, "mean_exposure_while_solvent": 1.4334372144310707, "realized_annual_volatility_pct": 53.11723833279714, "trading_costs_quote_units": 85.5879488420218, "borrowing_costs_quote_units": 116.38276219950947, "price_pnl_quote_units": 3855.8080305043827, "turnover_quote_units": 28529.316280673953, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13713.902413053049, "return_pct": 37.139024130530494, "cagr_pct": 266.40029855407084, "max_drawdown_pct": 19.54994459911307, "mean_exposure_while_solvent": 1.490758345960773, "realized_annual_volatility_pct": 55.511260073843225, "trading_costs_quote_units": 72.81718950119601, "borrowing_costs_quote_units": 130.31880204372783, "price_pnl_quote_units": 3917.038404597955, "turnover_quote_units": 24272.396500398667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13713.902413053049, "return_pct": 37.139024130530494, "cagr_pct": 266.40029855407084, "max_drawdown_pct": 19.54994459911307, "mean_exposure_while_solvent": 1.490758345960773, "realized_annual_volatility_pct": 55.511260073843225, "trading_costs_quote_units": 72.81718950119601, "borrowing_costs_quote_units": 130.31880204372783, "price_pnl_quote_units": 3917.038404597955, "turnover_quote_units": 24272.396500398667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13584.532737699668, "return_pct": 35.845327376996686, "cagr_pct": 252.39594420007046, "max_drawdown_pct": 17.25083582301341, "mean_exposure_while_solvent": 1.38926640283772, "realized_annual_volatility_pct": 52.04585867441902, "trading_costs_quote_units": 106.61663227310925, "borrowing_costs_quote_units": 102.32439323698105, "price_pnl_quote_units": 3793.473763209758, "turnover_quote_units": 35538.87742436975, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13584.532737699668, "return_pct": 35.845327376996686, "cagr_pct": 252.39594420007046, "max_drawdown_pct": 17.25083582301341, "mean_exposure_while_solvent": 1.38926640283772, "realized_annual_volatility_pct": 52.04585867441902, "trading_costs_quote_units": 106.61663227310925, "borrowing_costs_quote_units": 102.32439323698105, "price_pnl_quote_units": 3793.473763209758, "turnover_quote_units": 35538.87742436975, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13700.234577547608, "return_pct": 37.00234577547607, "cagr_pct": 264.9011823062806, "max_drawdown_pct": 19.511879347505555, "mean_exposure_while_solvent": 1.4692964662595596, "realized_annual_volatility_pct": 54.99132106253558, "trading_costs_quote_units": 73.7569802308823, "borrowing_costs_quote_units": 124.9107427311948, "price_pnl_quote_units": 3898.902300509693, "turnover_quote_units": 24585.660076960776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13700.234577547608, "return_pct": 37.00234577547607, "cagr_pct": 264.9011823062806, "max_drawdown_pct": 19.511879347505555, "mean_exposure_while_solvent": 1.4692964662595596, "realized_annual_volatility_pct": 54.99132106253558, "trading_costs_quote_units": 73.7569802308823, "borrowing_costs_quote_units": 124.9107427311948, "price_pnl_quote_units": 3898.902300509693, "turnover_quote_units": 24585.660076960776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12569.894464150537, "return_pct": 25.69894464150537, "cagr_pct": 156.10328026521208, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13811548959251, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2599.8047333429613, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12569.894464150537, "return_pct": 25.69894464150537, "cagr_pct": 156.10328026521208, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13811548959251, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2599.8047333429613, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13700.234577547608, "return_pct": 37.00234577547607, "cagr_pct": 264.9011823062806, "max_drawdown_pct": 19.511879347505555, "mean_exposure_while_solvent": 1.4692964662595596, "realized_annual_volatility_pct": 54.99132106253558, "trading_costs_quote_units": 73.7569802308823, "borrowing_costs_quote_units": 124.9107427311948, "price_pnl_quote_units": 3898.902300509693, "turnover_quote_units": 24585.660076960776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13700.234577547608, "return_pct": 37.00234577547607, "cagr_pct": 264.9011823062806, "max_drawdown_pct": 19.511879347505555, "mean_exposure_while_solvent": 1.4692964662595596, "realized_annual_volatility_pct": 54.99132106253558, "trading_costs_quote_units": 73.7569802308823, "borrowing_costs_quote_units": 124.9107427311948, "price_pnl_quote_units": 3898.902300509693, "turnover_quote_units": 24585.660076960776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13700.234577547608, "return_pct": 37.00234577547607, "cagr_pct": 264.9011823062806, "max_drawdown_pct": 19.511879347505555, "mean_exposure_while_solvent": 1.4692964662595596, "realized_annual_volatility_pct": 54.99132106253558, "trading_costs_quote_units": 73.7569802308823, "borrowing_costs_quote_units": 124.9107427311948, "price_pnl_quote_units": 3898.902300509693, "turnover_quote_units": 24585.660076960776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13700.234577547608, "return_pct": 37.00234577547607, "cagr_pct": 264.9011823062806, "max_drawdown_pct": 19.511879347505555, "mean_exposure_while_solvent": 1.4692964662595596, "realized_annual_volatility_pct": 54.99132106253558, "trading_costs_quote_units": 73.7569802308823, "borrowing_costs_quote_units": 124.9107427311948, "price_pnl_quote_units": 3898.902300509693, "turnover_quote_units": 24585.660076960776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 11902.026243693217, "return_pct": 19.020262436932178, "cagr_pct": 104.60928949619293, "max_drawdown_pct": 10.074876908133234, "mean_exposure_while_solvent": 0.7460353528376671, "realized_annual_volatility_pct": 27.90375815628544, "trading_costs_quote_units": 29.269664091184673, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1931.2959077843968, "turnover_quote_units": 9756.554697061556, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 11902.026243693217, "return_pct": 19.020262436932178, "cagr_pct": 104.60928949619293, "max_drawdown_pct": 10.074876908133234, "mean_exposure_while_solvent": 0.7460353528376671, "realized_annual_volatility_pct": 27.90375815628544, "trading_costs_quote_units": 29.269664091184673, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1931.2959077843968, "turnover_quote_units": 9756.554697061556, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12569.894464150537, "return_pct": 25.69894464150537, "cagr_pct": 156.10328026521208, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13811548959251, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2599.8047333429613, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12569.894464150537, "return_pct": 25.69894464150537, "cagr_pct": 156.10328026521208, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13811548959251, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2599.8047333429613, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13145.517572082123, "return_pct": 31.455175720821217, "cagr_pct": 207.8719931920045, "max_drawdown_pct": 16.437755560224264, "mean_exposure_while_solvent": 1.2426248554206984, "realized_annual_volatility_pct": 46.33831300492638, "trading_costs_quote_units": 48.942498891153036, "borrowing_costs_quote_units": 64.59519654440233, "price_pnl_quote_units": 3259.055267517669, "turnover_quote_units": 16314.166297051019, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13145.517572082123, "return_pct": 31.455175720821217, "cagr_pct": 207.8719931920045, "max_drawdown_pct": 16.437755560224264, "mean_exposure_while_solvent": 1.2426248554206984, "realized_annual_volatility_pct": 46.33831300492638, "trading_costs_quote_units": 48.942498891153036, "borrowing_costs_quote_units": 64.59519654440233, "price_pnl_quote_units": 3259.055267517669, "turnover_quote_units": 16314.166297051019, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13713.902413053049, "return_pct": 37.139024130530494, "cagr_pct": 266.40029855407084, "max_drawdown_pct": 19.54994459911307, "mean_exposure_while_solvent": 1.490758345960773, "realized_annual_volatility_pct": 55.511260073843225, "trading_costs_quote_units": 72.81718950119601, "borrowing_costs_quote_units": 130.31880204372783, "price_pnl_quote_units": 3917.038404597955, "turnover_quote_units": 24272.396500398667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13713.902413053049, "return_pct": 37.139024130530494, "cagr_pct": 266.40029855407084, "max_drawdown_pct": 19.54994459911307, "mean_exposure_while_solvent": 1.490758345960773, "realized_annual_volatility_pct": 55.511260073843225, "trading_costs_quote_units": 72.81718950119601, "borrowing_costs_quote_units": 130.31880204372783, "price_pnl_quote_units": 3917.038404597955, "turnover_quote_units": 24272.396500398667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13334.042167161733, "return_pct": 33.34042167161733, "cagr_pct": 226.43526437645764, "max_drawdown_pct": 12.159546429938617, "mean_exposure_while_solvent": 1.08088022838715, "realized_annual_volatility_pct": 41.08883309122378, "trading_costs_quote_units": 86.70950584642937, "borrowing_costs_quote_units": 63.98677232552712, "price_pnl_quote_units": 3484.73844533368, "turnover_quote_units": 28903.16861547645, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13334.042167161733, "return_pct": 33.34042167161733, "cagr_pct": 226.43526437645764, "max_drawdown_pct": 12.159546429938617, "mean_exposure_while_solvent": 1.08088022838715, "realized_annual_volatility_pct": 41.08883309122378, "trading_costs_quote_units": 86.70950584642937, "borrowing_costs_quote_units": 63.98677232552712, "price_pnl_quote_units": 3484.73844533368, "turnover_quote_units": 28903.16861547645, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13509.089477457734, "return_pct": 35.09089477457734, "cagr_pct": 244.4184426167304, "max_drawdown_pct": 18.05164384558674, "mean_exposure_while_solvent": 1.433509872889134, "realized_annual_volatility_pct": 53.119607147618254, "trading_costs_quote_units": 85.37789815033305, "borrowing_costs_quote_units": 231.49843108959595, "price_pnl_quote_units": 3825.9658066976585, "turnover_quote_units": 28459.299383444344, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13509.089477457734, "return_pct": 35.09089477457734, "cagr_pct": 244.4184426167304, "max_drawdown_pct": 18.05164384558674, "mean_exposure_while_solvent": 1.433509872889134, "realized_annual_volatility_pct": 53.119607147618254, "trading_costs_quote_units": 85.37789815033305, "borrowing_costs_quote_units": 231.49843108959595, "price_pnl_quote_units": 3825.9658066976585, "turnover_quote_units": 28459.299383444344, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13549.574367955294, "return_pct": 35.49574367955295, "cagr_pct": 248.68219555634474, "max_drawdown_pct": 19.717255093996634, "mean_exposure_while_solvent": 1.4908427971660325, "realized_annual_volatility_pct": 55.51463578287197, "trading_costs_quote_units": 72.58871408526838, "borrowing_costs_quote_units": 259.03038163673125, "price_pnl_quote_units": 3881.1934636773003, "turnover_quote_units": 24196.238028422795, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13549.574367955294, "return_pct": 35.49574367955295, "cagr_pct": 248.68219555634474, "max_drawdown_pct": 19.717255093996634, "mean_exposure_while_solvent": 1.4908427971660325, "realized_annual_volatility_pct": 55.51463578287197, "trading_costs_quote_units": 72.58871408526838, "borrowing_costs_quote_units": 259.03038163673125, "price_pnl_quote_units": 3881.1934636773003, "turnover_quote_units": 24196.238028422795, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13454.910549860873, "return_pct": 34.549105498608725, "cagr_pct": 238.7743474232964, "max_drawdown_pct": 17.34608998518977, "mean_exposure_while_solvent": 1.3893307416398764, "realized_annual_volatility_pct": 52.04772408590163, "trading_costs_quote_units": 106.34515444026445, "borrowing_costs_quote_units": 203.65295466228673, "price_pnl_quote_units": 3764.908658963423, "turnover_quote_units": 35448.384813421486, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13454.910549860873, "return_pct": 34.549105498608725, "cagr_pct": 238.7743474232964, "max_drawdown_pct": 17.34608998518977, "mean_exposure_while_solvent": 1.3893307416398764, "realized_annual_volatility_pct": 52.04772408590163, "trading_costs_quote_units": 106.34515444026445, "borrowing_costs_quote_units": 203.65295466228673, "price_pnl_quote_units": 3764.908658963423, "turnover_quote_units": 35448.384813421486, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13543.249807672455, "return_pct": 35.43249807672455, "cagr_pct": 248.0134924802867, "max_drawdown_pct": 19.676111734834578, "mean_exposure_while_solvent": 1.4693761509497447, "realized_annual_volatility_pct": 54.99436468107385, "trading_costs_quote_units": 73.46508880836284, "borrowing_costs_quote_units": 248.34816734741815, "price_pnl_quote_units": 3865.0630638282264, "turnover_quote_units": 24488.362936120946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13543.249807672455, "return_pct": 35.43249807672455, "cagr_pct": 248.0134924802867, "max_drawdown_pct": 19.676111734834578, "mean_exposure_while_solvent": 1.4693761509497447, "realized_annual_volatility_pct": 54.99436468107385, "trading_costs_quote_units": 73.46508880836284, "borrowing_costs_quote_units": 248.34816734741815, "price_pnl_quote_units": 3865.0630638282264, "turnover_quote_units": 24488.362936120946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12569.894464150537, "return_pct": 25.69894464150537, "cagr_pct": 156.10328026521208, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13811548959251, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2599.8047333429613, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12569.894464150537, "return_pct": 25.69894464150537, "cagr_pct": 156.10328026521208, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13811548959251, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2599.8047333429613, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13543.249807672455, "return_pct": 35.43249807672455, "cagr_pct": 248.0134924802867, "max_drawdown_pct": 19.676111734834578, "mean_exposure_while_solvent": 1.4693761509497447, "realized_annual_volatility_pct": 54.99436468107385, "trading_costs_quote_units": 73.46508880836284, "borrowing_costs_quote_units": 248.34816734741815, "price_pnl_quote_units": 3865.0630638282264, "turnover_quote_units": 24488.362936120946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13543.249807672455, "return_pct": 35.43249807672455, "cagr_pct": 248.0134924802867, "max_drawdown_pct": 19.676111734834578, "mean_exposure_while_solvent": 1.4693761509497447, "realized_annual_volatility_pct": 54.99436468107385, "trading_costs_quote_units": 73.46508880836284, "borrowing_costs_quote_units": 248.34816734741815, "price_pnl_quote_units": 3865.0630638282264, "turnover_quote_units": 24488.362936120946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13543.249807672455, "return_pct": 35.43249807672455, "cagr_pct": 248.0134924802867, "max_drawdown_pct": 19.676111734834578, "mean_exposure_while_solvent": 1.4693761509497447, "realized_annual_volatility_pct": 54.99436468107385, "trading_costs_quote_units": 73.46508880836284, "borrowing_costs_quote_units": 248.34816734741815, "price_pnl_quote_units": 3865.0630638282264, "turnover_quote_units": 24488.362936120946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13543.249807672455, "return_pct": 35.43249807672455, "cagr_pct": 248.0134924802867, "max_drawdown_pct": 19.676111734834578, "mean_exposure_while_solvent": 1.4693761509497447, "realized_annual_volatility_pct": 54.99436468107385, "trading_costs_quote_units": 73.46508880836284, "borrowing_costs_quote_units": 248.34816734741815, "price_pnl_quote_units": 3865.0630638282264, "turnover_quote_units": 24488.362936120946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 11902.026243693217, "return_pct": 19.020262436932178, "cagr_pct": 104.60928949619293, "max_drawdown_pct": 10.074876908133234, "mean_exposure_while_solvent": 0.7460353528376671, "realized_annual_volatility_pct": 27.90375815628544, "trading_costs_quote_units": 29.269664091184673, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1931.2959077843968, "turnover_quote_units": 9756.554697061556, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 11902.026243693217, "return_pct": 19.020262436932178, "cagr_pct": 104.60928949619293, "max_drawdown_pct": 10.074876908133234, "mean_exposure_while_solvent": 0.7460353528376671, "realized_annual_volatility_pct": 27.90375815628544, "trading_costs_quote_units": 29.269664091184673, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 1931.2959077843968, "turnover_quote_units": 9756.554697061556, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12569.894464150537, "return_pct": 25.69894464150537, "cagr_pct": 156.10328026521208, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13811548959251, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2599.8047333429613, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12569.894464150537, "return_pct": 25.69894464150537, "cagr_pct": 156.10328026521208, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 0.9943820224719101, "realized_annual_volatility_pct": 37.13811548959251, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 2599.8047333429613, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13066.492972663345, "return_pct": 30.66492972663346, "cagr_pct": 200.33313824397788, "max_drawdown_pct": 16.524481015407055, "mean_exposure_while_solvent": 1.2426600598997466, "realized_annual_volatility_pct": 46.33971854890051, "trading_costs_quote_units": 48.88438418717188, "borrowing_costs_quote_units": 128.8016279061376, "price_pnl_quote_units": 3244.178984756653, "turnover_quote_units": 16294.794729057297, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13066.492972663345, "return_pct": 30.66492972663346, "cagr_pct": 200.33313824397788, "max_drawdown_pct": 16.524481015407055, "mean_exposure_while_solvent": 1.2426600598997466, "realized_annual_volatility_pct": 46.33971854890051, "trading_costs_quote_units": 48.88438418717188, "borrowing_costs_quote_units": 128.8016279061376, "price_pnl_quote_units": 3244.178984756653, "turnover_quote_units": 16294.794729057297, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13549.574367955294, "return_pct": 35.49574367955295, "cagr_pct": 248.68219555634474, "max_drawdown_pct": 19.717255093996634, "mean_exposure_while_solvent": 1.4908427971660325, "realized_annual_volatility_pct": 55.51463578287197, "trading_costs_quote_units": 72.58871408526838, "borrowing_costs_quote_units": 259.03038163673125, "price_pnl_quote_units": 3881.1934636773003, "turnover_quote_units": 24196.238028422795, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "native": { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13549.574367955294, "return_pct": 35.49574367955295, "cagr_pct": 248.68219555634474, "max_drawdown_pct": 19.717255093996634, "mean_exposure_while_solvent": 1.4908427971660325, "realized_annual_volatility_pct": 55.51463578287197, "trading_costs_quote_units": 72.58871408526838, "borrowing_costs_quote_units": 259.03038163673125, "price_pnl_quote_units": 3881.1934636773003, "turnover_quote_units": 24196.238028422795, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 89, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 168519.5588251866, "return_pct": 1585.195588251866, "cagr_pct": 47.082985315758464, "max_drawdown_pct": 66.74064762109248, "mean_exposure_while_solvent": 0.7897848116625126, "realized_annual_volatility_pct": 43.078693633769646, "trading_costs_quote_units": 2817.245195147446, "borrowing_costs_quote_units": 2143.4145642131202, "price_pnl_quote_units": 163480.21858454595, "turnover_quote_units": 4695408.658579074, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 163975.9798639985, "return_pct": 1539.759798639985, "cagr_pct": 46.53486344462536, "max_drawdown_pct": 66.74064762109248, "mean_exposure_while_solvent": 0.7910657612490494, "realized_annual_volatility_pct": 43.14945394465396, "trading_costs_quote_units": 2782.1705516456063, "borrowing_costs_quote_units": 2139.998010746577, "price_pnl_quote_units": 158898.14842639005, "turnover_quote_units": 4636950.9194093365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 45.435789611880864 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 242104.25137206132, "return_pct": 2321.0425137206134, "cagr_pct": 54.54572286039922, "max_drawdown_pct": 81.52124381467671, "mean_exposure_while_solvent": 1.116363698548119, "realized_annual_volatility_pct": 61.862685288519245, "trading_costs_quote_units": 4226.77765756206, "borrowing_costs_quote_units": 12381.172171234935, "price_pnl_quote_units": 248712.20120085956, "turnover_quote_units": 7044629.429270119, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 263421.626363626, "return_pct": 2534.21626363626, "cagr_pct": 56.33755116129133, "max_drawdown_pct": 81.52124381467671, "mean_exposure_while_solvent": 1.1126386936549957, "realized_annual_volatility_pct": 61.695581539538665, "trading_costs_quote_units": 4253.7823865304645, "borrowing_costs_quote_units": 12011.540896704786, "price_pnl_quote_units": 269686.94964686217, "turnover_quote_units": 7089637.310884135, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -213.17374991564657 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 209902.4567989159, "return_pct": 1999.024567989159, "cagr_pct": 51.56179930747844, "max_drawdown_pct": 89.1736526331106, "mean_exposure_while_solvent": 1.3203088938661842, "realized_annual_volatility_pct": 76.17807022690559, "trading_costs_quote_units": 3773.8524553871503, "borrowing_costs_quote_units": 18712.071421042787, "price_pnl_quote_units": 222388.38067534592, "turnover_quote_units": 6289754.092311909, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 238476.81563800512, "return_pct": 2284.7681563800516, "cagr_pct": 54.22734968104148, "max_drawdown_pct": 89.1736526331106, "mean_exposure_while_solvent": 1.3146504963532644, "realized_annual_volatility_pct": 75.95013640808465, "trading_costs_quote_units": 3935.7816544002467, "borrowing_costs_quote_units": 18329.649206647035, "price_pnl_quote_units": 250742.24649905277, "turnover_quote_units": 6559636.0906670755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -285.74358839089246 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 160687.83063353715, "return_pct": 1506.8783063353712, "cagr_pct": 46.12995333693691, "max_drawdown_pct": 81.631119617246, "mean_exposure_while_solvent": 1.142180217712098, "realized_annual_volatility_pct": 62.42195660783191, "trading_costs_quote_units": 4980.897804036141, "borrowing_costs_quote_units": 9442.9935533408, "price_pnl_quote_units": 165111.72199091405, "turnover_quote_units": 8301496.340060239, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 166969.45412589982, "return_pct": 1569.6945412589982, "cagr_pct": 46.897435698489936, "max_drawdown_pct": 81.631119617246, "mean_exposure_while_solvent": 1.1401504786504066, "realized_annual_volatility_pct": 62.3505224922974, "trading_costs_quote_units": 5013.475057502162, "borrowing_costs_quote_units": 9299.626186561994, "price_pnl_quote_units": 171282.55536996404, "turnover_quote_units": 8355791.762503604, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2661, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -62.81623492362701 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 249911.19994944328, "return_pct": 2399.111999494433, "cagr_pct": 55.21718828867701, "max_drawdown_pct": 78.10924023781513, "mean_exposure_while_solvent": 1.0968445164779406, "realized_annual_volatility_pct": 61.74245145895271, "trading_costs_quote_units": 2875.1464722184714, "borrowing_costs_quote_units": 12854.539885105843, "price_pnl_quote_units": 255640.88630676715, "turnover_quote_units": 4791910.787030789, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 282435.2138293091, "return_pct": 2724.3521382930912, "cagr_pct": 57.83302619833006, "max_drawdown_pct": 78.10924023781513, "mean_exposure_while_solvent": 1.088761054675615, "realized_annual_volatility_pct": 61.37672717256121, "trading_costs_quote_units": 2921.6778150950427, "borrowing_costs_quote_units": 11879.464178140708, "price_pnl_quote_units": 287236.35582254437, "turnover_quote_units": 4869463.025158406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -325.24013879865834 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 150370.40932188922, "return_pct": 1403.7040932188922, "cagr_pct": 44.81125048491508, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.9215063082281802, "realized_annual_volatility_pct": 53.39940682119156, "trading_costs_quote_units": 643.2129755070597, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 141013.62229739566, "turnover_quote_units": 1072021.6258451017, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 150370.40932188922, "return_pct": 1403.7040932188922, "cagr_pct": 44.81125048491508, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.9215063082281802, "realized_annual_volatility_pct": 53.39940682119156, "trading_costs_quote_units": 643.2129755070597, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 141013.62229739566, "turnover_quote_units": 1072021.6258451017, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 249911.19994944328, "return_pct": 2399.111999494433, "cagr_pct": 55.21718828867701, "max_drawdown_pct": 78.10924023781513, "mean_exposure_while_solvent": 1.0968445164779406, "realized_annual_volatility_pct": 61.74245145895271, "trading_costs_quote_units": 2875.1464722184714, "borrowing_costs_quote_units": 12854.539885105843, "price_pnl_quote_units": 255640.88630676715, "turnover_quote_units": 4791910.787030789, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 282435.2138293091, "return_pct": 2724.3521382930912, "cagr_pct": 57.83302619833006, "max_drawdown_pct": 78.10924023781513, "mean_exposure_while_solvent": 1.088761054675615, "realized_annual_volatility_pct": 61.37672717256121, "trading_costs_quote_units": 2921.6778150950427, "borrowing_costs_quote_units": 11879.464178140708, "price_pnl_quote_units": 287236.35582254437, "turnover_quote_units": 4869463.025158406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -325.24013879865834 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 249911.19994944328, "return_pct": 2399.111999494433, "cagr_pct": 55.21718828867701, "max_drawdown_pct": 78.10924023781513, "mean_exposure_while_solvent": 1.0968445164779406, "realized_annual_volatility_pct": 61.74245145895271, "trading_costs_quote_units": 2875.1464722184714, "borrowing_costs_quote_units": 12854.539885105843, "price_pnl_quote_units": 255640.88630676715, "turnover_quote_units": 4791910.787030789, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 282435.2138293091, "return_pct": 2724.3521382930912, "cagr_pct": 57.83302619833006, "max_drawdown_pct": 78.10924023781513, "mean_exposure_while_solvent": 1.088761054675615, "realized_annual_volatility_pct": 61.37672717256121, "trading_costs_quote_units": 2921.6778150950427, "borrowing_costs_quote_units": 11879.464178140708, "price_pnl_quote_units": 287236.35582254437, "turnover_quote_units": 4869463.025158406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -325.24013879865834 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 126341.15754569655, "return_pct": 1163.4115754569655, "cagr_pct": 41.40762418606554, "max_drawdown_pct": 65.44236877425769, "mean_exposure_while_solvent": 0.7500220845467636, "realized_annual_volatility_pct": 46.17454035817297, "trading_costs_quote_units": 447.86362762871744, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116789.02117332528, "turnover_quote_units": 746439.3793811958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 126341.15754569655, "return_pct": 1163.4115754569655, "cagr_pct": 41.40762418606554, "max_drawdown_pct": 65.44236877425769, "mean_exposure_while_solvent": 0.7500220845467636, "realized_annual_volatility_pct": 46.17454035817297, "trading_costs_quote_units": 447.86362762871744, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116789.02117332528, "turnover_quote_units": 746439.3793811958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 207542.81360425678, "return_pct": 1975.428136042568, "cagr_pct": 51.327920023183474, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.999937667518544, "realized_annual_volatility_pct": 61.74446915608547, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197548.81000641515, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 207542.81360425678, "return_pct": 1975.428136042568, "cagr_pct": 51.327920023183474, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.999937667518544, "realized_annual_volatility_pct": 61.74446915608547, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197548.81000641515, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 254989.20994869666, "return_pct": 2449.892099486967, "cagr_pct": 55.64428378303879, "max_drawdown_pct": 85.46469506562701, "mean_exposure_while_solvent": 1.2498928484486715, "realized_annual_volatility_pct": 77.49360600207162, "trading_costs_quote_units": 1536.6279272886575, "borrowing_costs_quote_units": 13833.059678569554, "price_pnl_quote_units": 260358.8975545581, "turnover_quote_units": 2561046.5454811016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 254989.20994869666, "return_pct": 2449.892099486967, "cagr_pct": 55.64428378303879, "max_drawdown_pct": 85.46469506562701, "mean_exposure_while_solvent": 1.2498928484486715, "realized_annual_volatility_pct": 77.49360600207162, "trading_costs_quote_units": 1536.6279272886575, "borrowing_costs_quote_units": 13833.059678569554, "price_pnl_quote_units": 260358.8975545581, "turnover_quote_units": 2561046.5454811016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 259313.3782347012, "return_pct": 2493.133782347012, "cagr_pct": 56.00222530336869, "max_drawdown_pct": 91.59854970742904, "mean_exposure_while_solvent": 1.4999208452107418, "realized_annual_volatility_pct": 93.51923546567724, "trading_costs_quote_units": 4229.604129607549, "borrowing_costs_quote_units": 31364.379322863922, "price_pnl_quote_units": 284907.36168717215, "turnover_quote_units": 7049340.216012574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 259313.3782347012, "return_pct": 2493.133782347012, "cagr_pct": 56.00222530336869, "max_drawdown_pct": 91.59854970742904, "mean_exposure_while_solvent": 1.4999208452107418, "realized_annual_volatility_pct": 93.51923546567724, "trading_costs_quote_units": 4229.604129607549, "borrowing_costs_quote_units": 31364.379322863922, "price_pnl_quote_units": 284907.36168717215, "turnover_quote_units": 7049340.216012574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 165744.308744466, "return_pct": 1557.4430874446598, "cagr_pct": 46.74972889809742, "max_drawdown_pct": 66.75542076800826, "mean_exposure_while_solvent": 0.789788235120799, "realized_annual_volatility_pct": 43.07866441638241, "trading_costs_quote_units": 2791.0494742169903, "borrowing_costs_quote_units": 4237.480893627449, "price_pnl_quote_units": 162772.83911231096, "turnover_quote_units": 4651749.123694985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 161275.55532855433, "return_pct": 1512.755553285543, "cagr_pct": 46.20284894580916, "max_drawdown_pct": 66.75542076800826, "mean_exposure_while_solvent": 0.7910691847073358, "realized_annual_volatility_pct": 43.1494238792943, "trading_costs_quote_units": 2756.5322322935817, "borrowing_costs_quote_units": 4230.757630896429, "price_pnl_quote_units": 158262.84519174424, "turnover_quote_units": 4594220.38715596, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 44.687534159116694 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 225457.37927015685, "return_pct": 2154.5737927015684, "cagr_pct": 53.049112014530955, "max_drawdown_pct": 81.58572462814422, "mean_exposure_while_solvent": 1.1163793877192858, "realized_annual_volatility_pct": 61.863534204878825, "trading_costs_quote_units": 4055.9747543724325, "borrowing_costs_quote_units": 23538.341495860743, "price_pnl_quote_units": 243051.69552039026, "turnover_quote_units": 6759957.923954069, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 245645.2166329394, "return_pct": 2356.452166329394, "cagr_pct": 54.85255873714332, "max_drawdown_pct": 81.58572462814422, "mean_exposure_while_solvent": 1.1126540964842224, "realized_annual_volatility_pct": 61.69635997217108, "trading_costs_quote_units": 4081.8555334785683, "borrowing_costs_quote_units": 22848.84363102523, "price_pnl_quote_units": 262575.9157974428, "turnover_quote_units": 6803092.5557976235, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -201.87837362782557 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 184995.30240540882, "return_pct": 1749.9530240540882, "cagr_pct": 48.96910930433463, "max_drawdown_pct": 89.32276074217846, "mean_exposure_while_solvent": 1.320337421402205, "realized_annual_volatility_pct": 76.18052714203006, "trading_costs_quote_units": 3520.1619443425843, "borrowing_costs_quote_units": 34297.96482319284, "price_pnl_quote_units": 212813.42917294204, "turnover_quote_units": 5866936.573904319, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 210616.79967803782, "return_pct": 2006.167996780378, "cagr_pct": 51.63215474534375, "max_drawdown_pct": 89.32276074217846, "mean_exposure_while_solvent": 1.314678535537186, "realized_annual_volatility_pct": 75.9525028317947, "trading_costs_quote_units": 3664.921818518842, "borrowing_costs_quote_units": 33622.77205626141, "price_pnl_quote_units": 237904.49355281523, "turnover_quote_units": 6108203.0308647435, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -256.2149727262897 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 148146.1668342707, "return_pct": 1381.461668342707, "cagr_pct": 44.51676225385543, "max_drawdown_pct": 81.72701565399245, "mean_exposure_while_solvent": 1.1421983384437457, "realized_annual_volatility_pct": 62.423206852408896, "trading_costs_quote_units": 4762.720290477768, "borrowing_costs_quote_units": 17843.1966801616, "price_pnl_quote_units": 160752.08380491016, "turnover_quote_units": 7937867.150796293, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 154052.47345734845, "return_pct": 1440.5247345734845, "cagr_pct": 45.29058776953455, "max_drawdown_pct": 81.72701565399245, "mean_exposure_while_solvent": 1.1401684365265943, "realized_annual_volatility_pct": 62.35174049150783, "trading_costs_quote_units": 4793.361921116347, "borrowing_costs_quote_units": 17578.338980459375, "price_pnl_quote_units": 166424.1743589233, "turnover_quote_units": 7988936.535193923, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2661, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -59.063066230777395 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 234194.6737230146, "return_pct": 2241.946737230146, "cagr_pct": 53.84608773975599, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 1.0968586617282712, "realized_annual_volatility_pct": 61.7432482056629, "trading_costs_quote_units": 2765.1746199097124, "borrowing_costs_quote_units": 24551.46806535397, "price_pnl_quote_units": 251511.3164082754, "turnover_quote_units": 4608624.366516183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 265460.5610195998, "return_pct": 2554.605610195998, "cagr_pct": 56.50230078902323, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 1.0887745529787705, "realized_annual_volatility_pct": 61.37739047474492, "trading_costs_quote_units": 2809.6633105075275, "borrowing_costs_quote_units": 22719.3967011288, "price_pnl_quote_units": 280989.62103123387, "turnover_quote_units": 4682772.184179218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -312.65887296585197 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 150370.40932188922, "return_pct": 1403.7040932188922, "cagr_pct": 44.81125048491508, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.9215063082281802, "realized_annual_volatility_pct": 53.39940682119156, "trading_costs_quote_units": 643.2129755070597, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 141013.62229739566, "turnover_quote_units": 1072021.6258451017, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 150370.40932188922, "return_pct": 1403.7040932188922, "cagr_pct": 44.81125048491508, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.9215063082281802, "realized_annual_volatility_pct": 53.39940682119156, "trading_costs_quote_units": 643.2129755070597, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 141013.62229739566, "turnover_quote_units": 1072021.6258451017, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 234194.6737230146, "return_pct": 2241.946737230146, "cagr_pct": 53.84608773975599, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 1.0968586617282712, "realized_annual_volatility_pct": 61.7432482056629, "trading_costs_quote_units": 2765.1746199097124, "borrowing_costs_quote_units": 24551.46806535397, "price_pnl_quote_units": 251511.3164082754, "turnover_quote_units": 4608624.366516183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 265460.5610195998, "return_pct": 2554.605610195998, "cagr_pct": 56.50230078902323, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 1.0887745529787705, "realized_annual_volatility_pct": 61.37739047474492, "trading_costs_quote_units": 2809.6633105075275, "borrowing_costs_quote_units": 22719.3967011288, "price_pnl_quote_units": 280989.62103123387, "turnover_quote_units": 4682772.184179218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -312.65887296585197 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 234194.6737230146, "return_pct": 2241.946737230146, "cagr_pct": 53.84608773975599, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 1.0968586617282712, "realized_annual_volatility_pct": 61.7432482056629, "trading_costs_quote_units": 2765.1746199097124, "borrowing_costs_quote_units": 24551.46806535397, "price_pnl_quote_units": 251511.3164082754, "turnover_quote_units": 4608624.366516183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 265460.5610195998, "return_pct": 2554.605610195998, "cagr_pct": 56.50230078902323, "max_drawdown_pct": 78.13989897168476, "mean_exposure_while_solvent": 1.0887745529787705, "realized_annual_volatility_pct": 61.37739047474492, "trading_costs_quote_units": 2809.6633105075275, "borrowing_costs_quote_units": 22719.3967011288, "price_pnl_quote_units": 280989.62103123387, "turnover_quote_units": 4682772.184179218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -312.65887296585197 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 126341.15754569655, "return_pct": 1163.4115754569655, "cagr_pct": 41.40762418606554, "max_drawdown_pct": 65.44236877425769, "mean_exposure_while_solvent": 0.7500220845467636, "realized_annual_volatility_pct": 46.17454035817297, "trading_costs_quote_units": 447.86362762871744, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116789.02117332528, "turnover_quote_units": 746439.3793811958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 126341.15754569655, "return_pct": 1163.4115754569655, "cagr_pct": 41.40762418606554, "max_drawdown_pct": 65.44236877425769, "mean_exposure_while_solvent": 0.7500220845467636, "realized_annual_volatility_pct": 46.17454035817297, "trading_costs_quote_units": 447.86362762871744, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116789.02117332528, "turnover_quote_units": 746439.3793811958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 207542.81360425678, "return_pct": 1975.428136042568, "cagr_pct": 51.327920023183474, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.999937667518544, "realized_annual_volatility_pct": 61.74446915608547, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197548.81000641515, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 207542.81360425678, "return_pct": 1975.428136042568, "cagr_pct": 51.327920023183474, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.999937667518544, "realized_annual_volatility_pct": 61.74446915608547, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197548.81000641515, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 232696.94611503815, "return_pct": 2226.9694611503814, "cagr_pct": 53.71131554673807, "max_drawdown_pct": 85.65252262033181, "mean_exposure_while_solvent": 1.2499106690840023, "realized_annual_volatility_pct": 77.49526921476343, "trading_costs_quote_units": 1452.4131830318927, "borrowing_costs_quote_units": 25998.138340575482, "price_pnl_quote_units": 250147.49763864535, "turnover_quote_units": 2420688.638386484, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 232696.94611503815, "return_pct": 2226.9694611503814, "cagr_pct": 53.71131554673807, "max_drawdown_pct": 85.65252262033181, "mean_exposure_while_solvent": 1.2499106690840023, "realized_annual_volatility_pct": 77.49526921476343, "trading_costs_quote_units": 1452.4131830318927, "borrowing_costs_quote_units": 25998.138340575482, "price_pnl_quote_units": 250147.49763864535, "turnover_quote_units": 2420688.638386484, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 215938.94082389242, "return_pct": 2059.3894082389243, "cagr_pct": 52.14994131352033, "max_drawdown_pct": 91.93100286444259, "mean_exposure_while_solvent": 1.4999636399905043, "realized_annual_volatility_pct": 93.52334024208213, "trading_costs_quote_units": 3788.8499757156223, "borrowing_costs_quote_units": 55509.96874700561, "price_pnl_quote_units": 265237.7595466161, "turnover_quote_units": 6314749.959526033, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 215938.94082389242, "return_pct": 2059.3894082389243, "cagr_pct": 52.14994131352033, "max_drawdown_pct": 91.93100286444259, "mean_exposure_while_solvent": 1.4999636399905043, "realized_annual_volatility_pct": 93.52334024208213, "trading_costs_quote_units": 3788.8499757156223, "borrowing_costs_quote_units": 55509.96874700561, "price_pnl_quote_units": 265237.7595466161, "turnover_quote_units": 6314749.959526033, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 160328.8508969725, "return_pct": 1503.288508969725, "cagr_pct": 46.08531568844521, "max_drawdown_pct": 66.78495399663765, "mean_exposure_while_solvent": 0.7897950832381201, "realized_annual_volatility_pct": 43.07861581822999, "trading_costs_quote_units": 2739.5720859305206, "borrowing_costs_quote_units": 8281.251457522114, "price_pnl_quote_units": 161349.67444042503, "turnover_quote_units": 4565953.476550866, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 156006.10759711254, "return_pct": 1460.0610759711253, "cagr_pct": 45.540911749347025, "max_drawdown_pct": 66.78495399663765, "mean_exposure_while_solvent": 0.791076032824657, "realized_annual_volatility_pct": 43.14937356861996, "trading_costs_quote_units": 2706.14347728225, "borrowing_costs_quote_units": 8268.233874663116, "price_pnl_quote_units": 156980.48494905804, "turnover_quote_units": 4510239.128803752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 43.227432998599625 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 195511.4361108817, "return_pct": 1855.114361108817, "cagr_pct": 50.098456558026115, "max_drawdown_pct": 81.71404197539495, "mean_exposure_while_solvent": 1.1164107722557324, "realized_annual_volatility_pct": 61.86525569449246, "trading_costs_quote_units": 3739.2592634430775, "borrowing_costs_quote_units": 42565.932267659526, "price_pnl_quote_units": 231816.6276419864, "turnover_quote_units": 6232098.772405123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 213602.33852140326, "return_pct": 2036.0233852140325, "cagr_pct": 51.92398776028959, "max_drawdown_pct": 81.71404197539495, "mean_exposure_while_solvent": 1.112684908234633, "realized_annual_volatility_pct": 61.697940629243575, "trading_costs_quote_units": 3762.99350351835, "borrowing_costs_quote_units": 41366.37714551735, "price_pnl_quote_units": 248731.7091704418, "turnover_quote_units": 6271655.839197244, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -180.9090241052154 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 143686.89520425227, "return_pct": 1336.8689520425228, "cagr_pct": 43.91467270227692, "max_drawdown_pct": 89.61491629188332, "mean_exposure_while_solvent": 1.320394488223437, "realized_annual_volatility_pct": 76.18545842158964, "trading_costs_quote_units": 3074.0748413067345, "borrowing_costs_quote_units": 57770.244330033835, "price_pnl_quote_units": 194531.21437559248, "turnover_quote_units": 5123458.068844576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 164269.6382031212, "return_pct": 1542.6963820312121, "cagr_pct": 46.57068326826755, "max_drawdown_pct": 89.61491629188332, "mean_exposure_while_solvent": 1.3147346254401335, "realized_annual_volatility_pct": 75.95725362034901, "trading_costs_quote_units": 3189.7500006202545, "borrowing_costs_quote_units": 56717.92690659466, "price_pnl_quote_units": 214177.3151103355, "turnover_quote_units": 5316250.001033767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -205.82742998868935 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 125917.50927720322, "return_pct": 1159.1750927720323, "cagr_pct": 41.34275792998654, "max_drawdown_pct": 81.91735332374093, "mean_exposure_while_solvent": 1.1422345872166983, "realized_annual_volatility_pct": 62.425733141270634, "trading_costs_quote_units": 4361.462424602428, "borrowing_costs_quote_units": 31885.229306935747, "price_pnl_quote_units": 152164.201008742, "turnover_quote_units": 7269104.041004046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 131133.29689053883, "return_pct": 1211.3329689053883, "cagr_pct": 42.12858045753576, "max_drawdown_pct": 81.91735332374093, "mean_exposure_while_solvent": 1.1402043595255618, "realized_annual_volatility_pct": 62.35420235190513, "trading_costs_quote_units": 4388.553464309713, "borrowing_costs_quote_units": 31433.271762986118, "price_pnl_quote_units": 156955.1221178351, "turnover_quote_units": 7314255.773849521, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2661, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -52.15787613335601 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 205657.6190357032, "return_pct": 1956.576190357032, "cagr_pct": 51.139410743175894, "max_drawdown_pct": 78.20110014162198, "mean_exposure_while_solvent": 1.0968869577108193, "realized_annual_volatility_pct": 61.74486362630217, "trading_costs_quote_units": 2560.080878722812, "borrowing_costs_quote_units": 44803.25582136735, "price_pnl_quote_units": 243020.95573579395, "turnover_quote_units": 4266801.464538024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 234502.8862942878, "return_pct": 2245.028862942878, "cagr_pct": 53.87372971508493, "max_drawdown_pct": 78.20110014162198, "mean_exposure_while_solvent": 1.0888015548154915, "realized_annual_volatility_pct": 61.378738851632505, "trading_costs_quote_units": 2600.7214383533933, "borrowing_costs_quote_units": 41569.47602040567, "price_pnl_quote_units": 268673.08375304844, "turnover_quote_units": 4334535.730588993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -288.4526725858459 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 150370.40932188922, "return_pct": 1403.7040932188922, "cagr_pct": 44.81125048491508, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.9215063082281802, "realized_annual_volatility_pct": 53.39940682119156, "trading_costs_quote_units": 643.2129755070597, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 141013.62229739566, "turnover_quote_units": 1072021.6258451017, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 150370.40932188922, "return_pct": 1403.7040932188922, "cagr_pct": 44.81125048491508, "max_drawdown_pct": 77.23462005993005, "mean_exposure_while_solvent": 0.9215063082281802, "realized_annual_volatility_pct": 53.39940682119156, "trading_costs_quote_units": 643.2129755070597, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 141013.62229739566, "turnover_quote_units": 1072021.6258451017, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 205657.6190357032, "return_pct": 1956.576190357032, "cagr_pct": 51.139410743175894, "max_drawdown_pct": 78.20110014162198, "mean_exposure_while_solvent": 1.0968869577108193, "realized_annual_volatility_pct": 61.74486362630217, "trading_costs_quote_units": 2560.080878722812, "borrowing_costs_quote_units": 44803.25582136735, "price_pnl_quote_units": 243020.95573579395, "turnover_quote_units": 4266801.464538024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 234502.8862942878, "return_pct": 2245.028862942878, "cagr_pct": 53.87372971508493, "max_drawdown_pct": 78.20110014162198, "mean_exposure_while_solvent": 1.0888015548154915, "realized_annual_volatility_pct": 61.378738851632505, "trading_costs_quote_units": 2600.7214383533933, "borrowing_costs_quote_units": 41569.47602040567, "price_pnl_quote_units": 268673.08375304844, "turnover_quote_units": 4334535.730588993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -288.4526725858459 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 205657.6190357032, "return_pct": 1956.576190357032, "cagr_pct": 51.139410743175894, "max_drawdown_pct": 78.20110014162198, "mean_exposure_while_solvent": 1.0968869577108193, "realized_annual_volatility_pct": 61.74486362630217, "trading_costs_quote_units": 2560.080878722812, "borrowing_costs_quote_units": 44803.25582136735, "price_pnl_quote_units": 243020.95573579395, "turnover_quote_units": 4266801.464538024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 234502.8862942878, "return_pct": 2245.028862942878, "cagr_pct": 53.87372971508493, "max_drawdown_pct": 78.20110014162198, "mean_exposure_while_solvent": 1.0888015548154915, "realized_annual_volatility_pct": 61.378738851632505, "trading_costs_quote_units": 2600.7214383533933, "borrowing_costs_quote_units": 41569.47602040567, "price_pnl_quote_units": 268673.08375304844, "turnover_quote_units": 4334535.730588993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -288.4526725858459 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 126341.15754569655, "return_pct": 1163.4115754569655, "cagr_pct": 41.40762418606554, "max_drawdown_pct": 65.44236877425769, "mean_exposure_while_solvent": 0.7500220845467636, "realized_annual_volatility_pct": 46.17454035817297, "trading_costs_quote_units": 447.86362762871744, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116789.02117332528, "turnover_quote_units": 746439.3793811958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 126341.15754569655, "return_pct": 1163.4115754569655, "cagr_pct": 41.40762418606554, "max_drawdown_pct": 65.44236877425769, "mean_exposure_while_solvent": 0.7500220845467636, "realized_annual_volatility_pct": 46.17454035817297, "trading_costs_quote_units": 447.86362762871744, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116789.02117332528, "turnover_quote_units": 746439.3793811958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 207542.81360425678, "return_pct": 1975.428136042568, "cagr_pct": 51.327920023183474, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.999937667518544, "realized_annual_volatility_pct": 61.74446915608547, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197548.81000641515, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 207542.81360425678, "return_pct": 1975.428136042568, "cagr_pct": 51.327920023183474, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.999937667518544, "realized_annual_volatility_pct": 61.74446915608547, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197548.81000641515, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 193780.4910045819, "return_pct": 1837.8049100458193, "cagr_pct": 49.916231073169676, "max_drawdown_pct": 86.17795079241482, "mean_exposure_while_solvent": 1.249946315845963, "realized_annual_volatility_pct": 77.4985963373705, "trading_costs_quote_units": 1300.0090635430786, "borrowing_costs_quote_units": 45986.38380341775, "price_pnl_quote_units": 231066.88387154118, "turnover_quote_units": 2166681.772571802, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 193780.4910045819, "return_pct": 1837.8049100458193, "cagr_pct": 49.916231073169676, "max_drawdown_pct": 86.17795079241482, "mean_exposure_while_solvent": 1.249946315845963, "realized_annual_volatility_pct": 77.4985963373705, "trading_costs_quote_units": 1300.0090635430786, "borrowing_costs_quote_units": 45986.38380341775, "price_pnl_quote_units": 231066.88387154118, "turnover_quote_units": 2166681.772571802, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 149726.19007017073, "return_pct": 1397.2619007017074, "cagr_pct": 44.72634531509786, "max_drawdown_pct": 92.55713445169779, "mean_exposure_while_solvent": 1.5000492481306396, "realized_annual_volatility_pct": 93.53155233630415, "trading_costs_quote_units": 3062.3457688938056, "borrowing_costs_quote_units": 87508.70177763446, "price_pnl_quote_units": 230297.23761669802, "turnover_quote_units": 5103909.61482301, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 149726.19007017073, "return_pct": 1397.2619007017074, "cagr_pct": 44.72634531509786, "max_drawdown_pct": 92.55713445169779, "mean_exposure_while_solvent": 1.5000492481306396, "realized_annual_volatility_pct": 93.53155233630415, "trading_costs_quote_units": 3062.3457688938056, "borrowing_costs_quote_units": 87508.70177763446, "price_pnl_quote_units": 230297.23761669802, "turnover_quote_units": 5103909.61482301, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 172714.52226243154, "return_pct": 1627.1452226243152, "cagr_pct": 47.577837555197775, "max_drawdown_pct": 66.71761075746292, "mean_exposure_while_solvent": 0.7896481294486773, "realized_annual_volatility_pct": 43.22861823752636, "trading_costs_quote_units": 2851.220191323729, "borrowing_costs_quote_units": 2179.1103585288593, "price_pnl_quote_units": 167744.85281228425, "turnover_quote_units": 4752033.652206221, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 167636.7172521519, "return_pct": 1576.367172521519, "cagr_pct": 46.97748953819558, "max_drawdown_pct": 66.71761075746292, "mean_exposure_while_solvent": 0.7909269748157988, "realized_annual_volatility_pct": 43.29854400241242, "trading_costs_quote_units": 2813.1576687750944, "borrowing_costs_quote_units": 2175.3145767143537, "price_pnl_quote_units": 162625.18949764178, "turnover_quote_units": 4688596.114625164, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 50.778050102796215 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 256471.43488089408, "return_pct": 2464.714348808941, "cagr_pct": 55.76756420399951, "max_drawdown_pct": 81.40734506194919, "mean_exposure_while_solvent": 1.1160763881319358, "realized_annual_volatility_pct": 61.95365656964137, "trading_costs_quote_units": 4402.255824356523, "borrowing_costs_quote_units": 12998.53079899467, "price_pnl_quote_units": 263872.2215042461, "turnover_quote_units": 7337093.040594212, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 281889.1427542809, "return_pct": 2718.8914275428087, "cagr_pct": 57.791305950573715, "max_drawdown_pct": 81.40734506194919, "mean_exposure_while_solvent": 1.1123475525337863, "realized_annual_volatility_pct": 61.787633680341656, "trading_costs_quote_units": 4438.338794547685, "borrowing_costs_quote_units": 12628.785375193052, "price_pnl_quote_units": 288956.2669240227, "turnover_quote_units": 7397231.324246142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -254.1770787338678 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 223910.25325382367, "return_pct": 2139.1025325382366, "cagr_pct": 52.90521953929903, "max_drawdown_pct": 89.2100162499558, "mean_exposure_while_solvent": 1.3200012831872407, "realized_annual_volatility_pct": 75.90661316525373, "trading_costs_quote_units": 3944.1097357942353, "borrowing_costs_quote_units": 19851.022837433204, "price_pnl_quote_units": 237705.38582705118, "turnover_quote_units": 6573516.226323722, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 258246.58949571845, "return_pct": 2482.4658949571844, "cagr_pct": 55.91440139385475, "max_drawdown_pct": 89.2100162499558, "mean_exposure_while_solvent": 1.3143453219098027, "realized_annual_volatility_pct": 75.67882040762618, "trading_costs_quote_units": 4117.495739274009, "borrowing_costs_quote_units": 19486.028168307246, "price_pnl_quote_units": 271850.11340330035, "turnover_quote_units": 6862492.898790026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -343.3633624189479 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 167871.79284612052, "return_pct": 1578.7179284612052, "cagr_pct": 47.00562683373838, "max_drawdown_pct": 82.03472179538625, "mean_exposure_while_solvent": 1.1418688763203182, "realized_annual_volatility_pct": 62.603680684113996, "trading_costs_quote_units": 5129.997926865471, "borrowing_costs_quote_units": 9809.405843480077, "price_pnl_quote_units": 172811.19661646482, "turnover_quote_units": 8549996.544775799, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 175339.5340220522, "return_pct": 1653.395340220522, "cagr_pct": 47.882239437027266, "max_drawdown_pct": 82.03472179538625, "mean_exposure_while_solvent": 1.1398377128863333, "realized_annual_volatility_pct": 62.532234144902624, "trading_costs_quote_units": 5164.758779868493, "borrowing_costs_quote_units": 9666.349153851663, "price_pnl_quote_units": 180170.64195577212, "turnover_quote_units": 8607931.299780842, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2661, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -74.67741175931678 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 265144.3679079733, "return_pct": 2551.443679079733, "cagr_pct": 56.47682354554178, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 1.0966145441260362, "realized_annual_volatility_pct": 61.72809536675064, "trading_costs_quote_units": 2976.5254217290244, "borrowing_costs_quote_units": 13515.587119342696, "price_pnl_quote_units": 271636.48044904496, "turnover_quote_units": 4960875.702881705, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 304038.6215359823, "return_pct": 2940.386215359823, "cagr_pct": 59.430162846542615, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 1.0885229396880522, "realized_annual_volatility_pct": 61.36167797918088, "trading_costs_quote_units": 3024.400931043717, "borrowing_costs_quote_units": 12509.523564021676, "price_pnl_quote_units": 309572.54603104776, "turnover_quote_units": 5040668.218406203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -388.9425362800898 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 153831.13363726478, "return_pct": 1438.3113363726477, "cagr_pct": 45.26205435272492, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.92137607337148, "realized_annual_volatility_pct": 53.459599940535796, "trading_costs_quote_units": 660.5089113909205, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 144491.64254865475, "turnover_quote_units": 1100848.1856515342, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 153831.13363726478, "return_pct": 1438.3113363726477, "cagr_pct": 45.26205435272492, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.92137607337148, "realized_annual_volatility_pct": 53.459599940535796, "trading_costs_quote_units": 660.5089113909205, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 144491.64254865475, "turnover_quote_units": 1100848.1856515342, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 265144.3679079733, "return_pct": 2551.443679079733, "cagr_pct": 56.47682354554178, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 1.0966145441260362, "realized_annual_volatility_pct": 61.72809536675064, "trading_costs_quote_units": 2976.5254217290244, "borrowing_costs_quote_units": 13515.587119342696, "price_pnl_quote_units": 271636.48044904496, "turnover_quote_units": 4960875.702881705, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 304038.6215359823, "return_pct": 2940.386215359823, "cagr_pct": 59.430162846542615, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 1.0885229396880522, "realized_annual_volatility_pct": 61.36167797918088, "trading_costs_quote_units": 3024.400931043717, "borrowing_costs_quote_units": 12509.523564021676, "price_pnl_quote_units": 309572.54603104776, "turnover_quote_units": 5040668.218406203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -388.9425362800898 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 265144.3679079733, "return_pct": 2551.443679079733, "cagr_pct": 56.47682354554178, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 1.0966145441260362, "realized_annual_volatility_pct": 61.72809536675064, "trading_costs_quote_units": 2976.5254217290244, "borrowing_costs_quote_units": 13515.587119342696, "price_pnl_quote_units": 271636.48044904496, "turnover_quote_units": 4960875.702881705, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 304038.6215359823, "return_pct": 2940.386215359823, "cagr_pct": 59.430162846542615, "max_drawdown_pct": 77.96388300449169, "mean_exposure_while_solvent": 1.0885229396880522, "realized_annual_volatility_pct": 61.36167797918088, "trading_costs_quote_units": 3024.400931043717, "borrowing_costs_quote_units": 12509.523564021676, "price_pnl_quote_units": 309572.54603104776, "turnover_quote_units": 5040668.218406203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -388.9425362800898 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 126508.54201237138, "return_pct": 1165.085420123714, "cagr_pct": 41.43320125421868, "max_drawdown_pct": 65.32081466078613, "mean_exposure_while_solvent": 0.7499556131609106, "realized_annual_volatility_pct": 46.23460933974688, "trading_costs_quote_units": 443.54910464125646, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116952.091117012, "turnover_quote_units": 739248.5077354291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 126508.54201237138, "return_pct": 1165.085420123714, "cagr_pct": 41.43320125421868, "max_drawdown_pct": 65.32081466078613, "mean_exposure_while_solvent": 0.7499556131609106, "realized_annual_volatility_pct": 46.23460933974688, "trading_costs_quote_units": 443.54910464125646, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116952.091117012, "turnover_quote_units": 739248.5077354291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 208831.2582010492, "return_pct": 1988.312582010492, "cagr_pct": 51.455908832675014, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998130025556318, "realized_annual_volatility_pct": 61.74399514087084, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198837.25460320734, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 208831.2582010492, "return_pct": 1988.312582010492, "cagr_pct": 51.455908832675014, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998130025556318, "realized_annual_volatility_pct": 61.74399514087084, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198837.25460320734, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 258630.34301570983, "return_pct": 2486.3034301570983, "cagr_pct": 55.946030102939034, "max_drawdown_pct": 85.5571908722217, "mean_exposure_while_solvent": 1.2497016801179643, "realized_annual_volatility_pct": 77.34312406874155, "trading_costs_quote_units": 1557.0524024941767, "borrowing_costs_quote_units": 14050.480777163031, "price_pnl_quote_units": 264237.87619536585, "turnover_quote_units": 2595087.3374902937, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 258630.34301570983, "return_pct": 2486.3034301570983, "cagr_pct": 55.946030102939034, "max_drawdown_pct": 85.5571908722217, "mean_exposure_while_solvent": 1.2497016801179643, "realized_annual_volatility_pct": 77.34312406874155, "trading_costs_quote_units": 1557.0524024941767, "borrowing_costs_quote_units": 14050.480777163031, "price_pnl_quote_units": 264237.87619536585, "turnover_quote_units": 2595087.3374902937, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 266089.58108132606, "return_pct": 2560.8958108132606, "cagr_pct": 56.55290623778881, "max_drawdown_pct": 91.74779060711067, "mean_exposure_while_solvent": 1.4996580382090894, "realized_annual_volatility_pct": 93.05763283845768, "trading_costs_quote_units": 4374.5385186290105, "borrowing_costs_quote_units": 32309.98008398593, "price_pnl_quote_units": 292774.0996839424, "turnover_quote_units": 7290897.5310483575, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 266089.58108132606, "return_pct": 2560.8958108132606, "cagr_pct": 56.55290623778881, "max_drawdown_pct": 91.74779060711067, "mean_exposure_while_solvent": 1.4996580382090894, "realized_annual_volatility_pct": 93.05763283845768, "trading_costs_quote_units": 4374.5385186290105, "borrowing_costs_quote_units": 32309.98008398593, "price_pnl_quote_units": 292774.0996839424, "turnover_quote_units": 7290897.5310483575, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 169870.64162527898, "return_pct": 1598.7064162527897, "cagr_pct": 47.243513653371004, "max_drawdown_pct": 66.7324405708923, "mean_exposure_while_solvent": 0.7896515515353216, "realized_annual_volatility_pct": 43.228569266729586, "trading_costs_quote_units": 2824.6744929825077, "borrowing_costs_quote_units": 4307.924434835156, "price_pnl_quote_units": 167003.2405530965, "turnover_quote_units": 4707790.821637501, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 164876.44667371857, "return_pct": 1548.7644667371858, "cagr_pct": 46.64452566911376, "max_drawdown_pct": 66.7324405708923, "mean_exposure_while_solvent": 0.790930396902443, "realized_annual_volatility_pct": 43.29849413610166, "trading_costs_quote_units": 2787.2172065055597, "borrowing_costs_quote_units": 4300.454898070283, "price_pnl_quote_units": 161964.1187782942, "turnover_quote_units": 4645362.010842589, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 49.94194951560394 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 238843.82079486208, "return_pct": 2288.438207948621, "cagr_pct": 54.25975042178375, "max_drawdown_pct": 81.47179469716191, "mean_exposure_while_solvent": 1.116092057782736, "realized_annual_volatility_pct": 61.95428238934938, "trading_costs_quote_units": 4223.897764399092, "borrowing_costs_quote_units": 24709.426093712504, "price_pnl_quote_units": 257777.14465297494, "turnover_quote_units": 7039829.607331816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 262874.92035752226, "return_pct": 2528.7492035752225, "cagr_pct": 56.29318916833918, "max_drawdown_pct": 81.47179469716191, "mean_exposure_while_solvent": 1.1123629359252047, "realized_annual_volatility_pct": 61.788185773446294, "trading_costs_quote_units": 4258.229743918356, "borrowing_costs_quote_units": 24019.823285197002, "price_pnl_quote_units": 281152.97338663845, "turnover_quote_units": 7097049.5731972605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -240.31099562660165 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 197347.19730992563, "return_pct": 1873.4719730992563, "cagr_pct": 50.29020083396447, "max_drawdown_pct": 89.35869396372381, "mean_exposure_while_solvent": 1.3200297880055323, "realized_annual_volatility_pct": 75.90858890861101, "trading_costs_quote_units": 3677.9268226339896, "borrowing_costs_quote_units": 36376.644599564745, "price_pnl_quote_units": 227401.76873212255, "turnover_quote_units": 6129878.037723331, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 228084.98936127272, "return_pct": 2180.849893612727, "cagr_pct": 53.291554300223986, "max_drawdown_pct": 89.35869396372381, "mean_exposure_while_solvent": 1.314373339995416, "realized_annual_volatility_pct": 75.68070183595005, "trading_costs_quote_units": 3832.9038816281836, "borrowing_costs_quote_units": 35732.66509711179, "price_pnl_quote_units": 257650.55834001105, "turnover_quote_units": 6388173.136046979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -307.3779205134708 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 154772.74107844563, "return_pct": 1447.7274107844562, "cagr_pct": 45.38319473776713, "max_drawdown_pct": 82.1284313778874, "mean_exposure_while_solvent": 1.1418869752077336, "realized_annual_volatility_pct": 62.60471867012257, "trading_costs_quote_units": 4904.167113525878, "borrowing_costs_quote_units": 18530.285968111708, "price_pnl_quote_units": 168207.19416008328, "turnover_quote_units": 8173611.855876492, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 161778.6737664521, "return_pct": 1517.786737664521, "cagr_pct": 46.26506884051063, "max_drawdown_pct": 82.1284313778874, "mean_exposure_while_solvent": 1.1398556490725804, "realized_annual_volatility_pct": 62.53323786697974, "trading_costs_quote_units": 4936.845964910897, "borrowing_costs_quote_units": 18266.032391941477, "price_pnl_quote_units": 174981.5521233037, "turnover_quote_units": 8228076.608184857, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2661, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -70.05932688006487 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 248476.2863821685, "return_pct": 2384.762863821685, "cagr_pct": 55.09514477063932, "max_drawdown_pct": 77.9946107492295, "mean_exposure_while_solvent": 1.0966286779854812, "realized_annual_volatility_pct": 61.72868952227524, "trading_costs_quote_units": 2862.4437153446875, "borrowing_costs_quote_units": 25812.029179740606, "price_pnl_quote_units": 267150.7592772528, "turnover_quote_units": 4770739.525574468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 285773.82703011227, "return_pct": 2757.7382703011226, "cagr_pct": 58.08659473385802, "max_drawdown_pct": 77.9946107492295, "mean_exposure_while_solvent": 1.0885364267999162, "realized_annual_volatility_pct": 61.36213848198495, "trading_costs_quote_units": 2908.285731480093, "borrowing_costs_quote_units": 23921.819962480622, "price_pnl_quote_units": 302603.9327240723, "turnover_quote_units": 4847142.885800152, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -372.9754064794374 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 153831.13363726478, "return_pct": 1438.3113363726477, "cagr_pct": 45.26205435272492, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.92137607337148, "realized_annual_volatility_pct": 53.459599940535796, "trading_costs_quote_units": 660.5089113909205, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 144491.64254865475, "turnover_quote_units": 1100848.1856515342, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 153831.13363726478, "return_pct": 1438.3113363726477, "cagr_pct": 45.26205435272492, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.92137607337148, "realized_annual_volatility_pct": 53.459599940535796, "trading_costs_quote_units": 660.5089113909205, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 144491.64254865475, "turnover_quote_units": 1100848.1856515342, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 248476.2863821685, "return_pct": 2384.762863821685, "cagr_pct": 55.09514477063932, "max_drawdown_pct": 77.9946107492295, "mean_exposure_while_solvent": 1.0966286779854812, "realized_annual_volatility_pct": 61.72868952227524, "trading_costs_quote_units": 2862.4437153446875, "borrowing_costs_quote_units": 25812.029179740606, "price_pnl_quote_units": 267150.7592772528, "turnover_quote_units": 4770739.525574468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 285773.82703011227, "return_pct": 2757.7382703011226, "cagr_pct": 58.08659473385802, "max_drawdown_pct": 77.9946107492295, "mean_exposure_while_solvent": 1.0885364267999162, "realized_annual_volatility_pct": 61.36213848198495, "trading_costs_quote_units": 2908.285731480093, "borrowing_costs_quote_units": 23921.819962480622, "price_pnl_quote_units": 302603.9327240723, "turnover_quote_units": 4847142.885800152, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -372.9754064794374 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 248476.2863821685, "return_pct": 2384.762863821685, "cagr_pct": 55.09514477063932, "max_drawdown_pct": 77.9946107492295, "mean_exposure_while_solvent": 1.0966286779854812, "realized_annual_volatility_pct": 61.72868952227524, "trading_costs_quote_units": 2862.4437153446875, "borrowing_costs_quote_units": 25812.029179740606, "price_pnl_quote_units": 267150.7592772528, "turnover_quote_units": 4770739.525574468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 285773.82703011227, "return_pct": 2757.7382703011226, "cagr_pct": 58.08659473385802, "max_drawdown_pct": 77.9946107492295, "mean_exposure_while_solvent": 1.0885364267999162, "realized_annual_volatility_pct": 61.36213848198495, "trading_costs_quote_units": 2908.285731480093, "borrowing_costs_quote_units": 23921.819962480622, "price_pnl_quote_units": 302603.9327240723, "turnover_quote_units": 4847142.885800152, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -372.9754064794374 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 126508.54201237138, "return_pct": 1165.085420123714, "cagr_pct": 41.43320125421868, "max_drawdown_pct": 65.32081466078613, "mean_exposure_while_solvent": 0.7499556131609106, "realized_annual_volatility_pct": 46.23460933974688, "trading_costs_quote_units": 443.54910464125646, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116952.091117012, "turnover_quote_units": 739248.5077354291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 126508.54201237138, "return_pct": 1165.085420123714, "cagr_pct": 41.43320125421868, "max_drawdown_pct": 65.32081466078613, "mean_exposure_while_solvent": 0.7499556131609106, "realized_annual_volatility_pct": 46.23460933974688, "trading_costs_quote_units": 443.54910464125646, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116952.091117012, "turnover_quote_units": 739248.5077354291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 208831.2582010492, "return_pct": 1988.312582010492, "cagr_pct": 51.455908832675014, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998130025556318, "realized_annual_volatility_pct": 61.74399514087084, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198837.25460320734, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 208831.2582010492, "return_pct": 1988.312582010492, "cagr_pct": 51.455908832675014, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998130025556318, "realized_annual_volatility_pct": 61.74399514087084, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198837.25460320734, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 236022.7907557734, "return_pct": 2260.227907557734, "cagr_pct": 54.00958498477655, "max_drawdown_pct": 85.74384251644193, "mean_exposure_while_solvent": 1.2497194964639873, "realized_annual_volatility_pct": 77.34455966673421, "trading_costs_quote_units": 1472.0612993482694, "borrowing_costs_quote_units": 26408.82675637246, "price_pnl_quote_units": 253903.67881149423, "turnover_quote_units": 2453435.4989137887, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 236022.7907557734, "return_pct": 2260.227907557734, "cagr_pct": 54.00958498477655, "max_drawdown_pct": 85.74384251644193, "mean_exposure_while_solvent": 1.2497194964639873, "realized_annual_volatility_pct": 77.34455966673421, "trading_costs_quote_units": 1472.0612993482694, "borrowing_costs_quote_units": 26408.82675637246, "price_pnl_quote_units": 253903.67881149423, "turnover_quote_units": 2453435.4989137887, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 221587.93172893606, "return_pct": 2115.8793172893606, "cagr_pct": 52.687609303675046, "max_drawdown_pct": 92.07439476775735, "mean_exposure_while_solvent": 1.4997008216353174, "realized_annual_volatility_pct": 93.06112085464562, "trading_costs_quote_units": 3923.0827408075406, "borrowing_costs_quote_units": 57205.34702680808, "price_pnl_quote_units": 272716.36149654863, "turnover_quote_units": 6538471.23467924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 221587.93172893606, "return_pct": 2115.8793172893606, "cagr_pct": 52.687609303675046, "max_drawdown_pct": 92.07439476775735, "mean_exposure_while_solvent": 1.4997008216353174, "realized_annual_volatility_pct": 93.06112085464562, "trading_costs_quote_units": 3923.0827408075406, "borrowing_costs_quote_units": 57205.34702680808, "price_pnl_quote_units": 272716.36149654863, "turnover_quote_units": 6538471.23467924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 164321.254777691, "return_pct": 1543.2125477769102, "cagr_pct": 46.576973635201064, "max_drawdown_pct": 66.76208702858692, "mean_exposure_while_solvent": 0.7896583969094099, "realized_annual_volatility_pct": 43.22848107301054, "trading_costs_quote_units": 2772.532051890168, "borrowing_costs_quote_units": 8418.422360048977, "price_pnl_quote_units": 165512.20918963064, "turnover_quote_units": 4620886.753150287, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 159490.21173698062, "return_pct": 1494.9021173698063, "cagr_pct": 45.98069714194267, "max_drawdown_pct": 66.76208702858692, "mean_exposure_while_solvent": 0.7909372422765313, "realized_annual_volatility_pct": 43.298404135129736, "trading_costs_quote_units": 2736.2568015330726, "borrowing_costs_quote_units": 8403.959802166171, "price_pnl_quote_units": 160630.4283406806, "turnover_quote_units": 4560428.002555114, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 48.31043040710392 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 207132.1706347534, "return_pct": 1971.321706347534, "cagr_pct": 51.28698425923011, "max_drawdown_pct": 81.60005560670022, "mean_exposure_while_solvent": 1.1161234032682377, "realized_annual_volatility_pct": 61.9555576169497, "trading_costs_quote_units": 3893.2909043025443, "borrowing_costs_quote_units": 44673.76279710761, "price_pnl_quote_units": 245699.2243361628, "turnover_quote_units": 6488818.17383758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 228599.13471804006, "return_pct": 2185.9913471804007, "cagr_pct": 53.33871074917478, "max_drawdown_pct": 81.60005560670022, "mean_exposure_while_solvent": 1.112393708789955, "realized_annual_volatility_pct": 61.789313681253354, "trading_costs_quote_units": 3924.343346980345, "borrowing_costs_quote_units": 43474.40345066012, "price_pnl_quote_units": 265997.8815156792, "turnover_quote_units": 6540572.244967246, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -214.66964083286666 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 153290.35029659327, "return_pct": 1432.9035029659326, "cagr_pct": 45.192191362847836, "max_drawdown_pct": 89.65000353564406, "mean_exposure_while_solvent": 1.3200868093764988, "realized_annual_volatility_pct": 75.91255770313703, "trading_costs_quote_units": 3210.2072299275146, "borrowing_costs_quote_units": 61238.87490983168, "price_pnl_quote_units": 207739.4324363536, "turnover_quote_units": 5350345.383212533, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 177906.29409936615, "return_pct": 1679.0629409936614, "cagr_pct": 48.17610516063321, "max_drawdown_pct": 89.65000353564406, "mean_exposure_while_solvent": 1.3144293876884277, "realized_annual_volatility_pct": 75.68448247842773, "trading_costs_quote_units": 3334.0013071882854, "borrowing_costs_quote_units": 60236.60270696079, "price_pnl_quote_units": 231476.89811351633, "turnover_quote_units": 5556668.845313816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -246.1594380277288 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 131555.45987844642, "return_pct": 1215.5545987844641, "cagr_pct": 42.19099728546175, "max_drawdown_pct": 82.31443074780236, "mean_exposure_while_solvent": 1.1419231802795962, "realized_annual_volatility_pct": 62.606820310451894, "trading_costs_quote_units": 4488.997378856495, "borrowing_costs_quote_units": 33093.49111635473, "price_pnl_quote_units": 159137.94837365838, "turnover_quote_units": 7481662.298094154, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 137716.25159046892, "return_pct": 1277.1625159046891, "cagr_pct": 43.08273648077991, "max_drawdown_pct": 82.31443074780236, "mean_exposure_while_solvent": 1.1398915286792046, "realized_annual_volatility_pct": 62.53527103831556, "trading_costs_quote_units": 4517.85985661104, "borrowing_costs_quote_units": 32642.667841657225, "price_pnl_quote_units": 164876.77928873737, "turnover_quote_units": 7529766.427685069, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2661, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -61.60791712022501 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 218210.2747819053, "return_pct": 2082.102747819053, "cagr_pct": 52.367568938974365, "max_drawdown_pct": 78.05595024482477, "mean_exposure_while_solvent": 1.0966569511812758, "realized_annual_volatility_pct": 61.729899635051666, "trading_costs_quote_units": 2649.9433609989114, "borrowing_costs_quote_units": 47095.980099998575, "price_pnl_quote_units": 257956.19824290014, "turnover_quote_units": 4416572.268331535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 252461.79368267982, "return_pct": 2424.617936826798, "cagr_pct": 55.43263787868544, "max_drawdown_pct": 78.05595024482477, "mean_exposure_while_solvent": 1.0885634062496687, "realized_annual_volatility_pct": 61.363081135375296, "trading_costs_quote_units": 2691.9335121558115, "borrowing_costs_quote_units": 43759.88486145254, "price_pnl_quote_units": 288913.612056286, "turnover_quote_units": 4486555.853593028, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -342.515189007745 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 153831.13363726478, "return_pct": 1438.3113363726477, "cagr_pct": 45.26205435272492, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.92137607337148, "realized_annual_volatility_pct": 53.459599940535796, "trading_costs_quote_units": 660.5089113909205, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 144491.64254865475, "turnover_quote_units": 1100848.1856515342, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 153831.13363726478, "return_pct": 1438.3113363726477, "cagr_pct": 45.26205435272492, "max_drawdown_pct": 77.15760716028329, "mean_exposure_while_solvent": 0.92137607337148, "realized_annual_volatility_pct": 53.459599940535796, "trading_costs_quote_units": 660.5089113909205, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 144491.64254865475, "turnover_quote_units": 1100848.1856515342, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 218210.2747819053, "return_pct": 2082.102747819053, "cagr_pct": 52.367568938974365, "max_drawdown_pct": 78.05595024482477, "mean_exposure_while_solvent": 1.0966569511812758, "realized_annual_volatility_pct": 61.729899635051666, "trading_costs_quote_units": 2649.9433609989114, "borrowing_costs_quote_units": 47095.980099998575, "price_pnl_quote_units": 257956.19824290014, "turnover_quote_units": 4416572.268331535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 252461.79368267982, "return_pct": 2424.617936826798, "cagr_pct": 55.43263787868544, "max_drawdown_pct": 78.05595024482477, "mean_exposure_while_solvent": 1.0885634062496687, "realized_annual_volatility_pct": 61.363081135375296, "trading_costs_quote_units": 2691.9335121558115, "borrowing_costs_quote_units": 43759.88486145254, "price_pnl_quote_units": 288913.612056286, "turnover_quote_units": 4486555.853593028, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -342.515189007745 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 218210.2747819053, "return_pct": 2082.102747819053, "cagr_pct": 52.367568938974365, "max_drawdown_pct": 78.05595024482477, "mean_exposure_while_solvent": 1.0966569511812758, "realized_annual_volatility_pct": 61.729899635051666, "trading_costs_quote_units": 2649.9433609989114, "borrowing_costs_quote_units": 47095.980099998575, "price_pnl_quote_units": 257956.19824290014, "turnover_quote_units": 4416572.268331535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 252461.79368267982, "return_pct": 2424.617936826798, "cagr_pct": 55.43263787868544, "max_drawdown_pct": 78.05595024482477, "mean_exposure_while_solvent": 1.0885634062496687, "realized_annual_volatility_pct": 61.363081135375296, "trading_costs_quote_units": 2691.9335121558115, "borrowing_costs_quote_units": 43759.88486145254, "price_pnl_quote_units": 288913.612056286, "turnover_quote_units": 4486555.853593028, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -342.515189007745 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 126508.54201237138, "return_pct": 1165.085420123714, "cagr_pct": 41.43320125421868, "max_drawdown_pct": 65.32081466078613, "mean_exposure_while_solvent": 0.7499556131609106, "realized_annual_volatility_pct": 46.23460933974688, "trading_costs_quote_units": 443.54910464125646, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116952.091117012, "turnover_quote_units": 739248.5077354291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 126508.54201237138, "return_pct": 1165.085420123714, "cagr_pct": 41.43320125421868, "max_drawdown_pct": 65.32081466078613, "mean_exposure_while_solvent": 0.7499556131609106, "realized_annual_volatility_pct": 46.23460933974688, "trading_costs_quote_units": 443.54910464125646, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116952.091117012, "turnover_quote_units": 739248.5077354291, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 208831.2582010492, "return_pct": 1988.312582010492, "cagr_pct": 51.455908832675014, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998130025556318, "realized_annual_volatility_pct": 61.74399514087084, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198837.25460320734, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 208831.2582010492, "return_pct": 1988.312582010492, "cagr_pct": 51.455908832675014, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998130025556318, "realized_annual_volatility_pct": 61.74399514087084, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198837.25460320734, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 196555.16783363908, "return_pct": 1865.5516783363908, "cagr_pct": 50.20766346671921, "max_drawdown_pct": 86.2756597301531, "mean_exposure_while_solvent": 1.2497551346464852, "realized_annual_volatility_pct": 77.34743154730538, "trading_costs_quote_units": 1318.289796796741, "borrowing_costs_quote_units": 46720.286742302516, "price_pnl_quote_units": 234593.7443727378, "turnover_quote_units": 2197149.6613279018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 196555.16783363908, "return_pct": 1865.5516783363908, "cagr_pct": 50.20766346671921, "max_drawdown_pct": 86.2756597301531, "mean_exposure_while_solvent": 1.2497551346464852, "realized_annual_volatility_pct": 77.34743154730538, "trading_costs_quote_units": 1318.289796796741, "borrowing_costs_quote_units": 46720.286742302516, "price_pnl_quote_units": 234593.7443727378, "turnover_quote_units": 2197149.6613279018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 153651.66207048023, "return_pct": 1436.5166207048023, "cagr_pct": 45.23889223179013, "max_drawdown_pct": 92.68950060274182, "mean_exposure_while_solvent": 1.4997864070630902, "realized_annual_volatility_pct": 93.06809919129097, "trading_costs_quote_units": 3178.1522615420004, "borrowing_costs_quote_units": 90253.14389575912, "price_pnl_quote_units": 237082.95822778388, "turnover_quote_units": 5296920.435903326, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 153651.66207048023, "return_pct": 1436.5166207048023, "cagr_pct": 45.23889223179013, "max_drawdown_pct": 92.68950060274182, "mean_exposure_while_solvent": 1.4997864070630902, "realized_annual_volatility_pct": 93.06809919129097, "trading_costs_quote_units": 3178.1522615420004, "borrowing_costs_quote_units": 90253.14389575912, "price_pnl_quote_units": 237082.95822778388, "turnover_quote_units": 5296920.435903326, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 149774.4870314124, "return_pct": 1397.744870314124, "cagr_pct": 44.7327215609048, "max_drawdown_pct": 67.18142604094979, "mean_exposure_while_solvent": 0.7897848116625126, "realized_annual_volatility_pct": 43.075899791679724, "trading_costs_quote_units": 12971.339791765173, "borrowing_costs_quote_units": 1946.5268696565358, "price_pnl_quote_units": 154692.3536928347, "turnover_quote_units": 4323779.930588373, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 145799.29918988925, "return_pct": 1357.9929918988926, "cagr_pct": 44.201870279918275, "max_drawdown_pct": 67.18142604094979, "mean_exposure_while_solvent": 0.7910657612490494, "realized_annual_volatility_pct": 43.14679710863156, "trading_costs_quote_units": 12815.062994439395, "borrowing_costs_quote_units": 1943.5254393241846, "price_pnl_quote_units": 150557.88762365284, "turnover_quote_units": 4271687.664813118, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 39.75187841523143 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 212858.55085104646, "return_pct": 2028.5855085104647, "cagr_pct": 51.85161435947063, "max_drawdown_pct": 81.822213321991, "mean_exposure_while_solvent": 1.116363698548119, "realized_annual_volatility_pct": 61.85746807871263, "trading_costs_quote_units": 19289.951116376356, "borrowing_costs_quote_units": 11137.614950611307, "price_pnl_quote_units": 233286.11691803418, "turnover_quote_units": 6429983.705458778, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 231657.70317742843, "return_pct": 2216.5770317742845, "cagr_pct": 53.61735901661135, "max_drawdown_pct": 81.822213321991, "mean_exposure_while_solvent": 1.1126386936549957, "realized_annual_volatility_pct": 61.690696034708296, "trading_costs_quote_units": 19409.371515920702, "borrowing_costs_quote_units": 10809.614279433583, "price_pnl_quote_units": 251876.68897278298, "turnover_quote_units": 6469790.505306895, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -187.99152326381977 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 185777.2555930158, "return_pct": 1757.772555930158, "cagr_pct": 49.054967359286664, "max_drawdown_pct": 89.39693064771957, "mean_exposure_while_solvent": 1.3203088938661842, "realized_annual_volatility_pct": 76.17208253270822, "trading_costs_quote_units": 17379.653095865237, "borrowing_costs_quote_units": 16978.233036437003, "price_pnl_quote_units": 210135.14172531888, "turnover_quote_units": 5793217.698621746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 210784.3291632402, "return_pct": 2007.8432916324023, "cagr_pct": 51.64862485008419, "max_drawdown_pct": 89.39693064771957, "mean_exposure_while_solvent": 1.3146504963532646, "realized_annual_volatility_pct": 75.94441453950674, "trading_costs_quote_units": 18097.267260328445, "borrowing_costs_quote_units": 16633.819027302114, "price_pnl_quote_units": 235515.41545087047, "turnover_quote_units": 6032422.420109488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -250.0707357022443 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 129052.83250779503, "return_pct": 1190.5283250779503, "cagr_pct": 41.81842572410749, "max_drawdown_pct": 82.2052446310441, "mean_exposure_while_solvent": 1.142180217712098, "realized_annual_volatility_pct": 62.41710615776815, "trading_costs_quote_units": 21457.125210907587, "borrowing_costs_quote_units": 7906.9187986229645, "price_pnl_quote_units": 148416.8765173244, "turnover_quote_units": 7152375.070302527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 134076.90471251128, "return_pct": 1240.769047125113, "cagr_pct": 42.56023221865985, "max_drawdown_pct": 82.2052446310441, "mean_exposure_while_solvent": 1.1401504786504066, "realized_annual_volatility_pct": 62.34593634780773, "trading_costs_quote_units": 21588.7540604959, "borrowing_costs_quote_units": 7789.605234925539, "price_pnl_quote_units": 153455.26400793184, "turnover_quote_units": 7196251.353498628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2661, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -50.24072204716276 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 230288.55464380723, "return_pct": 2202.885546438072, "cagr_pct": 53.4930190505678, "max_drawdown_pct": 78.31191966034079, "mean_exposure_while_solvent": 1.0968445164779406, "realized_annual_volatility_pct": 61.73784306073381, "trading_costs_quote_units": 13541.776147490482, "borrowing_costs_quote_units": 12018.245215628742, "price_pnl_quote_units": 245848.5760069259, "turnover_quote_units": 4513925.382496821, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 260312.9473102371, "return_pct": 2503.129473102371, "cagr_pct": 56.08423269667324, "max_drawdown_pct": 78.31191966034079, "mean_exposure_while_solvent": 1.088761054675615, "realized_annual_volatility_pct": 61.372209373402896, "trading_costs_quote_units": 13756.95881797858, "borrowing_costs_quote_units": 11114.778112699185, "price_pnl_quote_units": 275184.68424091523, "turnover_quote_units": 4585652.939326189, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -300.24392666429867 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 144218.8371769255, "return_pct": 1342.188371769255, "cagr_pct": 43.98733598578767, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.9215063082281802, "realized_annual_volatility_pct": 53.397631318577666, "trading_costs_quote_units": 3131.1231033284307, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 137349.96028025384, "turnover_quote_units": 1043707.701109478, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 144218.8371769255, "return_pct": 1342.188371769255, "cagr_pct": 43.98733598578767, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.9215063082281802, "realized_annual_volatility_pct": 53.397631318577666, "trading_costs_quote_units": 3131.1231033284307, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 137349.96028025384, "turnover_quote_units": 1043707.701109478, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 230288.55464380723, "return_pct": 2202.885546438072, "cagr_pct": 53.4930190505678, "max_drawdown_pct": 78.31191966034079, "mean_exposure_while_solvent": 1.0968445164779406, "realized_annual_volatility_pct": 61.73784306073381, "trading_costs_quote_units": 13541.776147490482, "borrowing_costs_quote_units": 12018.245215628742, "price_pnl_quote_units": 245848.5760069259, "turnover_quote_units": 4513925.382496821, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 260312.9473102371, "return_pct": 2503.129473102371, "cagr_pct": 56.08423269667324, "max_drawdown_pct": 78.31191966034079, "mean_exposure_while_solvent": 1.088761054675615, "realized_annual_volatility_pct": 61.372209373402896, "trading_costs_quote_units": 13756.95881797858, "borrowing_costs_quote_units": 11114.778112699185, "price_pnl_quote_units": 275184.68424091523, "turnover_quote_units": 4585652.939326189, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -300.24392666429867 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 230288.55464380723, "return_pct": 2202.885546438072, "cagr_pct": 53.4930190505678, "max_drawdown_pct": 78.31191966034079, "mean_exposure_while_solvent": 1.0968445164779406, "realized_annual_volatility_pct": 61.73784306073381, "trading_costs_quote_units": 13541.776147490482, "borrowing_costs_quote_units": 12018.245215628742, "price_pnl_quote_units": 245848.5760069259, "turnover_quote_units": 4513925.382496821, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 260312.9473102371, "return_pct": 2503.129473102371, "cagr_pct": 56.08423269667324, "max_drawdown_pct": 78.31191966034079, "mean_exposure_while_solvent": 1.088761054675615, "realized_annual_volatility_pct": 61.372209373402896, "trading_costs_quote_units": 13756.95881797858, "borrowing_costs_quote_units": 11114.778112699185, "price_pnl_quote_units": 275184.68424091523, "turnover_quote_units": 4585652.939326189, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -300.24392666429867 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 122822.79431291143, "return_pct": 1128.2279431291142, "cagr_pct": 40.86311458280916, "max_drawdown_pct": 65.58997961954007, "mean_exposure_while_solvent": 0.7500220845467636, "realized_annual_volatility_pct": 46.17458612200933, "trading_costs_quote_units": 2197.436768048091, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115020.23108095975, "turnover_quote_units": 732478.9226826968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 122822.79431291143, "return_pct": 1128.2279431291142, "cagr_pct": 40.86311458280916, "max_drawdown_pct": 65.58997961954007, "mean_exposure_while_solvent": 0.7500220845467636, "realized_annual_volatility_pct": 46.17458612200933, "trading_costs_quote_units": 2197.436768048091, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115020.23108095975, "turnover_quote_units": 732478.9226826968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 207046.20069034828, "return_pct": 1970.4620069034827, "cagr_pct": 51.27840530451999, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.999937667518544, "realized_annual_volatility_pct": 61.74457446534491, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197076.11095954126, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 207046.20069034828, "return_pct": 1970.4620069034827, "cagr_pct": 51.27840530451999, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.999937667518544, "realized_annual_volatility_pct": 61.74457446534491, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197076.11095954126, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 243250.72099597432, "return_pct": 2332.5072099597432, "cagr_pct": 54.64548985646556, "max_drawdown_pct": 85.56891043417242, "mean_exposure_while_solvent": 1.2498928484486715, "realized_annual_volatility_pct": 77.49386163127178, "trading_costs_quote_units": 7436.860924187726, "borrowing_costs_quote_units": 13354.142082143982, "price_pnl_quote_units": 254041.72400230463, "turnover_quote_units": 2478953.641395914, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 243250.72099597432, "return_pct": 2332.5072099597432, "cagr_pct": 54.64548985646556, "max_drawdown_pct": 85.56891043417242, "mean_exposure_while_solvent": 1.2498928484486715, "realized_annual_volatility_pct": 77.49386163127178, "trading_costs_quote_units": 7436.860924187726, "borrowing_costs_quote_units": 13354.142082143982, "price_pnl_quote_units": 254041.72400230463, "turnover_quote_units": 2478953.641395914, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 232367.7323031316, "return_pct": 2223.677323031316, "cagr_pct": 53.681591051023815, "max_drawdown_pct": 91.83933365125647, "mean_exposure_while_solvent": 1.4999208452107418, "realized_annual_volatility_pct": 93.51958068382112, "trading_costs_quote_units": 19653.89662797324, "borrowing_costs_quote_units": 28953.37684925653, "price_pnl_quote_units": 270975.00578036264, "turnover_quote_units": 6551298.875991088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 232367.7323031316, "return_pct": 2223.677323031316, "cagr_pct": 53.681591051023815, "max_drawdown_pct": 91.83933365125647, "mean_exposure_while_solvent": 1.4999208452107418, "realized_annual_volatility_pct": 93.51958068382112, "trading_costs_quote_units": 19653.89662797324, "borrowing_costs_quote_units": 28953.37684925653, "price_pnl_quote_units": 270975.00578036264, "turnover_quote_units": 6551298.875991088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 147308.33378318814, "return_pct": 1373.0833378318814, "cagr_pct": 44.40484322526851, "max_drawdown_pct": 67.19599325749981, "mean_exposure_while_solvent": 0.789788235120799, "realized_annual_volatility_pct": 43.075874981574835, "trading_costs_quote_units": 12852.465275159322, "borrowing_costs_quote_units": 3848.509746320877, "price_pnl_quote_units": 154009.30880466825, "turnover_quote_units": 4284155.091719777, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 143398.6004967229, "return_pct": 1333.986004967229, "cagr_pct": 43.87519453781164, "max_drawdown_pct": 67.19599325749981, "mean_exposure_while_solvent": 0.7910691847073358, "realized_annual_volatility_pct": 43.14677145766092, "trading_costs_quote_units": 12698.671321980335, "borrowing_costs_quote_units": 3842.60336391174, "price_pnl_quote_units": 149939.87518261466, "turnover_quote_units": 4232890.440660115, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 39.097332864652344 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 198223.4478545802, "return_pct": 1882.2344785458022, "cagr_pct": 50.38118229972852, "max_drawdown_pct": 81.88563982801037, "mean_exposure_while_solvent": 1.1163793877192858, "realized_annual_volatility_pct": 61.85832848075917, "trading_costs_quote_units": 18521.554027814393, "borrowing_costs_quote_units": 21180.774920538268, "price_pnl_quote_units": 227925.7768029337, "turnover_quote_units": 6173851.342604807, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 216025.92711941997, "return_pct": 2060.2592711941998, "cagr_pct": 52.15831221128979, "max_drawdown_pct": 81.88563982801037, "mean_exposure_while_solvent": 1.1126540964842224, "realized_annual_volatility_pct": 61.69148594654301, "trading_costs_quote_units": 18635.998527932847, "borrowing_costs_quote_units": 20568.915552074064, "price_pnl_quote_units": 245230.84119942583, "turnover_quote_units": 6211999.509310952, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -178.02479264839758 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 163733.6193217928, "return_pct": 1537.3361932179278, "cagr_pct": 46.50525907560784, "max_drawdown_pct": 89.54299108330125, "mean_exposure_while_solvent": 1.320337421402205, "realized_annual_volatility_pct": 76.17456237727022, "trading_costs_quote_units": 16228.652644968299, "borrowing_costs_quote_units": 31142.778800564975, "price_pnl_quote_units": 201105.05076732632, "turnover_quote_units": 5409550.881656102, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 186160.73809139724, "return_pct": 1761.6073809139725, "cagr_pct": 49.09695956304267, "max_drawdown_pct": 89.54299108330125, "mean_exposure_while_solvent": 1.314678535537186, "realized_annual_volatility_pct": 75.94680389329372, "trading_costs_quote_units": 16870.19195390148, "borrowing_costs_quote_units": 30534.63375769082, "price_pnl_quote_units": 223565.56380299033, "turnover_quote_units": 5623397.317967174, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -224.27118769604476 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 118979.38547198649, "return_pct": 1089.7938547198648, "cagr_pct": 40.25268802518382, "max_drawdown_pct": 82.29815728551596, "mean_exposure_while_solvent": 1.1421983384437457, "realized_annual_volatility_pct": 62.41836655240866, "trading_costs_quote_units": 20542.3787491329, "borrowing_costs_quote_units": 14951.165431769328, "price_pnl_quote_units": 144472.92965288812, "turnover_quote_units": 6847459.583044298, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 123703.6323066096, "return_pct": 1137.036323066096, "cagr_pct": 41.000686429702085, "max_drawdown_pct": 82.29815728551596, "mean_exposure_while_solvent": 1.1401684365265943, "realized_annual_volatility_pct": 62.34716438345169, "trading_costs_quote_units": 20666.18949128791, "borrowing_costs_quote_units": 14734.428736283113, "price_pnl_quote_units": 149104.25053418137, "turnover_quote_units": 6888729.830429308, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2661, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -47.242468346231135 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 215808.1366859362, "return_pct": 2058.081366859362, "cagr_pct": 52.137348238437056, "max_drawdown_pct": 78.34227437977115, "mean_exposure_while_solvent": 1.0968586617282712, "realized_annual_volatility_pct": 61.73865205415186, "trading_costs_quote_units": 13028.094405172926, "borrowing_costs_quote_units": 22958.113341345943, "price_pnl_quote_units": 241794.34443245444, "turnover_quote_units": 4342698.135057643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 244671.24645233894, "return_pct": 2346.7124645233894, "cagr_pct": 54.76854386129564, "max_drawdown_pct": 78.34227437977115, "mean_exposure_while_solvent": 1.0887745529787705, "realized_annual_volatility_pct": 61.37288516552304, "trading_costs_quote_units": 13233.823619957795, "borrowing_costs_quote_units": 21260.55877434115, "price_pnl_quote_units": 269165.6288466387, "turnover_quote_units": 4411274.53998594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -288.6310976640275 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 144218.8371769255, "return_pct": 1342.188371769255, "cagr_pct": 43.98733598578767, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.9215063082281802, "realized_annual_volatility_pct": 53.397631318577666, "trading_costs_quote_units": 3131.1231033284307, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 137349.96028025384, "turnover_quote_units": 1043707.701109478, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 144218.8371769255, "return_pct": 1342.188371769255, "cagr_pct": 43.98733598578767, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.9215063082281802, "realized_annual_volatility_pct": 53.397631318577666, "trading_costs_quote_units": 3131.1231033284307, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 137349.96028025384, "turnover_quote_units": 1043707.701109478, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 215808.1366859362, "return_pct": 2058.081366859362, "cagr_pct": 52.137348238437056, "max_drawdown_pct": 78.34227437977115, "mean_exposure_while_solvent": 1.0968586617282712, "realized_annual_volatility_pct": 61.73865205415186, "trading_costs_quote_units": 13028.094405172926, "borrowing_costs_quote_units": 22958.113341345943, "price_pnl_quote_units": 241794.34443245444, "turnover_quote_units": 4342698.135057643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 244671.24645233894, "return_pct": 2346.7124645233894, "cagr_pct": 54.76854386129564, "max_drawdown_pct": 78.34227437977115, "mean_exposure_while_solvent": 1.0887745529787705, "realized_annual_volatility_pct": 61.37288516552304, "trading_costs_quote_units": 13233.823619957795, "borrowing_costs_quote_units": 21260.55877434115, "price_pnl_quote_units": 269165.6288466387, "turnover_quote_units": 4411274.53998594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -288.6310976640275 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 215808.1366859362, "return_pct": 2058.081366859362, "cagr_pct": 52.137348238437056, "max_drawdown_pct": 78.34227437977115, "mean_exposure_while_solvent": 1.0968586617282712, "realized_annual_volatility_pct": 61.73865205415186, "trading_costs_quote_units": 13028.094405172926, "borrowing_costs_quote_units": 22958.113341345943, "price_pnl_quote_units": 241794.34443245444, "turnover_quote_units": 4342698.135057643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 244671.24645233894, "return_pct": 2346.7124645233894, "cagr_pct": 54.76854386129564, "max_drawdown_pct": 78.34227437977115, "mean_exposure_while_solvent": 1.0887745529787705, "realized_annual_volatility_pct": 61.37288516552304, "trading_costs_quote_units": 13233.823619957795, "borrowing_costs_quote_units": 21260.55877434115, "price_pnl_quote_units": 269165.6288466387, "turnover_quote_units": 4411274.53998594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -288.6310976640275 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 122822.79431291143, "return_pct": 1128.2279431291142, "cagr_pct": 40.86311458280916, "max_drawdown_pct": 65.58997961954007, "mean_exposure_while_solvent": 0.7500220845467636, "realized_annual_volatility_pct": 46.17458612200933, "trading_costs_quote_units": 2197.436768048091, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115020.23108095975, "turnover_quote_units": 732478.9226826968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 122822.79431291143, "return_pct": 1128.2279431291142, "cagr_pct": 40.86311458280916, "max_drawdown_pct": 65.58997961954007, "mean_exposure_while_solvent": 0.7500220845467636, "realized_annual_volatility_pct": 46.17458612200933, "trading_costs_quote_units": 2197.436768048091, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115020.23108095975, "turnover_quote_units": 732478.9226826968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 207046.20069034828, "return_pct": 1970.4620069034827, "cagr_pct": 51.27840530451999, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.999937667518544, "realized_annual_volatility_pct": 61.74457446534491, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197076.11095954126, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 207046.20069034828, "return_pct": 1970.4620069034827, "cagr_pct": 51.27840530451999, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.999937667518544, "realized_annual_volatility_pct": 61.74457446534491, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197076.11095954126, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 221984.61830374433, "return_pct": 2119.8461830374436, "cagr_pct": 52.724919341909086, "max_drawdown_pct": 85.78191742380984, "mean_exposure_while_solvent": 1.2499106690840023, "realized_annual_volatility_pct": 77.4955438372258, "trading_costs_quote_units": 7031.338328512422, "borrowing_costs_quote_units": 25103.98722316957, "price_pnl_quote_units": 244119.94385542488, "turnover_quote_units": 2343779.4428374683, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 221984.61830374433, "return_pct": 2119.8461830374436, "cagr_pct": 52.724919341909086, "max_drawdown_pct": 85.78191742380984, "mean_exposure_while_solvent": 1.2499106690840023, "realized_annual_volatility_pct": 77.4955438372258, "trading_costs_quote_units": 7031.338328512422, "borrowing_costs_quote_units": 25103.98722316957, "price_pnl_quote_units": 244119.94385542488, "turnover_quote_units": 2343779.4428374683, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 193498.71274412167, "return_pct": 1834.9871274412167, "cagr_pct": 49.88643392073292, "max_drawdown_pct": 92.16236359570242, "mean_exposure_while_solvent": 1.4999636399905043, "realized_annual_volatility_pct": 93.52373092374016, "trading_costs_quote_units": 17629.43599881233, "borrowing_costs_quote_units": 51303.64530921284, "price_pnl_quote_units": 252431.79405214498, "turnover_quote_units": 5876478.666270792, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 193498.71274412167, "return_pct": 1834.9871274412167, "cagr_pct": 49.88643392073292, "max_drawdown_pct": 92.16236359570242, "mean_exposure_while_solvent": 1.4999636399905043, "realized_annual_volatility_pct": 93.52373092374016, "trading_costs_quote_units": 17629.43599881233, "borrowing_costs_quote_units": 51303.64530921284, "price_pnl_quote_units": 252431.79405214498, "turnover_quote_units": 5876478.666270792, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 142495.8105253989, "return_pct": 1324.958105253989, "cagr_pct": 43.75112447786496, "max_drawdown_pct": 67.22721743230107, "mean_exposure_while_solvent": 0.7897950832381201, "realized_annual_volatility_pct": 43.07583519294085, "trading_costs_quote_units": 12618.828313820182, "borrowing_costs_quote_units": 7522.148425380497, "price_pnl_quote_units": 152636.78726460002, "turnover_quote_units": 4206276.10460673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 138713.80716357296, "return_pct": 1287.1380716357296, "cagr_pct": 43.223873502761734, "max_drawdown_pct": 67.22721743230107, "mean_exposure_while_solvent": 0.791076032824657, "realized_annual_volatility_pct": 43.14672997062777, "trading_costs_quote_units": 12469.88372074195, "borrowing_costs_quote_units": 7510.712426871509, "price_pnl_quote_units": 148694.40331118784, "turnover_quote_units": 4156627.906913983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 37.82003361825946 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 171895.4232533133, "return_pct": 1618.9542325331327, "cagr_pct": 47.48203536485235, "max_drawdown_pct": 82.0118591388055, "mean_exposure_while_solvent": 1.1164107722557324, "realized_annual_volatility_pct": 61.86007294653917, "trading_costs_quote_units": 17096.022151802255, "borrowing_costs_quote_units": 38327.105466819216, "price_pnl_quote_units": 217318.550871934, "turnover_quote_units": 5698674.05060074, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 187847.6934484602, "return_pct": 1778.476934484602, "cagr_pct": 49.28080270390188, "max_drawdown_pct": 82.0118591388055, "mean_exposure_while_solvent": 1.112684908234633, "realized_annual_volatility_pct": 61.69308956659193, "trading_costs_quote_units": 17200.964906906043, "borrowing_costs_quote_units": 37262.56407748576, "price_pnl_quote_units": 232311.2224328502, "turnover_quote_units": 5733654.968968675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -159.52270195146934 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 127172.91014901466, "return_pct": 1171.7291014901466, "cagr_pct": 41.534432296629035, "max_drawdown_pct": 89.82917404941655, "mean_exposure_while_solvent": 1.320394488223437, "realized_annual_volatility_pct": 76.17953974983168, "trading_costs_quote_units": 14202.56469641113, "borrowing_costs_quote_units": 52536.2848300498, "price_pnl_quote_units": 183911.75967547594, "turnover_quote_units": 4734188.232137035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 145195.86366402364, "return_pct": 1351.9586366402364, "cagr_pct": 44.12019709519911, "max_drawdown_pct": 89.82917404941655, "mean_exposure_while_solvent": 1.3147346254401335, "realized_annual_volatility_pct": 75.951600776999, "trading_costs_quote_units": 14715.225053102764, "borrowing_costs_quote_units": 51588.2882259556, "price_pnl_quote_units": 201499.3769430825, "turnover_quote_units": 4905075.01770091, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -180.22953515008976 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 101124.76549895044, "return_pct": 911.2476549895044, "cagr_pct": 37.171907931309626, "max_drawdown_pct": 82.48257322519872, "mean_exposure_while_solvent": 1.1422345872166983, "realized_annual_volatility_pct": 62.42091329102182, "trading_costs_quote_units": 18858.19050471801, "borrowing_costs_quote_units": 26756.0121458646, "price_pnl_quote_units": 136738.96814953227, "turnover_quote_units": 6286063.501572677, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 105297.24671130205, "return_pct": 952.9724671130206, "cagr_pct": 37.93161905754589, "max_drawdown_pct": 82.48257322519872, "mean_exposure_while_solvent": 1.1402043595255618, "realized_annual_volatility_pct": 62.349646466131816, "trading_costs_quote_units": 18967.658683881127, "borrowing_costs_quote_units": 26386.134119595008, "price_pnl_quote_units": 140651.03951477734, "turnover_quote_units": 6322552.894627034, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2661, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -41.72481212351613 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 189514.18367309272, "return_pct": 1795.1418367309273, "cagr_pct": 49.46102123154098, "max_drawdown_pct": 78.40286875795879, "mean_exposure_while_solvent": 1.0968869577108193, "realized_annual_volatility_pct": 61.74029243303837, "trading_costs_quote_units": 12069.811738846496, "borrowing_costs_quote_units": 41910.090279067255, "price_pnl_quote_units": 233494.08569100578, "turnover_quote_units": 4023270.5796155026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 216142.86385495053, "return_pct": 2061.428638549505, "cagr_pct": 52.169560726424116, "max_drawdown_pct": 78.40286875795879, "mean_exposure_while_solvent": 1.0888015548154915, "realized_annual_volatility_pct": 61.37425898706375, "trading_costs_quote_units": 12257.73280815304, "borrowing_costs_quote_units": 38913.65717106915, "price_pnl_quote_units": 257314.25383417206, "turnover_quote_units": 4085910.9360510167, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -266.28680181857794 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 144218.8371769255, "return_pct": 1342.188371769255, "cagr_pct": 43.98733598578767, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.9215063082281802, "realized_annual_volatility_pct": 53.397631318577666, "trading_costs_quote_units": 3131.1231033284307, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 137349.96028025384, "turnover_quote_units": 1043707.701109478, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 144218.8371769255, "return_pct": 1342.188371769255, "cagr_pct": 43.98733598578767, "max_drawdown_pct": 77.42092712344044, "mean_exposure_while_solvent": 0.9215063082281802, "realized_annual_volatility_pct": 53.397631318577666, "trading_costs_quote_units": 3131.1231033284307, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 137349.96028025384, "turnover_quote_units": 1043707.701109478, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 189514.18367309272, "return_pct": 1795.1418367309273, "cagr_pct": 49.46102123154098, "max_drawdown_pct": 78.40286875795879, "mean_exposure_while_solvent": 1.0968869577108193, "realized_annual_volatility_pct": 61.74029243303837, "trading_costs_quote_units": 12069.811738846496, "borrowing_costs_quote_units": 41910.090279067255, "price_pnl_quote_units": 233494.08569100578, "turnover_quote_units": 4023270.5796155026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 216142.86385495053, "return_pct": 2061.428638549505, "cagr_pct": 52.169560726424116, "max_drawdown_pct": 78.40286875795879, "mean_exposure_while_solvent": 1.0888015548154915, "realized_annual_volatility_pct": 61.37425898706375, "trading_costs_quote_units": 12257.73280815304, "borrowing_costs_quote_units": 38913.65717106915, "price_pnl_quote_units": 257314.25383417206, "turnover_quote_units": 4085910.9360510167, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -266.28680181857794 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 189514.18367309272, "return_pct": 1795.1418367309273, "cagr_pct": 49.46102123154098, "max_drawdown_pct": 78.40286875795879, "mean_exposure_while_solvent": 1.0968869577108193, "realized_annual_volatility_pct": 61.74029243303837, "trading_costs_quote_units": 12069.811738846496, "borrowing_costs_quote_units": 41910.090279067255, "price_pnl_quote_units": 233494.08569100578, "turnover_quote_units": 4023270.5796155026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 216142.86385495053, "return_pct": 2061.428638549505, "cagr_pct": 52.169560726424116, "max_drawdown_pct": 78.40286875795879, "mean_exposure_while_solvent": 1.0888015548154915, "realized_annual_volatility_pct": 61.37425898706375, "trading_costs_quote_units": 12257.73280815304, "borrowing_costs_quote_units": 38913.65717106915, "price_pnl_quote_units": 257314.25383417206, "turnover_quote_units": 4085910.9360510167, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -266.28680181857794 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 122822.79431291143, "return_pct": 1128.2279431291142, "cagr_pct": 40.86311458280916, "max_drawdown_pct": 65.58997961954007, "mean_exposure_while_solvent": 0.7500220845467636, "realized_annual_volatility_pct": 46.17458612200933, "trading_costs_quote_units": 2197.436768048091, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115020.23108095975, "turnover_quote_units": 732478.9226826968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 122822.79431291143, "return_pct": 1128.2279431291142, "cagr_pct": 40.86311458280916, "max_drawdown_pct": 65.58997961954007, "mean_exposure_while_solvent": 0.7500220845467636, "realized_annual_volatility_pct": 46.17458612200933, "trading_costs_quote_units": 2197.436768048091, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115020.23108095975, "turnover_quote_units": 732478.9226826968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 207046.20069034828, "return_pct": 1970.4620069034827, "cagr_pct": 51.27840530451999, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.999937667518544, "realized_annual_volatility_pct": 61.74457446534491, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197076.11095954126, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 207046.20069034828, "return_pct": 1970.4620069034827, "cagr_pct": 51.27840530451999, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.999937667518544, "realized_annual_volatility_pct": 61.74457446534491, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197076.11095954126, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 184858.37946688838, "return_pct": 1748.583794668884, "cagr_pct": 48.95404301060445, "max_drawdown_pct": 86.34400445150453, "mean_exposure_while_solvent": 1.249946315845963, "realized_annual_volatility_pct": 77.49890901633688, "trading_costs_quote_units": 6297.219871667151, "borrowing_costs_quote_units": 44426.12245605968, "price_pnl_quote_units": 225581.72179461576, "turnover_quote_units": 2099073.2905557174, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 184858.37946688838, "return_pct": 1748.583794668884, "cagr_pct": 48.95404301060445, "max_drawdown_pct": 86.34400445150453, "mean_exposure_while_solvent": 1.249946315845963, "realized_annual_volatility_pct": 77.49890901633688, "trading_costs_quote_units": 6297.219871667151, "borrowing_costs_quote_units": 44426.12245605968, "price_pnl_quote_units": 225581.72179461576, "turnover_quote_units": 2099073.2905557174, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 134162.30037213746, "return_pct": 1241.6230037213745, "cagr_pct": 42.57263207708918, "max_drawdown_pct": 92.77075896734954, "mean_exposure_while_solvent": 1.5000492481306396, "realized_annual_volatility_pct": 93.53203413465235, "trading_costs_quote_units": 14287.628921801004, "borrowing_costs_quote_units": 81076.88487187373, "price_pnl_quote_units": 219526.8141658144, "turnover_quote_units": 4762542.973933676, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 134162.30037213746, "return_pct": 1241.6230037213745, "cagr_pct": 42.57263207708918, "max_drawdown_pct": 92.77075896734954, "mean_exposure_while_solvent": 1.5000492481306396, "realized_annual_volatility_pct": 93.53203413465235, "trading_costs_quote_units": 14287.628921801004, "borrowing_costs_quote_units": 81076.88487187373, "price_pnl_quote_units": 219526.8141658144, "turnover_quote_units": 4762542.973933676, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 153266.85271891436, "return_pct": 1432.6685271891438, "cagr_pct": 45.18915092472202, "max_drawdown_pct": 67.17083032910726, "mean_exposure_while_solvent": 0.7896481294486773, "realized_annual_volatility_pct": 43.228787670029575, "trading_costs_quote_units": 13108.449955744874, "borrowing_costs_quote_units": 1975.3996616975705, "price_pnl_quote_units": 158350.70233635584, "turnover_quote_units": 4369483.318581625, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 148829.93223776785, "return_pct": 1388.2993223776784, "cagr_pct": 44.607696422774445, "max_drawdown_pct": 67.17083032910726, "mean_exposure_while_solvent": 0.7909269748157988, "realized_annual_volatility_pct": 43.29861259351031, "trading_costs_quote_units": 12939.129087997759, "borrowing_costs_quote_units": 1972.069219980313, "price_pnl_quote_units": 153741.1305457448, "turnover_quote_units": 4313043.029332581, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 44.36920481146535 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 225487.60730993602, "return_pct": 2154.8760730993604, "cagr_pct": 53.05191491128618, "max_drawdown_pct": 81.71323681890941, "mean_exposure_while_solvent": 1.1160763881319358, "realized_annual_volatility_pct": 61.95351723490584, "trading_costs_quote_units": 20081.816771168855, "borrowing_costs_quote_units": 11687.820029299723, "price_pnl_quote_units": 247257.24411040498, "turnover_quote_units": 6693938.923722975, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 247896.34215171848, "return_pct": 2378.963421517185, "cagr_pct": 55.04564611743425, "max_drawdown_pct": 81.71323681890941, "mean_exposure_while_solvent": 1.1123475525337863, "realized_annual_volatility_pct": 61.78714872492211, "trading_costs_quote_units": 20241.356287303366, "borrowing_costs_quote_units": 11359.717215556024, "price_pnl_quote_units": 269497.41565457865, "turnover_quote_units": 6747118.762434462, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -224.08734841782461 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 198517.23016236993, "return_pct": 1885.1723016236992, "cagr_pct": 50.4116081202372, "max_drawdown_pct": 89.43258267551441, "mean_exposure_while_solvent": 1.3200012831872407, "realized_annual_volatility_pct": 75.90945669902725, "trading_costs_quote_units": 18182.543239948427, "borrowing_costs_quote_units": 18033.04866293351, "price_pnl_quote_units": 224732.82206525299, "turnover_quote_units": 6060847.746649487, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 228678.45325541927, "return_pct": 2186.784532554193, "cagr_pct": 53.34597754186123, "max_drawdown_pct": 89.43258267551441, "mean_exposure_while_solvent": 1.3143453219098027, "realized_annual_volatility_pct": 75.68112194669713, "trading_costs_quote_units": 18952.400408181682, "borrowing_costs_quote_units": 17703.465211618946, "price_pnl_quote_units": 255334.31887522066, "turnover_quote_units": 6317466.802727234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -301.61223093049375 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 134717.2853574223, "return_pct": 1247.1728535742232, "cagr_pct": 42.65305290355673, "max_drawdown_pct": 82.59663119419635, "mean_exposure_while_solvent": 1.1418688763203182, "realized_annual_volatility_pct": 62.6057898693652, "trading_costs_quote_units": 22065.688644357175, "borrowing_costs_quote_units": 8200.393951990543, "price_pnl_quote_units": 154983.36795377088, "turnover_quote_units": 7355229.548119056, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 140698.55149682247, "return_pct": 1306.9855149682248, "cagr_pct": 43.50209395080962, "max_drawdown_pct": 82.59663119419635, "mean_exposure_while_solvent": 1.1398377128863333, "realized_annual_volatility_pct": 62.53408836041373, "trading_costs_quote_units": 22206.15832378634, "borrowing_costs_quote_units": 8083.440028871011, "price_pnl_quote_units": 160988.14984948057, "turnover_quote_units": 7402052.774595444, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2661, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -59.81266139400168 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 244370.86804526666, "return_pct": 2343.7086804526666, "cagr_pct": 54.74257489579362, "max_drawdown_pct": 78.17315835790825, "mean_exposure_while_solvent": 1.0966145441260362, "realized_annual_volatility_pct": 61.72880005439415, "trading_costs_quote_units": 14018.321291691973, "borrowing_costs_quote_units": 12633.889463562049, "price_pnl_quote_units": 261023.07880051932, "turnover_quote_units": 4672773.763897318, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 280301.67595182406, "return_pct": 2703.0167595182406, "cagr_pct": 57.66962474393116, "max_drawdown_pct": 78.17315835790825, "mean_exposure_while_solvent": 1.0885229396880522, "realized_annual_volatility_pct": 61.36172006208125, "trading_costs_quote_units": 14239.82113655303, "borrowing_costs_quote_units": 11701.79696967843, "price_pnl_quote_units": 296243.2940580535, "turnover_quote_units": 4746607.045517679, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -359.308079065574 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 147438.49113697186, "return_pct": 1374.3849113697186, "cagr_pct": 44.4222658445872, "max_drawdown_pct": 77.34572994732758, "mean_exposure_while_solvent": 0.92137607337148, "realized_annual_volatility_pct": 53.458929486519025, "trading_costs_quote_units": 3213.6810040638443, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 140652.1721410355, "turnover_quote_units": 1071227.001354613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 147438.49113697186, "return_pct": 1374.3849113697186, "cagr_pct": 44.4222658445872, "max_drawdown_pct": 77.34572994732758, "mean_exposure_while_solvent": 0.92137607337148, "realized_annual_volatility_pct": 53.458929486519025, "trading_costs_quote_units": 3213.6810040638443, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 140652.1721410355, "turnover_quote_units": 1071227.001354613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 244370.86804526666, "return_pct": 2343.7086804526666, "cagr_pct": 54.74257489579362, "max_drawdown_pct": 78.17315835790825, "mean_exposure_while_solvent": 1.0966145441260362, "realized_annual_volatility_pct": 61.72880005439415, "trading_costs_quote_units": 14018.321291691973, "borrowing_costs_quote_units": 12633.889463562049, "price_pnl_quote_units": 261023.07880051932, "turnover_quote_units": 4672773.763897318, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 280301.67595182406, "return_pct": 2703.0167595182406, "cagr_pct": 57.66962474393116, "max_drawdown_pct": 78.17315835790825, "mean_exposure_while_solvent": 1.0885229396880522, "realized_annual_volatility_pct": 61.36172006208125, "trading_costs_quote_units": 14239.82113655303, "borrowing_costs_quote_units": 11701.79696967843, "price_pnl_quote_units": 296243.2940580535, "turnover_quote_units": 4746607.045517679, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -359.308079065574 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 244370.86804526666, "return_pct": 2343.7086804526666, "cagr_pct": 54.74257489579362, "max_drawdown_pct": 78.17315835790825, "mean_exposure_while_solvent": 1.0966145441260362, "realized_annual_volatility_pct": 61.72880005439415, "trading_costs_quote_units": 14018.321291691973, "borrowing_costs_quote_units": 12633.889463562049, "price_pnl_quote_units": 261023.07880051932, "turnover_quote_units": 4672773.763897318, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 280301.67595182406, "return_pct": 2703.0167595182406, "cagr_pct": 57.66962474393116, "max_drawdown_pct": 78.17315835790825, "mean_exposure_while_solvent": 1.0885229396880522, "realized_annual_volatility_pct": 61.36172006208125, "trading_costs_quote_units": 14239.82113655303, "borrowing_costs_quote_units": 11701.79696967843, "price_pnl_quote_units": 296243.2940580535, "turnover_quote_units": 4746607.045517679, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -359.308079065574 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 123070.5265667043, "return_pct": 1130.705265667043, "cagr_pct": 40.901892002997904, "max_drawdown_pct": 65.47002531448975, "mean_exposure_while_solvent": 0.7499556131609106, "realized_annual_volatility_pct": 46.23546109722782, "trading_costs_quote_units": 2177.5032945987086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115248.02986130369, "turnover_quote_units": 725834.4315329029, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 123070.5265667043, "return_pct": 1130.705265667043, "cagr_pct": 40.901892002997904, "max_drawdown_pct": 65.47002531448975, "mean_exposure_while_solvent": 0.7499556131609106, "realized_annual_volatility_pct": 46.23546109722782, "trading_costs_quote_units": 2177.5032945987086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115248.02986130369, "turnover_quote_units": 725834.4315329029, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 208331.56226916236, "return_pct": 1983.3156226916235, "cagr_pct": 51.4063522358843, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998130025556318, "realized_annual_volatility_pct": 61.7441004713916, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198361.47253835492, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 208331.56226916236, "return_pct": 1983.3156226916235, "cagr_pct": 51.4063522358843, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998130025556318, "realized_annual_volatility_pct": 61.7441004713916, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198361.47253835492, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 247005.61653866753, "return_pct": 2370.0561653866753, "cagr_pct": 54.96942699751539, "max_drawdown_pct": 85.66173557190695, "mean_exposure_while_solvent": 1.2497016801179643, "realized_annual_volatility_pct": 77.34518725380717, "trading_costs_quote_units": 7544.240266797356, "borrowing_costs_quote_units": 13577.65418207061, "price_pnl_quote_units": 258127.51098753625, "turnover_quote_units": 2514746.755599119, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 247005.61653866753, "return_pct": 2370.0561653866753, "cagr_pct": 54.96942699751539, "max_drawdown_pct": 85.66173557190695, "mean_exposure_while_solvent": 1.2497016801179643, "realized_annual_volatility_pct": 77.34518725380717, "trading_costs_quote_units": 7544.240266797356, "borrowing_costs_quote_units": 13577.65418207061, "price_pnl_quote_units": 258127.51098753625, "turnover_quote_units": 2514746.755599119, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 239093.4259564766, "return_pct": 2290.934259564766, "cagr_pct": 54.28176205253641, "max_drawdown_pct": 91.98457007145396, "mean_exposure_while_solvent": 1.4996580382090894, "realized_annual_volatility_pct": 93.06330130852679, "trading_costs_quote_units": 20388.08083854629, "borrowing_costs_quote_units": 29902.059610336182, "price_pnl_quote_units": 279383.566405357, "turnover_quote_units": 6796026.946182112, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 239093.4259564766, "return_pct": 2290.934259564766, "cagr_pct": 54.28176205253641, "max_drawdown_pct": 91.98457007145396, "mean_exposure_while_solvent": 1.4996580382090894, "realized_annual_volatility_pct": 93.06330130852679, "trading_costs_quote_units": 20388.08083854629, "borrowing_costs_quote_units": 29902.059610336182, "price_pnl_quote_units": 279383.566405357, "turnover_quote_units": 6796026.946182112, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 150743.53408395758, "return_pct": 1407.435340839576, "cagr_pct": 44.86028310869015, "max_drawdown_pct": 67.18545583302364, "mean_exposure_while_solvent": 0.7896515515353216, "realized_annual_volatility_pct": 43.228741532948206, "trading_costs_quote_units": 12988.170075403681, "borrowing_costs_quote_units": 3905.470904908987, "price_pnl_quote_units": 157637.17506427085, "turnover_quote_units": 4329390.025134563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 146379.6611270036, "return_pct": 1363.7966112700362, "cagr_pct": 44.28014565881539, "max_drawdown_pct": 67.18545583302364, "mean_exposure_while_solvent": 0.790930396902443, "realized_annual_volatility_pct": 43.298565571535505, "trading_costs_quote_units": 12821.540931010692, "borrowing_costs_quote_units": 3898.9170703253703, "price_pnl_quote_units": 153100.1191283406, "turnover_quote_units": 4273846.977003566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 43.63872956953969 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 209989.58425927264, "return_pct": 1999.8958425927262, "cagr_pct": 51.570391527079984, "max_drawdown_pct": 81.77664795141044, "mean_exposure_while_solvent": 1.116092057782736, "realized_annual_volatility_pct": 61.95415321452875, "trading_costs_quote_units": 19279.525704043994, "borrowing_costs_quote_units": 22224.531339604535, "price_pnl_quote_units": 241493.64130292044, "turnover_quote_units": 6426508.568014656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 231175.45879914623, "return_pct": 2211.7545879914624, "cagr_pct": 53.57363629055707, "max_drawdown_pct": 81.77664795141044, "mean_exposure_while_solvent": 1.1123629359252047, "realized_annual_volatility_pct": 61.78771085182837, "trading_costs_quote_units": 19431.318814003, "borrowing_costs_quote_units": 21612.58048607679, "price_pnl_quote_units": 262219.3580992253, "turnover_quote_units": 6477106.271334327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -211.85874539873612 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 174967.08547480666, "return_pct": 1649.6708547480666, "cagr_pct": 47.8392900533116, "max_drawdown_pct": 89.57822763909233, "mean_exposure_while_solvent": 1.3200297880055323, "realized_annual_volatility_pct": 75.91145492698986, "trading_costs_quote_units": 16973.146842402122, "borrowing_costs_quote_units": 33068.48629246025, "price_pnl_quote_units": 215008.7186096693, "turnover_quote_units": 5657715.614134062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 201971.14404693106, "return_pct": 1919.7114404693107, "cagr_pct": 50.76643078327212, "max_drawdown_pct": 89.57822763909233, "mean_exposure_while_solvent": 1.314373339995416, "realized_annual_volatility_pct": 75.68302537495785, "trading_costs_quote_units": 17661.278475465308, "borrowing_costs_quote_units": 32486.921722523733, "price_pnl_quote_units": 242119.3442449206, "turnover_quote_units": 5887092.825155122, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -270.04058572124404 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 124204.34540718154, "return_pct": 1142.0434540718154, "cagr_pct": 41.07851265816028, "max_drawdown_pct": 82.68744893248056, "mean_exposure_while_solvent": 1.1418869752077336, "realized_annual_volatility_pct": 62.606839886043375, "trading_costs_quote_units": 21119.98709167724, "borrowing_costs_quote_units": 15501.352724665654, "price_pnl_quote_units": 150825.68522352446, "turnover_quote_units": 7039995.69722576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 129815.89096098016, "return_pct": 1198.1589096098016, "cagr_pct": 41.93268011893214, "max_drawdown_pct": 82.68744893248056, "mean_exposure_while_solvent": 1.1398556490725804, "realized_annual_volatility_pct": 62.53510388138807, "trading_costs_quote_units": 21252.044529777057, "borrowing_costs_quote_units": 15285.304941172653, "price_pnl_quote_units": 156353.24043193005, "turnover_quote_units": 7084014.84325903, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2661, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -56.115455537986236 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 229011.03011123283, "return_pct": 2190.110301112328, "cagr_pct": 53.37642300259988, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 1.0966286779854812, "realized_annual_volatility_pct": 61.72940560519301, "trading_costs_quote_units": 13485.439108004502, "borrowing_costs_quote_units": 24132.117698111662, "price_pnl_quote_units": 256628.5869173472, "turnover_quote_units": 4495146.369334834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 263466.3981761192, "return_pct": 2534.6639817611917, "cagr_pct": 56.34118060932687, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 1.0885364267999162, "realized_annual_volatility_pct": 61.36219147960949, "trading_costs_quote_units": 13697.521161727933, "borrowing_costs_quote_units": 22380.85452855509, "price_pnl_quote_units": 289544.77386640076, "turnover_quote_units": 4565840.387242647, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -344.5536806488635 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 147438.49113697186, "return_pct": 1374.3849113697186, "cagr_pct": 44.4222658445872, "max_drawdown_pct": 77.34572994732758, "mean_exposure_while_solvent": 0.92137607337148, "realized_annual_volatility_pct": 53.458929486519025, "trading_costs_quote_units": 3213.6810040638443, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 140652.1721410355, "turnover_quote_units": 1071227.001354613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 147438.49113697186, "return_pct": 1374.3849113697186, "cagr_pct": 44.4222658445872, "max_drawdown_pct": 77.34572994732758, "mean_exposure_while_solvent": 0.92137607337148, "realized_annual_volatility_pct": 53.458929486519025, "trading_costs_quote_units": 3213.6810040638443, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 140652.1721410355, "turnover_quote_units": 1071227.001354613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 229011.03011123283, "return_pct": 2190.110301112328, "cagr_pct": 53.37642300259988, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 1.0966286779854812, "realized_annual_volatility_pct": 61.72940560519301, "trading_costs_quote_units": 13485.439108004502, "borrowing_costs_quote_units": 24132.117698111662, "price_pnl_quote_units": 256628.5869173472, "turnover_quote_units": 4495146.369334834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 263466.3981761192, "return_pct": 2534.6639817611917, "cagr_pct": 56.34118060932687, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 1.0885364267999162, "realized_annual_volatility_pct": 61.36219147960949, "trading_costs_quote_units": 13697.521161727933, "borrowing_costs_quote_units": 22380.85452855509, "price_pnl_quote_units": 289544.77386640076, "turnover_quote_units": 4565840.387242647, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -344.5536806488635 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 229011.03011123283, "return_pct": 2190.110301112328, "cagr_pct": 53.37642300259988, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 1.0966286779854812, "realized_annual_volatility_pct": 61.72940560519301, "trading_costs_quote_units": 13485.439108004502, "borrowing_costs_quote_units": 24132.117698111662, "price_pnl_quote_units": 256628.5869173472, "turnover_quote_units": 4495146.369334834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 263466.3981761192, "return_pct": 2534.6639817611917, "cagr_pct": 56.34118060932687, "max_drawdown_pct": 78.20358389677928, "mean_exposure_while_solvent": 1.0885364267999162, "realized_annual_volatility_pct": 61.36219147960949, "trading_costs_quote_units": 13697.521161727933, "borrowing_costs_quote_units": 22380.85452855509, "price_pnl_quote_units": 289544.77386640076, "turnover_quote_units": 4565840.387242647, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -344.5536806488635 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 123070.5265667043, "return_pct": 1130.705265667043, "cagr_pct": 40.901892002997904, "max_drawdown_pct": 65.47002531448975, "mean_exposure_while_solvent": 0.7499556131609106, "realized_annual_volatility_pct": 46.23546109722782, "trading_costs_quote_units": 2177.5032945987086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115248.02986130369, "turnover_quote_units": 725834.4315329029, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 123070.5265667043, "return_pct": 1130.705265667043, "cagr_pct": 40.901892002997904, "max_drawdown_pct": 65.47002531448975, "mean_exposure_while_solvent": 0.7499556131609106, "realized_annual_volatility_pct": 46.23546109722782, "trading_costs_quote_units": 2177.5032945987086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115248.02986130369, "turnover_quote_units": 725834.4315329029, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 208331.56226916236, "return_pct": 1983.3156226916235, "cagr_pct": 51.4063522358843, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998130025556318, "realized_annual_volatility_pct": 61.7441004713916, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198361.47253835492, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 208331.56226916236, "return_pct": 1983.3156226916235, "cagr_pct": 51.4063522358843, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998130025556318, "realized_annual_volatility_pct": 61.7441004713916, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198361.47253835492, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 225414.0152717836, "return_pct": 2154.1401527178364, "cagr_pct": 53.045090518597334, "max_drawdown_pct": 85.88243503515488, "mean_exposure_while_solvent": 1.2497194964639875, "realized_annual_volatility_pct": 77.34664140677347, "trading_costs_quote_units": 7134.489270755947, "borrowing_costs_quote_units": 25526.00882395563, "price_pnl_quote_units": 248074.51336649517, "turnover_quote_units": 2378163.090251978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 225414.0152717836, "return_pct": 2154.1401527178364, "cagr_pct": 53.045090518597334, "max_drawdown_pct": 85.88243503515488, "mean_exposure_while_solvent": 1.2497194964639875, "realized_annual_volatility_pct": 77.34664140677347, "trading_costs_quote_units": 7134.489270755947, "borrowing_costs_quote_units": 25526.00882395563, "price_pnl_quote_units": 248074.51336649517, "turnover_quote_units": 2378163.090251978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 199104.73209852225, "return_pct": 1891.0473209852223, "cagr_pct": 50.47233684397827, "max_drawdown_pct": 92.30196192343833, "mean_exposure_while_solvent": 1.4997008216353174, "realized_annual_volatility_pct": 93.06683494647478, "trading_costs_quote_units": 18308.101036505814, "borrowing_costs_quote_units": 53003.93054183267, "price_pnl_quote_units": 260416.76367685714, "turnover_quote_units": 6102700.345501947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 199104.73209852225, "return_pct": 1891.0473209852223, "cagr_pct": 50.47233684397827, "max_drawdown_pct": 92.30196192343833, "mean_exposure_while_solvent": 1.4997008216353174, "realized_annual_volatility_pct": 93.06683494647478, "trading_costs_quote_units": 18308.101036505814, "borrowing_costs_quote_units": 53003.93054183267, "price_pnl_quote_units": 260416.76367685714, "turnover_quote_units": 6102700.345501947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 145819.5052018645, "return_pct": 1358.195052018645, "cagr_pct": 44.204600049390336, "max_drawdown_pct": 67.2146938568404, "mean_exposure_while_solvent": 0.7896583969094099, "realized_annual_volatility_pct": 43.22865881912391, "trading_costs_quote_units": 12751.879445337965, "borrowing_costs_quote_units": 7633.0013260999185, "price_pnl_quote_units": 156204.38597330204, "turnover_quote_units": 4250626.481779321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 141598.17790438706, "return_pct": 1315.9817790438706, "cagr_pct": 43.62708848350384, "max_drawdown_pct": 67.2146938568404, "mean_exposure_while_solvent": 0.7909372422765313, "realized_annual_volatility_pct": 43.298481071972326, "trading_costs_quote_units": 12590.507481063682, "borrowing_costs_quote_units": 7620.311698298364, "price_pnl_quote_units": 151808.99708374872, "turnover_quote_units": 4196835.827021226, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 42.21327297477433 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 182107.89670951437, "return_pct": 1721.0789670951438, "cagr_pct": 48.649334559071846, "max_drawdown_pct": 81.90284700895842, "mean_exposure_while_solvent": 1.1161234032682377, "realized_annual_volatility_pct": 61.95544870583283, "trading_costs_quote_units": 17791.652923261136, "borrowing_costs_quote_units": 40205.935419334346, "price_pnl_quote_units": 230105.48505210952, "turnover_quote_units": 5930550.974420376, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 201032.42428339503, "return_pct": 1910.3242428339502, "cagr_pct": 50.67051717794655, "max_drawdown_pct": 81.90284700895842, "mean_exposure_while_solvent": 1.112393708789955, "realized_annual_volatility_pct": 61.78885877072591, "trading_costs_quote_units": 17928.937738917142, "borrowing_costs_quote_units": 39141.5840151647, "price_pnl_quote_units": 248102.94603747662, "turnover_quote_units": 5976312.579639054, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -189.2452757388064 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 135905.69596702006, "return_pct": 1259.0569596702005, "cagr_pct": 42.82430352010525, "max_drawdown_pct": 89.86359411982842, "mean_exposure_while_solvent": 1.3200868093764988, "realized_annual_volatility_pct": 75.91546893490225, "trading_costs_quote_units": 14845.810249021974, "borrowing_costs_quote_units": 55751.635511677865, "price_pnl_quote_units": 196503.14172771937, "turnover_quote_units": 4948603.416340671, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 157537.14989961684, "return_pct": 1475.3714989961684, "cagr_pct": 45.735203283107275, "max_drawdown_pct": 89.86359411982842, "mean_exposure_while_solvent": 1.3144293876884277, "realized_annual_volatility_pct": 75.68685026249648, "trading_costs_quote_units": 15395.496663079022, "borrowing_costs_quote_units": 54846.31622836273, "price_pnl_quote_units": 217778.96279105928, "turnover_quote_units": 5131832.221026344, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2645, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -216.31453932596787 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 105570.23520296757, "return_pct": 955.7023520296756, "cagr_pct": 37.980412504069136, "max_drawdown_pct": 82.86770861729684, "mean_exposure_while_solvent": 1.1419231802795962, "realized_annual_volatility_pct": 62.608965415287955, "trading_costs_quote_units": 19379.522152404894, "borrowing_costs_quote_units": 27723.04324515888, "price_pnl_quote_units": 142672.80060053154, "turnover_quote_units": 6459840.7174682915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 110505.0821250008, "return_pct": 1005.0508212500081, "cagr_pct": 38.84419266183824, "max_drawdown_pct": 82.86770861729684, "mean_exposure_while_solvent": 1.1398915286792046, "realized_annual_volatility_pct": 62.53716047761188, "trading_costs_quote_units": 19496.158580381292, "borrowing_costs_quote_units": 27354.424886763103, "price_pnl_quote_units": 147355.66559214535, "turnover_quote_units": 6498719.52679375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2661, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -49.348469220332504 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 201119.0033936507, "return_pct": 1911.1900339365068, "cagr_pct": 50.67937955959771, "max_drawdown_pct": 78.26432016547565, "mean_exposure_while_solvent": 1.0966569511812758, "realized_annual_volatility_pct": 61.73063870436957, "trading_costs_quote_units": 12492.547609120656, "borrowing_costs_quote_units": 44045.46894620689, "price_pnl_quote_units": 247657.01994897742, "turnover_quote_units": 4164182.5363735547, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 232759.67387495434, "return_pct": 2227.5967387495434, "cagr_pct": 53.71697507576283, "max_drawdown_pct": 78.26432016547565, "mean_exposure_while_solvent": 1.0885634062496687, "realized_annual_volatility_pct": 61.3631561569708, "trading_costs_quote_units": 12686.79198628316, "borrowing_costs_quote_units": 40954.50824068534, "price_pnl_quote_units": 276400.9741019225, "turnover_quote_units": 4228930.66209439, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -316.40670481303664 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 147438.49113697186, "return_pct": 1374.3849113697186, "cagr_pct": 44.4222658445872, "max_drawdown_pct": 77.34572994732758, "mean_exposure_while_solvent": 0.92137607337148, "realized_annual_volatility_pct": 53.458929486519025, "trading_costs_quote_units": 3213.6810040638443, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 140652.1721410355, "turnover_quote_units": 1071227.001354613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 147438.49113697186, "return_pct": 1374.3849113697186, "cagr_pct": 44.4222658445872, "max_drawdown_pct": 77.34572994732758, "mean_exposure_while_solvent": 0.92137607337148, "realized_annual_volatility_pct": 53.458929486519025, "trading_costs_quote_units": 3213.6810040638443, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 140652.1721410355, "turnover_quote_units": 1071227.001354613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1047, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 201119.0033936507, "return_pct": 1911.1900339365068, "cagr_pct": 50.67937955959771, "max_drawdown_pct": 78.26432016547565, "mean_exposure_while_solvent": 1.0966569511812758, "realized_annual_volatility_pct": 61.73063870436957, "trading_costs_quote_units": 12492.547609120656, "borrowing_costs_quote_units": 44045.46894620689, "price_pnl_quote_units": 247657.01994897742, "turnover_quote_units": 4164182.5363735547, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 232759.67387495434, "return_pct": 2227.5967387495434, "cagr_pct": 53.71697507576283, "max_drawdown_pct": 78.26432016547565, "mean_exposure_while_solvent": 1.0885634062496687, "realized_annual_volatility_pct": 61.3631561569708, "trading_costs_quote_units": 12686.79198628316, "borrowing_costs_quote_units": 40954.50824068534, "price_pnl_quote_units": 276400.9741019225, "turnover_quote_units": 4228930.66209439, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -316.40670481303664 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 201119.0033936507, "return_pct": 1911.1900339365068, "cagr_pct": 50.67937955959771, "max_drawdown_pct": 78.26432016547565, "mean_exposure_while_solvent": 1.0966569511812758, "realized_annual_volatility_pct": 61.73063870436957, "trading_costs_quote_units": 12492.547609120656, "borrowing_costs_quote_units": 44045.46894620689, "price_pnl_quote_units": 247657.01994897742, "turnover_quote_units": 4164182.5363735547, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 232759.67387495434, "return_pct": 2227.5967387495434, "cagr_pct": 53.71697507576283, "max_drawdown_pct": 78.26432016547565, "mean_exposure_while_solvent": 1.0885634062496687, "realized_annual_volatility_pct": 61.3631561569708, "trading_costs_quote_units": 12686.79198628316, "borrowing_costs_quote_units": 40954.50824068534, "price_pnl_quote_units": 276400.9741019225, "turnover_quote_units": 4228930.66209439, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2615, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": -316.40670481303664 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 123070.5265667043, "return_pct": 1130.705265667043, "cagr_pct": 40.901892002997904, "max_drawdown_pct": 65.47002531448975, "mean_exposure_while_solvent": 0.7499556131609106, "realized_annual_volatility_pct": 46.23546109722782, "trading_costs_quote_units": 2177.5032945987086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115248.02986130369, "turnover_quote_units": 725834.4315329029, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 123070.5265667043, "return_pct": 1130.705265667043, "cagr_pct": 40.901892002997904, "max_drawdown_pct": 65.47002531448975, "mean_exposure_while_solvent": 0.7499556131609106, "realized_annual_volatility_pct": 46.23546109722782, "trading_costs_quote_units": 2177.5032945987086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115248.02986130369, "turnover_quote_units": 725834.4315329029, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 208331.56226916236, "return_pct": 1983.3156226916235, "cagr_pct": 51.4063522358843, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998130025556318, "realized_annual_volatility_pct": 61.7441004713916, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198361.47253835492, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 208331.56226916236, "return_pct": 1983.3156226916235, "cagr_pct": 51.4063522358843, "max_drawdown_pct": 77.07519595383854, "mean_exposure_while_solvent": 0.9998130025556318, "realized_annual_volatility_pct": 61.7441004713916, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198361.47253835492, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 187718.80318885858, "return_pct": 1777.188031888586, "cagr_pct": 49.26680674167636, "max_drawdown_pct": 86.44067929964582, "mean_exposure_while_solvent": 1.2497551346464852, "realized_annual_volatility_pct": 77.34955065151087, "trading_costs_quote_units": 6392.894256145548, "borrowing_costs_quote_units": 45179.66543808331, "price_pnl_quote_units": 229291.36288308713, "turnover_quote_units": 2130964.752048513, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 187718.80318885858, "return_pct": 1777.188031888586, "cagr_pct": 49.26680674167636, "max_drawdown_pct": 86.44067929964582, "mean_exposure_while_solvent": 1.2497551346464852, "realized_annual_volatility_pct": 77.34955065151087, "trading_costs_quote_units": 6392.894256145548, "borrowing_costs_quote_units": 45179.66543808331, "price_pnl_quote_units": 229291.36288308713, "turnover_quote_units": 2130964.752048513, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 138056.60379398454, "return_pct": 1280.5660379398453, "cagr_pct": 43.130989402599354, "max_drawdown_pct": 92.89970934320773, "mean_exposure_while_solvent": 1.4997864070630902, "realized_annual_volatility_pct": 93.07390515960631, "trading_costs_quote_units": 14870.91202184285, "borrowing_costs_quote_units": 83827.39626400685, "price_pnl_quote_units": 226754.9120798333, "turnover_quote_units": 4956970.6739476165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "native": { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 138056.60379398454, "return_pct": 1280.5660379398453, "cagr_pct": 43.130989402599354, "max_drawdown_pct": 92.89970934320773, "mean_exposure_while_solvent": 1.4997864070630902, "realized_annual_volatility_pct": 93.07390515960631, "trading_costs_quote_units": 14870.91202184285, "borrowing_costs_quote_units": 83827.39626400685, "price_pnl_quote_units": 226754.9120798333, "turnover_quote_units": 4956970.6739476165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2674, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 168877.8888977648, "return_pct": 1588.778888977648, "cagr_pct": 47.12566812136721, "max_drawdown_pct": 66.67573049035539, "mean_exposure_while_solvent": 0.796613233894688, "realized_annual_volatility_pct": 43.1822671023114, "trading_costs_quote_units": 2820.052866192464, "borrowing_costs_quote_units": 2210.402884788518, "price_pnl_quote_units": 163908.3446487448, "turnover_quote_units": 4700088.110320776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 171091.8511104285, "return_pct": 1610.9185111042852, "cagr_pct": 47.38766542327017, "max_drawdown_pct": 66.87484992212522, "mean_exposure_while_solvent": 0.8441324597366153, "realized_annual_volatility_pct": 50.1890070823115, "trading_costs_quote_units": 2956.447751416513, "borrowing_costs_quote_units": 2198.5387724127086, "price_pnl_quote_units": 166246.83763425742, "turnover_quote_units": 4927412.919027513, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -22.139622126637278 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 241344.45918472178, "return_pct": 2313.444591847218, "cagr_pct": 54.47937996533254, "max_drawdown_pct": 81.45800113270654, "mean_exposure_while_solvent": 1.1239859308343887, "realized_annual_volatility_pct": 62.06587833258017, "trading_costs_quote_units": 4190.728679969181, "borrowing_costs_quote_units": 12455.625079899419, "price_pnl_quote_units": 247990.8129445906, "turnover_quote_units": 6984547.799948622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 264585.9281174416, "return_pct": 2545.859281174416, "cagr_pct": 56.43176314225153, "max_drawdown_pct": 81.45800113270654, "mean_exposure_while_solvent": 1.1341589764503537, "realized_annual_volatility_pct": 64.15157926212427, "trading_costs_quote_units": 4518.404987071872, "borrowing_costs_quote_units": 13504.907191177595, "price_pnl_quote_units": 272609.24029568967, "turnover_quote_units": 7530674.978453115, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -232.41468932719818 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 207391.74220389003, "return_pct": 1973.9174220389004, "cagr_pct": 51.31286830700845, "max_drawdown_pct": 89.19350276749906, "mean_exposure_while_solvent": 1.325866366138134, "realized_annual_volatility_pct": 76.35158876665314, "trading_costs_quote_units": 3632.278985831583, "borrowing_costs_quote_units": 18420.414615534264, "price_pnl_quote_units": 219444.43580525712, "turnover_quote_units": 6053798.309719309, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 256739.60040013067, "return_pct": 2467.3960040013067, "cagr_pct": 55.78980246914587, "max_drawdown_pct": 89.19350276749907, "mean_exposure_while_solvent": 1.30406930907267, "realized_annual_volatility_pct": 74.0543042581555, "trading_costs_quote_units": 4306.819678675057, "borrowing_costs_quote_units": 22108.363042616915, "price_pnl_quote_units": 273154.7831214219, "turnover_quote_units": 7178032.797791758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -493.4785819624062 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 165253.80722911967, "return_pct": 1552.5380722911968, "cagr_pct": 46.6903283525297, "max_drawdown_pct": 81.5563535157391, "mean_exposure_while_solvent": 1.149767607775513, "realized_annual_volatility_pct": 62.5633199128552, "trading_costs_quote_units": 5039.267756532868, "borrowing_costs_quote_units": 9732.034857028095, "price_pnl_quote_units": 170025.10984268395, "turnover_quote_units": 8398779.594221443, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 213911.1205056078, "return_pct": 2039.1112050560782, "cagr_pct": 51.953969534263834, "max_drawdown_pct": 81.55635351573906, "mean_exposure_while_solvent": 1.1515490969582292, "realized_annual_volatility_pct": 63.24393297603922, "trading_costs_quote_units": 6377.468119661852, "borrowing_costs_quote_units": 12427.569915786695, "price_pnl_quote_units": 222716.15854105641, "turnover_quote_units": 10629113.532769762, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2504, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -486.5731327648814 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 246373.47101337957, "return_pct": 2363.734710133796, "cagr_pct": 54.91519039535766, "max_drawdown_pct": 78.191573511635, "mean_exposure_while_solvent": 1.1054539518342503, "realized_annual_volatility_pct": 61.88416613847657, "trading_costs_quote_units": 2814.849373175628, "borrowing_costs_quote_units": 12832.563352293042, "price_pnl_quote_units": 252020.8837388504, "turnover_quote_units": 4691415.621959374, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 296803.87569612305, "return_pct": 2868.0387569612303, "cagr_pct": 58.90653126977776, "max_drawdown_pct": 78.51895867148829, "mean_exposure_while_solvent": 1.1371239501892239, "realized_annual_volatility_pct": 65.5776699554697, "trading_costs_quote_units": 3199.6343850208477, "borrowing_costs_quote_units": 15232.342418093718, "price_pnl_quote_units": 305235.85249923886, "turnover_quote_units": 5332723.97503475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -504.3040468274344 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 153434.31073098813, "return_pct": 1434.3431073098814, "cagr_pct": 45.210810153844875, "max_drawdown_pct": 77.24182928607722, "mean_exposure_while_solvent": 0.9240563624781482, "realized_annual_volatility_pct": 53.161887520784866, "trading_costs_quote_units": 634.4720785086778, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 144068.78280949703, "turnover_quote_units": 1057453.464181131, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1016, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 179835.39743795188, "return_pct": 1698.3539743795188, "cagr_pct": 48.39456628243844, "max_drawdown_pct": 77.2418292860772, "mean_exposure_while_solvent": 0.9463295076056977, "realized_annual_volatility_pct": 56.57566920515048, "trading_costs_quote_units": 719.9132079989076, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 170555.31064594985, "turnover_quote_units": 1199855.3466648485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 768, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -264.01086706963747 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 247098.88937145012, "return_pct": 2370.9888937145015, "cagr_pct": 54.977419439104594, "max_drawdown_pct": 78.19157351163497, "mean_exposure_while_solvent": 1.1097584430123735, "realized_annual_volatility_pct": 62.43977680088524, "trading_costs_quote_units": 2816.4124425900395, "borrowing_costs_quote_units": 12870.209125472922, "price_pnl_quote_units": 252785.51093951488, "turnover_quote_units": 4694020.737650061, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2606, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 296803.87569612305, "return_pct": 2868.0387569612303, "cagr_pct": 58.90653126977776, "max_drawdown_pct": 78.51895867148829, "mean_exposure_while_solvent": 1.1371239501892239, "realized_annual_volatility_pct": 65.5776699554697, "trading_costs_quote_units": 3199.6343850208477, "borrowing_costs_quote_units": 15232.342418093718, "price_pnl_quote_units": 305235.85249923886, "turnover_quote_units": 5332723.97503475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -497.0498632467288 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 246373.47101337957, "return_pct": 2363.734710133796, "cagr_pct": 54.91519039535766, "max_drawdown_pct": 78.191573511635, "mean_exposure_while_solvent": 1.1054539518342503, "realized_annual_volatility_pct": 61.88416613847657, "trading_costs_quote_units": 2814.849373175628, "borrowing_costs_quote_units": 12832.563352293042, "price_pnl_quote_units": 252020.8837388504, "turnover_quote_units": 4691415.621959374, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 296803.87569612305, "return_pct": 2868.0387569612303, "cagr_pct": 58.90653126977776, "max_drawdown_pct": 78.51895867148829, "mean_exposure_while_solvent": 1.1371239501892239, "realized_annual_volatility_pct": 65.5776699554697, "trading_costs_quote_units": 3199.6343850208477, "borrowing_costs_quote_units": 15232.342418093718, "price_pnl_quote_units": 305235.85249923886, "turnover_quote_units": 5332723.97503475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -504.3040468274344 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 126412.03597522023, "return_pct": 1164.1203597522024, "cagr_pct": 41.418458284952834, "max_drawdown_pct": 65.41559217625017, "mean_exposure_while_solvent": 0.7500122583506229, "realized_annual_volatility_pct": 45.75321774447595, "trading_costs_quote_units": 443.10758759672086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116855.14356281713, "turnover_quote_units": 738512.6459945347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 126412.03597522023, "return_pct": 1164.1203597522024, "cagr_pct": 41.418458284952834, "max_drawdown_pct": 65.41559217625017, "mean_exposure_while_solvent": 0.7500122583506229, "realized_annual_volatility_pct": 45.75321774447595, "trading_costs_quote_units": 443.10758759672086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116855.14356281713, "turnover_quote_units": 738512.6459945347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 208208.03603011722, "return_pct": 1982.0803603011723, "cagr_pct": 51.39408588656931, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9999376013977287, "realized_annual_volatility_pct": 61.19489683321977, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198214.03243227548, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 208208.03603011722, "return_pct": 1982.0803603011723, "cagr_pct": 51.39408588656931, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9999376013977287, "realized_annual_volatility_pct": 61.19489683321977, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198214.03243227548, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 256514.5461164101, "return_pct": 2465.145461164101, "cagr_pct": 55.771140659907225, "max_drawdown_pct": 85.4327397058566, "mean_exposure_while_solvent": 1.2499082398747015, "realized_annual_volatility_pct": 76.82446508234464, "trading_costs_quote_units": 1522.9505588434442, "borrowing_costs_quote_units": 13796.398430202056, "price_pnl_quote_units": 261833.89510545105, "turnover_quote_units": 2538250.931405739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 256514.5461164101, "return_pct": 2465.145461164101, "cagr_pct": 55.771140659907225, "max_drawdown_pct": 85.4327397058566, "mean_exposure_while_solvent": 1.2499082398747015, "realized_annual_volatility_pct": 76.82446508234464, "trading_costs_quote_units": 1522.9505588434442, "borrowing_costs_quote_units": 13796.398430202056, "price_pnl_quote_units": 261833.89510545105, "turnover_quote_units": 2538250.931405739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 261186.6907246694, "return_pct": 2511.866907246694, "cagr_pct": 56.15569460862873, "max_drawdown_pct": 91.57443459350226, "mean_exposure_while_solvent": 1.4999571120610722, "realized_annual_volatility_pct": 92.74426991531085, "trading_costs_quote_units": 4186.622058542864, "borrowing_costs_quote_units": 31246.891981813445, "price_pnl_quote_units": 286620.20476502494, "turnover_quote_units": 6977703.430904774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 261186.6907246694, "return_pct": 2511.866907246694, "cagr_pct": 56.15569460862873, "max_drawdown_pct": 91.57443459350226, "mean_exposure_while_solvent": 1.4999571120610722, "realized_annual_volatility_pct": 92.74426991531085, "trading_costs_quote_units": 4186.622058542864, "borrowing_costs_quote_units": 31246.891981813445, "price_pnl_quote_units": 286620.20476502494, "turnover_quote_units": 6977703.430904774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 165992.8238221266, "return_pct": 1559.928238221266, "cagr_pct": 46.77976657737257, "max_drawdown_pct": 66.69072582004985, "mean_exposure_while_solvent": 0.7966168029869956, "realized_annual_volatility_pct": 43.18225096504585, "trading_costs_quote_units": 2792.7293660271694, "borrowing_costs_quote_units": 4367.891456531552, "price_pnl_quote_units": 163153.444644685, "turnover_quote_units": 4654548.94337863, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 168458.95744529433, "return_pct": 1584.5895744529432, "cagr_pct": 47.07575898296091, "max_drawdown_pct": 66.88975565161014, "mean_exposure_while_solvent": 0.8441356422449751, "realized_annual_volatility_pct": 50.189132226730706, "trading_costs_quote_units": 2933.366389027565, "borrowing_costs_quote_units": 4351.058166296445, "price_pnl_quote_units": 165743.38200061925, "turnover_quote_units": 4888943.981712614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -24.661336231677296 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 224342.9433603643, "return_pct": 2143.429433603643, "cagr_pct": 52.94554869865422, "max_drawdown_pct": 81.52338990337874, "mean_exposure_while_solvent": 1.1240020664348611, "realized_annual_volatility_pct": 62.06680126690419, "trading_costs_quote_units": 4015.8297525643075, "borrowing_costs_quote_units": 23646.410587347214, "price_pnl_quote_units": 242005.18370027508, "turnover_quote_units": 6693049.587607182, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 247034.9004760717, "return_pct": 2370.349004760717, "cagr_pct": 54.971936584964354, "max_drawdown_pct": 81.5233899033787, "mean_exposure_while_solvent": 1.1341741511920207, "realized_annual_volatility_pct": 64.152445508107, "trading_costs_quote_units": 4345.9631218445575, "borrowing_costs_quote_units": 25738.092642240208, "price_pnl_quote_units": 267118.9562401571, "turnover_quote_units": 7243271.869740924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -226.9195711570742 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 182504.16872670356, "return_pct": 1725.0416872670357, "cagr_pct": 48.69347898521896, "max_drawdown_pct": 89.34476982698388, "mean_exposure_while_solvent": 1.3258953992035283, "realized_annual_volatility_pct": 76.35419820554274, "trading_costs_quote_units": 3385.4040208584615, "borrowing_costs_quote_units": 33723.95367235384, "price_pnl_quote_units": 209613.52641991532, "turnover_quote_units": 5642340.034764112, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 228293.77532080893, "return_pct": 2182.9377532080894, "cagr_pct": 53.31071481386904, "max_drawdown_pct": 89.34476982698388, "mean_exposure_while_solvent": 1.3040960745350538, "realized_annual_volatility_pct": 74.05627706550065, "trading_costs_quote_units": 4045.7986959997015, "borrowing_costs_quote_units": 40805.263470347214, "price_pnl_quote_units": 263144.837487156, "turnover_quote_units": 6742997.826666169, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -457.8960659410536 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 152070.87577327935, "return_pct": 1420.7087577327934, "cagr_pct": 45.03386494034583, "max_drawdown_pct": 81.65361620948613, "mean_exposure_while_solvent": 1.149786279125748, "realized_annual_volatility_pct": 62.56460402664506, "trading_costs_quote_units": 4811.185089954971, "borrowing_costs_quote_units": 18362.45436859575, "price_pnl_quote_units": 165244.515231831, "turnover_quote_units": 8018641.816591618, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 197438.4107045175, "return_pct": 1874.3841070451751, "cagr_pct": 50.29968780497074, "max_drawdown_pct": 81.65361620948613, "mean_exposure_while_solvent": 1.151567086969712, "realized_annual_volatility_pct": 63.24513555439658, "trading_costs_quote_units": 6101.6922741030585, "borrowing_costs_quote_units": 23502.298882847612, "price_pnl_quote_units": 217042.40186146428, "turnover_quote_units": 10169487.123505104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2504, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -453.67534931238174 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 230424.41989474196, "return_pct": 2204.2441989474196, "cagr_pct": 53.505386210456706, "max_drawdown_pct": 78.22334952394844, "mean_exposure_while_solvent": 1.1054685734011698, "realized_annual_volatility_pct": 61.8850287506151, "trading_costs_quote_units": 2703.1996624601366, "borrowing_costs_quote_units": 24472.054572614365, "price_pnl_quote_units": 247599.67412981915, "turnover_quote_units": 4505332.7707669, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 279487.3260890069, "return_pct": 2694.873260890069, "cagr_pct": 57.60697279390152, "max_drawdown_pct": 78.55025766658656, "mean_exposure_while_solvent": 1.1371370951701625, "realized_annual_volatility_pct": 65.5783899279706, "trading_costs_quote_units": 3087.716298708274, "borrowing_costs_quote_units": 29228.210971868095, "price_pnl_quote_units": 301803.25335958257, "turnover_quote_units": 5146193.831180438, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -490.6290619426495 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 153434.31073098813, "return_pct": 1434.3431073098814, "cagr_pct": 45.210810153844875, "max_drawdown_pct": 77.24182928607722, "mean_exposure_while_solvent": 0.9240563624781482, "realized_annual_volatility_pct": 53.161887520784866, "trading_costs_quote_units": 634.4720785086778, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 144068.78280949703, "turnover_quote_units": 1057453.464181131, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1016, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 179835.39743795188, "return_pct": 1698.3539743795188, "cagr_pct": 48.39456628243844, "max_drawdown_pct": 77.2418292860772, "mean_exposure_while_solvent": 0.9463295076056977, "realized_annual_volatility_pct": 56.57566920515048, "trading_costs_quote_units": 719.9132079989076, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 170555.31064594985, "turnover_quote_units": 1199855.3466648485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 768, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -264.01086706963747 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 231102.87810557074, "return_pct": 2211.0287810557074, "cagr_pct": 53.567048939395704, "max_drawdown_pct": 78.22334952394844, "mean_exposure_while_solvent": 1.109773064579293, "realized_annual_volatility_pct": 62.44063200636527, "trading_costs_quote_units": 2704.4580003594283, "borrowing_costs_quote_units": 24543.833790752124, "price_pnl_quote_units": 248351.16989668188, "turnover_quote_units": 4507430.0005990425, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2606, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 279487.3260890069, "return_pct": 2694.873260890069, "cagr_pct": 57.60697279390152, "max_drawdown_pct": 78.55025766658656, "mean_exposure_while_solvent": 1.1371370951701625, "realized_annual_volatility_pct": 65.5783899279706, "trading_costs_quote_units": 3087.716298708274, "borrowing_costs_quote_units": 29228.210971868095, "price_pnl_quote_units": 301803.25335958257, "turnover_quote_units": 5146193.831180438, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -483.84447983436166 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 230424.41989474196, "return_pct": 2204.2441989474196, "cagr_pct": 53.505386210456706, "max_drawdown_pct": 78.22334952394844, "mean_exposure_while_solvent": 1.1054685734011698, "realized_annual_volatility_pct": 61.8850287506151, "trading_costs_quote_units": 2703.1996624601366, "borrowing_costs_quote_units": 24472.054572614365, "price_pnl_quote_units": 247599.67412981915, "turnover_quote_units": 4505332.7707669, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 279487.3260890069, "return_pct": 2694.873260890069, "cagr_pct": 57.60697279390152, "max_drawdown_pct": 78.55025766658656, "mean_exposure_while_solvent": 1.1371370951701625, "realized_annual_volatility_pct": 65.5783899279706, "trading_costs_quote_units": 3087.716298708274, "borrowing_costs_quote_units": 29228.210971868095, "price_pnl_quote_units": 301803.25335958257, "turnover_quote_units": 5146193.831180438, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -490.6290619426495 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 126412.03597522023, "return_pct": 1164.1203597522024, "cagr_pct": 41.418458284952834, "max_drawdown_pct": 65.41559217625017, "mean_exposure_while_solvent": 0.7500122583506229, "realized_annual_volatility_pct": 45.75321774447595, "trading_costs_quote_units": 443.10758759672086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116855.14356281713, "turnover_quote_units": 738512.6459945347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 126412.03597522023, "return_pct": 1164.1203597522024, "cagr_pct": 41.418458284952834, "max_drawdown_pct": 65.41559217625017, "mean_exposure_while_solvent": 0.7500122583506229, "realized_annual_volatility_pct": 45.75321774447595, "trading_costs_quote_units": 443.10758759672086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116855.14356281713, "turnover_quote_units": 738512.6459945347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 208208.03603011722, "return_pct": 1982.0803603011723, "cagr_pct": 51.39408588656931, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9999376013977287, "realized_annual_volatility_pct": 61.19489683321977, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198214.03243227548, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 208208.03603011722, "return_pct": 1982.0803603011723, "cagr_pct": 51.39408588656931, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9999376013977287, "realized_annual_volatility_pct": 61.19489683321977, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198214.03243227548, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 234089.29194041953, "return_pct": 2240.8929194041953, "cagr_pct": 53.83662939251759, "max_drawdown_pct": 85.62097832887285, "mean_exposure_while_solvent": 1.249926186908407, "realized_annual_volatility_pct": 76.82612751620329, "trading_costs_quote_units": 1439.3383109070155, "borrowing_costs_quote_units": 25929.054904458346, "price_pnl_quote_units": 251457.68515578425, "turnover_quote_units": 2398897.1848450303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 234089.29194041953, "return_pct": 2240.8929194041953, "cagr_pct": 53.83662939251759, "max_drawdown_pct": 85.62097832887285, "mean_exposure_while_solvent": 1.249926186908407, "realized_annual_volatility_pct": 76.82612751620329, "trading_costs_quote_units": 1439.3383109070155, "borrowing_costs_quote_units": 25929.054904458346, "price_pnl_quote_units": 251457.68515578425, "turnover_quote_units": 2398897.1848450303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 217499.4529487295, "return_pct": 2074.994529487295, "cagr_pct": 52.29967272889318, "max_drawdown_pct": 91.90784268433924, "mean_exposure_while_solvent": 1.5000002126004097, "realized_annual_volatility_pct": 92.74837895950697, "trading_costs_quote_units": 3749.5901626255663, "borrowing_costs_quote_units": 55300.55013127327, "price_pnl_quote_units": 266549.5932426298, "turnover_quote_units": 6249316.9377092635, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 217499.4529487295, "return_pct": 2074.994529487295, "cagr_pct": 52.29967272889318, "max_drawdown_pct": 91.90784268433924, "mean_exposure_while_solvent": 1.5000002126004097, "realized_annual_volatility_pct": 92.74837895950697, "trading_costs_quote_units": 3749.5901626255663, "borrowing_costs_quote_units": 55300.55013127327, "price_pnl_quote_units": 266549.5932426298, "turnover_quote_units": 6249316.9377092635, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 160368.36007147282, "return_pct": 1503.6836007147283, "cagr_pct": 46.090232714778956, "max_drawdown_pct": 66.7207029763061, "mean_exposure_while_solvent": 0.7966239424318127, "realized_annual_volatility_pct": 43.18222900703717, "trading_costs_quote_units": 2739.0773250289753, "borrowing_costs_quote_units": 8528.22878368273, "price_pnl_quote_units": 161635.6661801845, "turnover_quote_units": 4565128.875048293, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 163312.86326871853, "return_pct": 1533.1286326871855, "cagr_pct": 46.453773697132576, "max_drawdown_pct": 66.91955368813157, "mean_exposure_while_solvent": 0.8441420083674942, "realized_annual_volatility_pct": 50.189390386187185, "trading_costs_quote_units": 2887.9576034179113, "borrowing_costs_quote_units": 8521.192387811227, "price_pnl_quote_units": 164722.01325994724, "turnover_quote_units": 4813262.672363188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -29.445031972457173 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 193840.97027419228, "return_pct": 1838.4097027419227, "cagr_pct": 49.922621686275235, "max_drawdown_pct": 81.65350681103875, "mean_exposure_while_solvent": 1.1240343440321268, "realized_annual_volatility_pct": 62.06867080644767, "trading_costs_quote_units": 3692.2558799225344, "borrowing_costs_quote_units": 42641.85271035862, "price_pnl_quote_units": 230175.07886447557, "turnover_quote_units": 6153759.7998709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 215340.36918237034, "return_pct": 2053.4036918237034, "cagr_pct": 52.092260266681365, "max_drawdown_pct": 81.65350681103878, "mean_exposure_while_solvent": 1.1342045067016122, "realized_annual_volatility_pct": 64.15420089516346, "trading_costs_quote_units": 4025.363036563698, "borrowing_costs_quote_units": 46772.198215173456, "price_pnl_quote_units": 256137.93043410816, "turnover_quote_units": 6708938.394272825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -214.99398908178068 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 141320.4258918325, "return_pct": 1313.204258918325, "cagr_pct": 43.5885708274192, "max_drawdown_pct": 89.6410546952667, "mean_exposure_while_solvent": 1.3259534774169717, "realized_annual_volatility_pct": 76.35943443100655, "trading_costs_quote_units": 2952.056184175153, "borrowing_costs_quote_units": 56674.83309946431, "price_pnl_quote_units": 190947.31517547058, "turnover_quote_units": 4920093.640291935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 180496.3006346001, "return_pct": 1704.963006346001, "cagr_pct": 48.46894498073288, "max_drawdown_pct": 89.6410546952667, "mean_exposure_while_solvent": 1.3041496166523086, "realized_annual_volatility_pct": 74.06024360116761, "trading_costs_quote_units": 3582.8404309156936, "borrowing_costs_quote_units": 69665.71887441936, "price_pnl_quote_units": 243744.85993993317, "turnover_quote_units": 5971400.718192804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -391.7587474276761 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 128770.19163023129, "return_pct": 1187.7019163023128, "cagr_pct": 41.77595722022126, "max_drawdown_pct": 81.846651718271, "mean_exposure_while_solvent": 1.1498236294803608, "realized_annual_volatility_pct": 62.56719809809618, "trading_costs_quote_units": 4392.682969494369, "borrowing_costs_quote_units": 32718.623250412817, "price_pnl_quote_units": 155881.4978501379, "turnover_quote_units": 7321138.282490649, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 168193.4529866549, "return_pct": 1581.9345298665492, "cagr_pct": 47.04407276691908, "max_drawdown_pct": 81.84665171827102, "mean_exposure_while_solvent": 1.1516030743634231, "realized_annual_volatility_pct": 63.24756624739675, "trading_costs_quote_units": 5594.124068183211, "borrowing_costs_quote_units": 42065.56822596829, "price_pnl_quote_units": 205853.145280806, "turnover_quote_units": 9323540.113638686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2504, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -394.2326135642363 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 201549.96260331004, "return_pct": 1915.4996260331004, "cagr_pct": 50.72344431642084, "max_drawdown_pct": 78.28677564281497, "mean_exposure_while_solvent": 1.1054978222262462, "realized_annual_volatility_pct": 61.886775998570776, "trading_costs_quote_units": 2495.3667556049622, "borrowing_costs_quote_units": 44523.329805967376, "price_pnl_quote_units": 238568.65916488448, "turnover_quote_units": 4158944.5926749352, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 247818.54851216933, "return_pct": 2378.1854851216935, "cagr_pct": 55.03899877148564, "max_drawdown_pct": 78.61273164110311, "mean_exposure_while_solvent": 1.1371633902579006, "realized_annual_volatility_pct": 65.57985028005193, "trading_costs_quote_units": 2877.791952327468, "borrowing_costs_quote_units": 53832.4859723901, "price_pnl_quote_units": 294528.8264368884, "turnover_quote_units": 4796319.920545778, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -462.68585908859313 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 153434.31073098813, "return_pct": 1434.3431073098814, "cagr_pct": 45.210810153844875, "max_drawdown_pct": 77.24182928607722, "mean_exposure_while_solvent": 0.9240563624781482, "realized_annual_volatility_pct": 53.161887520784866, "trading_costs_quote_units": 634.4720785086778, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 144068.78280949703, "turnover_quote_units": 1057453.464181131, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1016, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 179835.39743795188, "return_pct": 1698.3539743795188, "cagr_pct": 48.39456628243844, "max_drawdown_pct": 77.2418292860772, "mean_exposure_while_solvent": 0.9463295076056977, "realized_annual_volatility_pct": 56.57566920515048, "trading_costs_quote_units": 719.9132079989076, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 170555.31064594985, "turnover_quote_units": 1199855.3466648485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 768, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -264.01086706963747 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 202143.40329454758, "return_pct": 1921.4340329454758, "cagr_pct": 50.78398954627279, "max_drawdown_pct": 78.28677564281496, "mean_exposure_while_solvent": 1.1098023134043693, "realized_annual_volatility_pct": 62.44236424579467, "trading_costs_quote_units": 2496.060922910984, "borrowing_costs_quote_units": 44653.87390020977, "price_pnl_quote_units": 239293.3381176685, "turnover_quote_units": 4160101.538184964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2606, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 247818.54851216933, "return_pct": 2378.1854851216935, "cagr_pct": 55.03899877148564, "max_drawdown_pct": 78.61273164110311, "mean_exposure_while_solvent": 1.1371633902579006, "realized_annual_volatility_pct": 65.57985028005193, "trading_costs_quote_units": 2877.791952327468, "borrowing_costs_quote_units": 53832.4859723901, "price_pnl_quote_units": 294528.8264368884, "turnover_quote_units": 4796319.920545778, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -456.75145217621775 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 201549.96260331004, "return_pct": 1915.4996260331004, "cagr_pct": 50.72344431642084, "max_drawdown_pct": 78.28677564281497, "mean_exposure_while_solvent": 1.1054978222262462, "realized_annual_volatility_pct": 61.886775998570776, "trading_costs_quote_units": 2495.3667556049622, "borrowing_costs_quote_units": 44523.329805967376, "price_pnl_quote_units": 238568.65916488448, "turnover_quote_units": 4158944.5926749352, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 247818.54851216933, "return_pct": 2378.1854851216935, "cagr_pct": 55.03899877148564, "max_drawdown_pct": 78.61273164110311, "mean_exposure_while_solvent": 1.1371633902579006, "realized_annual_volatility_pct": 65.57985028005193, "trading_costs_quote_units": 2877.791952327468, "borrowing_costs_quote_units": 53832.4859723901, "price_pnl_quote_units": 294528.8264368884, "turnover_quote_units": 4796319.920545778, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -462.68585908859313 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 126412.03597522023, "return_pct": 1164.1203597522024, "cagr_pct": 41.418458284952834, "max_drawdown_pct": 65.41559217625017, "mean_exposure_while_solvent": 0.7500122583506229, "realized_annual_volatility_pct": 45.75321774447595, "trading_costs_quote_units": 443.10758759672086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116855.14356281713, "turnover_quote_units": 738512.6459945347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 126412.03597522023, "return_pct": 1164.1203597522024, "cagr_pct": 41.418458284952834, "max_drawdown_pct": 65.41559217625017, "mean_exposure_while_solvent": 0.7500122583506229, "realized_annual_volatility_pct": 45.75321774447595, "trading_costs_quote_units": 443.10758759672086, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116855.14356281713, "turnover_quote_units": 738512.6459945347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 208208.03603011722, "return_pct": 1982.0803603011723, "cagr_pct": 51.39408588656931, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9999376013977287, "realized_annual_volatility_pct": 61.19489683321977, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198214.03243227548, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 208208.03603011722, "return_pct": 1982.0803603011723, "cagr_pct": 51.39408588656931, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9999376013977287, "realized_annual_volatility_pct": 61.19489683321977, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 198214.03243227548, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 194940.5699224892, "return_pct": 1849.4056992248923, "cagr_pct": 50.03851302296771, "max_drawdown_pct": 86.14346732642451, "mean_exposure_while_solvent": 1.2499620866003334, "realized_annual_volatility_pct": 76.82945304629283, "trading_costs_quote_units": 1288.0432899253794, "borrowing_costs_quote_units": 45863.56161155789, "price_pnl_quote_units": 232092.1748239733, "turnover_quote_units": 2146738.8165423013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 194940.5699224892, "return_pct": 1849.4056992248923, "cagr_pct": 50.03851302296771, "max_drawdown_pct": 86.14346732642451, "mean_exposure_while_solvent": 1.2499620866003334, "realized_annual_volatility_pct": 76.82945304629283, "trading_costs_quote_units": 1288.0432899253794, "borrowing_costs_quote_units": 45863.56161155789, "price_pnl_quote_units": 232092.1748239733, "turnover_quote_units": 2146738.8165423013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 150808.93624351756, "return_pct": 1408.0893624351756, "cagr_pct": 44.868866863202115, "max_drawdown_pct": 92.5357743855931, "mean_exposure_while_solvent": 1.5000864327005698, "realized_annual_volatility_pct": 92.7565995258292, "trading_costs_quote_units": 3029.350413609515, "borrowing_costs_quote_units": 87174.37007601, "price_pnl_quote_units": 231012.6567331365, "turnover_quote_units": 5048917.356015865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 150808.93624351756, "return_pct": 1408.0893624351756, "cagr_pct": 44.868866863202115, "max_drawdown_pct": 92.5357743855931, "mean_exposure_while_solvent": 1.5000864327005698, "realized_annual_volatility_pct": 92.7565995258292, "trading_costs_quote_units": 3029.350413609515, "borrowing_costs_quote_units": 87174.37007601, "price_pnl_quote_units": 231012.6567331365, "turnover_quote_units": 5048917.356015865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 175821.7187596123, "return_pct": 1658.217187596123, "cagr_pct": 47.93772634340468, "max_drawdown_pct": 66.65948327595763, "mean_exposure_while_solvent": 0.7964758581290392, "realized_annual_volatility_pct": 43.33399402838513, "trading_costs_quote_units": 2895.0055160751585, "borrowing_costs_quote_units": 2281.4898922544735, "price_pnl_quote_units": 170998.2141679425, "turnover_quote_units": 4825009.1934586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 171970.95994997723, "return_pct": 1619.7095994997724, "cagr_pct": 47.490886649685244, "max_drawdown_pct": 66.85775652720272, "mean_exposure_while_solvent": 0.8439957838565223, "realized_annual_volatility_pct": 50.27360295840414, "trading_costs_quote_units": 2929.9398099049567, "borrowing_costs_quote_units": 2193.243721717282, "price_pnl_quote_units": 167094.14348160045, "turnover_quote_units": 4883233.016508257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 38.50758809635067 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 263724.21306484315, "return_pct": 2537.2421306484316, "cagr_pct": 56.36207013834316, "max_drawdown_pct": 81.35132738000658, "mean_exposure_while_solvent": 1.1236818572571055, "realized_annual_volatility_pct": 62.132084493529035, "trading_costs_quote_units": 4483.470693751628, "borrowing_costs_quote_units": 13465.612879998489, "price_pnl_quote_units": 271673.29663859296, "turnover_quote_units": 7472451.156252704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 264487.12906814436, "return_pct": 2544.8712906814435, "cagr_pct": 56.423782517811524, "max_drawdown_pct": 81.35132738000657, "mean_exposure_while_solvent": 1.1338689633674524, "realized_annual_volatility_pct": 64.25931793000169, "trading_costs_quote_units": 4436.533336943165, "borrowing_costs_quote_units": 13382.92732160472, "price_pnl_quote_units": 272306.5897266911, "turnover_quote_units": 7394222.228238612, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -7.629160033011885 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 231268.13932211723, "return_pct": 2212.6813932211726, "cagr_pct": 53.58204528672059, "max_drawdown_pct": 89.22527971401693, "mean_exposure_while_solvent": 1.3255474807132783, "realized_annual_volatility_pct": 75.967992320587, "trading_costs_quote_units": 3976.6693857103337, "borrowing_costs_quote_units": 20411.641283960817, "price_pnl_quote_units": 245656.4499917876, "turnover_quote_units": 6627782.309517223, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 244749.9225592438, "return_pct": 2347.499225592438, "cagr_pct": 54.77534118943641, "max_drawdown_pct": 89.22527971401693, "mean_exposure_while_solvent": 1.3037996943474854, "realized_annual_volatility_pct": 74.17580310290411, "trading_costs_quote_units": 4060.7239592929304, "borrowing_costs_quote_units": 21032.6841387579, "price_pnl_quote_units": 259843.3306572964, "turnover_quote_units": 6767873.265488226, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -134.81783237126547 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 175526.34342993307, "return_pct": 1655.2634342993308, "cagr_pct": 47.90375194990152, "max_drawdown_pct": 81.96231796997205, "mean_exposure_while_solvent": 1.1494619486947644, "realized_annual_volatility_pct": 62.73989614549047, "trading_costs_quote_units": 5272.032237040183, "borrowing_costs_quote_units": 10269.516237684436, "price_pnl_quote_units": 181067.89190465826, "turnover_quote_units": 8786720.39506697, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 223430.33578931342, "return_pct": 2134.3033578931345, "cagr_pct": 52.860409743011935, "max_drawdown_pct": 81.9623179699721, "mean_exposure_while_solvent": 1.151256787658518, "realized_annual_volatility_pct": 63.42436535196799, "trading_costs_quote_units": 6583.017204388436, "borrowing_costs_quote_units": 12915.936598294036, "price_pnl_quote_units": 232929.28959199708, "turnover_quote_units": 10971695.340647386, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -479.0399235938037 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 271994.47170872666, "return_pct": 2619.944717087267, "cagr_pct": 57.02299234126165, "max_drawdown_pct": 78.029176327169, "mean_exposure_while_solvent": 1.1052606099038371, "realized_annual_volatility_pct": 61.84329154630663, "trading_costs_quote_units": 3026.010912346431, "borrowing_costs_quote_units": 14026.718737954947, "price_pnl_quote_units": 279047.2013590256, "turnover_quote_units": 5043351.520577377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 304614.9123435713, "return_pct": 2946.149123435713, "cagr_pct": 59.4714090731165, "max_drawdown_pct": 78.39543376480798, "mean_exposure_while_solvent": 1.1369724215065766, "realized_annual_volatility_pct": 65.61852485169446, "trading_costs_quote_units": 3196.271238202378, "borrowing_costs_quote_units": 15498.828183658763, "price_pnl_quote_units": 313310.0117654325, "turnover_quote_units": 5327118.730337302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -326.20440634844635 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 159208.37636030742, "return_pct": 1492.0837636030742, "cagr_pct": 45.94543210542597, "max_drawdown_pct": 77.16417880852828, "mean_exposure_while_solvent": 0.9239391656935397, "realized_annual_volatility_pct": 53.232282060555455, "trading_costs_quote_units": 660.463678901892, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 149868.8400392099, "turnover_quote_units": 1100772.7981698194, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1022, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 174153.47554757862, "return_pct": 1641.5347554757861, "cagr_pct": 47.745192332148285, "max_drawdown_pct": 77.16417880852826, "mean_exposure_while_solvent": 0.9462341751690058, "realized_annual_volatility_pct": 56.63863676885125, "trading_costs_quote_units": 700.8631276094754, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 164854.33867518738, "turnover_quote_units": 1168105.2126824595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 774, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -149.45099187271194 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 275098.439898659, "return_pct": 2650.98439898659, "cagr_pct": 57.26657513304598, "max_drawdown_pct": 78.029176327169, "mean_exposure_while_solvent": 1.109560828252478, "realized_annual_volatility_pct": 62.39428391043024, "trading_costs_quote_units": 3053.5912661130756, "borrowing_costs_quote_units": 14186.245821690327, "price_pnl_quote_units": 282338.2769864622, "turnover_quote_units": 5089318.7768551195, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2613, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 304614.9123435713, "return_pct": 2946.149123435713, "cagr_pct": 59.4714090731165, "max_drawdown_pct": 78.39543376480798, "mean_exposure_while_solvent": 1.1369724215065766, "realized_annual_volatility_pct": 65.61852485169446, "trading_costs_quote_units": 3196.271238202378, "borrowing_costs_quote_units": 15498.828183658763, "price_pnl_quote_units": 313310.0117654325, "turnover_quote_units": 5327118.730337302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -295.16472444912324 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 271994.47170872666, "return_pct": 2619.944717087267, "cagr_pct": 57.02299234126165, "max_drawdown_pct": 78.029176327169, "mean_exposure_while_solvent": 1.1052606099038371, "realized_annual_volatility_pct": 61.84329154630663, "trading_costs_quote_units": 3026.010912346431, "borrowing_costs_quote_units": 14026.718737954947, "price_pnl_quote_units": 279047.2013590256, "turnover_quote_units": 5043351.520577377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 304614.9123435713, "return_pct": 2946.149123435713, "cagr_pct": 59.4714090731165, "max_drawdown_pct": 78.39543376480798, "mean_exposure_while_solvent": 1.1369724215065766, "realized_annual_volatility_pct": 65.61852485169446, "trading_costs_quote_units": 3196.271238202378, "borrowing_costs_quote_units": 15498.828183658763, "price_pnl_quote_units": 313310.0117654325, "turnover_quote_units": 5327118.730337302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -326.20440634844635 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 126497.12167608348, "return_pct": 1164.9712167608347, "cagr_pct": 41.431457106636195, "max_drawdown_pct": 65.30940136080457, "mean_exposure_while_solvent": 0.749952372789122, "realized_annual_volatility_pct": 45.81453342525382, "trading_costs_quote_units": 439.02374813042985, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116936.14542421365, "turnover_quote_units": 731706.246884051, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 126497.12167608348, "return_pct": 1164.9712167608347, "cagr_pct": 41.431457106636195, "max_drawdown_pct": 65.30940136080457, "mean_exposure_while_solvent": 0.749952372789122, "realized_annual_volatility_pct": 45.81453342525382, "trading_costs_quote_units": 439.02374813042985, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116936.14542421365, "turnover_quote_units": 731706.246884051, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 209973.15774674216, "return_pct": 1999.7315774674216, "cagr_pct": 51.56877183467379, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998128041931861, "realized_annual_volatility_pct": 61.19432038086799, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 199979.1541488999, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 209973.15774674216, "return_pct": 1999.7315774674216, "cagr_pct": 51.56877183467379, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998128041931861, "realized_annual_volatility_pct": 61.19432038086799, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 199979.1541488999, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 262259.1215283849, "return_pct": 2522.591215283849, "cagr_pct": 56.2431252013291, "max_drawdown_pct": 85.51443126503486, "mean_exposure_while_solvent": 1.2497052827428738, "realized_annual_volatility_pct": 76.66960189572214, "trading_costs_quote_units": 1555.4935705456794, "borrowing_costs_quote_units": 14120.036231379361, "price_pnl_quote_units": 267934.65133031027, "turnover_quote_units": 2592489.284242807, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 262259.1215283849, "return_pct": 2522.591215283849, "cagr_pct": 56.2431252013291, "max_drawdown_pct": 85.51443126503486, "mean_exposure_while_solvent": 1.2497052827428738, "realized_annual_volatility_pct": 76.66960189572214, "trading_costs_quote_units": 1555.4935705456794, "borrowing_costs_quote_units": 14120.036231379361, "price_pnl_quote_units": 267934.65133031027, "turnover_quote_units": 2592489.284242807, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 272881.4756571165, "return_pct": 2628.814756571165, "cagr_pct": 57.09284356442757, "max_drawdown_pct": 91.69013562832667, "mean_exposure_while_solvent": 1.4996654744148303, "realized_annual_volatility_pct": 92.26668926676908, "trading_costs_quote_units": 4404.364479194211, "borrowing_costs_quote_units": 32739.54432441794, "price_pnl_quote_units": 300025.38446072786, "turnover_quote_units": 7340607.465323679, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 272881.4756571165, "return_pct": 2628.814756571165, "cagr_pct": 57.09284356442757, "max_drawdown_pct": 91.69013562832667, "mean_exposure_while_solvent": 1.4996654744148303, "realized_annual_volatility_pct": 92.26668926676908, "trading_costs_quote_units": 4404.364479194211, "borrowing_costs_quote_units": 32739.54432441794, "price_pnl_quote_units": 300025.38446072786, "turnover_quote_units": 7340607.465323679, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 172818.5115399013, "return_pct": 1628.1851153990128, "cagr_pct": 47.58997211103145, "max_drawdown_pct": 66.674531585407, "mean_exposure_while_solvent": 0.7964794258296828, "realized_annual_volatility_pct": 43.333948720016416, "trading_costs_quote_units": 2866.9136294861432, "borrowing_costs_quote_units": 4508.222491155769, "price_pnl_quote_units": 170193.64766054295, "turnover_quote_units": 4778189.382476912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 169325.21195293803, "return_pct": 1593.2521195293803, "cagr_pct": 47.17884180588824, "max_drawdown_pct": 66.87271534562036, "mean_exposure_while_solvent": 0.843998963558265, "realized_annual_volatility_pct": 50.273673068613924, "trading_costs_quote_units": 2907.0316091274703, "borrowing_costs_quote_units": 4340.496668079328, "price_pnl_quote_units": 166572.7402301437, "turnover_quote_units": 4845052.681879113, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 34.93299586963258 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 245157.36913537263, "return_pct": 2351.573691353726, "cagr_pct": 54.8105129305039, "max_drawdown_pct": 81.41667600800614, "mean_exposure_while_solvent": 1.123697951693139, "realized_annual_volatility_pct": 62.13276110214093, "trading_costs_quote_units": 4295.451090222578, "borrowing_costs_quote_units": 25560.63831009608, "price_pnl_quote_units": 265013.4585356919, "turnover_quote_units": 7159085.150370973, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 246953.22676320613, "return_pct": 2369.532267632061, "cagr_pct": 54.96493663508044, "max_drawdown_pct": 81.4166760080061, "mean_exposure_while_solvent": 1.1338840961554493, "realized_annual_volatility_pct": 64.25993997240958, "trading_costs_quote_units": 4266.850127169698, "borrowing_costs_quote_units": 25504.684467901312, "price_pnl_quote_units": 266724.76135827764, "turnover_quote_units": 7111416.878616166, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -17.95857627833493 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 203523.50286151492, "return_pct": 1935.235028615149, "cagr_pct": 50.9242016406803, "max_drawdown_pct": 89.37615150589502, "mean_exposure_while_solvent": 1.32557641061821, "realized_annual_volatility_pct": 75.97004942902123, "trading_costs_quote_units": 3704.3020488560596, "borrowing_costs_quote_units": 37356.55337064149, "price_pnl_quote_units": 234584.35828101117, "turnover_quote_units": 6173836.748093424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 217635.83341879834, "return_pct": 2076.3583341879835, "cagr_pct": 52.31271434299851, "max_drawdown_pct": 89.37615150589502, "mean_exposure_while_solvent": 1.303826365417408, "realized_annual_volatility_pct": 74.17741368051777, "trading_costs_quote_units": 3814.0340478219887, "borrowing_costs_quote_units": 38817.98718561159, "price_pnl_quote_units": 250267.85465223287, "turnover_quote_units": 6356723.413036631, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -141.1233055728344 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 161525.91873908462, "return_pct": 1515.2591873908464, "cagr_pct": 46.233831924817366, "max_drawdown_pct": 82.0573747406571, "mean_exposure_while_solvent": 1.1494805154753, "realized_annual_volatility_pct": 62.74095319434788, "trading_costs_quote_units": 5031.991553175685, "borrowing_costs_quote_units": 19370.250625309134, "price_pnl_quote_units": 175928.16091756918, "turnover_quote_units": 8386652.588626149, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 206226.58627850394, "return_pct": 1962.2658627850394, "cagr_pct": 51.19646104764952, "max_drawdown_pct": 82.05737474065712, "mean_exposure_while_solvent": 1.1512746768940345, "realized_annual_volatility_pct": 63.42534229150154, "trading_costs_quote_units": 6297.286548567305, "borrowing_costs_quote_units": 24419.634652031356, "price_pnl_quote_units": 226943.5074791016, "turnover_quote_units": 10495477.580945507, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -447.00667539419305 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 254391.1102790835, "return_pct": 2443.911102790835, "cagr_pct": 55.5943630439885, "max_drawdown_pct": 78.06102679531674, "mean_exposure_while_solvent": 1.1052752124269554, "realized_annual_volatility_pct": 61.84392542511134, "trading_costs_quote_units": 2905.5927334139083, "borrowing_costs_quote_units": 26746.331958254752, "price_pnl_quote_units": 274043.0349707518, "turnover_quote_units": 4842654.555689844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 286845.264321533, "return_pct": 2768.4526432153298, "cagr_pct": 58.16742860590731, "max_drawdown_pct": 78.42675328013274, "mean_exposure_while_solvent": 1.1369855513913572, "realized_annual_volatility_pct": 65.61905109900674, "trading_costs_quote_units": 3084.0577383721698, "borrowing_costs_quote_units": 29737.619804022805, "price_pnl_quote_units": 309666.9418639291, "turnover_quote_units": 5140096.230620288, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -324.541540424495 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 159208.37636030742, "return_pct": 1492.0837636030742, "cagr_pct": 45.94543210542597, "max_drawdown_pct": 77.16417880852828, "mean_exposure_while_solvent": 0.9239391656935397, "realized_annual_volatility_pct": 53.232282060555455, "trading_costs_quote_units": 660.463678901892, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 149868.8400392099, "turnover_quote_units": 1100772.7981698194, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1022, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 174153.47554757862, "return_pct": 1641.5347554757861, "cagr_pct": 47.745192332148285, "max_drawdown_pct": 77.16417880852826, "mean_exposure_while_solvent": 0.9462341751690058, "realized_annual_volatility_pct": 56.63863676885125, "trading_costs_quote_units": 700.8631276094754, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 164854.33867518738, "turnover_quote_units": 1168105.2126824595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 774, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -149.45099187271194 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 257294.19102608354, "return_pct": 2472.9419102608354, "cagr_pct": 55.83572966661534, "max_drawdown_pct": 78.06102679531669, "mean_exposure_while_solvent": 1.1095754307755963, "realized_annual_volatility_pct": 62.394913230884384, "trading_costs_quote_units": 2931.823351930922, "borrowing_costs_quote_units": 27050.47171630401, "price_pnl_quote_units": 277276.4860943144, "turnover_quote_units": 4886372.253218206, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2613, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 286845.264321533, "return_pct": 2768.4526432153298, "cagr_pct": 58.16742860590731, "max_drawdown_pct": 78.42675328013274, "mean_exposure_while_solvent": 1.1369855513913572, "realized_annual_volatility_pct": 65.61905109900674, "trading_costs_quote_units": 3084.0577383721698, "borrowing_costs_quote_units": 29737.619804022805, "price_pnl_quote_units": 309666.9418639291, "turnover_quote_units": 5140096.230620288, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -295.5107329544944 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 254391.1102790835, "return_pct": 2443.911102790835, "cagr_pct": 55.5943630439885, "max_drawdown_pct": 78.06102679531674, "mean_exposure_while_solvent": 1.1052752124269554, "realized_annual_volatility_pct": 61.84392542511134, "trading_costs_quote_units": 2905.5927334139083, "borrowing_costs_quote_units": 26746.331958254752, "price_pnl_quote_units": 274043.0349707518, "turnover_quote_units": 4842654.555689844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 286845.264321533, "return_pct": 2768.4526432153298, "cagr_pct": 58.16742860590731, "max_drawdown_pct": 78.42675328013274, "mean_exposure_while_solvent": 1.1369855513913572, "realized_annual_volatility_pct": 65.61905109900674, "trading_costs_quote_units": 3084.0577383721698, "borrowing_costs_quote_units": 29737.619804022805, "price_pnl_quote_units": 309666.9418639291, "turnover_quote_units": 5140096.230620288, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -324.541540424495 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 126497.12167608348, "return_pct": 1164.9712167608347, "cagr_pct": 41.431457106636195, "max_drawdown_pct": 65.30940136080457, "mean_exposure_while_solvent": 0.749952372789122, "realized_annual_volatility_pct": 45.81453342525382, "trading_costs_quote_units": 439.02374813042985, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116936.14542421365, "turnover_quote_units": 731706.246884051, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 126497.12167608348, "return_pct": 1164.9712167608347, "cagr_pct": 41.431457106636195, "max_drawdown_pct": 65.30940136080457, "mean_exposure_while_solvent": 0.749952372789122, "realized_annual_volatility_pct": 45.81453342525382, "trading_costs_quote_units": 439.02374813042985, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116936.14542421365, "turnover_quote_units": 731706.246884051, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 209973.15774674216, "return_pct": 1999.7315774674216, "cagr_pct": 51.56877183467379, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998128041931861, "realized_annual_volatility_pct": 61.19432038086799, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 199979.1541488999, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 209973.15774674216, "return_pct": 1999.7315774674216, "cagr_pct": 51.56877183467379, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998128041931861, "realized_annual_volatility_pct": 61.19432038086799, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 199979.1541488999, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 239334.41466185218, "return_pct": 2293.344146618522, "cagr_pct": 54.302995017432295, "max_drawdown_pct": 85.7016301452596, "mean_exposure_while_solvent": 1.2497231143613228, "realized_annual_volatility_pct": 76.6710302947964, "trading_costs_quote_units": 1470.4530083672423, "borrowing_costs_quote_units": 26538.82585275209, "price_pnl_quote_units": 257343.69352297194, "turnover_quote_units": 2450755.013945406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 239334.41466185218, "return_pct": 2293.344146618522, "cagr_pct": 54.302995017432295, "max_drawdown_pct": 85.7016301452596, "mean_exposure_while_solvent": 1.2497231143613228, "realized_annual_volatility_pct": 76.6710302947964, "trading_costs_quote_units": 1470.4530083672423, "borrowing_costs_quote_units": 26538.82585275209, "price_pnl_quote_units": 257343.69352297194, "turnover_quote_units": 2450755.013945406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 227244.2874013899, "return_pct": 2172.442874013899, "cagr_pct": 53.21424859233561, "max_drawdown_pct": 92.01901021425832, "mean_exposure_while_solvent": 1.4997082936949375, "realized_annual_volatility_pct": 92.27016113932866, "trading_costs_quote_units": 3948.8217095457235, "borrowing_costs_quote_units": 57958.53113821965, "price_pnl_quote_units": 279151.640249157, "turnover_quote_units": 6581369.515909534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 227244.2874013899, "return_pct": 2172.442874013899, "cagr_pct": 53.21424859233561, "max_drawdown_pct": 92.01901021425832, "mean_exposure_while_solvent": 1.4997082936949375, "realized_annual_volatility_pct": 92.27016113932866, "trading_costs_quote_units": 3948.8217095457235, "borrowing_costs_quote_units": 57958.53113821965, "price_pnl_quote_units": 279151.640249157, "turnover_quote_units": 6581369.515909534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 166963.7433941484, "return_pct": 1569.6374339414838, "cagr_pct": 46.89674937122503, "max_drawdown_pct": 66.70461459990894, "mean_exposure_while_solvent": 0.7964865624912374, "realized_annual_volatility_pct": 43.33386837277962, "trading_costs_quote_units": 2811.740937386416, "borrowing_costs_quote_units": 8801.668067859438, "price_pnl_quote_units": 168577.15239939417, "turnover_quote_units": 4686234.895644022, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 164154.00149803943, "return_pct": 1541.5400149803943, "cagr_pct": 46.556584751402156, "max_drawdown_pct": 66.90261945896303, "mean_exposure_while_solvent": 0.8440053240668388, "realized_annual_volatility_pct": 50.2738211400075, "trading_costs_quote_units": 2861.951665089724, "borrowing_costs_quote_units": 8500.186139217876, "price_pnl_quote_units": 165516.13930234645, "turnover_quote_units": 4769919.441816205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 28.097418961089488 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 211844.96856617363, "return_pct": 2018.449685661736, "cagr_pct": 51.752636581385005, "max_drawdown_pct": 81.54671996109558, "mean_exposure_while_solvent": 1.123730146933488, "realized_annual_volatility_pct": 62.13413798100211, "trading_costs_quote_units": 3947.5954052584852, "borrowing_costs_quote_units": 46081.62685762502, "price_pnl_quote_units": 251874.19082905585, "turnover_quote_units": 6579325.675430795, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 215287.7411872283, "return_pct": 2052.877411872283, "cagr_pct": 52.08718217891188, "max_drawdown_pct": 81.54671996109558, "mean_exposure_while_solvent": 1.1339143677292418, "realized_annual_volatility_pct": 64.26120692859946, "trading_costs_quote_units": 3951.3599632697674, "borrowing_costs_quote_units": 46344.45616765398, "price_pnl_quote_units": 255583.5573181508, "turnover_quote_units": 6585599.938782935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -34.42772621054701 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 157609.3437677463, "return_pct": 1476.093437677463, "cagr_pct": 45.744324479115065, "max_drawdown_pct": 89.67166176054921, "mean_exposure_while_solvent": 1.3256342824035066, "realized_annual_volatility_pct": 75.97418087141118, "trading_costs_quote_units": 3226.4709028884827, "borrowing_costs_quote_units": 62732.21226622054, "price_pnl_quote_units": 213568.02693685435, "turnover_quote_units": 5377451.504814115, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 172075.1791010762, "return_pct": 1620.7517910107622, "cagr_pct": 47.50309339548912, "max_drawdown_pct": 89.67166176054921, "mean_exposure_while_solvent": 1.3038797186536941, "realized_annual_volatility_pct": 74.18065575003394, "trading_costs_quote_units": 3376.694428618467, "borrowing_costs_quote_units": 66266.22581942876, "price_pnl_quote_units": 231718.09934912133, "turnover_quote_units": 5627824.04769745, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -144.65835333329915 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 136780.02975276887, "return_pct": 1267.8002975276886, "cagr_pct": 42.94947188543869, "max_drawdown_pct": 82.24603531688534, "mean_exposure_while_solvent": 1.14951765656217, "realized_annual_volatility_pct": 62.74309312872529, "trading_costs_quote_units": 4591.618743193879, "borrowing_costs_quote_units": 34490.961154399454, "price_pnl_quote_units": 165862.60965036132, "turnover_quote_units": 7652697.905323126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 175683.5169760652, "return_pct": 1656.835169760652, "cagr_pct": 47.921836362548966, "max_drawdown_pct": 82.24603531688534, "mean_exposure_while_solvent": 1.1513104626099888, "realized_annual_volatility_pct": 63.427321642706104, "trading_costs_quote_units": 5771.450377966983, "borrowing_costs_quote_units": 43684.46149513327, "price_pnl_quote_units": 215139.42884916448, "turnover_quote_units": 9619083.963278284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -389.0348722329634 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 222520.76065033703, "return_pct": 2125.2076065033702, "cagr_pct": 52.77525440877249, "max_drawdown_pct": 78.12460223643666, "mean_exposure_while_solvent": 1.1053044231496174, "realized_annual_volatility_pct": 61.84521515968879, "trading_costs_quote_units": 2681.642320733933, "borrowing_costs_quote_units": 48649.60135295761, "price_pnl_quote_units": 263852.0043240282, "turnover_quote_units": 4469403.867889891, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 254347.28559820095, "return_pct": 2443.4728559820096, "cagr_pct": 55.59070120804781, "max_drawdown_pct": 78.48926890763315, "mean_exposure_while_solvent": 1.1370118162745664, "realized_annual_volatility_pct": 65.62012392555896, "trading_costs_quote_units": 2873.813840479871, "borrowing_costs_quote_units": 54763.38594947601, "price_pnl_quote_units": 301984.4853881589, "turnover_quote_units": 4789689.734133119, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -318.26524947863936 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 159208.37636030742, "return_pct": 1492.0837636030742, "cagr_pct": 45.94543210542597, "max_drawdown_pct": 77.16417880852828, "mean_exposure_while_solvent": 0.9239391656935397, "realized_annual_volatility_pct": 53.232282060555455, "trading_costs_quote_units": 660.463678901892, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 149868.8400392099, "turnover_quote_units": 1100772.7981698194, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1022, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 174153.47554757862, "return_pct": 1641.5347554757861, "cagr_pct": 47.745192332148285, "max_drawdown_pct": 77.16417880852826, "mean_exposure_while_solvent": 0.9462341751690058, "realized_annual_volatility_pct": 56.63863676885125, "trading_costs_quote_units": 700.8631276094754, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 164854.33867518738, "turnover_quote_units": 1168105.2126824595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 774, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -149.45099187271194 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 225060.1408014075, "return_pct": 2150.6014080140753, "cagr_pct": 53.01224787342107, "max_drawdown_pct": 78.12460223643667, "mean_exposure_while_solvent": 1.109604641498258, "realized_annual_volatility_pct": 62.39619365551362, "trading_costs_quote_units": 2705.365918421613, "borrowing_costs_quote_units": 49202.620877637906, "price_pnl_quote_units": 266968.1275974682, "turnover_quote_units": 4508943.1973693585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2613, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 254347.28559820095, "return_pct": 2443.4728559820096, "cagr_pct": 55.59070120804781, "max_drawdown_pct": 78.48926890763315, "mean_exposure_while_solvent": 1.1370118162745664, "realized_annual_volatility_pct": 65.62012392555896, "trading_costs_quote_units": 2873.813840479871, "borrowing_costs_quote_units": 54763.38594947601, "price_pnl_quote_units": 301984.4853881589, "turnover_quote_units": 4789689.734133119, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -292.8714479679343 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 222520.76065033703, "return_pct": 2125.2076065033702, "cagr_pct": 52.77525440877249, "max_drawdown_pct": 78.12460223643666, "mean_exposure_while_solvent": 1.1053044231496174, "realized_annual_volatility_pct": 61.84521515968879, "trading_costs_quote_units": 2681.642320733933, "borrowing_costs_quote_units": 48649.60135295761, "price_pnl_quote_units": 263852.0043240282, "turnover_quote_units": 4469403.867889891, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 254347.28559820095, "return_pct": 2443.4728559820096, "cagr_pct": 55.59070120804781, "max_drawdown_pct": 78.48926890763315, "mean_exposure_while_solvent": 1.1370118162745664, "realized_annual_volatility_pct": 65.62012392555896, "trading_costs_quote_units": 2873.813840479871, "borrowing_costs_quote_units": 54763.38594947601, "price_pnl_quote_units": 301984.4853881589, "turnover_quote_units": 4789689.734133119, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -318.26524947863936 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 126497.12167608348, "return_pct": 1164.9712167608347, "cagr_pct": 41.431457106636195, "max_drawdown_pct": 65.30940136080457, "mean_exposure_while_solvent": 0.749952372789122, "realized_annual_volatility_pct": 45.81453342525382, "trading_costs_quote_units": 439.02374813042985, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116936.14542421365, "turnover_quote_units": 731706.246884051, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 126497.12167608348, "return_pct": 1164.9712167608347, "cagr_pct": 41.431457106636195, "max_drawdown_pct": 65.30940136080457, "mean_exposure_while_solvent": 0.749952372789122, "realized_annual_volatility_pct": 45.81453342525382, "trading_costs_quote_units": 439.02374813042985, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 116936.14542421365, "turnover_quote_units": 731706.246884051, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 209973.15774674216, "return_pct": 1999.7315774674216, "cagr_pct": 51.56877183467379, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998128041931861, "realized_annual_volatility_pct": 61.19432038086799, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 199979.1541488999, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 209973.15774674216, "return_pct": 1999.7315774674216, "cagr_pct": 51.56877183467379, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998128041931861, "realized_annual_volatility_pct": 61.19432038086799, "trading_costs_quote_units": 5.996402158704776, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 199979.1541488999, "turnover_quote_units": 9994.003597841294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 199313.20973706277, "return_pct": 1893.132097370628, "cagr_pct": 50.49384950960656, "max_drawdown_pct": 86.21831789858926, "mean_exposure_while_solvent": 1.2497587831096268, "realized_annual_volatility_pct": 76.67388773027565, "trading_costs_quote_units": 1316.5152611775627, "borrowing_costs_quote_units": 46947.61428315693, "price_pnl_quote_units": 237577.33928139906, "turnover_quote_units": 2194192.101962608, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 199313.20973706277, "return_pct": 1893.132097370628, "cagr_pct": 50.49384950960656, "max_drawdown_pct": 86.21831789858926, "mean_exposure_while_solvent": 1.2497587831096268, "realized_annual_volatility_pct": 76.67388773027565, "trading_costs_quote_units": 1316.5152611775627, "borrowing_costs_quote_units": 46947.61428315693, "price_pnl_quote_units": 237577.33928139906, "turnover_quote_units": 2194192.101962608, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 157574.54828361206, "return_pct": 1475.7454828361206, "cagr_pct": 45.739928760736454, "max_drawdown_pct": 92.63839323333166, "mean_exposure_while_solvent": 1.4997939508995284, "realized_annual_volatility_pct": 92.2771070780408, "trading_costs_quote_units": 3197.0750251761556, "borrowing_costs_quote_units": 91417.09677424032, "price_pnl_quote_units": 242188.72008302927, "turnover_quote_units": 5328458.375293586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 157574.54828361206, "return_pct": 1475.7454828361206, "cagr_pct": 45.739928760736454, "max_drawdown_pct": 92.63839323333166, "mean_exposure_while_solvent": 1.4997939508995284, "realized_annual_volatility_pct": 92.2771070780408, "trading_costs_quote_units": 3197.0750251761556, "borrowing_costs_quote_units": 91417.09677424032, "price_pnl_quote_units": 242188.72008302927, "turnover_quote_units": 5328458.375293586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 149992.1669937712, "return_pct": 1399.9216699377123, "cagr_pct": 44.76143802120915, "max_drawdown_pct": 67.11889511072656, "mean_exposure_while_solvent": 0.796613233894688, "realized_annual_volatility_pct": 43.17948007450324, "trading_costs_quote_units": 12976.542774229265, "borrowing_costs_quote_units": 2006.3117890536198, "price_pnl_quote_units": 154975.0215570541, "turnover_quote_units": 4325514.258076426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 150906.25937863011, "return_pct": 1409.0625937863012, "cagr_pct": 44.88163416160098, "max_drawdown_pct": 67.36260259287467, "mean_exposure_while_solvent": 0.8441324597366153, "realized_annual_volatility_pct": 50.18964958190361, "trading_costs_quote_units": 13540.206309160414, "borrowing_costs_quote_units": 1979.1272462127636, "price_pnl_quote_units": 156425.59293400307, "turnover_quote_units": 4513402.10305346, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -9.140923848588955 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 212055.3007440747, "return_pct": 2020.553007440747, "cagr_pct": 51.773209392134525, "max_drawdown_pct": 81.76068087351263, "mean_exposure_while_solvent": 1.1239859308343887, "realized_annual_volatility_pct": 62.06047738626642, "trading_costs_quote_units": 19115.625696704887, "borrowing_costs_quote_units": 11200.73491019242, "price_pnl_quote_units": 232371.66135097205, "turnover_quote_units": 6371875.232234948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 233340.41231242503, "return_pct": 2233.40412312425, "cagr_pct": 53.769308993649624, "max_drawdown_pct": 81.7606808735126, "mean_exposure_while_solvent": 1.1341589764503537, "realized_annual_volatility_pct": 64.14898858831317, "trading_costs_quote_units": 20662.23905439282, "borrowing_costs_quote_units": 12178.00893716728, "price_pnl_quote_units": 256180.66030398506, "turnover_quote_units": 6887413.018130951, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -212.85111568350294 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 183716.52465760152, "return_pct": 1737.1652465760153, "cagr_pct": 48.82802259217483, "max_drawdown_pct": 89.41606489329897, "mean_exposure_while_solvent": 1.325866366138134, "realized_annual_volatility_pct": 76.34580376261054, "trading_costs_quote_units": 16739.29915584503, "borrowing_costs_quote_units": 16724.55763476369, "price_pnl_quote_units": 207180.3814482103, "turnover_quote_units": 5579766.385281661, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 228507.6456601104, "return_pct": 2185.076456601104, "cagr_pct": 53.330326246281686, "max_drawdown_pct": 89.41606489329891, "mean_exposure_while_solvent": 1.30406930907267, "realized_annual_volatility_pct": 74.05620237127485, "trading_costs_quote_units": 19893.435617660187, "borrowing_costs_quote_units": 20124.76433239984, "price_pnl_quote_units": 258525.84561016952, "turnover_quote_units": 6631145.205886744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -447.9112100250886 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 132893.81892841935, "return_pct": 1228.9381892841934, "cagr_pct": 42.38773708600825, "max_drawdown_pct": 82.13534364670664, "mean_exposure_while_solvent": 1.149767607775513, "realized_annual_volatility_pct": 62.55843623588121, "trading_costs_quote_units": 21729.054428558455, "borrowing_costs_quote_units": 8162.196024136843, "price_pnl_quote_units": 152785.06938111346, "turnover_quote_units": 7243018.142852796, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 171506.75768321817, "return_pct": 1615.0675768321819, "cagr_pct": 47.43643891042494, "max_drawdown_pct": 82.13534364670669, "mean_exposure_while_solvent": 1.1515490969582292, "realized_annual_volatility_pct": 63.24033516680583, "trading_costs_quote_units": 27356.22688854124, "borrowing_costs_quote_units": 10371.978799040571, "price_pnl_quote_units": 199234.9633707987, "turnover_quote_units": 9118742.296180427, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2504, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -386.1293875479885 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 226959.1726446256, "return_pct": 2169.591726446256, "cagr_pct": 53.18797514151383, "max_drawdown_pct": 78.39262570440299, "mean_exposure_while_solvent": 1.1054539518342503, "realized_annual_volatility_pct": 61.87966475164238, "trading_costs_quote_units": 13253.98876179371, "borrowing_costs_quote_units": 11995.569836614424, "price_pnl_quote_units": 242208.7312430329, "turnover_quote_units": 4417996.253931234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 275971.3246647506, "return_pct": 2659.713246647506, "cagr_pct": 57.3346468937475, "max_drawdown_pct": 78.71083387624587, "mean_exposure_while_solvent": 1.1371239501892239, "realized_annual_volatility_pct": 65.57700759657982, "trading_costs_quote_units": 15168.838910980698, "borrowing_costs_quote_units": 14360.034180203598, "price_pnl_quote_units": 295500.1977559354, "turnover_quote_units": 5056279.636993563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -490.12152020124995 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 147309.5210245573, "return_pct": 1373.0952102455728, "cagr_pct": 44.40500220722736, "max_drawdown_pct": 77.42458900823546, "mean_exposure_while_solvent": 0.9240563624781482, "realized_annual_volatility_pct": 53.16099310203296, "trading_costs_quote_units": 3090.777359213218, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 140400.29838377127, "turnover_quote_units": 1030259.1197377387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1016, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 172958.23694208445, "return_pct": 1629.5823694208443, "cagr_pct": 47.60626680906886, "max_drawdown_pct": 77.42458900823546, "mean_exposure_while_solvent": 0.9463295076056977, "realized_annual_volatility_pct": 56.57632744065179, "trading_costs_quote_units": 3511.309064371687, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 166469.54600645555, "turnover_quote_units": 1170436.3547905607, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 768, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -256.4871591752715 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 227825.50485825265, "return_pct": 2178.2550485825263, "cagr_pct": 53.267720009424814, "max_drawdown_pct": 78.39262570440296, "mean_exposure_while_solvent": 1.1097584430123735, "realized_annual_volatility_pct": 62.43523598489963, "trading_costs_quote_units": 13271.084981281154, "borrowing_costs_quote_units": 12041.180202368547, "price_pnl_quote_units": 243137.7700419032, "turnover_quote_units": 4423694.993760393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2606, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 275971.3246647506, "return_pct": 2659.713246647506, "cagr_pct": 57.3346468937475, "max_drawdown_pct": 78.71083387624587, "mean_exposure_while_solvent": 1.1371239501892239, "realized_annual_volatility_pct": 65.57700759657982, "trading_costs_quote_units": 15168.838910980698, "borrowing_costs_quote_units": 14360.034180203598, "price_pnl_quote_units": 295500.1977559354, "turnover_quote_units": 5056279.636993563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -481.45819806497957 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 226959.1726446256, "return_pct": 2169.591726446256, "cagr_pct": 53.18797514151383, "max_drawdown_pct": 78.39262570440299, "mean_exposure_while_solvent": 1.1054539518342503, "realized_annual_volatility_pct": 61.87966475164238, "trading_costs_quote_units": 13253.98876179371, "borrowing_costs_quote_units": 11995.569836614424, "price_pnl_quote_units": 242208.7312430329, "turnover_quote_units": 4417996.253931234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 275971.3246647506, "return_pct": 2659.713246647506, "cagr_pct": 57.3346468937475, "max_drawdown_pct": 78.71083387624587, "mean_exposure_while_solvent": 1.1371239501892239, "realized_annual_volatility_pct": 65.57700759657982, "trading_costs_quote_units": 15168.838910980698, "borrowing_costs_quote_units": 14360.034180203598, "price_pnl_quote_units": 295500.1977559354, "turnover_quote_units": 5056279.636993563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -490.12152020124995 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 122929.46237700197, "return_pct": 1129.2946237700196, "cagr_pct": 40.87981955857854, "max_drawdown_pct": 65.56296943286468, "mean_exposure_while_solvent": 0.7500122583506229, "realized_annual_volatility_pct": 45.753268635015964, "trading_costs_quote_units": 2174.6036877331576, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115104.06606473554, "turnover_quote_units": 724867.895911053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 122929.46237700197, "return_pct": 1129.2946237700196, "cagr_pct": 40.87981955857854, "max_drawdown_pct": 65.56296943286468, "mean_exposure_while_solvent": 0.7500122583506229, "realized_annual_volatility_pct": 45.753268635015964, "trading_costs_quote_units": 2174.6036877331576, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115104.06606473554, "turnover_quote_units": 724867.895911053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 207709.8313576623, "return_pct": 1977.098313576623, "cagr_pct": 51.344549518337736, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9999376013977287, "realized_annual_volatility_pct": 61.195003143199045, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197739.74162685522, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 207709.8313576623, "return_pct": 1977.098313576623, "cagr_pct": 51.344549518337736, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9999376013977287, "realized_annual_volatility_pct": 61.195003143199045, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197739.74162685522, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 244826.58555499685, "return_pct": 2348.265855549969, "cagr_pct": 54.781962777606495, "max_drawdown_pct": 85.536934702316, "mean_exposure_while_solvent": 1.2499082398747015, "realized_annual_volatility_pct": 76.82475848860864, "trading_costs_quote_units": 7373.491117861506, "borrowing_costs_quote_units": 13324.57979184241, "price_pnl_quote_units": 255524.6564646992, "turnover_quote_units": 2457830.372620502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 244826.58555499685, "return_pct": 2348.265855549969, "cagr_pct": 54.781962777606495, "max_drawdown_pct": 85.536934702316, "mean_exposure_while_solvent": 1.2499082398747015, "realized_annual_volatility_pct": 76.82475848860864, "trading_costs_quote_units": 7373.491117861506, "borrowing_costs_quote_units": 13324.57979184241, "price_pnl_quote_units": 255524.6564646992, "turnover_quote_units": 2457830.372620502, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 234314.34977569594, "return_pct": 2243.1434977569593, "cagr_pct": 53.856824587732135, "max_drawdown_pct": 91.81537931794509, "mean_exposure_while_solvent": 1.4999571120610722, "realized_annual_volatility_pct": 92.74471932386568, "trading_costs_quote_units": 19471.16206681573, "borrowing_costs_quote_units": 28873.842503949145, "price_pnl_quote_units": 272659.3543464614, "turnover_quote_units": 6490387.355605244, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 234314.34977569594, "return_pct": 2243.1434977569593, "cagr_pct": 53.856824587732135, "max_drawdown_pct": 91.81537931794509, "mean_exposure_while_solvent": 1.4999571120610722, "realized_annual_volatility_pct": 92.74471932386568, "trading_costs_quote_units": 19471.16206681573, "borrowing_costs_quote_units": 28873.842503949145, "price_pnl_quote_units": 272659.3543464614, "turnover_quote_units": 6490387.355605244, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 147430.09015926108, "return_pct": 1374.3009015926107, "cagr_pct": 44.42114170644537, "max_drawdown_pct": 67.13368073726134, "mean_exposure_while_solvent": 0.7966168029869956, "realized_annual_volatility_pct": 43.179468365475884, "trading_costs_quote_units": 12852.610340709318, "borrowing_costs_quote_units": 3964.885516341833, "price_pnl_quote_units": 154247.58601631317, "turnover_quote_units": 4284203.446903104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 148583.85852801122, "return_pct": 1385.8385852801123, "cagr_pct": 44.57501263176572, "max_drawdown_pct": 67.37727863161341, "mean_exposure_while_solvent": 0.8441356422449751, "realized_annual_volatility_pct": 50.18977807214876, "trading_costs_quote_units": 13436.417481659397, "borrowing_costs_quote_units": 3917.0496883112023, "price_pnl_quote_units": 155937.32569798047, "turnover_quote_units": 4478805.827219797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -11.537683687501612 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 197117.91772108496, "return_pct": 1871.1791772108495, "cagr_pct": 50.266337071840915, "max_drawdown_pct": 81.82499816215832, "mean_exposure_while_solvent": 1.1240020664348611, "realized_annual_volatility_pct": 62.061412188822885, "trading_costs_quote_units": 18329.109374550673, "borrowing_costs_quote_units": 21270.964129887423, "price_pnl_quote_units": 226717.9912255224, "turnover_quote_units": 6109703.124850208, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 217862.00464084005, "return_pct": 2078.6200464084004, "cagr_pct": 52.33432680463941, "max_drawdown_pct": 81.82499816215834, "mean_exposure_while_solvent": 1.1341741511920207, "realized_annual_volatility_pct": 64.14986668222035, "trading_costs_quote_units": 19885.003078738842, "borrowing_costs_quote_units": 23215.700143178758, "price_pnl_quote_units": 250962.7078627589, "turnover_quote_units": 6628334.35957962, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -207.4408691975509 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 161671.14111306204, "return_pct": 1516.7114111306205, "cagr_pct": 46.25178449215784, "max_drawdown_pct": 89.56424776294534, "mean_exposure_while_solvent": 1.3258953992035283, "realized_annual_volatility_pct": 76.34843722172411, "trading_costs_quote_units": 15618.441501925603, "borrowing_costs_quote_units": 30641.916828769, "price_pnl_quote_units": 197931.49944375604, "turnover_quote_units": 5206147.167308537, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 203190.45639426034, "return_pct": 1931.9045639426033, "cagr_pct": 50.89044089384587, "max_drawdown_pct": 89.56424776294533, "mean_exposure_while_solvent": 1.3040960745350538, "realized_annual_volatility_pct": 74.05820006228167, "trading_costs_quote_units": 18705.939484671882, "borrowing_costs_quote_units": 37166.25230643083, "price_pnl_quote_units": 249062.64818536228, "turnover_quote_units": 6235313.161557295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -415.1931528119828 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 122291.39220623334, "return_pct": 1122.9139220623335, "cagr_pct": 40.77970612938642, "max_drawdown_pct": 82.22956725101433, "mean_exposure_while_solvent": 1.149786279125748, "realized_annual_volatility_pct": 62.559731366372915, "trading_costs_quote_units": 20771.32946165365, "borrowing_costs_quote_units": 15411.67690405022, "price_pnl_quote_units": 148474.3985719363, "turnover_quote_units": 6923776.487217861, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 158298.2823105711, "return_pct": 1482.9828231057113, "cagr_pct": 45.83118611096488, "max_drawdown_pct": 82.22956725101433, "mean_exposure_while_solvent": 1.151567086969712, "realized_annual_volatility_pct": 63.24154914881498, "trading_costs_quote_units": 26204.110761142652, "borrowing_costs_quote_units": 19627.3976233844, "price_pnl_quote_units": 194129.79069509663, "turnover_quote_units": 8734703.587047542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2504, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -360.06890104337776 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 212268.77702774073, "return_pct": 2022.6877702774073, "cagr_pct": 51.7940717238299, "max_drawdown_pct": 78.42408857725518, "mean_exposure_while_solvent": 1.1054685734011698, "realized_annual_volatility_pct": 61.88054119649031, "trading_costs_quote_units": 12732.566296762405, "borrowing_costs_quote_units": 22879.92720507334, "price_pnl_quote_units": 237881.27052957576, "turnover_quote_units": 4244188.765587462, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 259871.0897799182, "return_pct": 2498.710897799182, "cagr_pct": 56.04801507950026, "max_drawdown_pct": 78.74183340065447, "mean_exposure_while_solvent": 1.1371370951701625, "realized_annual_volatility_pct": 65.57774013957065, "trading_costs_quote_units": 14642.113558680614, "borrowing_costs_quote_units": 27558.19865206136, "price_pnl_quote_units": 292071.4019906601, "turnover_quote_units": 4880704.519560211, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -476.02312752177477 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 147309.5210245573, "return_pct": 1373.0952102455728, "cagr_pct": 44.40500220722736, "max_drawdown_pct": 77.42458900823546, "mean_exposure_while_solvent": 0.9240563624781482, "realized_annual_volatility_pct": 53.16099310203296, "trading_costs_quote_units": 3090.777359213218, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 140400.29838377127, "turnover_quote_units": 1030259.1197377387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1016, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 172958.23694208445, "return_pct": 1629.5823694208443, "cagr_pct": 47.60626680906886, "max_drawdown_pct": 77.42458900823546, "mean_exposure_while_solvent": 0.9463295076056977, "realized_annual_volatility_pct": 56.57632744065179, "trading_costs_quote_units": 3511.309064371687, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 166469.54600645555, "turnover_quote_units": 1170436.3547905607, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 768, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -256.4871591752715 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 213079.03412087169, "return_pct": 2030.7903412087167, "cagr_pct": 51.873090969225075, "max_drawdown_pct": 78.42408857725516, "mean_exposure_while_solvent": 1.109773064579293, "realized_annual_volatility_pct": 62.43610497906974, "trading_costs_quote_units": 12747.791476763668, "borrowing_costs_quote_units": 22966.906985709502, "price_pnl_quote_units": 238793.73258334523, "turnover_quote_units": 4249263.825587886, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2606, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 259871.0897799182, "return_pct": 2498.710897799182, "cagr_pct": 56.04801507950026, "max_drawdown_pct": 78.74183340065447, "mean_exposure_while_solvent": 1.1371370951701625, "realized_annual_volatility_pct": 65.57774013957065, "trading_costs_quote_units": 14642.113558680614, "borrowing_costs_quote_units": 27558.19865206136, "price_pnl_quote_units": 292071.4019906601, "turnover_quote_units": 4880704.519560211, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -467.92055659046537 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 212268.77702774073, "return_pct": 2022.6877702774073, "cagr_pct": 51.7940717238299, "max_drawdown_pct": 78.42408857725518, "mean_exposure_while_solvent": 1.1054685734011698, "realized_annual_volatility_pct": 61.88054119649031, "trading_costs_quote_units": 12732.566296762405, "borrowing_costs_quote_units": 22879.92720507334, "price_pnl_quote_units": 237881.27052957576, "turnover_quote_units": 4244188.765587462, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 259871.0897799182, "return_pct": 2498.710897799182, "cagr_pct": 56.04801507950026, "max_drawdown_pct": 78.74183340065447, "mean_exposure_while_solvent": 1.1371370951701625, "realized_annual_volatility_pct": 65.57774013957065, "trading_costs_quote_units": 14642.113558680614, "borrowing_costs_quote_units": 27558.19865206136, "price_pnl_quote_units": 292071.4019906601, "turnover_quote_units": 4880704.519560211, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -476.02312752177477 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 122929.46237700197, "return_pct": 1129.2946237700196, "cagr_pct": 40.87981955857854, "max_drawdown_pct": 65.56296943286468, "mean_exposure_while_solvent": 0.7500122583506229, "realized_annual_volatility_pct": 45.753268635015964, "trading_costs_quote_units": 2174.6036877331576, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115104.06606473554, "turnover_quote_units": 724867.895911053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 122929.46237700197, "return_pct": 1129.2946237700196, "cagr_pct": 40.87981955857854, "max_drawdown_pct": 65.56296943286468, "mean_exposure_while_solvent": 0.7500122583506229, "realized_annual_volatility_pct": 45.753268635015964, "trading_costs_quote_units": 2174.6036877331576, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115104.06606473554, "turnover_quote_units": 724867.895911053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 207709.8313576623, "return_pct": 1977.098313576623, "cagr_pct": 51.344549518337736, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9999376013977287, "realized_annual_volatility_pct": 61.195003143199045, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197739.74162685522, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 207709.8313576623, "return_pct": 1977.098313576623, "cagr_pct": 51.344549518337736, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9999376013977287, "realized_annual_volatility_pct": 61.195003143199045, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197739.74162685522, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 223423.37351251292, "return_pct": 2134.233735125129, "cagr_pct": 52.859759065345415, "max_drawdown_pct": 85.74605122596451, "mean_exposure_while_solvent": 1.249926186908407, "realized_annual_volatility_pct": 76.8264405264327, "trading_costs_quote_units": 6970.702152457797, "borrowing_costs_quote_units": 25048.242659449836, "price_pnl_quote_units": 245442.31832441787, "turnover_quote_units": 2323567.3841525973, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 223423.37351251292, "return_pct": 2134.233735125129, "cagr_pct": 52.859759065345415, "max_drawdown_pct": 85.74605122596451, "mean_exposure_while_solvent": 1.249926186908407, "realized_annual_volatility_pct": 76.8264405264327, "trading_costs_quote_units": 6970.702152457797, "borrowing_costs_quote_units": 25048.242659449836, "price_pnl_quote_units": 245442.31832441787, "turnover_quote_units": 2323567.3841525973, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 195120.86564791418, "return_pct": 1851.2086564791416, "cagr_pct": 50.05746124682151, "max_drawdown_pct": 92.1393613624469, "mean_exposure_while_solvent": 1.5000002126004097, "realized_annual_volatility_pct": 92.74887532875901, "trading_costs_quote_units": 17461.85676578748, "borrowing_costs_quote_units": 51161.25472311983, "price_pnl_quote_units": 253743.9771368196, "turnover_quote_units": 5820618.921929169, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 195120.86564791418, "return_pct": 1851.2086564791416, "cagr_pct": 50.05746124682151, "max_drawdown_pct": 92.1393613624469, "mean_exposure_while_solvent": 1.5000002126004097, "realized_annual_volatility_pct": 92.74887532875901, "trading_costs_quote_units": 17461.85676578748, "borrowing_costs_quote_units": 51161.25472311983, "price_pnl_quote_units": 253743.9771368196, "turnover_quote_units": 5820618.921929169, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 142435.1338826291, "return_pct": 1324.3513388262909, "cagr_pct": 43.7427613942932, "max_drawdown_pct": 67.18199986174108, "mean_exposure_while_solvent": 0.7966239424318127, "realized_annual_volatility_pct": 43.17945523950012, "trading_costs_quote_units": 12609.224949041065, "borrowing_costs_quote_units": 7742.503840964714, "price_pnl_quote_units": 152786.8626726339, "turnover_quote_units": 4203074.983013688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 144044.49568595082, "return_pct": 1340.4449568595082, "cagr_pct": 43.963546464141416, "max_drawdown_pct": 67.42523962542187, "mean_exposure_while_solvent": 0.8441420083674942, "realized_annual_volatility_pct": 50.19004290622967, "trading_costs_quote_units": 13232.20577585201, "borrowing_costs_quote_units": 7672.0906949408145, "price_pnl_quote_units": 154948.79215674414, "turnover_quote_units": 4410735.258617334, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -16.093618033217354 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 170317.81281739438, "return_pct": 1603.1781281739438, "cagr_pct": 47.296401336411655, "max_drawdown_pct": 81.95298297549212, "mean_exposure_while_solvent": 1.1240343440321265, "realized_annual_volatility_pct": 62.0633053765269, "trading_costs_quote_units": 16873.235675203243, "borrowing_costs_quote_units": 38383.71883768408, "price_pnl_quote_units": 215574.7673302831, "turnover_quote_units": 5624411.891734426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 189909.07819296524, "return_pct": 1799.0907819296524, "cagr_pct": 49.50352553355153, "max_drawdown_pct": 81.95298297549212, "mean_exposure_while_solvent": 1.1342045067016122, "realized_annual_volatility_pct": 64.15164572320775, "trading_costs_quote_units": 18439.3236213815, "borrowing_costs_quote_units": 42212.38028443824, "price_pnl_quote_units": 240560.7820987844, "turnover_quote_units": 6146441.2071271725, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -195.91265375570856 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 125188.99800413116, "return_pct": 1151.8899800413117, "cagr_pct": 41.230771120454925, "max_drawdown_pct": 89.85449181867273, "mean_exposure_while_solvent": 1.3259534774169717, "realized_annual_volatility_pct": 76.35372152176409, "trading_costs_quote_units": 13648.804112428465, "borrowing_costs_quote_units": 51575.43419306942, "price_pnl_quote_units": 180413.23630963036, "turnover_quote_units": 4549601.370809488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 160648.2511731162, "return_pct": 1506.482511731162, "cagr_pct": 46.12503601997349, "max_drawdown_pct": 89.85449181867268, "mean_exposure_while_solvent": 1.3041496166523086, "realized_annual_volatility_pct": 74.06221643649751, "trading_costs_quote_units": 16597.811240183055, "borrowing_costs_quote_units": 63531.686461629695, "price_pnl_quote_units": 230777.74887492773, "turnover_quote_units": 5532603.746727685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2312, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -354.5925316898504 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 103550.99929046539, "return_pct": 935.5099929046538, "cagr_pct": 37.6168885570692, "max_drawdown_pct": 82.4165734032019, "mean_exposure_while_solvent": 1.1498236294803608, "realized_annual_volatility_pct": 62.562347449357326, "trading_costs_quote_units": 19012.050925237483, "borrowing_costs_quote_units": 27502.17499081029, "price_pnl_quote_units": 140065.2252065137, "turnover_quote_units": 6337350.308412517, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 134847.58830260197, "return_pct": 1248.4758830260198, "cagr_pct": 42.67189315093013, "max_drawdown_pct": 82.41657340320188, "mean_exposure_while_solvent": 1.1516030743634231, "realized_annual_volatility_pct": 63.24400267233267, "trading_costs_quote_units": 24081.44720361474, "borrowing_costs_quote_units": 35176.29180690781, "price_pnl_quote_units": 184105.3273131253, "turnover_quote_units": 8027149.067871588, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2504, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -312.965890121366 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 185672.34225742012, "return_pct": 1756.7234225742013, "cagr_pct": 49.04346607339, "max_drawdown_pct": 78.48688974537951, "mean_exposure_while_solvent": 1.1054978222262462, "realized_annual_volatility_pct": 61.88231609452256, "trading_costs_quote_units": 11761.685566360666, "borrowing_costs_quote_units": 41641.71822645996, "price_pnl_quote_units": 229075.74605024047, "turnover_quote_units": 3920561.8554535573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 230426.2012459897, "return_pct": 2204.262012459897, "cagr_pct": 53.505548316468165, "max_drawdown_pct": 78.80370970652457, "mean_exposure_while_solvent": 1.1371633902579006, "realized_annual_volatility_pct": 65.57922562477256, "trading_costs_quote_units": 13653.941614347437, "borrowing_costs_quote_units": 50770.8537816119, "price_pnl_quote_units": 284850.99664194795, "turnover_quote_units": 4551313.871449142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -447.5385898856957 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 147309.5210245573, "return_pct": 1373.0952102455728, "cagr_pct": 44.40500220722736, "max_drawdown_pct": 77.42458900823546, "mean_exposure_while_solvent": 0.9240563624781482, "realized_annual_volatility_pct": 53.16099310203296, "trading_costs_quote_units": 3090.777359213218, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 140400.29838377127, "turnover_quote_units": 1030259.1197377387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1016, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 172958.23694208445, "return_pct": 1629.5823694208443, "cagr_pct": 47.60626680906886, "max_drawdown_pct": 77.42458900823546, "mean_exposure_while_solvent": 0.9463295076056977, "realized_annual_volatility_pct": 56.57632744065179, "trading_costs_quote_units": 3511.309064371687, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 166469.54600645555, "turnover_quote_units": 1170436.3547905607, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 768, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -256.4871591752715 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 186381.0773545858, "return_pct": 1763.8107735458582, "cagr_pct": 49.12105343952642, "max_drawdown_pct": 78.48688974537956, "mean_exposure_while_solvent": 1.1098023134043693, "realized_annual_volatility_pct": 62.43786478073603, "trading_costs_quote_units": 11773.442140011526, "borrowing_costs_quote_units": 41799.96108254314, "price_pnl_quote_units": 229954.48057714227, "turnover_quote_units": 3924480.7133371704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2606, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 230426.2012459897, "return_pct": 2204.262012459897, "cagr_pct": 53.505548316468165, "max_drawdown_pct": 78.80370970652457, "mean_exposure_while_solvent": 1.1371633902579006, "realized_annual_volatility_pct": 65.57922562477256, "trading_costs_quote_units": 13653.941614347437, "borrowing_costs_quote_units": 50770.8537816119, "price_pnl_quote_units": 284850.99664194795, "turnover_quote_units": 4551313.871449142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -440.45123891403887 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 185672.34225742012, "return_pct": 1756.7234225742013, "cagr_pct": 49.04346607339, "max_drawdown_pct": 78.48688974537951, "mean_exposure_while_solvent": 1.1054978222262462, "realized_annual_volatility_pct": 61.88231609452256, "trading_costs_quote_units": 11761.685566360666, "borrowing_costs_quote_units": 41641.71822645996, "price_pnl_quote_units": 229075.74605024047, "turnover_quote_units": 3920561.8554535573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 230426.2012459897, "return_pct": 2204.262012459897, "cagr_pct": 53.505548316468165, "max_drawdown_pct": 78.80370970652457, "mean_exposure_while_solvent": 1.1371633902579006, "realized_annual_volatility_pct": 65.57922562477256, "trading_costs_quote_units": 13653.941614347437, "borrowing_costs_quote_units": 50770.8537816119, "price_pnl_quote_units": 284850.99664194795, "turnover_quote_units": 4551313.871449142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1960, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -447.5385898856957 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 122929.46237700197, "return_pct": 1129.2946237700196, "cagr_pct": 40.87981955857854, "max_drawdown_pct": 65.56296943286468, "mean_exposure_while_solvent": 0.7500122583506229, "realized_annual_volatility_pct": 45.753268635015964, "trading_costs_quote_units": 2174.6036877331576, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115104.06606473554, "turnover_quote_units": 724867.895911053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 122929.46237700197, "return_pct": 1129.2946237700196, "cagr_pct": 40.87981955857854, "max_drawdown_pct": 65.56296943286468, "mean_exposure_while_solvent": 0.7500122583506229, "realized_annual_volatility_pct": 45.753268635015964, "trading_costs_quote_units": 2174.6036877331576, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115104.06606473554, "turnover_quote_units": 724867.895911053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 207709.8313576623, "return_pct": 1977.098313576623, "cagr_pct": 51.344549518337736, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9999376013977287, "realized_annual_volatility_pct": 61.195003143199045, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197739.74162685522, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 207709.8313576623, "return_pct": 1977.098313576623, "cagr_pct": 51.344549518337736, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9999376013977287, "realized_annual_volatility_pct": 61.195003143199045, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 197739.74162685522, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 186057.7740231927, "return_pct": 1760.577740231927, "cagr_pct": 49.085692103698456, "max_drawdown_pct": 86.30956344199429, "mean_exposure_while_solvent": 1.2499620866003334, "realized_annual_volatility_pct": 76.829805264545, "trading_costs_quote_units": 6241.627626257326, "borrowing_costs_quote_units": 44326.926727359714, "price_pnl_quote_units": 226626.32837680817, "turnover_quote_units": 2080542.5420857733, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 186057.7740231927, "return_pct": 1760.577740231927, "cagr_pct": 49.085692103698456, "max_drawdown_pct": 86.30956344199429, "mean_exposure_while_solvent": 1.2499620866003334, "realized_annual_volatility_pct": 76.829805264545, "trading_costs_quote_units": 6241.627626257326, "borrowing_costs_quote_units": 44326.926727359714, "price_pnl_quote_units": 226626.32837680817, "turnover_quote_units": 2080542.5420857733, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 135288.9103966545, "return_pct": 1252.889103966545, "cagr_pct": 42.73558649113314, "max_drawdown_pct": 92.74955299891495, "mean_exposure_while_solvent": 1.5000864327005698, "realized_annual_volatility_pct": 92.75718984130852, "trading_costs_quote_units": 14145.703728745504, "borrowing_costs_quote_units": 80847.89443404828, "price_pnl_quote_units": 220282.50855944658, "turnover_quote_units": 4715234.576248509, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 135288.9103966545, "return_pct": 1252.889103966545, "cagr_pct": 42.73558649113314, "max_drawdown_pct": 92.74955299891495, "mean_exposure_while_solvent": 1.5000864327005698, "realized_annual_volatility_pct": 92.75718984130852, "trading_costs_quote_units": 14145.703728745504, "borrowing_costs_quote_units": 80847.89443404828, "price_pnl_quote_units": 220282.50855944658, "turnover_quote_units": 4715234.576248509, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2665, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 155971.29395717336, "return_pct": 1459.7129395717336, "cagr_pct": 45.536474736799455, "max_drawdown_pct": 67.11470516440276, "mean_exposure_while_solvent": 0.7964758581290392, "realized_annual_volatility_pct": 43.334343687503086, "trading_costs_quote_units": 13304.91079296844, "borrowing_costs_quote_units": 2067.8142277997863, "price_pnl_quote_units": 161344.018977942, "turnover_quote_units": 4434970.2643228145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 151571.52898204877, "return_pct": 1415.7152898204877, "cagr_pct": 44.96871740622106, "max_drawdown_pct": 67.35473272955919, "mean_exposure_while_solvent": 0.8439957838565223, "realized_annual_volatility_pct": 50.27918810061579, "trading_costs_quote_units": 13409.442686836997, "borrowing_costs_quote_units": 1972.5405671150706, "price_pnl_quote_units": 156953.51223600245, "turnover_quote_units": 4469814.2289456725, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 43.997649751245945 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 231886.61147687625, "return_pct": 2218.8661147687626, "cagr_pct": 53.638085508156344, "max_drawdown_pct": 81.65865484407432, "mean_exposure_while_solvent": 1.1236818572571055, "realized_annual_volatility_pct": 62.13196766622337, "trading_costs_quote_units": 20451.886362874768, "borrowing_costs_quote_units": 12111.33322033372, "price_pnl_quote_units": 254449.83106008542, "turnover_quote_units": 6817295.454291593, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 233578.7817587451, "return_pct": 2235.787817587451, "cagr_pct": 53.79075738547934, "max_drawdown_pct": 81.65865484407433, "mean_exposure_while_solvent": 1.1338689633674524, "realized_annual_volatility_pct": 64.26236146644236, "trading_costs_quote_units": 20307.54284497347, "borrowing_costs_quote_units": 12080.484464370973, "price_pnl_quote_units": 255966.8090680898, "turnover_quote_units": 6769180.948324488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -16.921702818688573 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 205175.91160918443, "return_pct": 1951.7591160918441, "cagr_pct": 51.09100334806676, "max_drawdown_pct": 89.4472408267533, "mean_exposure_while_solvent": 1.3255474807132783, "realized_annual_volatility_pct": 75.97195652832963, "trading_costs_quote_units": 18339.38903978365, "borrowing_costs_quote_units": 18550.472101003797, "price_pnl_quote_units": 232065.7727499711, "turnover_quote_units": 6113129.679927905, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 218141.3042641335, "return_pct": 2081.413042641335, "cagr_pct": 52.36098939208218, "max_drawdown_pct": 89.44724082675334, "mean_exposure_while_solvent": 1.3037996943474854, "realized_annual_volatility_pct": 74.17944106426204, "trading_costs_quote_units": 18777.20193261061, "borrowing_costs_quote_units": 19168.852744787335, "price_pnl_quote_units": 246087.35894152962, "turnover_quote_units": 6259067.310870213, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -129.65392654949073 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 141016.14494133554, "return_pct": 1310.1614494133555, "cagr_pct": 43.54629913635482, "max_drawdown_pct": 82.52884923776058, "mean_exposure_while_solvent": 1.1494619486947644, "realized_annual_volatility_pct": 62.74183916461327, "trading_costs_quote_units": 22691.62003163658, "borrowing_costs_quote_units": 8596.79367812713, "price_pnl_quote_units": 162304.55865109782, "turnover_quote_units": 7563873.343878837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 178926.38834488837, "return_pct": 1689.263883448884, "cagr_pct": 48.29187902398524, "max_drawdown_pct": 82.52884923776055, "mean_exposure_while_solvent": 1.151256787658518, "realized_annual_volatility_pct": 63.42522423356881, "trading_costs_quote_units": 28191.047139355698, "borrowing_costs_quote_units": 10759.34660695601, "price_pnl_quote_units": 207876.7820911981, "turnover_quote_units": 9397015.713118576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -379.1024340355284 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 250637.45658622117, "return_pct": 2406.374565862212, "cagr_pct": 55.27872806272367, "max_drawdown_pct": 78.2368492108617, "mean_exposure_while_solvent": 1.1052606099038371, "realized_annual_volatility_pct": 61.844194732339176, "trading_costs_quote_units": 14247.95944487847, "borrowing_costs_quote_units": 13110.403105749663, "price_pnl_quote_units": 267995.81913685054, "turnover_quote_units": 4749319.81495949, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 283334.44809476857, "return_pct": 2733.3444809476855, "cagr_pct": 57.90157685560284, "max_drawdown_pct": 78.59279353129095, "mean_exposure_while_solvent": 1.1369724215065766, "realized_annual_volatility_pct": 65.62072712391456, "trading_costs_quote_units": 15153.884653681109, "borrowing_costs_quote_units": 14611.338769540944, "price_pnl_quote_units": 303099.67151799024, "turnover_quote_units": 5051294.884560355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -326.96991508547353 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 152754.09863491944, "return_pct": 1427.5409863491946, "cagr_pct": 45.12270336636559, "max_drawdown_pct": 77.34874565493767, "mean_exposure_while_solvent": 0.9239391656935397, "realized_annual_volatility_pct": 53.23157421835857, "trading_costs_quote_units": 3215.7767908167807, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 145969.87542573558, "turnover_quote_units": 1071925.5969389263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1022, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 167421.13340732615, "return_pct": 1574.2113340732615, "cagr_pct": 46.951655338262064, "max_drawdown_pct": 77.34874565493769, "mean_exposure_while_solvent": 0.9462341751690058, "realized_annual_volatility_pct": 56.641493451924816, "trading_costs_quote_units": 3417.664120477669, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 160838.7975278037, "turnover_quote_units": 1139221.373492557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 774, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -146.67034772406691 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 253722.70486326847, "return_pct": 2437.2270486326847, "cagr_pct": 55.53845414810144, "max_drawdown_pct": 78.23684921086175, "mean_exposure_while_solvent": 1.109560828252478, "realized_annual_volatility_pct": 62.39525149136592, "trading_costs_quote_units": 14388.721241897267, "borrowing_costs_quote_units": 13271.203246438155, "price_pnl_quote_units": 271382.62935160456, "turnover_quote_units": 4796240.41396576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2613, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 283334.44809476857, "return_pct": 2733.3444809476855, "cagr_pct": 57.90157685560284, "max_drawdown_pct": 78.59279353129095, "mean_exposure_while_solvent": 1.1369724215065766, "realized_annual_volatility_pct": 65.62072712391456, "trading_costs_quote_units": 15153.884653681109, "borrowing_costs_quote_units": 14611.338769540944, "price_pnl_quote_units": 303099.67151799024, "turnover_quote_units": 5051294.884560355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -296.11743231500077 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 250637.45658622117, "return_pct": 2406.374565862212, "cagr_pct": 55.27872806272367, "max_drawdown_pct": 78.2368492108617, "mean_exposure_while_solvent": 1.1052606099038371, "realized_annual_volatility_pct": 61.844194732339176, "trading_costs_quote_units": 14247.95944487847, "borrowing_costs_quote_units": 13110.403105749663, "price_pnl_quote_units": 267995.81913685054, "turnover_quote_units": 4749319.81495949, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 283334.44809476857, "return_pct": 2733.3444809476855, "cagr_pct": 57.90157685560284, "max_drawdown_pct": 78.59279353129095, "mean_exposure_while_solvent": 1.1369724215065766, "realized_annual_volatility_pct": 65.62072712391456, "trading_costs_quote_units": 15153.884653681109, "borrowing_costs_quote_units": 14611.338769540944, "price_pnl_quote_units": 303099.67151799024, "turnover_quote_units": 5051294.884560355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -326.96991508547353 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 123089.85654652653, "return_pct": 1130.8985654652652, "cagr_pct": 40.90491488094949, "max_drawdown_pct": 65.45770190119838, "mean_exposure_while_solvent": 0.749952372789122, "realized_annual_volatility_pct": 45.81542592496476, "trading_costs_quote_units": 2155.686360936395, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115245.54290746279, "turnover_quote_units": 718562.1203121339, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 123089.85654652653, "return_pct": 1130.8985654652652, "cagr_pct": 40.90491488094949, "max_drawdown_pct": 65.45770190119838, "mean_exposure_while_solvent": 0.749952372789122, "realized_annual_volatility_pct": 45.81542592496476, "trading_costs_quote_units": 2155.686360936395, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115245.54290746279, "turnover_quote_units": 718562.1203121339, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 209470.72945303112, "return_pct": 1994.7072945303112, "cagr_pct": 51.51917830894233, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998128041931861, "realized_annual_volatility_pct": 61.194426720100026, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 199500.63972222555, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 209470.72945303112, "return_pct": 1994.7072945303112, "cagr_pct": 51.51917830894233, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998128041931861, "realized_annual_volatility_pct": 61.194426720100026, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 199500.63972222555, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 250574.5910511897, "return_pct": 2405.745910511897, "cagr_pct": 55.27340720645111, "max_drawdown_pct": 85.61860331153869, "mean_exposure_while_solvent": 1.2497052827428738, "realized_annual_volatility_pct": 76.67174003021245, "trading_costs_quote_units": 7538.953764474138, "borrowing_costs_quote_units": 13649.572320113057, "price_pnl_quote_units": 261763.11713577717, "turnover_quote_units": 2512984.5881580464, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 250574.5910511897, "return_pct": 2405.745910511897, "cagr_pct": 55.27340720645111, "max_drawdown_pct": 85.61860331153869, "mean_exposure_while_solvent": 1.2497052827428738, "realized_annual_volatility_pct": 76.67174003021245, "trading_costs_quote_units": 7538.953764474138, "borrowing_costs_quote_units": 13649.572320113057, "price_pnl_quote_units": 261763.11713577717, "turnover_quote_units": 2512984.5881580464, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 245439.01988827978, "return_pct": 2354.390198882798, "cagr_pct": 54.83479619178182, "max_drawdown_pct": 91.92723892266457, "mean_exposure_while_solvent": 1.4996654744148303, "realized_annual_volatility_pct": 92.27254659733686, "trading_costs_quote_units": 20540.843380688028, "borrowing_costs_quote_units": 30323.28959859141, "price_pnl_quote_units": 286303.15286755795, "turnover_quote_units": 6846947.793562674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 245439.01988827978, "return_pct": 2354.390198882798, "cagr_pct": 54.83479619178182, "max_drawdown_pct": 91.92723892266457, "mean_exposure_while_solvent": 1.4996654744148303, "realized_annual_volatility_pct": 92.27254659733686, "trading_costs_quote_units": 20540.843380688028, "borrowing_costs_quote_units": 30323.28959859141, "price_pnl_quote_units": 286303.15286755795, "turnover_quote_units": 6846947.793562674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 153307.24715482062, "return_pct": 1433.0724715482063, "cagr_pct": 45.194377460862974, "max_drawdown_pct": 67.12954560137167, "mean_exposure_while_solvent": 0.7964794258296828, "realized_annual_volatility_pct": 43.33430158319711, "trading_costs_quote_units": 13177.632121675166, "borrowing_costs_quote_units": 4086.284190409104, "price_pnl_quote_units": 160571.16346690382, "turnover_quote_units": 4392544.040558383, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 149239.5057924707, "return_pct": 1392.395057924707, "cagr_pct": 44.66199313685907, "max_drawdown_pct": 67.36946484717228, "mean_exposure_while_solvent": 0.843998963558265, "realized_annual_volatility_pct": 50.279259638321264, "trading_costs_quote_units": 13306.516496252081, "borrowing_costs_quote_units": 3903.934538424362, "price_pnl_quote_units": 156449.95682714786, "turnover_quote_units": 4435505.498750696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 40.677413623499206 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 215561.28912377998, "return_pct": 2055.6128912377994, "cagr_pct": 52.11356520146777, "max_drawdown_pct": 81.72294586961861, "mean_exposure_while_solvent": 1.123697951693139, "realized_annual_volatility_pct": 62.132654503891004, "trading_costs_quote_units": 19605.889616200613, "borrowing_costs_quote_units": 22997.03038666798, "price_pnl_quote_units": 248164.20912664742, "turnover_quote_units": 6535296.538733536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 218093.53885725111, "return_pct": 2080.9353885725113, "cagr_pct": 52.356431686071694, "max_drawdown_pct": 81.72294586961863, "mean_exposure_while_solvent": 1.1338840961554493, "realized_annual_volatility_pct": 64.26299285162457, "trading_costs_quote_units": 19541.790422372967, "borrowing_costs_quote_units": 23028.793740328638, "price_pnl_quote_units": 250664.12301995367, "turnover_quote_units": 6513930.140790981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -25.322497334711898 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 180562.68245411327, "return_pct": 1705.6268245411327, "cagr_pct": 48.4764026551492, "max_drawdown_pct": 89.59503936213262, "mean_exposure_while_solvent": 1.32557641061821, "realized_annual_volatility_pct": 75.97403748465665, "trading_costs_quote_units": 17101.283740615923, "borrowing_costs_quote_units": 33974.31742088551, "price_pnl_quote_units": 221638.2836156155, "turnover_quote_units": 5700427.913538635, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 193975.25583547645, "return_pct": 1839.7525583547645, "cagr_pct": 49.936804975454294, "max_drawdown_pct": 89.5950393621326, "mean_exposure_while_solvent": 1.303826365417408, "realized_annual_volatility_pct": 74.18107264264785, "trading_costs_quote_units": 17653.48453351263, "borrowing_costs_quote_units": 35398.65956044739, "price_pnl_quote_units": 237027.39992943354, "turnover_quote_units": 5884494.8445042055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -134.12573381363177 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 129767.26030092358, "return_pct": 1197.672603009236, "cagr_pct": 41.925415867867386, "max_drawdown_pct": 82.62096152114793, "mean_exposure_while_solvent": 1.1494805154753, "realized_annual_volatility_pct": 62.74290910984295, "trading_costs_quote_units": 21685.094823431646, "borrowing_costs_quote_units": 16226.581540219522, "price_pnl_quote_units": 157678.93666457452, "turnover_quote_units": 7228364.941143881, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 165147.88508661068, "return_pct": 1551.4788508661065, "cagr_pct": 46.67748102318129, "max_drawdown_pct": 82.62096152114789, "mean_exposure_while_solvent": 1.1512746768940345, "realized_annual_volatility_pct": 63.42621388294215, "trading_costs_quote_units": 26999.086313360505, "borrowing_costs_quote_units": 20354.89397390426, "price_pnl_quote_units": 202501.86537387586, "turnover_quote_units": 8999695.437786814, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -353.80624785687064 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 234418.9600755446, "return_pct": 2244.189600755446, "cagr_pct": 53.86620592023972, "max_drawdown_pct": 78.26838787362209, "mean_exposure_while_solvent": 1.1052752124269554, "realized_annual_volatility_pct": 61.84484002478293, "trading_costs_quote_units": 13685.54428432531, "borrowing_costs_quote_units": 25003.34955138952, "price_pnl_quote_units": 263107.8539112589, "turnover_quote_units": 4561848.094775104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 266808.3756942573, "return_pct": 2568.0837569425735, "cagr_pct": 56.6106078657457, "max_drawdown_pct": 78.62381636764397, "mean_exposure_while_solvent": 1.1369855513913572, "realized_annual_volatility_pct": 65.62126302755733, "trading_costs_quote_units": 14625.746283854294, "borrowing_costs_quote_units": 28038.61297151194, "price_pnl_quote_units": 299472.7349496235, "turnover_quote_units": 4875248.761284766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -323.89415618712746 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 152754.09863491944, "return_pct": 1427.5409863491946, "cagr_pct": 45.12270336636559, "max_drawdown_pct": 77.34874565493767, "mean_exposure_while_solvent": 0.9239391656935397, "realized_annual_volatility_pct": 53.23157421835857, "trading_costs_quote_units": 3215.7767908167807, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 145969.87542573558, "turnover_quote_units": 1071925.5969389263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1022, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 167421.13340732615, "return_pct": 1574.2113340732615, "cagr_pct": 46.951655338262064, "max_drawdown_pct": 77.34874565493769, "mean_exposure_while_solvent": 0.9462341751690058, "realized_annual_volatility_pct": 56.641493451924816, "trading_costs_quote_units": 3417.664120477669, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 160838.7975278037, "turnover_quote_units": 1139221.373492557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 774, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -146.67034772406691 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 237304.56505466945, "return_pct": 2273.0456505466946, "cagr_pct": 54.123569358452926, "max_drawdown_pct": 78.26838787362209, "mean_exposure_while_solvent": 1.1095754307755963, "realized_annual_volatility_pct": 62.39589220440518, "trading_costs_quote_units": 13819.504553176048, "borrowing_costs_quote_units": 25309.96569463406, "price_pnl_quote_units": 266434.0353024799, "turnover_quote_units": 4606501.517725347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2613, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 266808.3756942573, "return_pct": 2568.0837569425735, "cagr_pct": 56.6106078657457, "max_drawdown_pct": 78.62381636764397, "mean_exposure_while_solvent": 1.1369855513913572, "realized_annual_volatility_pct": 65.62126302755733, "trading_costs_quote_units": 14625.746283854294, "borrowing_costs_quote_units": 28038.61297151194, "price_pnl_quote_units": 299472.7349496235, "turnover_quote_units": 4875248.761284766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -295.0381063958789 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 234418.9600755446, "return_pct": 2244.189600755446, "cagr_pct": 53.86620592023972, "max_drawdown_pct": 78.26838787362209, "mean_exposure_while_solvent": 1.1052752124269554, "realized_annual_volatility_pct": 61.84484002478293, "trading_costs_quote_units": 13685.54428432531, "borrowing_costs_quote_units": 25003.34955138952, "price_pnl_quote_units": 263107.8539112589, "turnover_quote_units": 4561848.094775104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 266808.3756942573, "return_pct": 2568.0837569425735, "cagr_pct": 56.6106078657457, "max_drawdown_pct": 78.62381636764397, "mean_exposure_while_solvent": 1.1369855513913572, "realized_annual_volatility_pct": 65.62126302755733, "trading_costs_quote_units": 14625.746283854294, "borrowing_costs_quote_units": 28038.61297151194, "price_pnl_quote_units": 299472.7349496235, "turnover_quote_units": 4875248.761284766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -323.89415618712746 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 123089.85654652653, "return_pct": 1130.8985654652652, "cagr_pct": 40.90491488094949, "max_drawdown_pct": 65.45770190119838, "mean_exposure_while_solvent": 0.749952372789122, "realized_annual_volatility_pct": 45.81542592496476, "trading_costs_quote_units": 2155.686360936395, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115245.54290746279, "turnover_quote_units": 718562.1203121339, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 123089.85654652653, "return_pct": 1130.8985654652652, "cagr_pct": 40.90491488094949, "max_drawdown_pct": 65.45770190119838, "mean_exposure_while_solvent": 0.749952372789122, "realized_annual_volatility_pct": 45.81542592496476, "trading_costs_quote_units": 2155.686360936395, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115245.54290746279, "turnover_quote_units": 718562.1203121339, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 209470.72945303112, "return_pct": 1994.7072945303112, "cagr_pct": 51.51917830894233, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998128041931861, "realized_annual_volatility_pct": 61.194426720100026, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 199500.63972222555, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 209470.72945303112, "return_pct": 1994.7072945303112, "cagr_pct": 51.51917830894233, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998128041931861, "realized_annual_volatility_pct": 61.194426720100026, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 199500.63972222555, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 228671.33382326717, "return_pct": 2186.7133382326715, "cagr_pct": 53.34532538175849, "max_drawdown_pct": 85.82249555509891, "mean_exposure_while_solvent": 1.2497231143613228, "realized_annual_volatility_pct": 76.67318725126549, "trading_costs_quote_units": 7128.827241693418, "borrowing_costs_quote_units": 25660.490659266223, "price_pnl_quote_units": 251460.6517242281, "turnover_quote_units": 2376275.747231136, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 228671.33382326717, "return_pct": 2186.7133382326715, "cagr_pct": 53.34532538175849, "max_drawdown_pct": 85.82249555509891, "mean_exposure_while_solvent": 1.2497231143613228, "realized_annual_volatility_pct": 76.67318725126549, "trading_costs_quote_units": 7128.827241693418, "borrowing_costs_quote_units": 25660.490659266223, "price_pnl_quote_units": 251460.6517242281, "turnover_quote_units": 2376275.747231136, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 204389.94436046717, "return_pct": 1943.8994436046717, "cagr_pct": 51.01180941923778, "max_drawdown_pct": 92.24688669903439, "mean_exposure_while_solvent": 1.4997082936949375, "realized_annual_volatility_pct": 92.27606475370496, "trading_costs_quote_units": 18440.383445155785, "borrowing_costs_quote_units": 53743.40988276543, "price_pnl_quote_units": 266573.7376883878, "turnover_quote_units": 6146794.4817186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 204389.94436046717, "return_pct": 1943.8994436046717, "cagr_pct": 51.01180941923778, "max_drawdown_pct": 92.24688669903439, "mean_exposure_while_solvent": 1.4997082936949375, "realized_annual_volatility_pct": 92.27606475370496, "trading_costs_quote_units": 18440.383445155785, "borrowing_costs_quote_units": 53743.40988276543, "price_pnl_quote_units": 266573.7376883878, "turnover_quote_units": 6146794.4817186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 148113.65940587985, "return_pct": 1381.1365940587984, "cagr_pct": 44.512430064277545, "max_drawdown_pct": 67.1592130626628, "mean_exposure_while_solvent": 0.7964865624912374, "realized_annual_volatility_pct": 43.33422765435882, "trading_costs_quote_units": 12927.629569470368, "borrowing_costs_quote_units": 7979.013161485353, "price_pnl_quote_units": 159020.3021368356, "turnover_quote_units": 4309209.856490126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol40_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 144681.47764168927, "return_pct": 1346.8147764168928, "cagr_pct": 44.05034477898349, "max_drawdown_pct": 67.39891576764978, "mean_exposure_while_solvent": 0.8440053240668388, "realized_annual_volatility_pct": 50.27941057339477, "trading_costs_quote_units": 13103.95628340301, "borrowing_costs_quote_units": 7646.099553913719, "price_pnl_quote_units": 155431.53347900612, "turnover_quote_units": 4367985.42780101, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 34.32181764190568 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 186269.79029385373, "return_pct": 1762.6979029385375, "cagr_pct": 49.108887387147284, "max_drawdown_pct": 81.85089555576893, "mean_exposure_while_solvent": 1.123730146933488, "realized_annual_volatility_pct": 62.13405190970861, "trading_costs_quote_units": 18039.935752494905, "borrowing_costs_quote_units": 41486.22296671322, "price_pnl_quote_units": 235795.94901306077, "turnover_quote_units": 6013311.917498287, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 190127.1074380623, "return_pct": 1801.2710743806228, "cagr_pct": 49.526960331062, "max_drawdown_pct": 81.85089555576894, "mean_exposure_while_solvent": 1.1339143677292418, "realized_annual_volatility_pct": 64.26427855996731, "trading_costs_quote_units": 18117.42559700264, "borrowing_costs_quote_units": 41868.825997474, "price_pnl_quote_units": 240113.35903253802, "turnover_quote_units": 6039141.865667542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -38.57317144208537 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 139829.2066306995, "return_pct": 1298.2920663069951, "cagr_pct": 43.38064942769737, "max_drawdown_pct": 89.88453623127704, "mean_exposure_while_solvent": 1.3256342824035066, "realized_annual_volatility_pct": 75.97821694965874, "trading_costs_quote_units": 14926.890164222805, "borrowing_costs_quote_units": 57137.13118404293, "price_pnl_quote_units": 201893.2279789668, "turnover_quote_units": 4975630.054740931, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol80_30d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 153367.06665600944, "return_pct": 1433.6706665600946, "cagr_pct": 45.202115174423604, "max_drawdown_pct": 89.88453623127704, "mean_exposure_while_solvent": 1.3038797186536941, "realized_annual_volatility_pct": 74.18435704428208, "trading_costs_quote_units": 15659.547135650973, "borrowing_costs_quote_units": 60502.4892823259, "price_pnl_quote_units": 219529.1030739852, "turnover_quote_units": 5219849.04521698, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2319, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -135.37860025309942 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 109884.41079910523, "return_pct": 998.8441079910523, "cagr_pct": 38.73740563705085, "max_drawdown_pct": 82.80378802025686, "mean_exposure_while_solvent": 1.14951765656217, "realized_annual_volatility_pct": 62.74507484601119, "trading_costs_quote_units": 19836.546291233233, "borrowing_costs_quote_units": 28935.42768024099, "price_pnl_quote_units": 148656.38477057926, "turnover_quote_units": 6612182.0970777515, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_14d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 140685.48734690473, "return_pct": 1306.8548734690473, "cagr_pct": 43.500273734221615, "max_drawdown_pct": 82.8037880202569, "mean_exposure_while_solvent": 1.1513104626099888, "realized_annual_volatility_pct": 63.4282186652425, "trading_costs_quote_units": 24803.315158218356, "borrowing_costs_quote_units": 36459.79187745277, "price_pnl_quote_units": 191948.5943825752, "turnover_quote_units": 8267771.719406123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -308.01076547799505 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 205054.61783142627, "return_pct": 1950.5461783142625, "cagr_pct": 51.078798917825566, "max_drawdown_pct": 78.3313409797444, "mean_exposure_while_solvent": 1.1053044231496174, "realized_annual_volatility_pct": 61.84615258627054, "trading_costs_quote_units": 12639.277667226459, "borrowing_costs_quote_units": 45495.01860828058, "price_pnl_quote_units": 253188.91410693366, "turnover_quote_units": 4213092.555742151, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 236583.46718493948, "return_pct": 2265.834671849395, "cagr_pct": 54.059509867661745, "max_drawdown_pct": 78.68573985260548, "mean_exposure_while_solvent": 1.1370118162745664, "realized_annual_volatility_pct": 65.62235516706934, "trading_costs_quote_units": 13636.009116173309, "borrowing_costs_quote_units": 51648.783416560764, "price_pnl_quote_units": 291868.2597176743, "turnover_quote_units": 4545336.372057767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -315.2884935351324 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 152754.09863491944, "return_pct": 1427.5409863491946, "cagr_pct": 45.12270336636559, "max_drawdown_pct": 77.34874565493767, "mean_exposure_while_solvent": 0.9239391656935397, "realized_annual_volatility_pct": 53.23157421835857, "trading_costs_quote_units": 3215.7767908167807, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 145969.87542573558, "turnover_quote_units": 1071925.5969389263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1022, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_30d_cap1", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 167421.13340732615, "return_pct": 1574.2113340732615, "cagr_pct": 46.951655338262064, "max_drawdown_pct": 77.34874565493769, "mean_exposure_while_solvent": 0.9462341751690058, "realized_annual_volatility_pct": 56.641493451924816, "trading_costs_quote_units": 3417.664120477669, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 160838.7975278037, "turnover_quote_units": 1139221.373492557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 774, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -146.67034772406691 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap12", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 207578.7593343854, "return_pct": 1975.787593343854, "cagr_pct": 51.33150001549733, "max_drawdown_pct": 78.33134097974437, "mean_exposure_while_solvent": 1.109604641498258, "realized_annual_volatility_pct": 62.39719541392955, "trading_costs_quote_units": 12760.600722797473, "borrowing_costs_quote_units": 46052.72294789614, "price_pnl_quote_units": 256392.08300507747, "turnover_quote_units": 4253533.574265833, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2613, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 236583.46718493948, "return_pct": 2265.834671849395, "cagr_pct": 54.059509867661745, "max_drawdown_pct": 78.68573985260548, "mean_exposure_while_solvent": 1.1370118162745664, "realized_annual_volatility_pct": 65.62235516706934, "trading_costs_quote_units": 13636.009116173309, "borrowing_costs_quote_units": 51648.783416560764, "price_pnl_quote_units": 291868.2597176743, "turnover_quote_units": 4545336.372057767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -290.04707850554087 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "elapsed_vol60_60d_gap48", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 205054.61783142627, "return_pct": 1950.5461783142625, "cagr_pct": 51.078798917825566, "max_drawdown_pct": 78.3313409797444, "mean_exposure_while_solvent": 1.1053044231496174, "realized_annual_volatility_pct": 61.84615258627054, "trading_costs_quote_units": 12639.277667226459, "borrowing_costs_quote_units": 45495.01860828058, "price_pnl_quote_units": 253188.91410693366, "turnover_quote_units": 4213092.555742151, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "vol60_60d", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 236583.46718493948, "return_pct": 2265.834671849395, "cagr_pct": 54.059509867661745, "max_drawdown_pct": 78.68573985260548, "mean_exposure_while_solvent": 1.1370118162745664, "realized_annual_volatility_pct": 65.62235516706934, "trading_costs_quote_units": 13636.009116173309, "borrowing_costs_quote_units": 51648.783416560764, "price_pnl_quote_units": 291868.2597176743, "turnover_quote_units": 4545336.372057767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1966, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": -315.2884935351324 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 123089.85654652653, "return_pct": 1130.8985654652652, "cagr_pct": 40.90491488094949, "max_drawdown_pct": 65.45770190119838, "mean_exposure_while_solvent": 0.749952372789122, "realized_annual_volatility_pct": 45.81542592496476, "trading_costs_quote_units": 2155.686360936395, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115245.54290746279, "turnover_quote_units": 718562.1203121339, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_075", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 123089.85654652653, "return_pct": 1130.8985654652652, "cagr_pct": 40.90491488094949, "max_drawdown_pct": 65.45770190119838, "mean_exposure_while_solvent": 0.749952372789122, "realized_annual_volatility_pct": 45.81542592496476, "trading_costs_quote_units": 2155.686360936395, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 115245.54290746279, "turnover_quote_units": 718562.1203121339, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 209470.72945303112, "return_pct": 1994.7072945303112, "cagr_pct": 51.51917830894233, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998128041931861, "realized_annual_volatility_pct": 61.194426720100026, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 199500.63972222555, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "btc_buy_hold", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 209470.72945303112, "return_pct": 1994.7072945303112, "cagr_pct": 51.51917830894233, "max_drawdown_pct": 77.04339319608702, "mean_exposure_while_solvent": 0.9998128041931861, "realized_annual_volatility_pct": 61.194426720100026, "trading_costs_quote_units": 29.910269192422735, "borrowing_costs_quote_units": 0.0, "price_pnl_quote_units": 199500.63972222555, "turnover_quote_units": 9970.089730807576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 190432.506679887, "return_pct": 1804.32506679887, "cagr_pct": 49.55974707970398, "max_drawdown_pct": 86.38309212527591, "mean_exposure_while_solvent": 1.2497587831096268, "realized_annual_volatility_pct": 76.67608240060434, "trading_costs_quote_units": 6386.191395160755, "borrowing_costs_quote_units": 45415.155746696946, "price_pnl_quote_units": 232233.85382174596, "turnover_quote_units": 2128730.46505358, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_125", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 190432.506679887, "return_pct": 1804.32506679887, "cagr_pct": 49.55974707970398, "max_drawdown_pct": 86.38309212527591, "mean_exposure_while_solvent": 1.2497587831096268, "realized_annual_volatility_pct": 76.67608240060434, "trading_costs_quote_units": 6386.191395160755, "borrowing_costs_quote_units": 45415.155746696946, "price_pnl_quote_units": 232233.85382174596, "turnover_quote_units": 2128730.46505358, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 141723.58903356985, "return_pct": 1317.2358903356985, "cagr_pct": 43.64445867751829, "max_drawdown_pct": 92.84888401146516, "mean_exposure_while_solvent": 1.4997939508995284, "realized_annual_volatility_pct": 92.28310345620571, "trading_costs_quote_units": 14969.090673386934, "borrowing_costs_quote_units": 84973.48756701377, "price_pnl_quote_units": 231666.16727397032, "turnover_quote_units": 4989696.891128969, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "native": { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "constant_150", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 141723.58903356985, "return_pct": 1317.2358903356985, "cagr_pct": 43.64445867751829, "max_drawdown_pct": 92.84888401146516, "mean_exposure_while_solvent": 1.4997939508995284, "realized_annual_volatility_pct": 92.28310345620571, "trading_costs_quote_units": 14969.090673386934, "borrowing_costs_quote_units": 84973.48756701377, "price_pnl_quote_units": 231666.16727397032, "turnover_quote_units": 4989696.891128969, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 2672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13 }, "return_difference_points": 0.0 } ] }